72 lines
2.5 KiB
Python
72 lines
2.5 KiB
Python
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"""BRONZE baseline with DAILY equity curve DD (same method as test_dliq_fix_verify.py).
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Expected: ROI=88.55%, DD=15.05%, T=2155
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"""
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import sys, time, math
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sys.stdout.reconfigure(encoding='utf-8', errors='replace')
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from pathlib import Path
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import numpy as np
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_HERE = Path(__file__).resolve().parent
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sys.path.insert(0, str(_HERE.parent))
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from exp_shared import ENGINE_KWARGS, MC_BASE_CFG, load_data, load_forewarner
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from nautilus_dolphin.nautilus.esf_alpha_orchestrator import NDAlphaEngine
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from nautilus_dolphin.nautilus.adaptive_circuit_breaker import AdaptiveCircuitBreaker
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def main():
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print("Loading data (gold method: float64, 2-file seg-based vol_p60)...")
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d = load_data()
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fw = load_forewarner()
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print()
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kw = ENGINE_KWARGS.copy()
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eng = NDAlphaEngine(**kw)
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acb = AdaptiveCircuitBreaker()
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acb.preload_w750(d['date_strings'])
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eng.set_ob_engine(d['ob_eng'])
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eng.set_acb(acb)
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if fw is not None:
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eng.set_mc_forewarner(fw, MC_BASE_CFG)
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eng.set_esoteric_hazard_multiplier(0.0)
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print(f" base_max_leverage = {eng.base_max_leverage}")
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t0 = time.time()
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daily_caps = []
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for pf_file in d['parquet_files']:
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ds = pf_file.stem
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df, acols, dvol = d['pq_data'][ds]
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vol_ok = np.where(np.isfinite(dvol), dvol > d['vol_p60'], False)
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eng.process_day(ds, df, acols, vol_regime_ok=vol_ok)
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daily_caps.append(eng.capital)
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tr = eng.trade_history
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n = len(tr)
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roi = (eng.capital - 25000.0) / 25000.0 * 100.0
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peak, max_dd = 25000.0, 0.0
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for cap in daily_caps:
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peak = max(peak, cap)
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max_dd = max(max_dd, (peak - cap) / peak * 100.0)
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def _abs(t):
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return t.pnl_absolute if hasattr(t, 'pnl_absolute') else t.pnl_pct * 250.0
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wins = [t for t in tr if _abs(t) > 0]
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losses = [t for t in tr if _abs(t) <= 0]
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pf = sum(_abs(t) for t in wins) / max(abs(sum(_abs(t) for t in losses)), 1e-9)
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wr = len(wins) / n * 100.0 if n > 0 else 0.0
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print(f" ROI={roi:+.2f}% T={n} DD={max_dd:.2f}% PF={pf:.4f} WR={wr:.1f}% ({time.time()-t0:.0f}s)")
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print()
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print(f"BRONZE TARGET: ROI=88.55% T=2155 DD=15.05%")
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roi_ok = abs(roi - 88.55) < 1.0
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dd_ok = abs(max_dd - 15.05) < 0.5
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t_ok = n == 2155
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print(f"ROI match: {'PASS' if roi_ok else 'FAIL'} (diff={roi-88.55:+.2f}pp)")
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print(f"DD match: {'PASS' if dd_ok else 'FAIL'} (diff={max_dd-15.05:+.2f}pp)")
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print(f"T match: {'PASS' if t_ok else 'FAIL'} (got {n})")
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if __name__ == '__main__':
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main()
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