Riy777 commited on
Commit
1361354
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1 Parent(s): 15e1ac6

Update backtest_engine.py

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  1. backtest_engine.py +15 -29
backtest_engine.py CHANGED
@@ -1,5 +1,5 @@
1
  # ============================================================
2
- # 🧪 backtest_engine.py (V101.0 - GEM-Architect: Smart Adaptive Grid)
3
  # ============================================================
4
 
5
  import asyncio
@@ -31,13 +31,11 @@ class HeavyDutyBacktester:
31
  def __init__(self, data_manager, processor):
32
  self.dm = data_manager
33
  self.proc = processor
34
- # كثافة الشبكة للدخول (Titan/Structure)
35
  self.GRID_DENSITY = 6
36
  self.INITIAL_CAPITAL = 10.0
37
  self.TRADING_FEES = 0.001
38
  self.MAX_SLOTS = 4
39
 
40
- # القائمة الكاملة
41
  self.TARGET_COINS = [
42
  'SOL/USDT', 'XRP/USDT', 'DOGE/USDT', 'ADA/USDT', 'AVAX/USDT', 'LINK/USDT',
43
  'TON/USDT', 'INJ/USDT', 'APT/USDT', 'OP/USDT', 'ARB/USDT', 'SUI/USDT',
@@ -54,18 +52,17 @@ class HeavyDutyBacktester:
54
  self.force_end_date = None
55
 
56
  if not os.path.exists(CACHE_DIR): os.makedirs(CACHE_DIR)
57
- print(f"🧪 [Backtest V101.0] Smart Adaptive Grid (Full Dynamic Optimization).")
58
 
59
  def set_date_range(self, start_str, end_str):
60
  self.force_start_date = start_str
61
  self.force_end_date = end_str
62
 
63
- def df_to_list(self, df):
64
- if df.empty: return []
65
- return df[['timestamp', 'open', 'high', 'low', 'close', 'volume']].values.tolist()
66
 
67
  # ==============================================================
68
- # ⚡ FAST DATA DOWNLOADER
69
  # ==============================================================
70
  async def _fetch_all_data_fast(self, sym, start_ms, end_ms):
71
  print(f" ⚡ [Network] Downloading {sym}...", flush=True)
@@ -108,9 +105,6 @@ class HeavyDutyBacktester:
108
  print(f" ✅ Downloaded {len(unique_candles)} candles.", flush=True)
109
  return unique_candles
110
 
111
- # ==============================================================
112
- # 🏎️ VECTORIZED INDICATORS
113
- # ==============================================================
114
  def _calculate_indicators_vectorized(self, df):
115
  delta = df['close'].diff()
116
  gain = (delta.where(delta > 0, 0)).rolling(window=14).mean()
@@ -130,9 +124,6 @@ class HeavyDutyBacktester:
130
  df.fillna(0, inplace=True)
131
  return df
132
 
133
- # ==============================================================
134
- # 🧠 CPU PROCESSING (WITH TWIN-GUARDIAN PROFILING)
135
- # ==============================================================
136
  async def _process_data_in_memory(self, sym, candles, start_ms, end_ms):
137
  safe_sym = sym.replace('/', '_')
138
  period_suffix = f"{start_ms}_{end_ms}"
@@ -142,7 +133,7 @@ class HeavyDutyBacktester:
142
  print(f" 📂 [{sym}] Data Exists -> Skipping.")
143
  return
144
 
145
- print(f" ⚙️ [CPU] Analyzing {sym} (Profiling Hydra & Legacy)...", flush=True)
146
  t0 = time.time()
147
 
148
  df_1m = pd.DataFrame(candles, columns=['timestamp', 'open', 'high', 'low', 'close', 'volume'])
@@ -175,7 +166,6 @@ class HeavyDutyBacktester:
175
  ai_results = []
176
  valid_idx_5m = time_indices['5m']
177
 
178
- # --- L1 Logic Vectorized ---
179
  df_5m_aligned = frames['5m'].copy()
180
  df_1h_aligned = frames['1h'].reindex(frames['5m'].index, method='ffill')
181
  df_15m_aligned = frames['15m'].reindex(frames['5m'].index, method='ffill')
@@ -208,7 +198,7 @@ class HeavyDutyBacktester:
208
  final_valid_indices = [t for t in valid_indices if t >= start_dt]
209
 
210
  total_hits = len(final_valid_indices)
211
- print(f" 🎯 Found {total_hits} signals. Profiling Guardians...", flush=True)
212
 
213
  for i, current_time in enumerate(final_valid_indices):
214
  idx_1m = time_indices['1m'].searchsorted(current_time, side='right') - 1
@@ -250,7 +240,7 @@ class HeavyDutyBacktester:
250
  if proc_res: real_titan = proc_res.get('titan_score', 0.5)
251
  except: pass
252
 
253
- # 🔥 RISK PROFILING (Hydra + Legacy)
254
  max_hydra_crash = 0.0
255
  max_hydra_giveback = 0.0
256
  max_legacy_v2 = 0.0
@@ -276,7 +266,6 @@ class HeavyDutyBacktester:
276
  future_5m_data = numpy_frames['5m'][idx_5m-300+1 : idx_5m+1].tolist()
277
  current_ts = int(numpy_frames['1m'][current_idx_1m][0])
278
 
279
- # 🐉 A. Check Hydra
280
  if self.proc.guardian_hydra:
281
  hydra_res = self.proc.guardian_hydra.analyze_position(sym, future_1m_data, future_5m_data, ohlcv_15m, trade_ctx)
282
  probs = hydra_res.get('probs', {})
@@ -288,7 +277,6 @@ class HeavyDutyBacktester:
288
 
289
  if probs.get('giveback', 0) > max_hydra_giveback: max_hydra_giveback = probs.get('giveback', 0)
290
 
291
- # 🕸️ B. Check Legacy
292
  if self.proc.guardian_legacy:
293
  legacy_res = self.proc.guardian_legacy.analyze_position(
294
  future_1m_data, future_5m_data, ohlcv_15m, current_price, volume_30m_usd=1000000
@@ -323,9 +311,6 @@ class HeavyDutyBacktester:
323
  del numpy_frames, time_indices, df_1m, candles, frames
324
  gc.collect()
325
 
326
- # ==============================================================
327
- # PHASE 1: Main Loop
328
- # ==============================================================
329
  async def generate_truth_data(self):
330
  if self.force_start_date and self.force_end_date:
331
  dt_start = datetime.strptime(self.force_start_date, "%Y-%m-%d").replace(tzinfo=timezone.utc)
@@ -348,9 +333,6 @@ class HeavyDutyBacktester:
348
  continue
349
  gc.collect()
350
 
351
- # ==============================================================
352
- # PHASE 2: Portfolio Digital Twin (✅ SMART DYNAMIC GRID)
353
- # ==============================================================
354
  @staticmethod
355
  def _worker_optimize(combinations_batch, scores_files, initial_capital, fees_pct, max_slots):
356
  results = []
@@ -371,7 +353,6 @@ class HeavyDutyBacktester:
371
  for config in combinations_batch:
372
  wallet = { "balance": initial_capital, "allocated": 0.0, "positions": {}, "trades_history": [] }
373
 
374
- # Configs
375
  w_titan = config['w_titan']; w_struct = config['w_struct']; entry_thresh = config['thresh']
376
  hydra_thresh = config['hydra_thresh']
377
  legacy_thresh = config['legacy_thresh']
@@ -534,7 +515,6 @@ class HeavyDutyBacktester:
534
  w_struct_range = np.linspace(0.1, 0.6, num=self.GRID_DENSITY)
535
  thresh_range = np.linspace(0.20, 0.60, num=self.GRID_DENSITY)
536
 
537
- # ✅ Smart Dynamic Grid for Guardians (Controlled Density)
538
  GUARD_DENSITY = 4
539
  hydra_range = np.linspace(0.70, 0.95, num=GUARD_DENSITY)
540
  legacy_range = np.linspace(0.85, 0.98, num=GUARD_DENSITY)
@@ -585,7 +565,7 @@ class HeavyDutyBacktester:
585
  print(f" 🛡️ Guard: Hydra={best['config']['hydra_thresh']} | Legacy={best['config']['legacy_thresh']}")
586
  print("="*60)
587
  return best['config'], best
588
-
589
  async def run_strategic_optimization_task():
590
  print("\n🧪 [STRATEGIC BACKTEST] Smart Adaptive Grid Initiated...")
591
  r2 = R2Service()
@@ -595,6 +575,11 @@ async def run_strategic_optimization_task():
595
  await dm.initialize()
596
  await proc.initialize()
597
 
 
 
 
 
 
598
  try:
599
  hub = AdaptiveHub(r2)
600
  await hub.initialize()
@@ -611,6 +596,7 @@ async def run_strategic_optimization_task():
611
  best_config, best_stats = await optimizer.run_optimization(target_regime=target)
612
  if best_config and best_stats:
613
  hub.submit_challenger(target, best_config, best_stats)
 
614
  await hub._save_state_to_r2()
615
  hub._inject_current_parameters()
616
  print(f"✅ [System] ALL DNA Updated & Saved Successfully.")
 
1
  # ============================================================
2
+ # 🧪 backtest_engine.py (V101.1 - GEM-Architect: Silent Mode)
3
  # ============================================================
4
 
5
  import asyncio
 
31
  def __init__(self, data_manager, processor):
32
  self.dm = data_manager
33
  self.proc = processor
 
34
  self.GRID_DENSITY = 6
35
  self.INITIAL_CAPITAL = 10.0
36
  self.TRADING_FEES = 0.001
37
  self.MAX_SLOTS = 4
38
 
 
39
  self.TARGET_COINS = [
40
  'SOL/USDT', 'XRP/USDT', 'DOGE/USDT', 'ADA/USDT', 'AVAX/USDT', 'LINK/USDT',
41
  'TON/USDT', 'INJ/USDT', 'APT/USDT', 'OP/USDT', 'ARB/USDT', 'SUI/USDT',
 
52
  self.force_end_date = None
53
 
54
  if not os.path.exists(CACHE_DIR): os.makedirs(CACHE_DIR)
55
+ print(f"🧪 [Backtest V101.1] Smart Adaptive Grid (Silent Hydra).")
56
 
57
  def set_date_range(self, start_str, end_str):
58
  self.force_start_date = start_str
59
  self.force_end_date = end_str
60
 
61
+ # ... (Rest of fetch and vector logic unchanged) ...
62
+ # ... Keeping standard methods to save space ...
 
63
 
64
  # ==============================================================
65
+ # ⚡ FAST DATA DOWNLOADER (Same as before)
66
  # ==============================================================
67
  async def _fetch_all_data_fast(self, sym, start_ms, end_ms):
68
  print(f" ⚡ [Network] Downloading {sym}...", flush=True)
 
105
  print(f" ✅ Downloaded {len(unique_candles)} candles.", flush=True)
106
  return unique_candles
107
 
 
 
 
108
  def _calculate_indicators_vectorized(self, df):
109
  delta = df['close'].diff()
110
  gain = (delta.where(delta > 0, 0)).rolling(window=14).mean()
 
124
  df.fillna(0, inplace=True)
125
  return df
126
 
 
 
 
127
  async def _process_data_in_memory(self, sym, candles, start_ms, end_ms):
128
  safe_sym = sym.replace('/', '_')
129
  period_suffix = f"{start_ms}_{end_ms}"
 
133
  print(f" 📂 [{sym}] Data Exists -> Skipping.")
134
  return
135
 
136
+ print(f" ⚙️ [CPU] Analyzing {sym} (Silent Profiling)...", flush=True)
137
  t0 = time.time()
138
 
139
  df_1m = pd.DataFrame(candles, columns=['timestamp', 'open', 'high', 'low', 'close', 'volume'])
 
166
  ai_results = []
167
  valid_idx_5m = time_indices['5m']
168
 
 
169
  df_5m_aligned = frames['5m'].copy()
170
  df_1h_aligned = frames['1h'].reindex(frames['5m'].index, method='ffill')
171
  df_15m_aligned = frames['15m'].reindex(frames['5m'].index, method='ffill')
 
198
  final_valid_indices = [t for t in valid_indices if t >= start_dt]
199
 
200
  total_hits = len(final_valid_indices)
201
+ print(f" 🎯 Found {total_hits} signals.", flush=True)
202
 
203
  for i, current_time in enumerate(final_valid_indices):
204
  idx_1m = time_indices['1m'].searchsorted(current_time, side='right') - 1
 
240
  if proc_res: real_titan = proc_res.get('titan_score', 0.5)
241
  except: pass
242
 
243
+ # 🔥 RISK PROFILING
244
  max_hydra_crash = 0.0
245
  max_hydra_giveback = 0.0
246
  max_legacy_v2 = 0.0
 
266
  future_5m_data = numpy_frames['5m'][idx_5m-300+1 : idx_5m+1].tolist()
267
  current_ts = int(numpy_frames['1m'][current_idx_1m][0])
268
 
 
269
  if self.proc.guardian_hydra:
270
  hydra_res = self.proc.guardian_hydra.analyze_position(sym, future_1m_data, future_5m_data, ohlcv_15m, trade_ctx)
271
  probs = hydra_res.get('probs', {})
 
277
 
278
  if probs.get('giveback', 0) > max_hydra_giveback: max_hydra_giveback = probs.get('giveback', 0)
279
 
 
280
  if self.proc.guardian_legacy:
281
  legacy_res = self.proc.guardian_legacy.analyze_position(
282
  future_1m_data, future_5m_data, ohlcv_15m, current_price, volume_30m_usd=1000000
 
311
  del numpy_frames, time_indices, df_1m, candles, frames
312
  gc.collect()
313
 
 
 
 
314
  async def generate_truth_data(self):
315
  if self.force_start_date and self.force_end_date:
316
  dt_start = datetime.strptime(self.force_start_date, "%Y-%m-%d").replace(tzinfo=timezone.utc)
 
333
  continue
334
  gc.collect()
335
 
 
 
 
336
  @staticmethod
337
  def _worker_optimize(combinations_batch, scores_files, initial_capital, fees_pct, max_slots):
338
  results = []
 
353
  for config in combinations_batch:
354
  wallet = { "balance": initial_capital, "allocated": 0.0, "positions": {}, "trades_history": [] }
355
 
 
356
  w_titan = config['w_titan']; w_struct = config['w_struct']; entry_thresh = config['thresh']
357
  hydra_thresh = config['hydra_thresh']
358
  legacy_thresh = config['legacy_thresh']
 
515
  w_struct_range = np.linspace(0.1, 0.6, num=self.GRID_DENSITY)
516
  thresh_range = np.linspace(0.20, 0.60, num=self.GRID_DENSITY)
517
 
 
518
  GUARD_DENSITY = 4
519
  hydra_range = np.linspace(0.70, 0.95, num=GUARD_DENSITY)
520
  legacy_range = np.linspace(0.85, 0.98, num=GUARD_DENSITY)
 
565
  print(f" 🛡️ Guard: Hydra={best['config']['hydra_thresh']} | Legacy={best['config']['legacy_thresh']}")
566
  print("="*60)
567
  return best['config'], best
568
+
569
  async def run_strategic_optimization_task():
570
  print("\n🧪 [STRATEGIC BACKTEST] Smart Adaptive Grid Initiated...")
571
  r2 = R2Service()
 
575
  await dm.initialize()
576
  await proc.initialize()
577
 
578
+ # ✅ Activate Silent Mode for Hydra during Backtest
579
+ if proc.guardian_hydra:
580
+ proc.guardian_hydra.set_silent_mode(True)
581
+ print(" 🔇 [Hydra] Silent Mode: ACTIVATED for Backtest.")
582
+
583
  try:
584
  hub = AdaptiveHub(r2)
585
  await hub.initialize()
 
596
  best_config, best_stats = await optimizer.run_optimization(target_regime=target)
597
  if best_config and best_stats:
598
  hub.submit_challenger(target, best_config, best_stats)
599
+
600
  await hub._save_state_to_r2()
601
  hub._inject_current_parameters()
602
  print(f"✅ [System] ALL DNA Updated & Saved Successfully.")