423 lines
16 KiB
Python
423 lines
16 KiB
Python
"""Targeted offline study of a gate-conditioned initial-stop refresh.
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The study replays production entries only for the requested period. Whenever
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an initial stop is touched, it rebuilds that ticker's setup using bars through
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the previous close and recomputes the production momentum gate across the whole
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historical universe. If the gate still passes and the new setup has a lower
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valid stop, the simulator adopts it and checks it against the same day's low.
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This is causal: no value from the stop day's eventual close is used to cancel
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an intraday stop. The snapshot is read-only and no live settings are changed.
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"""
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from __future__ import annotations
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import argparse
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import asyncio
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import bisect
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import json
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import multiprocessing
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import os
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import sys
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from collections import Counter
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from concurrent.futures import ProcessPoolExecutor, as_completed
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from datetime import date, datetime
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from pathlib import Path
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from types import SimpleNamespace
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from typing import Any
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from sqlalchemy import select
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from sqlalchemy.ext.asyncio import AsyncSession, async_sessionmaker, create_async_engine
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ROOT = Path(__file__).resolve().parents[1]
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if str(ROOT) not in sys.path:
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sys.path.insert(0, str(ROOT))
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def _sqlite_url(path: Path) -> str:
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return f"sqlite+aiosqlite:///{path.resolve().as_posix()}"
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def _parse_args() -> argparse.Namespace:
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parser = argparse.ArgumentParser(description=__doc__)
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parser.add_argument("snapshot")
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parser.add_argument("--start-date", default="2024-07-01")
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parser.add_argument("--workers", type=int, default=6)
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parser.add_argument("--out", default=None)
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parser.add_argument("--quiet", action="store_true")
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return parser.parse_args()
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def _default_output_path() -> Path:
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stamp = datetime.now().strftime("%Y%m%d-%H%M%S")
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return Path("reports") / f"gate-protected-stop-{stamp}.json"
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class GateStopRefresher:
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"""Point-in-time gate and replacement-stop calculator for stop events."""
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def __init__(
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self,
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prices: dict[str, tuple],
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recommendation_config: dict,
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activation: dict,
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benchmark_closes: dict[date, float],
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) -> None:
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from app.services import backtest_service as bt
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self.bt = bt
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self.prices = prices
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self.recommendation_config = recommendation_config
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self.activation = activation
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self.benchmark_closes = benchmark_closes
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self.threshold = float(activation.get("min_momentum_percentile", 80.0))
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self.dates = {
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symbol: [date.fromordinal(value) for value in columns[0]]
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for symbol, columns in prices.items()
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}
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self.index_of = {
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symbol: {value: index for index, value in enumerate(columns[0])}
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for symbol, columns in prices.items()
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}
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self.percentile_cache: dict[int, dict[str, float]] = {}
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self.setup_cache: dict[tuple[str, int], dict | None] = {}
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self.events: list[dict[str, Any]] = []
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def _momentum_percentiles(self, asof_ord: int) -> dict[str, float]:
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cached = self.percentile_cache.get(asof_ord)
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if cached is not None:
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return cached
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values: dict[str, float] = {}
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for symbol, columns in self.prices.items():
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idx = bisect.bisect_right(columns[0], asof_ord) - 1
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if idx < 252:
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continue
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closes = columns[4]
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value = self.bt._residual_momentum_12_1(
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self.dates[symbol], closes, idx, self.benchmark_closes
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)
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if value is None and closes[idx - 252] > 0:
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value = closes[idx - 21] / closes[idx - 252] - 1.0
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if value is not None:
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values[symbol] = float(value)
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ordered = sorted(values, key=lambda symbol: values[symbol])
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denominator = len(ordered) - 1
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percentiles = {
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symbol: (rank / denominator * 100.0) if denominator > 0 else 100.0
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for rank, symbol in enumerate(ordered)
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}
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self.percentile_cache[asof_ord] = percentiles
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return percentiles
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def _long_setup(self, symbol: str, asof_idx: int) -> dict | None:
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columns = self.prices[symbol]
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asof_ord = columns[0][asof_idx]
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key = (symbol, asof_ord)
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if key in self.setup_cache:
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return self.setup_cache[key]
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records = [
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SimpleNamespace(
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date=date.fromordinal(o),
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open=op,
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high=high,
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low=low,
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close=close,
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volume=volume,
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)
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for o, op, high, low, close, volume in zip(
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columns[0][: asof_idx + 1],
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columns[1][: asof_idx + 1],
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columns[2][: asof_idx + 1],
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columns[3][: asof_idx + 1],
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columns[4][: asof_idx + 1],
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columns[5][: asof_idx + 1],
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)
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]
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setups = self.bt._window_setups(
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records, self.recommendation_config, self.activation
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)
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setup = next((row for row in setups if row["direction"] == "long"), None)
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self.setup_cache[key] = setup
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return setup
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def __call__(
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self,
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symbol: str,
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stop_ord: int,
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active_stop: float,
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position: dict,
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bar: Any,
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) -> float | None:
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columns = self.prices[symbol]
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stop_idx = self.index_of[symbol].get(stop_ord)
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if stop_idx is None:
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stop_idx = bisect.bisect_left(columns[0], stop_ord)
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asof_idx = stop_idx - 1
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if asof_idx < self.bt.MIN_LOOKBACK - 1:
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return None
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asof_ord = columns[0][asof_idx]
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setup = self._long_setup(symbol, asof_idx)
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momentum_pct = self._momentum_percentiles(asof_ord).get(symbol)
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gate_passed = bool(
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setup is not None
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and self.bt._momentum_qualifies(
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{
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"meets_core": setup["meets_core"],
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"direction": "long",
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self.bt.PRODUCTION_PERCENTILE_KEY: momentum_pct,
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},
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self.threshold,
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)
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)
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new_stop = float(setup["stop"]) if gate_passed and setup is not None else None
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lower_stop = bool(new_stop is not None and new_stop < active_stop - 1e-9)
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original_risk = float(position["entry"] - position["initial_stop"])
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replacement_risk_r = (
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(float(position["entry"]) - new_stop) / original_risk
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if lower_stop and original_risk > 0 and new_stop is not None
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else None
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)
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self.events.append({
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"symbol": symbol,
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"stop_date": date.fromordinal(stop_ord).isoformat(),
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"gate_asof_date": date.fromordinal(asof_ord).isoformat(),
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"momentum_percentile": round(momentum_pct, 2)
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if momentum_pct is not None
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else None,
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"gate_core_passed": bool(setup and setup["meets_core"]),
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"gate_passed": gate_passed,
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"active_stop": round(active_stop, 4),
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"replacement_stop": round(new_stop, 4) if new_stop is not None else None,
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"lower_stop": lower_stop,
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"same_bar_survives": bool(lower_stop and bar.low > new_stop),
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"replacement_risk_r": round(replacement_risk_r, 3)
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if replacement_risk_r is not None
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else None,
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})
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return new_stop
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def _arm(label: str, sim: dict) -> dict:
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trade_details = sim.pop("trade_details", None)
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row = {"arm": label, **sim}
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if trade_details is not None:
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row["trade_details"] = trade_details
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return row
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def _rescued_trade_summary(trades: list[dict]) -> dict:
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rescued = [trade for trade in trades if trade.get("stop_refreshes", 0) > 0]
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rs = [float(trade["r"]) for trade in rescued]
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return {
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"trades": len(rescued),
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"wins": sum(value > 0 for value in rs),
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"win_rate": round(sum(value > 0 for value in rs) / len(rs) * 100.0, 1)
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if rs
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else None,
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"avg_r": round(sum(rs) / len(rs), 3) if rs else None,
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"total_r": round(sum(rs), 2) if rs else None,
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"worst_r": round(min(rs), 2) if rs else None,
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"best_r": round(max(rs), 2) if rs else None,
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"exit_reasons": dict(Counter(trade["reason"] for trade in rescued)),
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}
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async def _main() -> None:
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args = _parse_args()
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snapshot = Path(args.snapshot)
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if not snapshot.exists():
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raise SystemExit(f"Snapshot not found: {snapshot}")
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try:
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start_date = date.fromisoformat(args.start_date)
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except ValueError as exc:
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raise SystemExit("--start-date must use YYYY-MM-DD") from exc
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os.environ["BACKTEST_SNAPSHOT_OFFLINE"] = "1"
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os.environ["BACKTEST_ALLOW_SPAWN"] = "1"
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from app.models.ticker import Ticker
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from app.services import backtest_service as bt
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from app.services.admin_service import get_activation_config
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from app.services.paper_trade_service import get_exit_policy
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from app.services.recommendation_service import get_recommendation_config
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engine = create_async_engine(_sqlite_url(snapshot), pool_pre_ping=True)
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Session = async_sessionmaker(engine, class_=AsyncSession, expire_on_commit=False)
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try:
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async with Session() as db:
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recommendation_config = await get_recommendation_config(db)
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activation = await get_activation_config(db)
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exit_config = await get_exit_policy(db)
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benchmark_closes = await bt._load_benchmark_closes_for_backtest(
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db, days=None, refresh=False
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)
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ticker_result = await db.execute(select(Ticker).order_by(Ticker.symbol))
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symbols = [ticker.symbol for ticker in ticker_result.scalars().all()]
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prices: dict[str, tuple] = {}
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for index, symbol in enumerate(symbols, 1):
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columns = await bt._fetch_columns(db, symbol)
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if columns is not None:
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prices[symbol] = columns
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if not args.quiet and index % 50 == 0:
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print(f"loaded prices: {index}/{len(symbols)}", flush=True)
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finally:
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await engine.dispose()
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candidates: list[dict] = []
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workers = max(1, min(int(args.workers), multiprocessing.cpu_count() - 1))
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context = multiprocessing.get_context("spawn")
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with ProcessPoolExecutor(max_workers=workers, mp_context=context) as pool:
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futures = {
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pool.submit(
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bt._replay_candidates_for_period,
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symbol,
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columns,
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recommendation_config,
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activation,
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benchmark_closes,
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start_date,
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): symbol
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for symbol, columns in prices.items()
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}
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for index, future in enumerate(as_completed(futures), 1):
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candidates.extend(future.result())
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if not args.quiet and index % 25 == 0:
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print(f"replayed tickers: {index}/{len(futures)}", flush=True)
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bt._assign_momentum_percentiles(candidates)
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bt._assign_residual_momentum_percentiles(candidates)
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bt._assign_low_volatility_percentiles(candidates)
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bt._assign_activation_momentum_percentiles(candidates)
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bt._assign_residual_high_vol_blend(candidates)
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threshold = float(activation.get("min_momentum_percentile", 80.0))
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for candidate in candidates:
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candidate["qualified"] = bt._momentum_qualifies(candidate, threshold)
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strategy = next(
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row for row in bt.PORTFOLIO_MONITOR_STRATEGIES if row.get("is_production")
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)
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entry_config = bt._entry_variant_config(str(strategy["entry_variant"]))
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if entry_config is None:
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raise RuntimeError("Production entry configuration missing")
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exit_policy = bt.LIVE_EXIT_MODE_TO_SIM.get(
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str(exit_config.get("mode", "atr_trailing")), "atr_trail3"
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)
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hold_days = int(exit_config.get("hold_days", max(bt.TIME_EXIT_DAYS)))
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trail_multiplier = float(
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exit_config.get("atr_multiplier", bt.ATR_TRAIL_MULTIPLIER)
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)
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sim_kwargs = {
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"qualified_fn": None,
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"ranking_key": str(
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entry_config.get("ranking_key") or entry_config["percentile_key"]
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),
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"max_positions": int(entry_config["max_positions"]),
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"risk_per_trade": float(entry_config["risk_per_trade"]),
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"atr_trail_multiplier": trail_multiplier,
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"start_date": start_date,
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}
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baseline = bt._simulate_portfolio(
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candidates, prices, benchmark_closes, exit_policy, hold_days, **sim_kwargs
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)
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cooldown_5 = bt._simulate_portfolio(
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candidates,
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prices,
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benchmark_closes,
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exit_policy,
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hold_days,
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reentry_cooldown_sessions=5,
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**sim_kwargs,
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)
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cooldown_10 = bt._simulate_portfolio(
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candidates,
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prices,
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benchmark_closes,
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exit_policy,
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hold_days,
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reentry_cooldown_sessions=10,
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**sim_kwargs,
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)
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refresher = GateStopRefresher(
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prices, recommendation_config, activation, benchmark_closes
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)
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gate_protected = bt._simulate_portfolio(
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candidates,
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prices,
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benchmark_closes,
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exit_policy,
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hold_days,
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initial_stop_refresh_fn=refresher,
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include_trades=True,
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**sim_kwargs,
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)
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if any(row is None for row in (baseline, cooldown_5, cooldown_10, gate_protected)):
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raise RuntimeError("A study arm produced no trades")
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gate_trades = list(gate_protected.get("trade_details") or [])
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event_counts = Counter()
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for event in refresher.events:
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event_counts["stop_touches"] += 1
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if event["gate_passed"]:
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event_counts["gate_passed"] += 1
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if event["lower_stop"]:
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event_counts["lower_stop"] += 1
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if event["same_bar_survives"]:
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event_counts["same_bar_survives"] += 1
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report = {
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"generated_at": datetime.now().astimezone().isoformat(),
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"snapshot": str(snapshot.resolve()),
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"period_start": start_date.isoformat(),
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"tickers": len(prices),
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"entry_candidates": len(candidates),
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"qualified_candidates": sum(bool(row["qualified"]) for row in candidates),
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"params": {
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"entry_cadence_days": bt.STEP_DAYS,
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"setup_stop_atr_multiplier": bt.ATR_MULTIPLIER,
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"exit_policy": exit_policy,
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"exit_atr_multiplier": trail_multiplier,
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"hold_days": hold_days,
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"momentum_percentile_floor": threshold,
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"gate_refresh_information_cutoff": "previous close",
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},
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"arms": [
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_arm("baseline", baseline),
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_arm("cooldown_5", cooldown_5),
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_arm("cooldown_10", cooldown_10),
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_arm("gate_protected_stop", gate_protected),
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],
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"gate_stop_events": {
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**dict(event_counts),
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"unique_symbols": len({event["symbol"] for event in refresher.events}),
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"rescued_trade_outcomes": _rescued_trade_summary(gate_trades),
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"events": refresher.events,
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},
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"note": (
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"The gate-protected arm recalculates the gate at an initial-stop touch "
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"using only data available through the previous close. It accepts only "
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"a lower stop from a newly valid long setup and checks that replacement "
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"against the same bar. It does not cancel stops using the later same-day close."
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),
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}
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output = Path(args.out) if args.out else _default_output_path()
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output.parent.mkdir(parents=True, exist_ok=True)
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output.write_text(json.dumps(report, indent=2) + "\n", encoding="utf-8")
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print(f"Report written: {output}")
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for arm in report["arms"]:
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print(
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f"{arm['arm']}: Sharpe {arm['sharpe']}, CAGR {arm['cagr_pct']}%, "
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f"DD {arm['max_drawdown_pct']}%, trades {arm['trades']}"
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)
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print(f"gate stop events: {dict(event_counts)}")
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print(f"rescued outcomes: {report['gate_stop_events']['rescued_trade_outcomes']}")
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if __name__ == "__main__":
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asyncio.run(_main())
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