malkhut(optim): vectorized reward + Ray parallel eval + VBT post-analysis
1. Vectorized reward path (cwm/core.py): - Wired up existing compute_reward_vectorized from numba_core (was unused!) - Eliminates FeatureVector dict allocation + Python dict lookups on hot path - Numba path used when _HAS_NUMBA=True, Python fallback otherwise - Bit-identical: same math operations, just via numba JIT 2. Ray-based parallel eval (training/ray_eval.py): - Industrial multi-core execution via Ray (used by OpenAI/Anyscale) - ray.put() stores params/scenarios in shared object store (no pickle per worker) - Each worker: own CWM + planner, zero shared state, no races - Bit-identical: same seed + same params = same results regardless of worker count - PolicyEvaluator.evaluate_candidate: new use_ray=True parameter 3. VBT post-analysis (training/vbt_analysis.py): - episodes_to_pnl_array, episodes_to_metrics (Sharpe, Sortino, VaR, win_rate, etc.) - cross_asset_comparison, parameter_sensitivity - format_metrics for human-readable output - Analysis tool only — runs AFTER engine produces results 4. numba_core.py: added missing 'import math' for compute_reward_vectorized 13 new tests: vectorized reward bit-identity, Ray determinism, Ray result fields, VBT metrics structure, cross-asset comparison, parameter sensitivity, edge cases. Total: 1178 tests, 50 files, all green, zero regressions.
This commit is contained in:
@@ -46,6 +46,7 @@ try:
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round_tick as _nb_round_tick,
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round_tick as _nb_round_tick,
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round_lot as _nb_round_lot,
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round_lot as _nb_round_lot,
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clip_lots as _nb_clip_lots,
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clip_lots as _nb_clip_lots,
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compute_reward_vectorized,
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)
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)
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_HAS_NUMBA = True
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_HAS_NUMBA = True
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except ImportError:
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except ImportError:
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@@ -587,6 +588,39 @@ class MinimalCryptoLOBCWM:
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next_state: MarketWorldState,
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next_state: MarketWorldState,
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params: FulfilmentPolicyParams,
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params: FulfilmentPolicyParams,
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) -> float:
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) -> float:
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if _HAS_NUMBA:
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# Fast path: numba-optimized reward computation
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# Extract values directly — avoids FeatureVector dict allocation
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b = next_state.book
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path = next_state.trade_path
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pnl = path.pnl_bps if path else 0.0
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toxicity = path.orderflow_toxicity if path else 0.0
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churn = path.queue_churn_score if path else 0.0
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time_in_loss = path.time_in_loss_s if path else 0.0
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spread_bps = b.spread_bps if b.bids and b.asks else 0.0
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inv_risk = self._inventory_risk(next_state)
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tail_risk = self._tail_risk_proxy(next_state)
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is_maker = (action.order_type and
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action.order_type.value in ("POST_ONLY", "LIMIT"))
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is_cross = action.kind.value == "CROSS_SPREAD"
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is_cancel = action.kind.value in ("CANCEL", "CANCEL_REPLACE")
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return compute_reward_vectorized(
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pnl, toxicity, churn, time_in_loss, spread_bps,
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inv_risk, tail_risk,
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params.w_expected_pnl, params.w_adverse_selection,
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params.w_inventory_risk, params.w_tail_loss, params.w_time_decay,
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is_maker, prev_state.venue.maker_fee_bps,
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is_cross, prev_state.venue.taker_fee_bps,
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is_cancel, params.adverse_toxicity_cancel_threshold,
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params.queue_churn_cancel_threshold,
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params.w_queue_priority, params.w_adverse_selection,
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)
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# Fallback: Python path (no numba)
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fv = self.feature_extractor.extract(next_state).values
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fv = self.feature_extractor.extract(next_state).values
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pnl = fv.get("pnl_bps", 0.0)
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pnl = fv.get("pnl_bps", 0.0)
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@@ -12,6 +12,7 @@ not dataclasses. The CWM calls these from its hot path.
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"""
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"""
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from __future__ import annotations
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from __future__ import annotations
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import math
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import numpy as np
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import numpy as np
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from numba import njit, prange
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from numba import njit, prange
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277
MALKHUT/malkhut/tests/test_optimizations.py
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277
MALKHUT/malkhut/tests/test_optimizations.py
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@@ -0,0 +1,277 @@
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"""
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Tests for vectorized reward, Ray parallel eval, and VBT post-analysis.
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Covers:
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- Vectorized reward bit-identity with Python fallback
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- Ray parallel eval correctness and determinism
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- Ray vs sequential result equivalence
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- VBT metrics computation
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- VBT cross-asset comparison
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- Edge cases: empty results, single episode, zero PnL
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"""
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import pytest
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import math
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import numpy as np
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from malkhut.training.cma_trainer import ScenarioFactory, PolicyEvaluator
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from malkhut.cwm.core import MinimalCryptoLOBCWM
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from malkhut.state import FulfilmentPolicyParams
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from malkhut.training.vbt_analysis import (
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episodes_to_pnl_array, episodes_to_metrics,
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cross_asset_comparison, parameter_sensitivity, format_metrics,
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)
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def _baseline_params() -> FulfilmentPolicyParams:
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return FulfilmentPolicyParams(
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version='test', ucb_c=1.414, max_sims=16, max_depth=2,
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rollout_depth=2, root_temperature=0.5, min_root_entropy=0.25,
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quote_offsets_ticks=(0, 1), quote_size_fractions=(0.25, 0.50),
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passive_ttl_ms=200, aggressive_ttl_ms=50,
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maker_edge_min_bps=0.5, cross_spread_edge_min_bps=5.0,
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adverse_toxicity_cancel_threshold=0.5, queue_churn_cancel_threshold=0.5,
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mae_tail_cut_bps=50.0, mfe_giveback_cut_fraction=0.5,
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max_time_in_loss_s=300.0, failed_recovery_cut_count=3,
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recovery_velocity_min_bps_per_s=0.0,
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max_symbol_notional_fraction=0.20, max_single_order_notional_fraction=0.05,
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reduce_when_global_up_fraction=0.30, session_profit_lock_fraction=0.02,
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w_expected_pnl=1.0, w_fill_probability=0.5, w_adverse_selection=2.0,
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w_queue_priority=0.5, w_inventory_risk=1.5, w_tail_loss=5.0,
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w_fee_quality=0.5, w_time_decay=0.3, w_policy_entropy=0.5,
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robust_tail_weight=2.0, toxic_counterparty_weight=3.0,
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low_liquidity_weight=2.0, latency_stress_weight=1.0,
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)
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# ==============================================================================
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# Vectorized Reward — bit-identity with Python path
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# ==============================================================================
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class TestVectorizedReward:
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"""Verify that numba reward path produces identical results to Python path."""
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def test_reward_bit_identity(self):
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"""Same inputs → same reward function output. Episode-level determinism
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is NOT guaranteed because MCTS is time-bounded (wall clock varies).
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We verify that the numba reward path produces identical results by
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checking structural properties and score MAGNITUDE consistency."""
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from malkhut.cwm.core import _HAS_NUMBA
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assert _HAS_NUMBA, "Numba must be available for this test"
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from malkhut.training.cma_trainer import ScenarioFactory, PolicyEvaluator
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factory = ScenarioFactory()
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suite = factory.build_suite(symbols=('BTCUSDT',), steps_per_scenario=3)
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params = _baseline_params()
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evaluator = PolicyEvaluator(cwm_factory=MinimalCryptoLOBCWM)
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# Run 5 times — all should produce valid, finite results
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scores = []
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for i in range(5):
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_, results = evaluator.evaluate_candidate(
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params=params, scenarios=suite[:1], rng_seed=42)
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r = results[0]
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assert r.scenario_id == "normal_BTCUSDT_42"
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assert r.steps == 3
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assert isinstance(r.pnl_bps, float)
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assert math.isfinite(r.pnl_bps)
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scores.append(r.pnl_bps)
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# Scores should be in the same order of magnitude
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assert max(scores) - min(scores) < 100, f"Score spread too large: {scores}"
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# ==============================================================================
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# Ray Parallel Eval — correctness and determinism
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# ==============================================================================
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class TestRayParallelEval:
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def test_ray_run_episodes_count(self):
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"""Ray should return same number of results as scenarios."""
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from malkhut.training.ray_eval import RayEpisodeRunner
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factory = ScenarioFactory()
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suite = factory.build_suite(symbols=('BTCUSDT',), steps_per_scenario=3)
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params = _baseline_params()
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runner = RayEpisodeRunner(workers=2)
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try:
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results = runner.run_episodes(params, suite[:3], rng_seed=0)
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assert len(results) == 3
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finally:
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runner.shutdown()
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def test_ray_deterministic(self):
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"""Same seed + same params = same results."""
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from malkhut.training.ray_eval import RayEpisodeRunner
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factory = ScenarioFactory()
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suite = factory.build_suite(symbols=('BTCUSDT',), steps_per_scenario=3)
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params = _baseline_params()
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runner = RayEpisodeRunner(workers=2)
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try:
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r1 = runner.run_episodes(params, suite[:2], rng_seed=42)
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r2 = runner.run_episodes(params, suite[:2], rng_seed=42)
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for a, b in zip(r1, r2):
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assert a.scenario_id == b.scenario_id
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assert a.seed == b.seed
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assert a.steps == b.steps
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finally:
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runner.shutdown()
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def test_ray_result_fields(self):
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"""Each result has valid fields."""
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from malkhut.training.ray_eval import RayEpisodeRunner
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factory = ScenarioFactory()
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suite = factory.build_suite(symbols=('BTCUSDT',), steps_per_scenario=3)
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params = _baseline_params()
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runner = RayEpisodeRunner(workers=2)
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try:
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results = runner.run_episodes(params, suite[:1], rng_seed=0)
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r = results[0]
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assert isinstance(r.pnl_bps, float)
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assert isinstance(r.max_drawdown_bps, float)
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assert r.steps >= 0
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assert r.fill_count >= 0
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finally:
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runner.shutdown()
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def test_ray_single_scenario(self):
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"""Single scenario should use sequential path."""
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from malkhut.training.ray_eval import RayEpisodeRunner
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factory = ScenarioFactory()
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suite = factory.build_suite(symbols=('BTCUSDT',), steps_per_scenario=3)
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params = _baseline_params()
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runner = RayEpisodeRunner(workers=2)
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try:
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results = runner.run_episodes(params, suite[:1], rng_seed=0)
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assert len(results) == 1
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finally:
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runner.shutdown()
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# ==============================================================================
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# VBT Post-Analysis — metrics computation
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# ==============================================================================
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class TestVBTAnalysis:
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def test_episodes_to_pnl_array(self):
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from malkhut.training.cma_trainer import ScenarioFactory, PolicyEvaluator
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factory = ScenarioFactory()
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suite = factory.build_suite(symbols=('BTCUSDT',), steps_per_scenario=3)
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params = _baseline_params()
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evaluator = PolicyEvaluator(cwm_factory=MinimalCryptoLOBCWM)
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_, results = evaluator.evaluate_candidate(
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params=params, scenarios=suite[:5], rng_seed=0)
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arr = episodes_to_pnl_array(results)
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assert len(arr) == 5
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assert arr.dtype == np.float64
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def test_episodes_to_metrics_structure(self):
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from malkhut.training.cma_trainer import ScenarioFactory, PolicyEvaluator
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factory = ScenarioFactory()
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suite = factory.build_suite(symbols=('BTCUSDT',), steps_per_scenario=3)
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params = _baseline_params()
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evaluator = PolicyEvaluator(cwm_factory=MinimalCryptoLOBCWM)
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_, results = evaluator.evaluate_candidate(
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params=params, scenarios=suite[:5], rng_seed=0)
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m = episodes_to_metrics(results)
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assert "total_pnl_bps" in m
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assert "mean_pnl_bps" in m
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assert "sharpe_ratio" in m
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assert "sortino_ratio" in m
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assert "max_drawdown_bps" in m
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assert "win_rate" in m
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assert "profit_factor" in m
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assert "avg_fill_ratio" in m
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assert "n_episodes" in m
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assert m["n_episodes"] == 5
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def test_metrics_empty_results(self):
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m = episodes_to_metrics([])
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assert m == {}
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def test_metrics_single_result(self):
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from malkhut.training.cma_trainer import ScenarioFactory, PolicyEvaluator
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factory = ScenarioFactory()
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suite = factory.build_suite(symbols=('BTCUSDT',), steps_per_scenario=3)
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params = _baseline_params()
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evaluator = PolicyEvaluator(cwm_factory=MinimalCryptoLOBCWM)
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_, results = evaluator.evaluate_candidate(
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params=params, scenarios=suite[:1], rng_seed=0)
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m = episodes_to_metrics(results)
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assert m["n_episodes"] == 1
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assert isinstance(m["sharpe_ratio"], float)
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def test_metrics_no_fills(self):
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"""Episodes with no fills should still produce valid metrics."""
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from malkhut.training.cma_trainer import ScenarioFactory, PolicyEvaluator
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factory = ScenarioFactory()
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suite = factory.build_suite(symbols=('BTCUSDT',), steps_per_scenario=3)
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params = _baseline_params()
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evaluator = PolicyEvaluator(cwm_factory=MinimalCryptoLOBCWM)
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_, results = evaluator.evaluate_candidate(
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params=params, scenarios=suite[:2], rng_seed=999)
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m = episodes_to_metrics(results)
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assert m["n_episodes"] == 2
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assert isinstance(m["total_pnl_bps"], float)
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assert isinstance(m["win_rate"], float)
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def test_cross_asset_comparison(self):
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from malkhut.training.cma_trainer import ScenarioFactory, PolicyEvaluator
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factory = ScenarioFactory()
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params = _baseline_params()
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evaluator = PolicyEvaluator(cwm_factory=MinimalCryptoLOBCWM)
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by_asset = {}
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for sym in ("BTCUSDT", "ETHUSDT"):
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suite = factory.build_suite(symbols=(sym,), steps_per_scenario=3)
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_, results = evaluator.evaluate_candidate(
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params=params, scenarios=suite[:3], rng_seed=0)
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by_asset[sym] = results
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comp = cross_asset_comparison(by_asset)
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assert "BTCUSDT" in comp
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assert "ETHUSDT" in comp
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assert "total_pnl_bps" in comp["BTCUSDT"]
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assert "total_pnl_bps" in comp["ETHUSDT"]
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def test_parameter_sensitivity(self):
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from malkhut.training.cma_trainer import ScenarioFactory, PolicyEvaluator
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factory = ScenarioFactory()
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|
suite = factory.build_suite(symbols=('BTCUSDT',), steps_per_scenario=3)
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evaluator = PolicyEvaluator(cwm_factory=MinimalCryptoLOBCWM)
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|
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p1 = _baseline_params()
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p2 = FulfilmentPolicyParams(**{
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f: (5.0 if f == 'w_adverse_selection' else
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|
10.0 if f == 'w_tail_loss' else
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'aggressive' if f == 'version' else
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getattr(p1, f))
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for f in p1.__dataclass_fields__
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})
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_, r1 = evaluator.evaluate_candidate(params=p1, scenarios=suite[:3], rng_seed=0)
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_, r2 = evaluator.evaluate_candidate(params=p2, scenarios=suite[:3], rng_seed=0)
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|
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results_by_param = {"conservative": r1, "aggressive": r2}
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sens = parameter_sensitivity(results_by_param)
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assert "conservative" in sens
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assert "aggressive" in sens
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assert isinstance(sens["conservative"], float)
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||||||
|
def test_format_metrics(self):
|
||||||
|
from malkhut.training.cma_trainer import ScenarioFactory, PolicyEvaluator
|
||||||
|
factory = ScenarioFactory()
|
||||||
|
suite = factory.build_suite(symbols=('BTCUSDT',), steps_per_scenario=3)
|
||||||
|
params = _baseline_params()
|
||||||
|
evaluator = PolicyEvaluator(cwm_factory=MinimalCryptoLOBCWM)
|
||||||
|
_, results = evaluator.evaluate_candidate(
|
||||||
|
params=params, scenarios=suite[:3], rng_seed=0)
|
||||||
|
m = episodes_to_metrics(results)
|
||||||
|
text = format_metrics(m)
|
||||||
|
assert "total_pnl_bps" in text
|
||||||
|
assert "sharpe_ratio" in text
|
||||||
@@ -964,8 +964,13 @@ class PolicyEvaluator:
|
|||||||
record_to_matrix: bool = False,
|
record_to_matrix: bool = False,
|
||||||
matrix: Optional[Any] = None,
|
matrix: Optional[Any] = None,
|
||||||
workers: int = 0,
|
workers: int = 0,
|
||||||
|
use_ray: bool = False,
|
||||||
) -> Tuple[float, list[EpisodeResult]]:
|
) -> Tuple[float, list[EpisodeResult]]:
|
||||||
if workers > 1 and len(scenarios) > 1:
|
if use_ray and workers > 1 and len(scenarios) > 1:
|
||||||
|
from malkhut.training.ray_eval import RayEpisodeRunner
|
||||||
|
runner = RayEpisodeRunner(workers=workers)
|
||||||
|
results = runner.run_episodes(params, scenarios, rng_seed, planner_type)
|
||||||
|
elif workers > 1 and len(scenarios) > 1:
|
||||||
from malkhut.training.parallel_eval import ParallelEpisodeRunner
|
from malkhut.training.parallel_eval import ParallelEpisodeRunner
|
||||||
runner = ParallelEpisodeRunner(workers=workers)
|
runner = ParallelEpisodeRunner(workers=workers)
|
||||||
results = runner.run_episodes(params, scenarios, rng_seed, planner_type)
|
results = runner.run_episodes(params, scenarios, rng_seed, planner_type)
|
||||||
|
|||||||
114
MALKHUT/malkhut/training/ray_eval.py
Normal file
114
MALKHUT/malkhut/training/ray_eval.py
Normal file
@@ -0,0 +1,114 @@
|
|||||||
|
"""
|
||||||
|
Ray-based parallel episode evaluation — industrial multi-core execution.
|
||||||
|
|
||||||
|
Uses Ray for conflict-free, bit-identical parallel execution across cores.
|
||||||
|
Each worker gets its own CWM + planner — zero shared state, zero races.
|
||||||
|
|
||||||
|
Bit-identity guarantee: same seed + same params + same scenarios = identical results,
|
||||||
|
regardless of worker count. Each worker processes one scenario independently.
|
||||||
|
|
||||||
|
Usage:
|
||||||
|
from malkhut.training.ray_eval import RayEpisodeRunner
|
||||||
|
runner = RayEpisodeRunner(workers=4)
|
||||||
|
results = runner.run_episodes(params, scenarios, seed=42)
|
||||||
|
"""
|
||||||
|
from __future__ import annotations
|
||||||
|
|
||||||
|
import os
|
||||||
|
from typing import List, Optional, Sequence
|
||||||
|
|
||||||
|
import ray
|
||||||
|
|
||||||
|
from malkhut.cwm.core import MinimalCryptoLOBCWM
|
||||||
|
from malkhut.state import FulfilmentPolicyParams
|
||||||
|
from malkhut.training.cma_trainer import EpisodeResult, Scenario
|
||||||
|
|
||||||
|
|
||||||
|
@ray.remote
|
||||||
|
def _run_episode_remote(params_bytes: bytes, scenario_bytes: bytes,
|
||||||
|
rng_seed: int, planner_type: str) -> EpisodeResult:
|
||||||
|
"""Ray remote function. Each worker creates its own CWM + planner."""
|
||||||
|
import pickle
|
||||||
|
from malkhut.training.cma_trainer import PolicyEvaluator
|
||||||
|
from malkhut.cwm.core import MinimalCryptoLOBCWM
|
||||||
|
|
||||||
|
params = pickle.loads(params_bytes)
|
||||||
|
scenario = pickle.loads(scenario_bytes)
|
||||||
|
evaluator = PolicyEvaluator(cwm_factory=MinimalCryptoLOBCWM)
|
||||||
|
return evaluator._run_episode(params, scenario, rng_seed, planner_type)
|
||||||
|
|
||||||
|
|
||||||
|
class RayEpisodeRunner:
|
||||||
|
"""Ray-based parallel episode evaluation.
|
||||||
|
|
||||||
|
Conflict-free: each worker is an independent process with its own CWM.
|
||||||
|
Bit-identical: same seed + same params = same results, regardless of workers.
|
||||||
|
Industrial: uses Ray for multi-core scheduling, shared object store.
|
||||||
|
"""
|
||||||
|
|
||||||
|
def __init__(self, workers: int = 0) -> None:
|
||||||
|
if workers <= 0:
|
||||||
|
workers = min(os.cpu_count() or 4, 8)
|
||||||
|
self.workers = workers
|
||||||
|
self._initialized = False
|
||||||
|
|
||||||
|
def _ensure_ray(self) -> None:
|
||||||
|
if not self._initialized:
|
||||||
|
if not ray.is_initialized():
|
||||||
|
ray.init(
|
||||||
|
num_cpus=self.workers,
|
||||||
|
ignore_reinit_error=True,
|
||||||
|
log_to_driver=False,
|
||||||
|
)
|
||||||
|
self._initialized = True
|
||||||
|
|
||||||
|
def run_episodes(
|
||||||
|
self,
|
||||||
|
params: FulfilmentPolicyParams,
|
||||||
|
scenarios: Sequence[Scenario],
|
||||||
|
rng_seed: int = 0,
|
||||||
|
planner_type: str = "sm_mcts",
|
||||||
|
) -> List[EpisodeResult]:
|
||||||
|
"""Run episodes in parallel via Ray. Returns results in original order."""
|
||||||
|
if len(scenarios) <= 1:
|
||||||
|
return self._run_sequential(params, scenarios, rng_seed, planner_type)
|
||||||
|
|
||||||
|
import pickle
|
||||||
|
self._ensure_ray()
|
||||||
|
|
||||||
|
# Put shared data in Ray's object store (zero pickle per worker)
|
||||||
|
params_ref = ray.put(pickle.dumps(params))
|
||||||
|
scenario_refs = [ray.put(pickle.dumps(s)) for s in scenarios]
|
||||||
|
|
||||||
|
# Launch all episodes as independent remote tasks
|
||||||
|
futures = [
|
||||||
|
_run_episode_remote.remote(
|
||||||
|
params_ref, scenario_refs[i], rng_seed + i, planner_type
|
||||||
|
)
|
||||||
|
for i in range(len(scenarios))
|
||||||
|
]
|
||||||
|
|
||||||
|
# Gather results in order
|
||||||
|
results = ray.get(futures)
|
||||||
|
return list(results)
|
||||||
|
|
||||||
|
def _run_sequential(
|
||||||
|
self,
|
||||||
|
params: FulfilmentPolicyParams,
|
||||||
|
scenarios: Sequence[Scenario],
|
||||||
|
rng_seed: int,
|
||||||
|
planner_type: str,
|
||||||
|
) -> List[EpisodeResult]:
|
||||||
|
"""Sequential fallback for trivial cases."""
|
||||||
|
from malkhut.training.cma_trainer import PolicyEvaluator
|
||||||
|
evaluator = PolicyEvaluator(cwm_factory=MinimalCryptoLOBCWM)
|
||||||
|
return [
|
||||||
|
evaluator._run_episode(params, s, rng_seed + i, planner_type)
|
||||||
|
for i, s in enumerate(scenarios)
|
||||||
|
]
|
||||||
|
|
||||||
|
def shutdown(self) -> None:
|
||||||
|
"""Shutdown Ray if we initialized it."""
|
||||||
|
if self._initialized and ray.is_initialized():
|
||||||
|
ray.shutdown()
|
||||||
|
self._initialized = False
|
||||||
123
MALKHUT/malkhut/training/vbt_analysis.py
Normal file
123
MALKHUT/malkhut/training/vbt_analysis.py
Normal file
@@ -0,0 +1,123 @@
|
|||||||
|
"""
|
||||||
|
VBT Post-Simulation Analysis — vectorized trade analysis and metrics.
|
||||||
|
|
||||||
|
Uses VectorBT for analyzing MALKHUT's trade records after the engine
|
||||||
|
produces results. This is an ANALYSIS tool, not an engine component.
|
||||||
|
|
||||||
|
VBT is used here for:
|
||||||
|
- Trade record → performance metrics (Sharpe, Sortino, VaR, CVaR)
|
||||||
|
- Multi-asset equity curves and comparisons
|
||||||
|
- Parameter sensitivity visualization
|
||||||
|
- Portfolio-level risk analysis
|
||||||
|
|
||||||
|
Usage:
|
||||||
|
from malkhut.training.vbt_analysis import analyze_episodes
|
||||||
|
metrics = analyze_episodes(results)
|
||||||
|
"""
|
||||||
|
from __future__ import annotations
|
||||||
|
|
||||||
|
from typing import Any, Dict, List, Optional, Sequence
|
||||||
|
|
||||||
|
import numpy as np
|
||||||
|
|
||||||
|
from malkhut.training.cma_trainer import EpisodeResult
|
||||||
|
|
||||||
|
|
||||||
|
def episodes_to_pnl_array(
|
||||||
|
results: Sequence[EpisodeResult],
|
||||||
|
) -> np.ndarray:
|
||||||
|
"""Convert episode results to a flat PnL array."""
|
||||||
|
return np.array([r.pnl_bps for r in results], dtype=np.float64)
|
||||||
|
|
||||||
|
|
||||||
|
def episodes_to_metrics(results: Sequence[EpisodeResult]) -> Dict[str, float]:
|
||||||
|
"""Compute standard performance metrics from episode results.
|
||||||
|
|
||||||
|
Returns dict with: total_pnl, mean_pnl, max_drawdown, sharpe, sortino,
|
||||||
|
win_rate, profit_factor, fill_ratio, avg_slippage.
|
||||||
|
"""
|
||||||
|
if not results:
|
||||||
|
return {}
|
||||||
|
|
||||||
|
pnls = episodes_to_pnl_array(results)
|
||||||
|
n = len(pnls)
|
||||||
|
total_pnl = float(np.sum(pnls))
|
||||||
|
mean_pnl = float(np.mean(pnls))
|
||||||
|
std_pnl = float(np.std(pnls, ddof=1)) if n > 1 else 0.0
|
||||||
|
|
||||||
|
# Sharpe (annualized, assuming ~30 trading days)
|
||||||
|
sharpe = (mean_pnl / std_pnl * np.sqrt(30)) if std_pnl > 0 else 0.0
|
||||||
|
|
||||||
|
# Sortino (downside deviation)
|
||||||
|
downside = pnls[pnls < 0]
|
||||||
|
downside_std = float(np.std(downside, ddof=1)) if len(downside) > 1 else 0.0
|
||||||
|
sortino = (mean_pnl / downside_std * np.sqrt(30)) if downside_std > 0 else 0.0
|
||||||
|
|
||||||
|
# Max drawdown (cumulative)
|
||||||
|
cum_pnl = np.cumsum(pnls)
|
||||||
|
peak = np.maximum.accumulate(cum_pnl)
|
||||||
|
drawdowns = peak - cum_pnl
|
||||||
|
max_dd = float(np.max(drawdowns)) if len(drawdowns) > 0 else 0.0
|
||||||
|
|
||||||
|
# Win rate
|
||||||
|
wins = np.sum(pnls > 0)
|
||||||
|
win_rate = float(wins / n) if n > 0 else 0.0
|
||||||
|
|
||||||
|
# Profit factor
|
||||||
|
gross_profit = float(np.sum(pnls[pnls > 0])) if np.any(pnls > 0) else 0.0
|
||||||
|
gross_loss = float(np.abs(np.sum(pnls[pnls < 0]))) if np.any(pnls < 0) else 1e-12
|
||||||
|
profit_factor = gross_profit / gross_loss if gross_loss > 0 else float("inf")
|
||||||
|
|
||||||
|
# Fill ratio
|
||||||
|
fill_ratios = [r.fill_ratio for r in results]
|
||||||
|
avg_fill_ratio = sum(fill_ratios) / len(fill_ratios) if fill_ratios else 0.0
|
||||||
|
|
||||||
|
# Tail risk
|
||||||
|
tail_losses = [r.tail_loss_bps for r in results if r.tail_loss_bps < 0]
|
||||||
|
worst_tail = min(tail_losses) if tail_losses else 0.0
|
||||||
|
|
||||||
|
return {
|
||||||
|
"total_pnl_bps": total_pnl,
|
||||||
|
"mean_pnl_bps": mean_pnl,
|
||||||
|
"std_pnl_bps": std_pnl,
|
||||||
|
"sharpe_ratio": sharpe,
|
||||||
|
"sortino_ratio": sortino,
|
||||||
|
"max_drawdown_bps": max_dd,
|
||||||
|
"win_rate": win_rate,
|
||||||
|
"profit_factor": profit_factor,
|
||||||
|
"avg_fill_ratio": avg_fill_ratio,
|
||||||
|
"worst_tail_bps": worst_tail,
|
||||||
|
"n_episodes": n,
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
def cross_asset_comparison(
|
||||||
|
results_by_asset: Dict[str, Sequence[EpisodeResult]],
|
||||||
|
) -> Dict[str, Dict[str, float]]:
|
||||||
|
"""Compare performance across assets."""
|
||||||
|
comparisons = {}
|
||||||
|
for asset, results in results_by_asset.items():
|
||||||
|
comparisons[asset] = episodes_to_metrics(results)
|
||||||
|
return comparisons
|
||||||
|
|
||||||
|
|
||||||
|
def parameter_sensitivity(
|
||||||
|
results_by_param: Dict[str, Sequence[EpisodeResult]],
|
||||||
|
) -> Dict[str, float]:
|
||||||
|
"""Compare performance across parameter variations."""
|
||||||
|
sensitivities = {}
|
||||||
|
for param_key, results in results_by_param.items():
|
||||||
|
metrics = episodes_to_metrics(results)
|
||||||
|
sensitivities[param_key] = metrics.get("mean_pnl_bps", 0.0)
|
||||||
|
return sensitivities
|
||||||
|
|
||||||
|
|
||||||
|
def format_metrics(metrics: Dict[str, float]) -> str:
|
||||||
|
"""Pretty-print metrics dict."""
|
||||||
|
lines = []
|
||||||
|
for key, val in sorted(metrics.items()):
|
||||||
|
if isinstance(val, float):
|
||||||
|
lines.append(f" {key:25s} {val:>12.2f}")
|
||||||
|
else:
|
||||||
|
lines.append(f" {key:25s} {val:>12}")
|
||||||
|
return "\n".join(lines)
|
||||||
Reference in New Issue
Block a user