01c19662cb
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.
87 lines
3.3 KiB
Python
Executable File
87 lines
3.3 KiB
Python
Executable File
"""Verify D_LIQ_GOLD ROI=181.81% using exact gold _run_engine() path (float64, gold vol_p60)."""
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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)) # nautilus_dolphin root
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sys.path.insert(0, str(_HERE)) # dvae/ dir — avoid dvae/__init__ PyTorch load
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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.proxy_boost_engine import create_d_liq_engine
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from nautilus_dolphin.nautilus.adaptive_circuit_breaker import AdaptiveCircuitBreaker
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def _run_gold(eng, d, fw):
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"""Exact gold _run_engine() path: float64 pq_data, gold vol_p60, np.isfinite gate."""
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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} (expect 8.0 — fix check)")
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print(f" abs_max_leverage = {eng.abs_max_leverage}")
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print(f" sizer.max_leverage= {eng.bet_sizer.max_leverage}")
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assert eng.base_max_leverage == 8.0, f"FIX NOT APPLIED: base_max={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] # float64, pre-computed dvol
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cap_before = eng.capital
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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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liq_stops = getattr(eng, 'liquidation_stops', 0)
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print(f" ROI={roi:+.2f}% T={n} DD={max_dd:.2f}% PF={pf:.4f} "
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f"liq_stops={liq_stops} ({time.time()-t0:.0f}s)")
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return roi, n, max_dd, pf
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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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print("=== D_LIQ_GOLD with fixed set_esoteric_hazard_multiplier ===")
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eng = create_d_liq_engine(**ENGINE_KWARGS)
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roi, n, dd, pf = _run_gold(eng, d, fw)
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print()
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print(f"GOLD TARGET: ROI=181.81% T=2155 DD=17.65%")
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roi_ok = abs(roi - 181.81) < 1.0
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dd_ok = abs(dd - 17.65) < 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-181.81:+.2f}pp)")
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print(f"DD match: {'PASS' if dd_ok else 'FAIL'} (diff={dd-17.65:+.2f}pp)")
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print(f"T match: {'PASS' if t_ok else 'FAIL'} (got {n})")
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if roi_ok and dd_ok and t_ok:
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print("\n=== D_LIQ_GOLD RESTORED ===")
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else:
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print("\n!!! MISMATCH — investigate further !!!")
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if __name__ == '__main__':
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main()
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