300 lines
11 KiB
Python
300 lines
11 KiB
Python
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"""Realized-Vol Gated Crossover — 5y Klines
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==========================================
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Critical fee-viability test.
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EV per trade on ungated crossover: +0.0002% (UNGATED)
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EV per trade on BEST3 hour gate: +0.0014%
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After 4bps maker fee: -0.039% ← NEGATIVE
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Hypothesis: Q4 realized_vol days (volatile) have +23pp edge on the old
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directional strategy. In the crossover framing, volatile days should generate
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LARGER per-trade moves → higher EV per trade → potentially fee-viable.
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This script:
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1. Computes per-day realized_vol
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2. Classifies days into quartiles (Q1=calm, Q4=volatile)
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3. Runs crossover (vel_div <= -0.020 → LONG, exit vel_div >= +0.020) per quartile
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4. Reports per-trade stats (avg_win%, avg_loss%, EV%) and PF per quartile
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5. Also tests SHORT direction (vel_div >= +0.020 → SHORT, exit vel_div <= -0.020)
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in Q4 volatile days (should benefit from +23pp historical edge)
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Fee thresholds:
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Maker RT: 4bps = 0.04% ← minimum viable EV per trade
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Taker RT: 10bps = 0.10% ← typical market order
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Output:
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run_logs/rvol_gated_crossover_YYYYMMDD_HHMMSS.csv
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Runtime: ~15s
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"""
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import sys, time, csv, gc
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sys.stdout.reconfigure(encoding='utf-8', errors='replace')
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from pathlib import Path
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from datetime import datetime
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from collections import defaultdict
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import numpy as np
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import pandas as pd
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VBT_DIR = Path(r"C:\Users\Lenovo\Documents\- DOLPHIN NG HD HCM TSF Predict\vbt_cache_klines")
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LOG_DIR = Path(r"C:\Users\Lenovo\Documents\- DOLPHIN NG HD HCM TSF Predict\nautilus_dolphin\run_logs")
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ENTRY_T = 0.020
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MAX_HOLD = 20 # bars safety cap
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YEARS = ['2021', '2022', '2023', '2024', '2025', '2026']
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parquet_files = sorted(VBT_DIR.glob("*.parquet"))
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parquet_files = [p for p in parquet_files if 'catalog' not in str(p)]
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total = len(parquet_files)
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print(f"Files: {total}")
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# Pass 1: compute realized_vol per day
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daily_rvol = {}
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daily_n = {}
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t0 = time.time()
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for pf in parquet_files:
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ds = pf.stem
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try:
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df = pd.read_parquet(pf, columns=['BTCUSDT'])
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except Exception:
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continue
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btc = df['BTCUSDT'].values.astype(np.float64)
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btc = btc[np.isfinite(btc) & (btc > 0)]
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if len(btc) < 2:
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continue
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log_r = np.diff(np.log(btc))
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daily_rvol[ds] = float(np.std(log_r))
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daily_n[ds] = len(btc)
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# Quartile breakpoints
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rvols = np.array(list(daily_rvol.values()))
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q25, q50, q75 = np.percentile(rvols, [25, 50, 75])
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print(f"Realized-vol quartiles: Q1<{q25:.6f} Q2<{q50:.6f} Q3<{q75:.6f} Q4>={q75:.6f}")
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def rvol_quartile(rv):
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if rv < q25: return 'Q1_calm'
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if rv < q50: return 'Q2'
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if rv < q75: return 'Q3'
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return 'Q4_volatile'
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# stats[(rvol_q, direction)] = {wins, losses, gw, gl, n, total_hold}
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stats = defaultdict(lambda: {'wins': 0, 'losses': 0, 'gw': 0.0, 'gl': 0.0, 'n': 0, 'total_hold': 0})
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# Also per year breakdown
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stats_yr = defaultdict(lambda: {'wins': 0, 'losses': 0, 'gw': 0.0, 'gl': 0.0, 'n': 0, 'total_hold': 0})
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daily_rows = []
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print(f"\nPass 2: running crossover per rvol quartile...")
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for i, pf in enumerate(parquet_files):
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ds = pf.stem
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year = ds[:4]
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rv = daily_rvol.get(ds)
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if rv is None:
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continue
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rvq = rvol_quartile(rv)
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try:
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df = pd.read_parquet(pf)
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except Exception:
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continue
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if 'vel_div' not in df.columns or 'BTCUSDT' not in df.columns:
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continue
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vd = df['vel_div'].values.astype(np.float64)
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btc = df['BTCUSDT'].values.astype(np.float64)
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vd = np.where(np.isfinite(vd), vd, 0.0)
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btc = np.where(np.isfinite(btc) & (btc > 0), btc, np.nan)
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n = len(btc)
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del df
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if n < MAX_HOLD + 5:
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del vd, btc
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continue
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# LONG crossover: enter vel_div <= -ENTRY_T, exit vel_div >= +ENTRY_T
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long_entry = (vd <= -ENTRY_T) & np.isfinite(btc)
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long_cross = (vd >= ENTRY_T)
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# SHORT crossover: enter vel_div >= +ENTRY_T, exit vel_div <= -ENTRY_T
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short_entry = (vd >= ENTRY_T) & np.isfinite(btc)
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short_cross = (vd <= -ENTRY_T)
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day_stats = {'L': {}, 'S': {}}
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for direction, entry_mask, cross_back in [
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('L', long_entry, long_cross),
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('S', short_entry, short_cross)]:
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d_wins = d_losses = 0
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d_gw = d_gl = 0.0
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d_n = d_hold = 0
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for t in range(n - MAX_HOLD):
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if not entry_mask[t]:
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continue
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ep = btc[t]
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if not np.isfinite(ep) or ep <= 0:
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continue
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# Find exit
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exit_bar = MAX_HOLD
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for k in range(1, MAX_HOLD + 1):
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tb = t + k
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if tb >= n:
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exit_bar = k
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break
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if cross_back[tb]:
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exit_bar = k
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break
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tb = t + exit_bar
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if tb >= n:
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continue
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xp = btc[tb]
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if not np.isfinite(xp) or xp <= 0:
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continue
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if direction == 'L':
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ret = (xp - ep) / ep
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else:
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ret = (ep - xp) / ep # SHORT return
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if ret >= 0:
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d_wins += 1; d_gw += ret
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else:
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d_losses += 1; d_gl += abs(ret)
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d_n += 1; d_hold += exit_bar
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key = (rvq, direction)
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key_yr = (rvq, direction, year)
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for k in [key]:
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s = stats[k]
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s['wins'] += d_wins; s['losses'] += d_losses
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s['gw'] += d_gw; s['gl'] += d_gl
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s['n'] += d_n; s['total_hold'] += d_hold
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s = stats_yr[key_yr]
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s['wins'] += d_wins; s['losses'] += d_losses
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s['gw'] += d_gw; s['gl'] += d_gl
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s['n'] += d_n; s['total_hold'] += d_hold
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day_stats[direction] = {
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'n': d_n, 'wr': d_wins/d_n*100 if d_n > 0 else 0,
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'avg_win': d_gw/d_wins*100 if d_wins > 0 else 0,
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'avg_loss': d_gl/d_losses*100 if d_losses > 0 else 0,
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}
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daily_rows.append({
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'date': ds, 'year': year, 'rvol_q': rvq, 'rvol': round(rv, 8),
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'n_long': day_stats['L'].get('n', 0),
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'wr_long': round(day_stats['L'].get('wr', 0), 2),
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'n_short': day_stats['S'].get('n', 0),
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'wr_short': round(day_stats['S'].get('wr', 0), 2),
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})
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del vd, btc, long_entry, long_cross, short_entry, short_cross
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if (i + 1) % 200 == 0:
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gc.collect()
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print(f" [{i+1}/{total}] {ds} {time.time()-t0:.0f}s")
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elapsed = time.time() - t0
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print(f"\nPass complete: {elapsed:.0f}s\n")
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# ─── Results ──────────────────────────────────────────────────────────────────
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RVOL_BINS = ['Q1_calm', 'Q2', 'Q3', 'Q4_volatile']
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DIRS = ['L', 'S']
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rows = []
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print(f"{'RVolQ':<14} {'Dir'} {'N':>8} {'PF':>7} {'WR%':>6} {'AvgH':>5} "
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f"{'AvgW%':>8} {'AvgL%':>8} {'EV%':>9} {'EV-4bp':>9} {'EV-10bp':>10}")
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print("-" * 110)
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for rvq in RVOL_BINS:
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for direction in DIRS:
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key = (rvq, direction)
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s = stats.get(key, {'wins': 0, 'losses': 0, 'gw': 0.0, 'gl': 0.0, 'n': 0, 'total_hold': 0})
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n = s['n']
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if n == 0:
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continue
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wr = s['wins'] / n * 100
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pf = s['gw'] / s['gl'] if s['gl'] > 0 else 999.0
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avg_hold = s['total_hold'] / n
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avg_win = s['gw'] / s['wins'] * 100 if s['wins'] > 0 else 0.0
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avg_loss = s['gl'] / s['losses'] * 100 if s['losses'] > 0 else 0.0
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ev = (s['gw'] - s['gl']) / n * 100 # EV per trade in %
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ev_4bp = ev - 0.04 # after maker RT fee
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ev_10bp = ev - 0.10 # after taker RT fee
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marker = " ◄◄ FEE-VIABLE (maker)" if ev_4bp > 0 else (" ◄ BORDERLINE" if ev > 0.03 else "")
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print(f"{rvq:<14} {direction} {n:>8,} {pf:>7.4f} {wr:>6.2f}% {avg_hold:>5.2f} "
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f"{avg_win:>8.4f}% {avg_loss:>8.4f}% {ev:>+9.4f}% {ev_4bp:>+9.4f}% {ev_10bp:>+10.4f}%{marker}")
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# Per-year PF
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yr_pfs = {}
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for yr in YEARS:
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ky = (rvq, direction, yr)
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sy = stats_yr.get(ky)
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if sy and sy['n'] > 0:
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pfy = sy['gw'] / sy['gl'] if sy['gl'] > 0 else 999.0
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yr_pfs[yr] = round(pfy, 3)
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else:
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yr_pfs[yr] = float('nan')
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rows.append({
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'rvol_q': rvq, 'direction': direction, 'n_trades': n,
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'pf': round(pf, 4), 'wr': round(wr, 3),
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'avg_hold_bars': round(avg_hold, 2),
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'avg_win_pct': round(avg_win, 5), 'avg_loss_pct': round(avg_loss, 5),
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'ev_pct': round(ev, 5),
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'ev_minus_4bp': round(ev_4bp, 5), 'ev_minus_10bp': round(ev_10bp, 5),
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**{f'pf_{yr}': yr_pfs[yr] for yr in YEARS},
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})
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print()
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# Per-year breakdown for Q4 only
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print(f"\n{'='*80}")
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print(f" Q4 VOLATILE — Per-Year PF (LONG and SHORT crossover)")
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print(f"{'='*80}")
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print(f" {'Year':<6} {'L_PF':>7} {'L_N':>8} {'L_EV%':>9} | {'S_PF':>7} {'S_N':>8} {'S_EV%':>9}")
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print(f" {'-'*70}")
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for yr in YEARS:
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for direction, label in [('L', 'L'), ('S', 'S')]:
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key = ('Q4_volatile', direction, yr)
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s = stats_yr.get(key)
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if s and s['n'] > 0:
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pfy = s['gw'] / s['gl'] if s['gl'] > 0 else 999.0
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evy = (s['gw'] - s['gl']) / s['n'] * 100
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else:
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pfy = evy = float('nan')
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globals()[f'{label}_{yr}_pf'] = pfy
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globals()[f'{label}_{yr}_ev'] = evy
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globals()[f'{label}_{yr}_n'] = s['n'] if s else 0
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print(f" {yr:<6} {globals()[f'L_{yr}_pf']:>7.3f} {globals()[f'L_{yr}_n']:>8,} "
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f"{globals()[f'L_{yr}_ev']:>+9.4f}% | "
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f"{globals()[f'S_{yr}_pf']:>7.3f} {globals()[f'S_{yr}_n']:>8,} "
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f"{globals()[f'S_{yr}_ev']:>+9.4f}%")
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# ─── Save ──────────────────────────────────────────────────────────────────────
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LOG_DIR.mkdir(exist_ok=True)
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ts_str = datetime.now().strftime("%Y%m%d_%H%M%S")
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out_csv = LOG_DIR / f"rvol_gated_crossover_{ts_str}.csv"
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if rows:
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with open(out_csv, 'w', newline='') as f:
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w = csv.DictWriter(f, fieldnames=rows[0].keys())
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w.writeheader(); w.writerows(rows)
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print(f"\n → {out_csv}")
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daily_csv = LOG_DIR / f"rvol_gated_daily_{ts_str}.csv"
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if daily_rows:
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with open(daily_csv, 'w', newline='') as f:
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w = csv.DictWriter(f, fieldnames=daily_rows[0].keys())
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w.writeheader(); w.writerows(daily_rows)
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print(f" → {daily_csv}")
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print(f"\n Runtime: {elapsed:.0f}s")
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print(f"\n KEY:")
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print(f" EV-4bp > 0 = fee-viable with maker orders")
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print(f" EV-10bp > 0 = fee-viable with market orders")
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print(f" Q4_volatile = top 25% most volatile days — target regime")
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