192 lines
8.2 KiB
Python
192 lines
8.2 KiB
Python
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"""Meta-boost: ACB inverse boost × signal confidence (cubic convex strength).
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final_boost = acb_boost * (1 + beta * strength^3)
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Where strength = (threshold - vel_div) / (threshold - extreme), clamped [0,1].
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When eigenvalue + external factors BOTH confirm stress → amplified position.
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"""
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import sys, time, math
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from pathlib import Path
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import numpy as np
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import pandas as pd
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sys.path.insert(0, str(Path(__file__).parent))
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print("Compiling numba kernels...")
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t0c = time.time()
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from nautilus_dolphin.nautilus.alpha_asset_selector import compute_irp_nb, compute_ars_nb, rank_assets_irp_nb
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from nautilus_dolphin.nautilus.alpha_bet_sizer import compute_sizing_nb
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from nautilus_dolphin.nautilus.alpha_signal_generator import check_dc_nb
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_p = np.array([1.0, 2.0, 3.0], dtype=np.float64)
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compute_irp_nb(_p, -1); compute_ars_nb(1.0, 0.5, 0.01)
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rank_assets_irp_nb(np.ones((10, 2), dtype=np.float64), 8, -1, 5, 500.0, 20, 0.20)
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compute_sizing_nb(-0.03, -0.02, -0.05, 3.0, 0.5, 5.0, 0.20, True, True, 0.0,
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np.zeros(4, dtype=np.int64), np.zeros(4, dtype=np.int64),
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np.zeros(5, dtype=np.float64), 0, -1, 0.01, 0.04)
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check_dc_nb(_p, 3, 1, 0.75)
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print(f" JIT: {time.time() - t0c:.1f}s")
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from nautilus_dolphin.nautilus.alpha_orchestrator import NDAlphaEngine
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from nautilus_dolphin.nautilus.adaptive_circuit_breaker import AdaptiveCircuitBreaker
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VBT_DIR = Path(r"C:\Users\Lenovo\Documents\- DOLPHIN NG HD HCM TSF Predict\vbt_cache")
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META_COLS = {'timestamp', 'scan_number', 'v50_lambda_max_velocity', 'v150_lambda_max_velocity',
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'v300_lambda_max_velocity', 'v750_lambda_max_velocity', 'vel_div',
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'instability_50', 'instability_150'}
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ENGINE_KWARGS = dict(
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initial_capital=25000.0, vel_div_threshold=-0.02, vel_div_extreme=-0.05,
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min_leverage=0.5, max_leverage=5.0, leverage_convexity=3.0,
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fraction=0.20, fixed_tp_pct=0.0099, stop_pct=1.0, max_hold_bars=120,
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use_direction_confirm=True, dc_lookback_bars=7, dc_min_magnitude_bps=0.75,
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dc_skip_contradicts=True, dc_leverage_boost=1.0, dc_leverage_reduce=0.5,
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use_asset_selection=True, min_irp_alignment=0.45,
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use_sp_fees=True, use_sp_slippage=True,
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sp_maker_entry_rate=0.62, sp_maker_exit_rate=0.50,
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use_ob_edge=True, ob_edge_bps=5.0, ob_confirm_rate=0.40,
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lookback=100, use_alpha_layers=True, use_dynamic_leverage=True, seed=42,
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)
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VD_THRESH = -0.02
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VD_EXTREME = -0.05
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CONVEXITY = 3.0
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acb = AdaptiveCircuitBreaker()
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parquet_files = sorted(VBT_DIR.glob("*.parquet"))
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acb_signals = {pf.stem: acb.get_cut_for_date(pf.stem)['signals'] for pf in parquet_files}
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# Vol
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all_vols = []
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for pf in parquet_files[:2]:
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df = pd.read_parquet(pf)
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if 'BTCUSDT' not in df.columns: continue
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pr = df['BTCUSDT'].values
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for i in range(60, len(pr)):
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seg = pr[max(0,i-50):i]
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if len(seg)<10: continue
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v = float(np.std(np.diff(seg)/seg[:-1]))
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if v > 0: all_vols.append(v)
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vol_p60 = float(np.percentile(all_vols, 60))
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# Pre-load
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pq_data = {}
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for pf in parquet_files:
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df = pd.read_parquet(pf)
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ac = [c for c in df.columns if c not in META_COLS]
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bp = df['BTCUSDT'].values if 'BTCUSDT' in df.columns else None
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dv = np.full(len(df), np.nan)
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if bp is not None:
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for i in range(50, len(bp)):
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seg = bp[max(0,i-50):i]
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if len(seg)<10: continue
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dv[i] = float(np.std(np.diff(seg)/seg[:-1]))
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pq_data[pf.stem] = (df, ac, dv)
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def log05(s):
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return 1.0 + 0.5 * math.log1p(s) if s >= 1.0 else 1.0
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def strength_score(vel_div):
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"""Cubic convex signal confidence, same as bet_sizer."""
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if vel_div >= VD_THRESH: return 0.0
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raw = (VD_THRESH - vel_div) / (VD_THRESH - VD_EXTREME)
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return min(1.0, max(0.0, raw)) ** CONVEXITY
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def run(beta, label=""):
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"""beta=0 means no meta-boost (pure log_0.5). beta>0 adds meta-boost."""
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engine = NDAlphaEngine(**ENGINE_KWARGS)
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bar_idx = 0; ph = {}; peak = engine.capital; max_dd = 0.0; dstats = []
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meta_boosts_applied = []
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for pf in parquet_files:
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ds = pf.stem; cs = engine.capital; ts = len(engine.trade_history)
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signals = acb_signals[ds]
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base_boost = log05(signals)
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engine.regime_direction = -1
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engine.regime_dd_halt = False
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df, acols, dvol = pq_data[ds]
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bid = 0
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for ri in range(len(df)):
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row = df.iloc[ri]; vd = row.get("vel_div")
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if vd is None or not np.isfinite(vd): bar_idx+=1; bid+=1; continue
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prices = {}
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for ac in acols:
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p = row[ac]
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if p and p > 0 and np.isfinite(p):
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prices[ac] = float(p)
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if ac not in ph: ph[ac] = []
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ph[ac].append(float(p))
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if not prices: bar_idx+=1; bid+=1; continue
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vrok = False if bid < 100 else (np.isfinite(dvol[ri]) and dvol[ri] > vol_p60)
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# Meta-boost: per-bar, uses current vel_div strength
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if beta > 0 and base_boost > 1.0:
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ss = strength_score(float(vd))
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meta_mult = 1.0 + beta * ss
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engine.regime_size_mult = base_boost * meta_mult
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if ss > 0.1:
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meta_boosts_applied.append((ds, float(vd), ss, base_boost, meta_mult, engine.regime_size_mult))
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else:
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engine.regime_size_mult = base_boost
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engine.process_bar(bar_idx=bar_idx, vel_div=float(vd), prices=prices,
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vol_regime_ok=vrok, price_histories=ph)
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bar_idx+=1; bid+=1
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ce = engine.capital; peak = max(peak, ce)
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dd = (peak-ce)/peak*100 if peak>0 else 0; max_dd = max(max_dd, dd)
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dstats.append({'date':ds,'pnl':ce-cs,'cap':ce,'dd':dd})
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tr = engine.trade_history
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w = [t for t in tr if t.pnl_absolute>0]; l = [t for t in tr if t.pnl_absolute<=0]
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gw = sum(t.pnl_absolute for t in w) if w else 0
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gl = abs(sum(t.pnl_absolute for t in l)) if l else 0
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dr = [s['pnl']/25000*100 for s in dstats]
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return {
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'roi':(engine.capital-25000)/25000*100, 'pf':gw/gl if gl>0 else 999,
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'dd':max_dd, 'sharpe':np.mean(dr)/np.std(dr)*np.sqrt(365) if np.std(dr)>0 else 0,
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'trades':len(tr), 'wr':len(w)/len(tr)*100 if tr else 0,
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'cap':engine.capital,
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}, dstats, meta_boosts_applied
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# Run sweep of beta values
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print(f"\n{'='*85}")
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print(f"{'STRATEGY':<25} {'ROI%':>7} {'PF':>6} {'DD%':>6} {'SHARPE':>7} {'TRADES':>7} {'WR%':>6} {'CAPITAL':>10}")
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print(f"{'='*85}")
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t0 = time.time()
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results = {}
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for beta in [0, 0.3, 0.5, 0.7, 1.0, 1.5, 2.0]:
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label = "log_0.5 (no meta)" if beta == 0 else f"meta_beta={beta}"
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r, ds, mb = run(beta)
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results[beta] = (r, ds, mb)
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print(f"{label:<25} {r['roi']:>+7.2f} {r['pf']:>6.3f} {r['dd']:>6.2f} {r['sharpe']:>7.2f} "
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f"{r['trades']:>7} {r['wr']:>6.1f} {r['cap']:>10.2f}")
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# Overfitting check on top 3
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mid = len(parquet_files) // 2
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print(f"\n--- OVERFITTING CHECK (H1 vs H2 P&L) ---")
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for beta in [0, 0.5, 1.0, 1.5]:
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r, ds, _ = results[beta]
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h1 = sum(s['pnl'] for s in ds[:mid])
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h2 = sum(s['pnl'] for s in ds[mid:])
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label = "log_0.5" if beta == 0 else f"meta_{beta}"
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print(f" {label:<15} H1=${h1:>+9.2f} H2=${h2:>+9.2f} H2/H1={h2/h1:.2f}" if h1 != 0 else f" {label}: H1=0")
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# Show meta-boost examples from best beta
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best_beta = max(results.keys(), key=lambda b: results[b][0]['roi'] if b > 0 else -999)
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print(f"\n--- META-BOOST EXAMPLES (beta={best_beta}) ---")
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_, _, mb = results[best_beta]
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seen_dates = set()
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for ds, vd, ss, bb, mm, final in sorted(mb, key=lambda x: -x[5])[:15]:
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if ds not in seen_dates:
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print(f" {ds} vel_div={vd:.4f} strength³={ss:.3f} acb_boost={bb:.2f}x meta_mult={mm:.2f}x FINAL={final:.2f}x")
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seen_dates.add(ds)
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r0 = results[0][0]
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rb = results[best_beta][0]
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print(f"\n=== BEST: meta_beta={best_beta} ===")
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print(f"ROI: {r0['roi']:+.2f}% -> {rb['roi']:+.2f}% ({rb['roi']-r0['roi']:+.2f}% over log_0.5)")
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print(f"PF: {r0['pf']:.3f} -> {rb['pf']:.3f}")
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print(f"Sharpe: {r0['sharpe']:.2f} -> {rb['sharpe']:.2f}")
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print(f"DD: {r0['dd']:.2f}% -> {rb['dd']:.2f}%")
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print(f"Total time: {time.time()-t0:.0f}s")
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