DOLPHIN/nautilus_dolphin/test_pf_acb_v2.py

"""ACB v2 test — measures drawdown and per-date P&L, not just ROI.

Key insight from legacy data: ACB's value is DRAWDOWN PROTECTION.
Feb 6 crash day: SHORT strategy LOST -8.07% (whipsaw kills shorts).
ACB cut max DD from 18.3% to 5.6%, Sharpe from 1.50 to 1.88.
"""
import sys, time
from pathlib import Path
from collections import Counter
import numpy as np
import pandas as pd

sys.path.insert(0, str(Path(__file__).parent))

# Pre-compile numba kernels
print("Compiling numba kernels...")
t_jit = time.time()
from nautilus_dolphin.nautilus.alpha_asset_selector import compute_irp_nb, compute_ars_nb, rank_assets_irp_nb
from nautilus_dolphin.nautilus.alpha_bet_sizer import compute_sizing_nb
from nautilus_dolphin.nautilus.alpha_signal_generator import check_dc_nb
_p = np.array([1.0, 2.0, 3.0], dtype=np.float64)
compute_irp_nb(_p, -1)
compute_ars_nb(1.0, 0.5, 0.01)
rank_assets_irp_nb(np.ones((10, 2), dtype=np.float64), 8, -1, 5, 500.0, 20, 0.20)
compute_sizing_nb(-0.03, -0.02, -0.05, 3.0, 0.5, 5.0, 0.20, True, True, 0.0,
                  np.zeros(4, dtype=np.int64), np.zeros(4, dtype=np.int64),
                  np.zeros(5, dtype=np.float64), 0)
check_dc_nb(_p, 3, 1, 0.75)
print(f"  JIT compile: {time.time() - t_jit:.1f}s")

from nautilus_dolphin.nautilus.alpha_orchestrator import NDAlphaEngine
from nautilus_dolphin.nautilus.adaptive_circuit_breaker import AdaptiveCircuitBreaker

VBT_DIR = Path(r"C:\Users\Lenovo\Documents\- DOLPHIN NG HD HCM TSF Predict\vbt_cache")
META_COLS = {'timestamp', 'scan_number', 'v50_lambda_max_velocity', 'v150_lambda_max_velocity',
             'v300_lambda_max_velocity', 'v750_lambda_max_velocity', 'vel_div',
             'instability_50', 'instability_150'}

ENGINE_KWARGS = dict(
    initial_capital=25000.0,
    vel_div_threshold=-0.02, vel_div_extreme=-0.05,
    min_leverage=0.5, max_leverage=5.0, leverage_convexity=3.0,
    fraction=0.20, fixed_tp_pct=0.0099, stop_pct=1.0, max_hold_bars=120,
    use_direction_confirm=True, dc_lookback_bars=7, dc_min_magnitude_bps=0.75,
    dc_skip_contradicts=True, dc_leverage_boost=1.0, dc_leverage_reduce=0.5,
    use_asset_selection=True, min_irp_alignment=0.45,
    use_sp_fees=True, use_sp_slippage=True,
    sp_maker_entry_rate=0.62, sp_maker_exit_rate=0.50,
    use_ob_edge=True, ob_edge_bps=5.0, ob_confirm_rate=0.40,
    lookback=100, use_alpha_layers=True, use_dynamic_leverage=True, seed=42,
)

# Initialize ACB
acb = AdaptiveCircuitBreaker()

# Pre-load ACB cuts
parquet_files = sorted(VBT_DIR.glob("*.parquet"))
acb_cuts = {}
for pf in parquet_files:
    acb_cuts[pf.stem] = acb.get_cut_for_date(pf.stem)

# Vol percentiles from first 2 days
all_vols = []
for pf in parquet_files[:2]:
    df = pd.read_parquet(pf)
    if 'BTCUSDT' not in df.columns:
        continue
    prices = df['BTCUSDT'].values
    for i in range(60, len(prices)):
        seg = prices[max(0, i-50):i]
        if len(seg) < 10:
            continue
        rets = np.diff(seg) / seg[:-1]
        v = float(np.std(rets))
        if v > 0:
            all_vols.append(v)
vol_p60 = float(np.percentile(all_vols, 60))


def run_backtest(use_acb=False, label=""):
    """Run full backtest, return engine + per-date stats."""
    engine = NDAlphaEngine(**ENGINE_KWARGS)
    bar_idx = 0
    price_histories = {}

    date_stats = []
    peak_capital = engine.capital
    max_dd = 0.0

    for pf in parquet_files:
        date_str = pf.stem
        acb_cut = acb_cuts[date_str]['cut'] if use_acb else 0.0
        cap_start = engine.capital
        trades_start = len(engine.trade_history)

        df = pd.read_parquet(pf)
        asset_cols = [c for c in df.columns if c not in META_COLS]
        btc_prices = df['BTCUSDT'].values if 'BTCUSDT' in df.columns else None
        date_vol = np.full(len(df), np.nan)
        if btc_prices is not None:
            for i in range(50, len(btc_prices)):
                seg = btc_prices[max(0, i-50):i]
                if len(seg) < 10:
                    continue
                rets = np.diff(seg) / seg[:-1]
                date_vol[i] = float(np.std(rets))

        bars_in_date = 0
        for row_i in range(len(df)):
            row = df.iloc[row_i]
            vel_div = row.get("vel_div")
            if vel_div is None or not np.isfinite(vel_div):
                bar_idx += 1
                bars_in_date += 1
                continue
            prices = {}
            for ac in asset_cols:
                p = row[ac]
                if p and p > 0 and np.isfinite(p):
                    prices[ac] = float(p)
                    if ac not in price_histories:
                        price_histories[ac] = []
                    price_histories[ac].append(float(p))
            if not prices:
                bar_idx += 1
                bars_in_date += 1
                continue
            if bars_in_date < 100:
                vol_regime_ok = False
            else:
                v = date_vol[row_i]
                vol_regime_ok = (np.isfinite(v) and v > vol_p60)

            # Apply ACB fraction reduction
            if acb_cut > 0 and engine.position is None:
                engine.bet_sizer.base_fraction = 0.20 * (1.0 - acb_cut)

            engine.process_bar(
                bar_idx=bar_idx, vel_div=float(vel_div),
                prices=prices, vol_regime_ok=vol_regime_ok,
                price_histories=price_histories,
            )

            # Restore fraction
            if engine.bet_sizer.base_fraction != 0.20:
                engine.bet_sizer.base_fraction = 0.20

            bar_idx += 1
            bars_in_date += 1

        # Per-date stats
        cap_end = engine.capital
        date_pnl = cap_end - cap_start
        date_trades = len(engine.trade_history) - trades_start

        # Track drawdown
        peak_capital = max(peak_capital, cap_end)
        dd = (peak_capital - cap_end) / peak_capital * 100 if peak_capital > 0 else 0
        max_dd = max(max_dd, dd)

        date_stats.append({
            'date': date_str,
            'pnl': date_pnl,
            'roi_pct': date_pnl / cap_start * 100 if cap_start > 0 else 0,
            'capital': cap_end,
            'trades': date_trades,
            'dd_pct': dd,
            'acb_cut': acb_cut * 100,
        })

    return engine, date_stats, max_dd, peak_capital


# Run both
print("\n=== Running BASELINE (no ACB) ===")
t0 = time.time()
eng_base, stats_base, dd_base, peak_base = run_backtest(use_acb=False, label="baseline")
print(f"  Done: {time.time()-t0:.0f}s")

print("\n=== Running WITH ACB ===")
t1 = time.time()
eng_acb, stats_acb, dd_acb, peak_acb = run_backtest(use_acb=True, label="acb")
print(f"  Done: {time.time()-t1:.0f}s")


# === Per-date comparison ===
print(f"\n{'='*90}")
print(f"{'DATE':<12} {'BASE PnL':>10} {'ACB PnL':>10} {'DELTA':>10} {'BASE CAP':>10} {'ACB CAP':>10} {'CUT%':>6} {'BASE DD%':>9} {'ACB DD%':>9}")
print(f"{'='*90}")

for sb, sa in zip(stats_base, stats_acb):
    marker = ""
    if abs(sb['pnl']) > 200:
        marker = " ***" if sb['pnl'] < 0 else " ++"
    print(f"{sb['date']:<12} {sb['pnl']:>+10.2f} {sa['pnl']:>+10.2f} {sa['pnl']-sb['pnl']:>+10.2f} "
          f"{sb['capital']:>10.2f} {sa['capital']:>10.2f} {sa['acb_cut']:>5.0f}% "
          f"{sb['dd_pct']:>8.2f}% {sa['dd_pct']:>8.2f}%{marker}")

# Identify loss days where ACB helped
print(f"\n--- LOSS DAYS WHERE ACB HELPED ---")
for sb, sa in zip(stats_base, stats_acb):
    if sb['pnl'] < 0 and sa['pnl'] > sb['pnl']:
        saved = sa['pnl'] - sb['pnl']
        print(f"  {sb['date']}: base={sb['pnl']:+.2f}, acb={sa['pnl']:+.2f}, SAVED ${saved:+.2f}, cut={sa['acb_cut']:.0f}%")

print(f"\n--- WIN DAYS WHERE ACB HURT ---")
for sb, sa in zip(stats_base, stats_acb):
    if sb['pnl'] > 0 and sa['pnl'] < sb['pnl']:
        cost = sa['pnl'] - sb['pnl']
        print(f"  {sb['date']}: base={sb['pnl']:+.2f}, acb={sa['pnl']:+.2f}, COST ${cost:+.2f}, cut={sa['acb_cut']:.0f}%")


# === Summary ===
def summarize(label, engine, max_dd, peak, stats):
    trades = engine.trade_history
    wins = [t for t in trades if t.pnl_absolute > 0]
    losses = [t for t in trades if t.pnl_absolute <= 0]
    gross_win = sum(t.pnl_absolute for t in wins) if wins else 0
    gross_loss = abs(sum(t.pnl_absolute for t in losses)) if losses else 0
    pf_val = gross_win / gross_loss if gross_loss > 0 else float("inf")

    win_days = sum(1 for s in stats if s['pnl'] > 0)
    loss_days = sum(1 for s in stats if s['pnl'] < 0)

    # Sharpe (annualized from daily returns)
    daily_rets = [s['roi_pct'] for s in stats]
    sharpe = np.mean(daily_rets) / np.std(daily_rets) * np.sqrt(365) if np.std(daily_rets) > 0 else 0

    print(f"\n{'='*50}")
    print(f"  {label}")
    print(f"{'='*50}")
    print(f"Trades: {len(trades)}, WR: {len(wins)/len(trades)*100:.1f}%")
    print(f"PF: {pf_val:.3f}")
    print(f"ROI: {(engine.capital - 25000) / 25000 * 100:+.2f}%")
    print(f"Final capital: ${engine.capital:.2f}")
    print(f"Peak capital: ${peak:.2f}")
    print(f"MAX DRAWDOWN: {max_dd:.2f}%")
    print(f"Sharpe (ann.): {sharpe:.2f}")
    print(f"Win days: {win_days}, Loss days: {loss_days}")
    print(f"Fees: {engine.total_fees:.2f}")

summarize("BASELINE (no ACB)", eng_base, dd_base, peak_base, stats_base)
summarize("WITH ACB v5", eng_acb, dd_acb, peak_acb, stats_acb)

# Delta summary
base_roi = (eng_base.capital - 25000) / 25000 * 100
acb_roi = (eng_acb.capital - 25000) / 25000 * 100
print(f"\n{'='*50}")
print(f"  DELTA SUMMARY")
print(f"{'='*50}")
print(f"ROI:      {base_roi:+.2f}% -> {acb_roi:+.2f}% ({acb_roi-base_roi:+.2f}%)")
print(f"Max DD:   {dd_base:.2f}% -> {dd_acb:.2f}% ({dd_acb-dd_base:+.2f}%)")
print(f"Capital:  ${eng_base.capital:.2f} -> ${eng_acb.capital:.2f} (${eng_acb.capital-eng_base.capital:+.2f})")

print(f"\nTotal time: {time.time() - t0:.0f}s")