"""Verify D_LIQ_GOLD ROI=181.81% using exact gold _run_engine() path (float64, gold vol_p60).""" import sys, time, math sys.stdout.reconfigure(encoding='utf-8', errors='replace') from pathlib import Path import numpy as np _HERE = Path(__file__).resolve().parent sys.path.insert(0, str(_HERE.parent)) # nautilus_dolphin root sys.path.insert(0, str(_HERE)) # dvae/ dir — avoid dvae/__init__ PyTorch load from exp_shared import ENGINE_KWARGS, MC_BASE_CFG, load_data, load_forewarner from nautilus_dolphin.nautilus.proxy_boost_engine import create_d_liq_engine from nautilus_dolphin.nautilus.adaptive_circuit_breaker import AdaptiveCircuitBreaker def _run_gold(eng, d, fw): """Exact gold _run_engine() path: float64 pq_data, gold vol_p60, np.isfinite gate.""" acb = AdaptiveCircuitBreaker() acb.preload_w750(d['date_strings']) eng.set_ob_engine(d['ob_eng']) eng.set_acb(acb) if fw is not None: eng.set_mc_forewarner(fw, MC_BASE_CFG) eng.set_esoteric_hazard_multiplier(0.0) print(f" base_max_leverage = {eng.base_max_leverage} (expect 8.0 — fix check)") print(f" abs_max_leverage = {eng.abs_max_leverage}") print(f" sizer.max_leverage= {eng.bet_sizer.max_leverage}") assert eng.base_max_leverage == 8.0, f"FIX NOT APPLIED: base_max={eng.base_max_leverage}" t0 = time.time() daily_caps = [] for pf_file in d['parquet_files']: ds = pf_file.stem df, acols, dvol = d['pq_data'][ds] # float64, pre-computed dvol cap_before = eng.capital vol_ok = np.where(np.isfinite(dvol), dvol > d['vol_p60'], False) eng.process_day(ds, df, acols, vol_regime_ok=vol_ok) daily_caps.append(eng.capital) tr = eng.trade_history n = len(tr) roi = (eng.capital - 25000.0) / 25000.0 * 100.0 peak, max_dd = 25000.0, 0.0 for cap in daily_caps: peak = max(peak, cap) max_dd = max(max_dd, (peak - cap) / peak * 100.0) def _abs(t): return t.pnl_absolute if hasattr(t, 'pnl_absolute') else t.pnl_pct * 250.0 wins = [t for t in tr if _abs(t) > 0] losses = [t for t in tr if _abs(t) <= 0] pf = sum(_abs(t) for t in wins) / max(abs(sum(_abs(t) for t in losses)), 1e-9) liq_stops = getattr(eng, 'liquidation_stops', 0) print(f" ROI={roi:+.2f}% T={n} DD={max_dd:.2f}% PF={pf:.4f} " f"liq_stops={liq_stops} ({time.time()-t0:.0f}s)") return roi, n, max_dd, pf def main(): print("Loading data (gold method: float64, 2-file seg-based vol_p60)...") d = load_data() fw = load_forewarner() print() print("=== D_LIQ_GOLD with fixed set_esoteric_hazard_multiplier ===") eng = create_d_liq_engine(**ENGINE_KWARGS) roi, n, dd, pf = _run_gold(eng, d, fw) print() print(f"GOLD TARGET: ROI=181.81% T=2155 DD=17.65%") roi_ok = abs(roi - 181.81) < 1.0 dd_ok = abs(dd - 17.65) < 0.5 t_ok = n == 2155 print(f"ROI match: {'PASS' if roi_ok else 'FAIL'} (diff={roi-181.81:+.2f}pp)") print(f"DD match: {'PASS' if dd_ok else 'FAIL'} (diff={dd-17.65:+.2f}pp)") print(f"T match: {'PASS' if t_ok else 'FAIL'} (got {n})") if roi_ok and dd_ok and t_ok: print("\n=== D_LIQ_GOLD RESTORED ===") else: print("\n!!! MISMATCH — investigate further !!!") if __name__ == '__main__': main()