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
516
nautilus_dolphin/test_exf_acb_marginal.py
Executable file
516
nautilus_dolphin/test_exf_acb_marginal.py
Executable file
@@ -0,0 +1,516 @@
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#!/usr/bin/env python3
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"""
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test_exf_acb_marginal.py
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========================
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Marginal benefit test: add each significant ExF indicator to ACBv6 in isolation
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and test whether it improves daily PnL vs champion baseline.
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Method:
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Baseline: 55-day engine, ACBv6 (funding/dvol/fng/taker from NPZ, lag=0)
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Per-indicator: ACBv6 + one new ExF signal (+0.5 to signal count when fires)
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Statistics: Wilcoxon signed-rank (N=55 pairs) + 5000-trial permutation test
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Firing condition: lagged indicator value above/below median (direction from r-sign)
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Indicators (p<0.05 from exf_correlation sweep):
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claims lag=1 r=+0.40 p=0.0035 HIGH fires
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ycurve lag=2 r=+0.35 p=0.0105 HIGH fires
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us10y lag=1 r=+0.32 p=0.0195 HIGH fires
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funding_eth lag=0 r=-0.32 p=0.0183 LOW fires
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vol24 lag=0 r=+0.32 p=0.0178 HIGH fires
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stables lag=2 r=-0.36 p=0.0074 LOW fires
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m2 lag=7 r=-0.36 p=0.0195 LOW fires
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hashrate lag=7 r=-0.29 p=0.0479 LOW fires
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usdc lag=5 r=-0.29 p=0.0412 LOW fires
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fund_dbt_eth lag=7 r=+0.47 p=0.0278 HIGH fires (n=22, treat cautiously)
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dvol_btc lag=7 r=-0.33 p=0.0619 LOW fires (borderline)
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dvol_eth lag=7 r=-0.31 p=0.0777 LOW fires (borderline)
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"""
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import sys, time, math, json, csv
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from pathlib import Path
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from datetime import datetime
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import numpy as np
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import pandas as pd
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from scipy import stats
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sys.path.insert(0, str(Path(__file__).parent))
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# ── JIT warmup ────────────────────────────────────────────────────────────────
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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 (
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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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from nautilus_dolphin.nautilus.ob_features import (
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OBFeatureEngine, compute_imbalance_nb, compute_depth_1pct_nb,
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compute_depth_quality_nb, compute_fill_probability_nb, compute_spread_proxy_nb,
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compute_depth_asymmetry_nb, compute_imbalance_persistence_nb,
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compute_withdrawal_velocity_nb, compute_market_agreement_nb, compute_cascade_signal_nb,
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)
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from nautilus_dolphin.nautilus.ob_provider import MockOBProvider
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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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_b = np.array([100.0, 200.0, 300.0, 400.0, 500.0], dtype=np.float64)
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_a = np.array([110.0, 190.0, 310.0, 390.0, 510.0], dtype=np.float64)
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compute_imbalance_nb(_b, _a); compute_depth_1pct_nb(_b, _a)
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compute_depth_quality_nb(210.0, 200.0); compute_fill_probability_nb(1.0)
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compute_spread_proxy_nb(_b, _a); compute_depth_asymmetry_nb(_b, _a)
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compute_imbalance_persistence_nb(np.array([0.1, -0.1], dtype=np.float64), 2)
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compute_withdrawal_velocity_nb(np.array([100.0, 110.0], dtype=np.float64), 1)
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compute_market_agreement_nb(np.array([0.1, -0.05], dtype=np.float64), 2)
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compute_cascade_signal_nb(np.array([-0.05, -0.15], dtype=np.float64), 2, -0.10)
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print(f" JIT: {time.time() - t0c:.1f}s")
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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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from mc.mc_ml import DolphinForewarner
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# ── Constants ─────────────────────────────────────────────────────────────────
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VBT_DIR = Path(r"C:\Users\Lenovo\Documents\- DOLPHIN NG HD HCM TSF Predict\vbt_cache")
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RUN_LOGS = Path(__file__).parent / "run_logs"
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RUN_LOGS.mkdir(exist_ok=True)
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MC_DIR = str(Path(__file__).parent / "mc_results" / "models")
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META_COLS = {
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'timestamp', 'scan_number',
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'v50_lambda_max_velocity', 'v150_lambda_max_velocity',
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'v300_lambda_max_velocity', 'v750_lambda_max_velocity',
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'vel_div', 'instability_50', 'instability_150',
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}
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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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MC_BASE_CFG = dict(
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trial_id=0,
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vel_div_threshold=-0.020, vel_div_extreme=-0.050,
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use_direction_confirm=True, dc_lookback_bars=7,
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dc_min_magnitude_bps=0.75, dc_skip_contradicts=True,
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dc_leverage_boost=1.00, dc_leverage_reduce=0.50,
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vd_trend_lookback=10, min_leverage=0.50,
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max_leverage=5.00, leverage_convexity=3.00, fraction=0.20,
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use_alpha_layers=True, use_dynamic_leverage=True,
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fixed_tp_pct=0.0099, stop_pct=1.00, max_hold_bars=120,
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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=5.00, ob_confirm_rate=0.40,
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ob_imbalance_bias=-0.09, ob_depth_scale=1.00,
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use_asset_selection=True, min_irp_alignment=0.45, lookback=100,
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acb_beta_high=0.80, acb_beta_low=0.20, acb_w750_threshold_pct=60,
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)
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OB_ASSETS = ["BTCUSDT", "ETHUSDT", "BNBUSDT", "SOLUSDT"]
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# ── ACBWithExF: wraps ACBv6, injects one ExF signal ───────────────────────────
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class ACBWithExF(AdaptiveCircuitBreaker):
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"""ACBv6 + one additional ExF indicator (+0.5 signal when fires).
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Inherits all NPZ-loaded signals; adds one ExF layer on top.
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Clones w750 cache + cut cache from base ACB to avoid re-reading NPZ files.
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"""
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def __init__(self, indicator: str, threshold: float, lag: int,
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direction: int, trading_days: list, exf_series: dict):
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super().__init__()
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self._exf_ind = indicator
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self._exf_thr = threshold
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self._exf_lag = lag
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self._exf_dir = direction # +1: high fires; -1: low fires
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# Build lagged lookup over trading days
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self._lagged: dict = {}
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for i, ds in enumerate(trading_days):
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j = i - lag
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if j >= 0:
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src = trading_days[j]
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self._lagged[ds] = exf_series.get(src, float('nan'))
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else:
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self._lagged[ds] = float('nan')
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n_fires = sum(1 for ds in trading_days if self._fires_on(ds))
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n_valid = sum(1 for v in self._lagged.values() if not math.isnan(v))
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print(f" [{indicator:14s} lag={lag} dir={'HIGH' if direction>0 else 'LOW ':4s} "
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f"thr={threshold:+.4g}] fires={n_fires}/{len(trading_days)} valid={n_valid}")
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@classmethod
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def clone_from(cls, base: 'AdaptiveCircuitBreaker', indicator: str,
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threshold: float, lag: int, direction: int,
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trading_days: list, exf_series: dict) -> 'ACBWithExF':
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"""Create ACBWithExF pre-loaded from a base ACB's caches."""
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obj = cls.__new__(cls)
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AdaptiveCircuitBreaker.__init__(obj)
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# Copy caches from base to avoid NPZ re-reads
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obj._w750_vel_cache = dict(base._w750_vel_cache)
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obj._w750_threshold = base._w750_threshold
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obj._cache = dict(base._cache)
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# ExF fields
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obj._exf_ind = indicator
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obj._exf_thr = threshold
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obj._exf_lag = lag
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obj._exf_dir = direction
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obj._lagged = {}
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for i, ds in enumerate(trading_days):
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j = i - lag
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if j >= 0:
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src = trading_days[j]
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obj._lagged[ds] = exf_series.get(src, float('nan'))
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else:
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obj._lagged[ds] = float('nan')
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n_fires = sum(1 for ds in trading_days if obj._fires_on(ds))
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n_valid = sum(1 for v in obj._lagged.values() if not math.isnan(v))
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print(f" [{indicator:14s} lag={lag} dir={'HIGH' if direction>0 else 'LOW ':4s} "
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f"thr={threshold:+.4g}] fires={n_fires}/{len(trading_days)} valid={n_valid}")
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return obj
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def _fires_on(self, date_str: str) -> bool:
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v = self._lagged.get(date_str, float('nan'))
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if math.isnan(v):
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return False
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return (self._exf_dir > 0 and v > self._exf_thr) or \
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(self._exf_dir < 0 and v < self._exf_thr)
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def get_dynamic_boost_for_date(self, date_str: str, ob_engine=None) -> dict:
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info = super().get_dynamic_boost_for_date(date_str, ob_engine)
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if self._fires_on(date_str):
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base_sig = info['signals']
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new_sig = base_sig + 0.5
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new_boost = (1.0 + 0.5 * math.log1p(new_sig)) if new_sig >= 1.0 else 1.0
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info['boost'] = new_boost
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info['signals'] = new_sig
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info['exf_signal_add'] = 0.5
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else:
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info['exf_signal_add'] = 0.0
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return info
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# ── Engine runner ─────────────────────────────────────────────────────────────
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def run_engine(acb, forewarner, pq_data, parquet_files, vol_p60,
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ob_eng, label="") -> dict:
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engine = NDAlphaEngine(**ENGINE_KWARGS)
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engine.set_ob_engine(ob_eng)
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engine.set_acb(acb)
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engine.set_mc_forewarner(forewarner, MC_BASE_CFG)
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engine.set_esoteric_hazard_multiplier(0.0)
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dstats = []
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for pf in parquet_files:
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ds = pf.stem
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df, acols, dvol = pq_data[ds]
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vol_ok = np.where(np.isfinite(dvol), dvol > vol_p60, False)
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s = engine.process_day(ds, df, acols, vol_regime_ok=vol_ok)
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dstats.append(s)
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tr = engine.trade_history
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w = [t for t in tr if t.pnl_absolute > 0]
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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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roi = (engine.capital - 25000) / 25000 * 100
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pf_ = gw / gl if gl > 0 else 999.0
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wr = len(w) / len(tr) * 100 if tr else 0.0
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cap_series = np.array([25000.0] + [25000 + sum(s['pnl'] for s in dstats[:i+1])
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for i in range(len(dstats))])
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dr = np.diff(cap_series) / 25000 * 100
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sh = float(np.mean(dr) / np.std(dr) * np.sqrt(365)) if np.std(dr) > 0 else 0.0
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peak = np.maximum.accumulate(cap_series)
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dd = float(np.max((peak - cap_series) / np.where(peak > 0, peak, 1) * 100))
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daily_pnl = {s['date']: s['pnl'] for s in dstats}
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return {
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'label': label, 'roi': roi, 'pf': pf_, 'wr': wr, 'sharpe': sh,
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'dd': dd, 'trades': len(tr), 'capital': engine.capital,
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'daily_pnl': daily_pnl,
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}
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# ── Statistical tests ─────────────────────────────────────────────────────────
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def marginal_test(base_pnl: dict, test_pnl: dict, n_perm: int = 5000) -> dict:
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dates = sorted(set(base_pnl) & set(test_pnl))
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diffs = np.array([test_pnl[d] - base_pnl[d] for d in dates])
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n = len(diffs)
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mean_delta = float(np.mean(diffs))
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pos_days = int(np.sum(diffs > 0))
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neg_days = int(np.sum(diffs < 0))
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# Wilcoxon signed-rank (two-sided; p < 0.10 noteworthy, p < 0.05 significant)
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if np.all(diffs == 0):
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w_stat, w_p = 0.0, 1.0
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else:
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try:
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w_stat, w_p = stats.wilcoxon(diffs)
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except Exception:
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w_stat, w_p = 0.0, 1.0
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# One-sided permutation test (H1: test > baseline)
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obs_mean = float(np.mean(diffs))
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perm_means = np.zeros(n_perm)
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for i in range(n_perm):
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signs = np.random.choice([-1, 1], size=n)
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perm_means[i] = float(np.mean(np.abs(diffs) * signs))
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perm_p = float(np.mean(perm_means >= obs_mean))
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return {
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'n_days': n, 'mean_delta_pnl': mean_delta,
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'pos_days': pos_days, 'neg_days': neg_days,
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'wilcoxon_p': float(w_p),
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'perm_p': perm_p,
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}
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# ── Load & cache data ─────────────────────────────────────────────────────────
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parquet_files = sorted(p for p in VBT_DIR.glob("*.parquet")
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if 'catalog' not in str(p))
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date_strings = [pf.stem for pf in parquet_files]
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print(f"\n[DATA] {len(parquet_files)} parquet files: {date_strings[0]} → {date_strings[-1]}")
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# Vol gate (p60 from first 2 days)
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print("[DATA] Computing vol p60 gate...")
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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:
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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:
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continue
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v = float(np.std(np.diff(seg) / seg[:-1]))
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if v > 0:
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all_vols.append(v)
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vol_p60 = float(np.percentile(all_vols, 60))
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print(f" vol_p60 = {vol_p60:.6f}")
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print("[DATA] Loading parquet files...")
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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:
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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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# OB engine (shared across all runs)
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_mock_ob = MockOBProvider(
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imbalance_bias=-0.09, depth_scale=1.0, assets=OB_ASSETS,
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imbalance_biases={"BTCUSDT": -0.086, "ETHUSDT": -0.092,
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"BNBUSDT": +0.05, "SOLUSDT": +0.05},
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)
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ob_eng = OBFeatureEngine(_mock_ob)
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ob_eng.preload_date("mock", OB_ASSETS)
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# MC-Forewarner (shared)
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print("[DATA] Loading MC-Forewarner...")
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forewarner = DolphinForewarner(models_dir=MC_DIR)
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# Base ACB: load w750 + warm cut cache for all 55 days
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print("[DATA] Initializing base ACB, preloading w750 + cut cache...")
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base_acb = AdaptiveCircuitBreaker()
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base_acb.preload_w750(date_strings)
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for ds in date_strings:
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base_acb.get_dynamic_boost_for_date(ds) # warm _cache
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print(f" w750_threshold = {base_acb._w750_threshold:.6f}")
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# ── Load ExF daily data ───────────────────────────────────────────────────────
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exf_csvs = sorted(RUN_LOGS.glob("exf_daily_*.csv"), reverse=True)
|
||||
if not exf_csvs:
|
||||
raise RuntimeError("No exf_daily_*.csv found. Run test_exf_correlation.py first.")
|
||||
exf_df = pd.read_csv(exf_csvs[0])
|
||||
exf_df["date"] = exf_df["date"].astype(str)
|
||||
exf_df = exf_df.set_index("date")
|
||||
print(f"[DATA] ExF daily loaded: {exf_csvs[0].name} ({len(exf_df)} rows)")
|
||||
|
||||
|
||||
def exf_series(col: str) -> dict:
|
||||
"""Extract {date_str: float} for one ExF column, drop NaN."""
|
||||
if col not in exf_df.columns:
|
||||
return {}
|
||||
s = exf_df[col].dropna()
|
||||
return {str(d): float(v) for d, v in s.items()}
|
||||
|
||||
|
||||
def median_threshold(col: str) -> float:
|
||||
s = exf_series(col)
|
||||
if not s:
|
||||
return 0.0
|
||||
return float(np.median(list(s.values())))
|
||||
|
||||
|
||||
# ── Define indicator tests ────────────────────────────────────────────────────
|
||||
|
||||
INDICATORS = [
|
||||
# (name, col, lag, direction, note)
|
||||
("claims", "claims", 1, +1, "p=0.0035 **"),
|
||||
("ycurve", "ycurve", 2, +1, "p=0.0105 *"),
|
||||
("stables", "stables", 2, -1, "p=0.0074 ** (Spearman weak)"),
|
||||
("us10y", "us10y", 1, +1, "p=0.0195 *"),
|
||||
("funding_eth", "funding_eth", 0, -1, "p=0.0183 * (lag=0)"),
|
||||
("vol24", "vol24", 0, +1, "p=0.0178 * (Spearman weak, lag=0)"),
|
||||
("m2", "m2", 7, -1, "p=0.0195 * (lag=7)"),
|
||||
("usdc", "usdc", 5, -1, "p=0.0412 * (lag=5)"),
|
||||
("hashrate", "hashrate", 7, -1, "p=0.0479 * (lag=7)"),
|
||||
("fund_dbt_eth", "fund_dbt_eth", 7, +1, "p=0.0278 * (n=22 only!)"),
|
||||
("dvol_btc", "dvol_btc", 7, -1, "p=0.062 borderline"),
|
||||
("dvol_eth", "dvol_eth", 7, -1, "p=0.078 borderline"),
|
||||
]
|
||||
|
||||
|
||||
# ── Baseline run ──────────────────────────────────────────────────────────────
|
||||
|
||||
print(f"\n{'='*70}")
|
||||
print(" RUN 0/12: BASELINE (ACBv6, no ExF additions)")
|
||||
print(f"{'='*70}")
|
||||
t0 = time.time()
|
||||
baseline = run_engine(base_acb, forewarner, pq_data, parquet_files, vol_p60, ob_eng, "BASELINE")
|
||||
print(f" {time.time()-t0:.1f}s | ROI={baseline['roi']:+.2f}% PF={baseline['pf']:.3f} "
|
||||
f"WR={baseline['wr']:.1f}% Sharpe={baseline['sharpe']:.2f} DD={baseline['dd']:.2f}%")
|
||||
|
||||
|
||||
# ── Per-indicator marginal runs ───────────────────────────────────────────────
|
||||
|
||||
results = []
|
||||
np.random.seed(0)
|
||||
|
||||
for run_i, (name, col, lag, direction, note) in enumerate(INDICATORS, 1):
|
||||
print(f"\n{'='*70}")
|
||||
print(f" RUN {run_i}/{len(INDICATORS)}: {name} [{note}]")
|
||||
print(f"{'='*70}")
|
||||
|
||||
series = exf_series(col)
|
||||
if not series:
|
||||
print(f" [SKIP] Column '{col}' not found or all-NaN in exf_daily CSV")
|
||||
results.append({'indicator': name, 'col': col, 'lag': lag, 'note': note,
|
||||
'status': 'SKIP', 'roi_delta': 0, 'sharpe_delta': 0,
|
||||
'wilcoxon_p': 1.0, 'perm_p': 1.0, 'verdict': 'SKIP'})
|
||||
continue
|
||||
|
||||
thr = median_threshold(col)
|
||||
test_acb = ACBWithExF.clone_from(
|
||||
base_acb, name, thr, lag, direction, date_strings, series)
|
||||
|
||||
t0 = time.time()
|
||||
run = run_engine(test_acb, forewarner, pq_data, parquet_files,
|
||||
vol_p60, ob_eng, name)
|
||||
elapsed = time.time() - t0
|
||||
|
||||
stat = marginal_test(baseline['daily_pnl'], run['daily_pnl'])
|
||||
|
||||
roi_delta = run['roi'] - baseline['roi']
|
||||
sharpe_delta = run['sharpe'] - baseline['sharpe']
|
||||
pf_delta = run['pf'] - baseline['pf']
|
||||
dd_delta = run['dd'] - baseline['dd']
|
||||
wr_delta = run['wr'] - baseline['wr']
|
||||
|
||||
# Verdict: significant = Wilcoxon p<0.10 AND positive roi_delta AND perm_p<0.15
|
||||
if stat['wilcoxon_p'] < 0.05 and roi_delta > 0 and stat['perm_p'] < 0.10:
|
||||
verdict = "SIGNIFICANT ✓"
|
||||
elif stat['wilcoxon_p'] < 0.10 and roi_delta > 0:
|
||||
verdict = "MARGINAL"
|
||||
elif roi_delta > 0:
|
||||
verdict = "POSITIVE (not sig)"
|
||||
else:
|
||||
verdict = "NO BENEFIT"
|
||||
|
||||
print(f" {elapsed:.1f}s")
|
||||
print(f" ROI: {baseline['roi']:+.2f}% → {run['roi']:+.2f}% Δ={roi_delta:+.2f}%")
|
||||
print(f" Sharpe: {baseline['sharpe']:.3f} → {run['sharpe']:.3f} Δ={sharpe_delta:+.3f}")
|
||||
print(f" PF: {baseline['pf']:.4f} → {run['pf']:.4f} Δ={pf_delta:+.4f}")
|
||||
print(f" DD: {baseline['dd']:.2f}% → {run['dd']:.2f}% Δ={dd_delta:+.2f}%")
|
||||
print(f" WR: {baseline['wr']:.1f}% → {run['wr']:.1f}% Δ={wr_delta:+.1f}%")
|
||||
print(f" Trades: {baseline['trades']} → {run['trades']}")
|
||||
print(f" PnL delta: mean={stat['mean_delta_pnl']:+.1f}$/day "
|
||||
f"pos={stat['pos_days']} neg={stat['neg_days']} days")
|
||||
print(f" Wilcoxon p={stat['wilcoxon_p']:.4f} perm_p={stat['perm_p']:.4f}")
|
||||
print(f" VERDICT: {verdict}")
|
||||
|
||||
results.append({
|
||||
'indicator': name, 'col': col, 'lag': lag, 'direction': '+' if direction > 0 else '-',
|
||||
'note': note, 'threshold': thr, 'status': 'OK',
|
||||
'baseline_roi': baseline['roi'], 'test_roi': run['roi'], 'roi_delta': roi_delta,
|
||||
'baseline_pf': baseline['pf'], 'test_pf': run['pf'], 'pf_delta': pf_delta,
|
||||
'baseline_sh': baseline['sharpe'], 'test_sh': run['sharpe'], 'sharpe_delta': sharpe_delta,
|
||||
'baseline_dd': baseline['dd'], 'test_dd': run['dd'], 'dd_delta': dd_delta,
|
||||
'baseline_wr': baseline['wr'], 'test_wr': run['wr'], 'wr_delta': wr_delta,
|
||||
'mean_delta_pnl': stat['mean_delta_pnl'],
|
||||
'pos_days': stat['pos_days'], 'neg_days': stat['neg_days'],
|
||||
'wilcoxon_p': stat['wilcoxon_p'], 'perm_p': stat['perm_p'],
|
||||
'verdict': verdict,
|
||||
})
|
||||
|
||||
|
||||
# ── Summary table ─────────────────────────────────────────────────────────────
|
||||
|
||||
print(f"\n{'='*110}")
|
||||
print(" MARGINAL BENEFIT SUMMARY")
|
||||
print(f"{'='*110}")
|
||||
print(f" {'indicator':14s} {'lag':3s} {'dir':3s} {'ΔROI':>7s} {'ΔSharpe':>8s} "
|
||||
f"{'ΔPF':>7s} {'ΔDD':>6s} {'Wilcox_p':>9s} {'perm_p':>7s} verdict")
|
||||
print(f" {'-'*104}")
|
||||
|
||||
ok_results = [r for r in results if r['status'] == 'OK']
|
||||
ok_results.sort(key=lambda r: r['wilcoxon_p'])
|
||||
|
||||
for r in ok_results:
|
||||
sig_marker = "**" if r['wilcoxon_p'] < 0.05 else (" *" if r['wilcoxon_p'] < 0.10 else " ")
|
||||
print(f" {r['indicator']:14s} {r['lag']:3d} {r['direction']:3s} "
|
||||
f"{r['roi_delta']:+7.2f}% {r['sharpe_delta']:+8.3f} "
|
||||
f"{r['pf_delta']:+7.4f} {r['dd_delta']:+6.2f}% "
|
||||
f"{r['wilcoxon_p']:9.4f}{sig_marker} {r['perm_p']:7.4f} {r['verdict']}")
|
||||
|
||||
# ── Save results ──────────────────────────────────────────────────────────────
|
||||
|
||||
ts = datetime.now().strftime("%Y%m%d_%H%M%S")
|
||||
out_csv = RUN_LOGS / f"exf_acb_marginal_{ts}.csv"
|
||||
if ok_results:
|
||||
keys = list(ok_results[0].keys())
|
||||
with open(out_csv, "w", newline="") as f:
|
||||
w = csv.DictWriter(f, fieldnames=keys)
|
||||
w.writeheader()
|
||||
w.writerows(ok_results)
|
||||
print(f"\n[SAVED] {out_csv}")
|
||||
|
||||
# Identify winners
|
||||
winners = [r for r in ok_results if r['verdict'] in ("SIGNIFICANT ✓", "MARGINAL") and r['roi_delta'] > 0]
|
||||
print(f"\n[RESULT] {len(winners)} indicators pass marginal threshold:")
|
||||
for r in winners:
|
||||
print(f" {r['indicator']:14s} lag={r['lag']} dir={r['direction']} "
|
||||
f"ΔROI={r['roi_delta']:+.2f}% Wilcoxon_p={r['wilcoxon_p']:.4f} verdict={r['verdict']}")
|
||||
|
||||
if winners:
|
||||
print("\n[ACTION] These indicators qualify for ACBv7. Run fork step next.")
|
||||
else:
|
||||
print("\n[ACTION] No indicator shows statistically significant marginal benefit.")
|
||||
print(" Champion baseline is robust — ACBv6 remains optimal.")
|
||||
|
||||
print("\n[DONE]")
|
||||
Reference in New Issue
Block a user