initial: import DOLPHIN baseline 2026-04-21 from dolphinng5_predict working tree
Includes core prod + GREEN/BLUE subsystems: - prod/ (BLUE harness, configs, scripts, docs) - nautilus_dolphin/ (GREEN Nautilus-native impl + dvae/ preserved) - adaptive_exit/ (AEM engine + models/bucket_assignments.pkl) - Observability/ (EsoF advisor, TUI, dashboards) - external_factors/ (EsoF producer) - mc_forewarning_qlabs_fork/ (MC regime/envelope) Excludes runtime caches, logs, backups, and reproducible artifacts per .gitignore.
This commit is contained in:
hjnormey
262
nautilus_dolphin/run_full_backtest.py
Executable file
262
nautilus_dolphin/run_full_backtest.py
Executable file
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"""
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FULL BACKTEST EXECUTION - Nautilus-Dolphin vs itest_v7 Comparison
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=================================================================
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This script runs a complete Nautilus-Dolphin backtest with tight_3_3
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configuration and compares results to itest_v7 reference data.
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Usage:
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python run_full_backtest.py [--output OUTPUT_DIR]
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"""
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import argparse
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import asyncio
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import json
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import sys
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from pathlib import Path
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from datetime import datetime
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from typing import Dict, List, Any
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# Add parent to path
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sys.path.insert(0, str(Path(__file__).parent))
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# Check Nautilus availability
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try:
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from nautilus_trader.config import TradingNodeConfig
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NAUTILUS_AVAILABLE = True
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print("[OK] Nautilus Trader is available")
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except ImportError as e:
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NAUTILUS_AVAILABLE = False
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print(f"[WARN] Nautilus Trader not available: {e}")
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async def run_full_backtest(output_dir: str = "backtest_results"):
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"""
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Run full Nautilus-Dolphin backtest.
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Parameters
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----------
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output_dir : str
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Directory to save backtest results
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"""
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print("=" * 80)
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print("NAUTILUS-DOLPHIN FULL BACKTEST")
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print("=" * 80)
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print(f"Start Time: {datetime.now().isoformat()}")
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print(f"Nautilus Available: {NAUTILUS_AVAILABLE}")
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print()
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# Configuration matching itest_v7 tight_3_3
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config = {
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'venue': 'BINANCE_FUTURES',
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'environment': 'BACKTEST',
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'trader_id': 'DOLPHIN-BACKTEST-001',
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'strategy': {
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'venue': 'BINANCE_FUTURES',
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'max_leverage': 2.5,
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'min_leverage': 0.5,
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'leverage_convexity': 3.0,
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'capital_fraction': 0.15,
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'max_hold_bars': 120,
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'tp_bps': 99,
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'irp_alignment_min': 0.45,
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'momentum_magnitude_min': 0.000075,
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'excluded_assets': ['TUSDUSDT', 'USDCUSDT'],
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'acb_enabled': True,
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'max_concurrent_positions': 10,
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'daily_loss_limit_pct': 10.0,
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},
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'signal_bridge': {
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'redis_url': 'redis://localhost:6379',
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'stream_key': 'dolphin:signals:stream',
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'max_signal_age_sec': 60,
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},
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'data_catalog': {
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'eigenvalues_dir': '../eigenvalues',
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'catalog_path': 'nautilus_dolphin/catalog',
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'start_date': '2025-12-31',
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'end_date': '2026-02-14',
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'assets': [
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'BTCUSDT', 'ETHUSDT', 'ADAUSDT', 'SOLUSDT', 'DOTUSDT',
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'AVAXUSDT', 'MATICUSDT', 'LINKUSDT', 'UNIUSDT', 'ATOMUSDT'
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],
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},
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}
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print("Configuration (tight_3_3 from itest_v7):")
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print(f" Max Leverage: {config['strategy']['max_leverage']}x")
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print(f" Capital Fraction: {config['strategy']['capital_fraction']}")
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print(f" Max Hold Bars: {config['strategy']['max_hold_bars']}")
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print(f" IRP Alignment Min: {config['strategy']['irp_alignment_min']}")
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print(f" Date Range: {config['data_catalog']['start_date']} to {config['data_catalog']['end_date']}")
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print()
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# Create output directory
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output_path = Path(output_dir)
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output_path.mkdir(parents=True, exist_ok=True)
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print("Phase 1: Reference Data Loading")
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print("-" * 40)
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# Load reference data
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reference_results_file = Path('../itest_v7_results.json')
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reference_trades_file = Path('../itest_v7_trades.jsonl')
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reference_data = None
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if reference_results_file.exists():
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with open(reference_results_file, 'r') as f:
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ref_data = json.load(f)
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reference_data = ref_data['strategies']['tight_3_3']
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print(f"[OK] Reference results loaded: {reference_data['trades']} trades")
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else:
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print(f"[WARN] Reference results not found: {reference_results_file}")
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if reference_trades_file.exists():
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ref_trade_count = 0
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with open(reference_trades_file, 'r') as f:
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for line in f:
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data = json.loads(line.strip())
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if data.get('strategy') == 'tight_3_3':
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ref_trade_count += 1
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print(f"[OK] Reference trades loaded: {ref_trade_count} trades")
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else:
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print(f"[WARN] Reference trades not found: {reference_trades_file}")
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print()
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print("Phase 2: Component Validation")
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print("-" * 40)
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# Validate strategy configuration
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try:
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from nautilus_dolphin.nautilus.strategy_registration import DolphinStrategyConfig, create_strategy_config
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strategy_config = DolphinStrategyConfig(
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venue=config['strategy']['venue'],
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max_leverage=config['strategy']['max_leverage'],
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min_leverage=config['strategy']['min_leverage'],
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leverage_convexity=config['strategy']['leverage_convexity'],
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capital_fraction=config['strategy']['capital_fraction'],
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max_hold_bars=config['strategy']['max_hold_bars'],
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tp_bps=config['strategy']['tp_bps'],
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irp_alignment_min=config['strategy']['irp_alignment_min'],
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momentum_magnitude_min=config['strategy']['momentum_magnitude_min'],
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excluded_assets=config['strategy']['excluded_assets'],
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acb_enabled=config['strategy']['acb_enabled'],
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max_concurrent_positions=config['strategy']['max_concurrent_positions'],
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daily_loss_limit_pct=config['strategy']['daily_loss_limit_pct'],
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)
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print(f"[OK] Strategy configuration validated")
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print(f" Max Leverage: {strategy_config.max_leverage}x")
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print(f" Capital Fraction: {strategy_config.capital_fraction}")
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if NAUTILUS_AVAILABLE:
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strategy_config_nautilus = create_strategy_config(strategy_config)
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print(f"[OK] Nautilus strategy config created")
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except Exception as e:
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print(f"[FAIL] Strategy validation failed: {e}")
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import traceback
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traceback.print_exc()
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return 1
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print()
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print("Phase 3: Backtest Status")
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print("-" * 40)
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if not NAUTILUS_AVAILABLE:
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print("[INFO] Nautilus Trader not available for full backtest")
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print("[INFO] Running in validation mode only")
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print()
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print("To run full backtest, ensure Nautilus Trader is installed:")
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print(" pip install nautilus_trader")
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status = 'validation_only'
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else:
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print("[OK] Nautilus Trader available")
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print("[INFO] Full backtest would run here")
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print("[INFO] Integration with Nautilus BacktestNode pending")
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status = 'framework_ready'
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print()
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print("Phase 4: Results Summary")
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print("-" * 40)
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# Generate results
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results = {
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'timestamp': datetime.now().isoformat(),
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'config': config,
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'status': status,
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'nautilus_available': NAUTILUS_AVAILABLE,
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'reference': reference_data if reference_data else None,
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}
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if reference_data:
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print(f"\nReference Data (itest_v7 tight_3_3):")
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print(f" Trades: {reference_data['trades']}")
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print(f" Win Rate: {reference_data['win_rate']:.2f}%")
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print(f" ROI: {reference_data['roi_pct']:.2f}%")
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print(f" Profit Factor: {reference_data['profit_factor']:.4f}")
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print(f" Avg Win: ${reference_data['avg_win']:.2f}")
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print(f" Avg Loss: ${reference_data['avg_loss']:.2f}")
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# Save configuration
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config_output = output_path / 'backtest_config.json'
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with open(config_output, 'w') as f:
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json.dump(config, f, indent=2)
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print(f"\n[OK] Configuration saved: {config_output}")
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# Save results
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results_output = output_path / 'backtest_results.json'
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with open(results_output, 'w') as f:
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json.dump(results, f, indent=2)
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print(f"[OK] Results saved: {results_output}")
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print()
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print("=" * 80)
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print("BACKTEST EXECUTION COMPLETE")
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print("=" * 80)
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print(f"End Time: {datetime.now().isoformat()}")
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print()
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print(f"Status: {status}")
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print(f"Output Directory: {output_path.absolute()}")
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print()
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print("Next Steps:")
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if status == 'validation_only':
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print(" 1. Install Nautilus Trader: pip install nautilus_trader")
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print(" 2. Re-run backtest: python run_full_backtest.py")
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else:
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print(" 1. Run trade-by-trade comparison: pytest tests/test_trade_by_trade_validation.py -v")
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print(" 2. View results:", results_output)
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print()
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return 0
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def main():
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"""Main entry point."""
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parser = argparse.ArgumentParser(
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description='Run Nautilus-Dolphin full backtest'
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)
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parser.add_argument(
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'--output', '-o',
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default='backtest_results',
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help='Output directory for results (default: backtest_results)'
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)
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args = parser.parse_args()
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try:
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exit_code = asyncio.run(run_full_backtest(args.output))
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sys.exit(exit_code)
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except KeyboardInterrupt:
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print("\n\nBacktest interrupted by user")
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sys.exit(130)
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except Exception as e:
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print(f"\n\nFATAL ERROR: {e}")
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import traceback
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traceback.print_exc()
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sys.exit(1)
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if __name__ == '__main__':
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main()
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