#!/usr/bin/env python3 """Run the backtest with TRAINED models (loads saved model weights). Usage: python scripts/run_backtest_trained.py --data data/parquet/BTCUSDT_2021-05-19.parquet python scripts/run_backtest_trained.py --data data/parquet/LUNAUSDT_2022-05-10.parquet """ import argparse import logging import sys from pathlib import Path ML_DIR = Path(__file__).resolve().parent.parent / "ml" sys.path.insert(0, str(ML_DIR)) PROJECT_ROOT = Path(__file__).resolve().parent.parent sys.path.insert(0, str(PROJECT_ROOT)) from flash_crash_watchdog.cascade import DetectionCascade from flash_crash_watchdog.data.historical_loader import load_parquet from flash_crash_watchdog.eval.backtest import run_backtest from flash_crash_watchdog.models.stage2_isolation_forest import Stage2IsolationForest from flash_crash_watchdog.models.stage3_tcn import Stage3TCN, TCNConfig def main() -> int: parser = argparse.ArgumentParser(description="Run backtest with trained models") parser.add_argument("--data", required=True, help="Parquet file of crash data") parser.add_argument("--config", default="configs/pipeline.yml") parser.add_argument("--models", default="models/", help="Directory with trained models") parser.add_argument("--output", default="results/backtest_trained.json") parser.add_argument("--max-ticks", type=int, default=0, help="Max ticks to process (0 = all, for speed use 500000)") args = parser.parse_args() logging.basicConfig(level=logging.INFO, format="%(asctime)s %(levelname)s %(message)s") # Load cascade cascade = DetectionCascade.from_config(args.config) # Load trained models if they exist models_dir = Path(args.models) stage2_path = models_dir / "stage2_isolation_forest.joblib" stage3_path = models_dir / "stage3_tcn.pt" if stage2_path.exists(): logger.info("Loading trained Stage 2 from %s", stage2_path) cascade.s2.load(stage2_path) else: logger.warning("No trained Stage 2 found at %s — using untrained fallback", stage2_path) if stage3_path.exists(): logger.info("Loading trained Stage 3 from %s", stage3_path) cascade.s3.load(stage3_path) else: logger.warning("No trained Stage 3 found at %s — using untrained fallback", stage3_path) # Load data df = load_parquet(args.data) if args.max_ticks > 0 and len(df) > args.max_ticks: logger.info("Sampling down to %d ticks (from %d) for speed", args.max_ticks, len(df)) indices = range(0, len(df), len(df) // args.max_ticks) df = df.iloc[indices[:args.max_ticks]].copy() # Run backtest results = run_backtest(cascade, df) results.print_summary() output_path = Path(args.output) output_path.parent.mkdir(parents=True, exist_ok=True) results.save(output_path) return 0 if __name__ == "__main__": raise SystemExit(main())