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Update backtest_engine.py
Browse files- backtest_engine.py +15 -29
backtest_engine.py
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@@ -1,5 +1,5 @@
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# ============================================================
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# 🧪 backtest_engine.py (V101.
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# ============================================================
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import asyncio
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@@ -31,13 +31,11 @@ class HeavyDutyBacktester:
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def __init__(self, data_manager, processor):
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self.dm = data_manager
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self.proc = processor
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# كثافة الشبكة للدخول (Titan/Structure)
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self.GRID_DENSITY = 6
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self.INITIAL_CAPITAL = 10.0
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self.TRADING_FEES = 0.001
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self.MAX_SLOTS = 4
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# القائمة الكاملة
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self.TARGET_COINS = [
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'SOL/USDT', 'XRP/USDT', 'DOGE/USDT', 'ADA/USDT', 'AVAX/USDT', 'LINK/USDT',
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'TON/USDT', 'INJ/USDT', 'APT/USDT', 'OP/USDT', 'ARB/USDT', 'SUI/USDT',
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@@ -54,18 +52,17 @@ class HeavyDutyBacktester:
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self.force_end_date = None
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if not os.path.exists(CACHE_DIR): os.makedirs(CACHE_DIR)
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print(f"🧪 [Backtest V101.
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def set_date_range(self, start_str, end_str):
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self.force_start_date = start_str
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self.force_end_date = end_str
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-
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-
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return df[['timestamp', 'open', 'high', 'low', 'close', 'volume']].values.tolist()
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# ==============================================================
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# ⚡ FAST DATA DOWNLOADER
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# ==============================================================
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async def _fetch_all_data_fast(self, sym, start_ms, end_ms):
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print(f" ⚡ [Network] Downloading {sym}...", flush=True)
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@@ -108,9 +105,6 @@ class HeavyDutyBacktester:
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print(f" ✅ Downloaded {len(unique_candles)} candles.", flush=True)
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return unique_candles
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# ==============================================================
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# 🏎️ VECTORIZED INDICATORS
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# ==============================================================
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def _calculate_indicators_vectorized(self, df):
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delta = df['close'].diff()
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gain = (delta.where(delta > 0, 0)).rolling(window=14).mean()
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@@ -130,9 +124,6 @@ class HeavyDutyBacktester:
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df.fillna(0, inplace=True)
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return df
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# ==============================================================
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# 🧠 CPU PROCESSING (WITH TWIN-GUARDIAN PROFILING)
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# ==============================================================
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async def _process_data_in_memory(self, sym, candles, start_ms, end_ms):
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safe_sym = sym.replace('/', '_')
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period_suffix = f"{start_ms}_{end_ms}"
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@@ -142,7 +133,7 @@ class HeavyDutyBacktester:
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print(f" 📂 [{sym}] Data Exists -> Skipping.")
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return
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print(f" ⚙️ [CPU] Analyzing {sym} (
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t0 = time.time()
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df_1m = pd.DataFrame(candles, columns=['timestamp', 'open', 'high', 'low', 'close', 'volume'])
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@@ -175,7 +166,6 @@ class HeavyDutyBacktester:
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ai_results = []
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valid_idx_5m = time_indices['5m']
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# --- L1 Logic Vectorized ---
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df_5m_aligned = frames['5m'].copy()
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df_1h_aligned = frames['1h'].reindex(frames['5m'].index, method='ffill')
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df_15m_aligned = frames['15m'].reindex(frames['5m'].index, method='ffill')
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@@ -208,7 +198,7 @@ class HeavyDutyBacktester:
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final_valid_indices = [t for t in valid_indices if t >= start_dt]
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total_hits = len(final_valid_indices)
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print(f" 🎯 Found {total_hits} signals.
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for i, current_time in enumerate(final_valid_indices):
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idx_1m = time_indices['1m'].searchsorted(current_time, side='right') - 1
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@@ -250,7 +240,7 @@ class HeavyDutyBacktester:
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if proc_res: real_titan = proc_res.get('titan_score', 0.5)
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except: pass
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# 🔥 RISK PROFILING
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max_hydra_crash = 0.0
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max_hydra_giveback = 0.0
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max_legacy_v2 = 0.0
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@@ -276,7 +266,6 @@ class HeavyDutyBacktester:
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future_5m_data = numpy_frames['5m'][idx_5m-300+1 : idx_5m+1].tolist()
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current_ts = int(numpy_frames['1m'][current_idx_1m][0])
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# 🐉 A. Check Hydra
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if self.proc.guardian_hydra:
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hydra_res = self.proc.guardian_hydra.analyze_position(sym, future_1m_data, future_5m_data, ohlcv_15m, trade_ctx)
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probs = hydra_res.get('probs', {})
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if probs.get('giveback', 0) > max_hydra_giveback: max_hydra_giveback = probs.get('giveback', 0)
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# 🕸️ B. Check Legacy
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if self.proc.guardian_legacy:
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legacy_res = self.proc.guardian_legacy.analyze_position(
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future_1m_data, future_5m_data, ohlcv_15m, current_price, volume_30m_usd=1000000
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@@ -323,9 +311,6 @@ class HeavyDutyBacktester:
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del numpy_frames, time_indices, df_1m, candles, frames
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gc.collect()
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# ==============================================================
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# PHASE 1: Main Loop
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# ==============================================================
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async def generate_truth_data(self):
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if self.force_start_date and self.force_end_date:
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dt_start = datetime.strptime(self.force_start_date, "%Y-%m-%d").replace(tzinfo=timezone.utc)
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@@ -348,9 +333,6 @@ class HeavyDutyBacktester:
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continue
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gc.collect()
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# ==============================================================
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# PHASE 2: Portfolio Digital Twin (✅ SMART DYNAMIC GRID)
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# ==============================================================
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@staticmethod
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def _worker_optimize(combinations_batch, scores_files, initial_capital, fees_pct, max_slots):
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results = []
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@@ -371,7 +353,6 @@ class HeavyDutyBacktester:
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for config in combinations_batch:
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wallet = { "balance": initial_capital, "allocated": 0.0, "positions": {}, "trades_history": [] }
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# Configs
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w_titan = config['w_titan']; w_struct = config['w_struct']; entry_thresh = config['thresh']
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hydra_thresh = config['hydra_thresh']
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legacy_thresh = config['legacy_thresh']
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w_struct_range = np.linspace(0.1, 0.6, num=self.GRID_DENSITY)
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thresh_range = np.linspace(0.20, 0.60, num=self.GRID_DENSITY)
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# ✅ Smart Dynamic Grid for Guardians (Controlled Density)
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GUARD_DENSITY = 4
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hydra_range = np.linspace(0.70, 0.95, num=GUARD_DENSITY)
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legacy_range = np.linspace(0.85, 0.98, num=GUARD_DENSITY)
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print(f" 🛡️ Guard: Hydra={best['config']['hydra_thresh']} | Legacy={best['config']['legacy_thresh']}")
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print("="*60)
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return best['config'], best
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async def run_strategic_optimization_task():
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print("\n🧪 [STRATEGIC BACKTEST] Smart Adaptive Grid Initiated...")
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r2 = R2Service()
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await dm.initialize()
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await proc.initialize()
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try:
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hub = AdaptiveHub(r2)
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await hub.initialize()
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best_config, best_stats = await optimizer.run_optimization(target_regime=target)
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if best_config and best_stats:
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hub.submit_challenger(target, best_config, best_stats)
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await hub._save_state_to_r2()
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hub._inject_current_parameters()
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print(f"✅ [System] ALL DNA Updated & Saved Successfully.")
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# ============================================================
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# 🧪 backtest_engine.py (V101.1 - GEM-Architect: Silent Mode)
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# ============================================================
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import asyncio
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def __init__(self, data_manager, processor):
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self.dm = data_manager
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self.proc = processor
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self.GRID_DENSITY = 6
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self.INITIAL_CAPITAL = 10.0
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self.TRADING_FEES = 0.001
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self.MAX_SLOTS = 4
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self.TARGET_COINS = [
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'SOL/USDT', 'XRP/USDT', 'DOGE/USDT', 'ADA/USDT', 'AVAX/USDT', 'LINK/USDT',
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'TON/USDT', 'INJ/USDT', 'APT/USDT', 'OP/USDT', 'ARB/USDT', 'SUI/USDT',
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self.force_end_date = None
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if not os.path.exists(CACHE_DIR): os.makedirs(CACHE_DIR)
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print(f"🧪 [Backtest V101.1] Smart Adaptive Grid (Silent Hydra).")
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def set_date_range(self, start_str, end_str):
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self.force_start_date = start_str
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self.force_end_date = end_str
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# ... (Rest of fetch and vector logic unchanged) ...
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# ... Keeping standard methods to save space ...
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# ==============================================================
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# ⚡ FAST DATA DOWNLOADER (Same as before)
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# ==============================================================
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async def _fetch_all_data_fast(self, sym, start_ms, end_ms):
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print(f" ⚡ [Network] Downloading {sym}...", flush=True)
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print(f" ✅ Downloaded {len(unique_candles)} candles.", flush=True)
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return unique_candles
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def _calculate_indicators_vectorized(self, df):
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delta = df['close'].diff()
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gain = (delta.where(delta > 0, 0)).rolling(window=14).mean()
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df.fillna(0, inplace=True)
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return df
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async def _process_data_in_memory(self, sym, candles, start_ms, end_ms):
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safe_sym = sym.replace('/', '_')
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period_suffix = f"{start_ms}_{end_ms}"
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print(f" 📂 [{sym}] Data Exists -> Skipping.")
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return
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print(f" ⚙️ [CPU] Analyzing {sym} (Silent Profiling)...", flush=True)
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t0 = time.time()
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df_1m = pd.DataFrame(candles, columns=['timestamp', 'open', 'high', 'low', 'close', 'volume'])
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ai_results = []
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valid_idx_5m = time_indices['5m']
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df_5m_aligned = frames['5m'].copy()
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df_1h_aligned = frames['1h'].reindex(frames['5m'].index, method='ffill')
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df_15m_aligned = frames['15m'].reindex(frames['5m'].index, method='ffill')
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final_valid_indices = [t for t in valid_indices if t >= start_dt]
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total_hits = len(final_valid_indices)
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print(f" 🎯 Found {total_hits} signals.", flush=True)
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for i, current_time in enumerate(final_valid_indices):
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idx_1m = time_indices['1m'].searchsorted(current_time, side='right') - 1
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if proc_res: real_titan = proc_res.get('titan_score', 0.5)
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except: pass
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# 🔥 RISK PROFILING
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max_hydra_crash = 0.0
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max_hydra_giveback = 0.0
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max_legacy_v2 = 0.0
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future_5m_data = numpy_frames['5m'][idx_5m-300+1 : idx_5m+1].tolist()
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current_ts = int(numpy_frames['1m'][current_idx_1m][0])
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if self.proc.guardian_hydra:
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hydra_res = self.proc.guardian_hydra.analyze_position(sym, future_1m_data, future_5m_data, ohlcv_15m, trade_ctx)
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probs = hydra_res.get('probs', {})
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if probs.get('giveback', 0) > max_hydra_giveback: max_hydra_giveback = probs.get('giveback', 0)
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if self.proc.guardian_legacy:
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legacy_res = self.proc.guardian_legacy.analyze_position(
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future_1m_data, future_5m_data, ohlcv_15m, current_price, volume_30m_usd=1000000
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del numpy_frames, time_indices, df_1m, candles, frames
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gc.collect()
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async def generate_truth_data(self):
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if self.force_start_date and self.force_end_date:
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dt_start = datetime.strptime(self.force_start_date, "%Y-%m-%d").replace(tzinfo=timezone.utc)
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continue
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gc.collect()
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@staticmethod
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def _worker_optimize(combinations_batch, scores_files, initial_capital, fees_pct, max_slots):
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results = []
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for config in combinations_batch:
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wallet = { "balance": initial_capital, "allocated": 0.0, "positions": {}, "trades_history": [] }
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w_titan = config['w_titan']; w_struct = config['w_struct']; entry_thresh = config['thresh']
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hydra_thresh = config['hydra_thresh']
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legacy_thresh = config['legacy_thresh']
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w_struct_range = np.linspace(0.1, 0.6, num=self.GRID_DENSITY)
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thresh_range = np.linspace(0.20, 0.60, num=self.GRID_DENSITY)
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GUARD_DENSITY = 4
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hydra_range = np.linspace(0.70, 0.95, num=GUARD_DENSITY)
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legacy_range = np.linspace(0.85, 0.98, num=GUARD_DENSITY)
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print(f" 🛡️ Guard: Hydra={best['config']['hydra_thresh']} | Legacy={best['config']['legacy_thresh']}")
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print("="*60)
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return best['config'], best
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async def run_strategic_optimization_task():
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print("\n🧪 [STRATEGIC BACKTEST] Smart Adaptive Grid Initiated...")
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r2 = R2Service()
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await dm.initialize()
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await proc.initialize()
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# ✅ Activate Silent Mode for Hydra during Backtest
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if proc.guardian_hydra:
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proc.guardian_hydra.set_silent_mode(True)
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print(" 🔇 [Hydra] Silent Mode: ACTIVATED for Backtest.")
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try:
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hub = AdaptiveHub(r2)
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await hub.initialize()
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best_config, best_stats = await optimizer.run_optimization(target_regime=target)
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if best_config and best_stats:
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hub.submit_challenger(target, best_config, best_stats)
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await hub._save_state_to_r2()
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hub._inject_current_parameters()
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print(f"✅ [System] ALL DNA Updated & Saved Successfully.")
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