89 lines
2.7 KiB
Python
89 lines
2.7 KiB
Python
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"""
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Validates the two root-cause fixes:
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1. Capital no longer resets to 25k (portfolio sync removed)
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2. _exec_submit_entry no longer throws NaN (entry_price added to entry dict)
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Runs TWO consecutive days and verifies capital carries forward.
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"""
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import sys
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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.parent))
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sys.path.insert(0, str(Path(__file__).parent.parent / 'nautilus_dolphin'))
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from prod.nautilus_actor_56day_backtest import (
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run_one_day_nautilus, get_parquet_files, _safe_capital
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)
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files = get_parquet_files()
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if len(files) < 2:
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print("FAIL: Need at least 2 parquet files for validation")
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sys.exit(1)
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print("=" * 60)
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print("CAPITAL CARRY-FORWARD VALIDATION")
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print("=" * 60)
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# Build vol_p60
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df0 = pd.read_parquet(files[0])
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btc = df0['BTCUSDT'].values
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vols = []
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for i in range(50, len(btc)):
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seg = btc[max(0, i-50):i]
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if len(seg) >= 10:
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v = float(np.std(np.diff(seg) / seg[:-1]))
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if v > 0 and np.isfinite(v):
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vols.append(v)
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vol_p60 = float(np.percentile(vols, 60)) if vols else 0.0002
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print(f"vol_p60 = {vol_p60:.8f}")
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assets = [c for c in df0.columns if c not in {
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'timestamp', 'scan_number', 'v50_lambda_max_velocity',
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'v150_lambda_max_velocity', 'v300_lambda_max_velocity',
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'v750_lambda_max_velocity', 'vel_div', 'instability_50', 'instability_150'
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}]
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all_dates = [f.stem for f in files]
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# --- Day 1 ---
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d1 = files[0].stem
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print(f"\n[Day 1] {d1} start_cap=$25,000.00")
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r1 = run_one_day_nautilus(d1, 25000.0, vol_p60, all_dates, assets)
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cap1 = r1['capital']
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pnl1 = r1['pnl']
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trades1 = r1['trades']
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print(f" -> capital=${cap1:,.2f} pnl=${pnl1:+,.2f} trades={trades1}")
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if not np.isfinite(cap1):
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print("FAIL: Day 1 capital is non-finite!")
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sys.exit(1)
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# --- Day 2 (carried forward) ---
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d2 = files[1].stem
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print(f"\n[Day 2] {d2} start_cap=${cap1:,.2f}")
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r2 = run_one_day_nautilus(d2, cap1, vol_p60, all_dates, assets)
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cap2 = r2['capital']
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pnl2 = r2['pnl']
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trades2 = r2['trades']
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print(f" -> capital=${cap2:,.2f} pnl=${pnl2:+,.2f} trades={trades2}")
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if not np.isfinite(cap2):
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print("FAIL: Day 2 capital is non-finite!")
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sys.exit(1)
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print("\n" + "=" * 60)
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print("RESULTS:")
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print(f" Day 1 end cap : ${cap1:,.2f}")
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print(f" Day 2 end cap : ${cap2:,.2f}")
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print(f" Day 2 started with ${cap1:,.2f} (not $25,000)")
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if abs(cap1 - 25000.0) < 0.01 and trades1 > 0:
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print(" FAIL: capital still stuck at $25,000 after trades!")
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elif abs(cap2 - 25000.0) < 0.01 and cap1 != 25000.0 and trades2 > 0:
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print(" FAIL: Day 2 reset capital back to $25,000 (carry-forward broken)!")
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else:
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print(" PASS: Capital carry-forward is working correctly")
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print("=" * 60)
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