Promote production portfolio strategy

scripts/run_backtest_snapshot.py

@@ -34,7 +34,12 @@ def _parse_args() -> argparse.Namespace:
         default=None,
         help="JSON report path. Defaults to reports/backtest-<timestamp>.json.",
     )
-    parser.add_argument("--workers", type=int, default=None, help="Override backtest worker count.")
+    parser.add_argument(
+        "--workers",
+        type=int,
+        default=None,
+        help="Override backtest worker count. On an 8-thread machine, 6 is a good starting point.",
+    )
     parser.add_argument(
         "--allow-spawn",
         action="store_true",
@@ -53,6 +58,10 @@ def _pct(value: Any) -> str:
     return "-" if value is None else f"{float(value):+.1f}%"
 
 
+def _drawdown_pct(value: Any) -> str:
+    return "-" if value is None else f"-{abs(float(value)):.1f}%"
+
+
 def _r(value: Any) -> str:
     return "-" if value is None else f"{float(value):+.2f}R"
 
@@ -79,10 +88,46 @@ def _print_summary(report: dict) -> None:
     print(f"  30d hold total R: {_r(hold_30.get('total_r'))}")
     if hold_policy:
         print(f"  hold CAGR: {_pct(hold_policy.get('cagr_pct'))}")
-        print(f"  hold max drawdown: {_pct(hold_policy.get('max_drawdown_pct'))}")
+        print(f"  hold max drawdown: {_drawdown_pct(hold_policy.get('max_drawdown_pct'))}")
         print(f"  hold Sharpe: {hold_policy.get('sharpe')}")
         print(f"  hold trades: {hold_policy.get('trades')}")
 
+    variants = list((report.get("strategy_variants") or {}).get("variants") or [])
+    ranked = sorted(
+        (v for v in variants if v.get("sharpe") is not None),
+        key=lambda v: v.get("sharpe"),
+        reverse=True,
+    )
+    if ranked:
+        print("  top strategy variants by Sharpe:")
+        for row in ranked[:5]:
+            print(
+                "    "
+                f"{row.get('variant')}: "
+                f"Sharpe {row.get('sharpe')}, "
+                f"CAGR {_pct(row.get('cagr_pct'))}, "
+                f"DD {_drawdown_pct(row.get('max_drawdown_pct'))}, "
+                f"trades {row.get('trades')}"
+            )
+
+    exits = list((report.get("exit_policy_variants") or {}).get("variants") or [])
+    ranked_exits = sorted(
+        (v for v in exits if v.get("sharpe") is not None),
+        key=lambda v: v.get("sharpe"),
+        reverse=True,
+    )
+    if ranked_exits:
+        print("  exit policies for 80/20 entry by Sharpe:")
+        for row in ranked_exits[:5]:
+            print(
+                "    "
+                f"{row.get('exit_policy')}: "
+                f"Sharpe {row.get('sharpe')}, "
+                f"CAGR {_pct(row.get('cagr_pct'))}, "
+                f"DD {_drawdown_pct(row.get('max_drawdown_pct'))}, "
+                f"trades {row.get('trades')}"
+            )
+
 
 async def _main() -> None:
     args = _parse_args()