Spaces:
Paused
Paused
Update ml_engine/processor.py
Browse files- ml_engine/processor.py +656 -359
ml_engine/processor.py
CHANGED
|
@@ -1,393 +1,690 @@
|
|
| 1 |
# ============================================================
|
| 2 |
-
#
|
| 3 |
# ============================================================
|
| 4 |
|
| 5 |
import asyncio
|
| 6 |
-
import
|
|
|
|
|
|
|
|
|
|
| 7 |
import logging
|
|
|
|
| 8 |
import os
|
|
|
|
| 9 |
import sys
|
| 10 |
-
import
|
| 11 |
-
from
|
| 12 |
-
|
| 13 |
-
# --- استيراد المحركات (كما هي) ---
|
| 14 |
-
try: from .titan_engine import TitanEngine
|
| 15 |
-
except ImportError: TitanEngine = None
|
| 16 |
-
try: from .patterns import ChartPatternAnalyzer
|
| 17 |
-
except ImportError: ChartPatternAnalyzer = None
|
| 18 |
-
try: from .monte_carlo import MonteCarloEngine
|
| 19 |
-
except ImportError: MonteCarloEngine = None
|
| 20 |
-
try: from .oracle_engine import OracleEngine
|
| 21 |
-
except ImportError: OracleEngine = None
|
| 22 |
-
try: from .sniper_engine import SniperEngine
|
| 23 |
-
except ImportError: SniperEngine = None
|
| 24 |
-
try: from .hybrid_guardian import HybridDeepSteward
|
| 25 |
-
except ImportError: HybridDeepSteward = None
|
| 26 |
-
try: from .guardian_hydra import GuardianHydra
|
| 27 |
-
except ImportError: GuardianHydra = None
|
| 28 |
|
| 29 |
-
|
| 30 |
-
|
| 31 |
-
|
| 32 |
-
|
| 33 |
-
|
| 34 |
-
|
| 35 |
-
|
| 36 |
-
|
| 37 |
-
|
| 38 |
-
MODEL_V2_PATH = os.path.join(BASE_DIR, "ml_models", "DeepSteward_V2_Production.json")
|
| 39 |
-
MODEL_V3_PATH = os.path.join(BASE_DIR, "ml_models", "DeepSteward_V3_Production.json")
|
| 40 |
-
MODEL_V3_FEAT = os.path.join(BASE_DIR, "ml_models", "DeepSteward_V3_Features.json")
|
| 41 |
|
| 42 |
-
|
| 43 |
-
|
| 44 |
-
# ============================================================
|
| 45 |
-
class SystemLimits:
|
| 46 |
-
"""
|
| 47 |
-
GEM-Architect: The Dynamic Constitution.
|
| 48 |
-
يتم تحديث هذه القيم آلياً بواسطة AdaptiveHub بناءً على حالة السوق (Bull/Bear/etc).
|
| 49 |
-
"""
|
| 50 |
-
|
| 51 |
-
# --- Layer 1 (Data Manager Control) ---
|
| 52 |
-
L1_MIN_AFFINITY_SCORE = 15.0 # سيتم الكتابة عليها من الـ DNA
|
| 53 |
-
|
| 54 |
-
# --- Layer 2 Weights (Dynamic) ---
|
| 55 |
-
# هذه الأوزان تتغير حسب أداء النماذج (Tactical Loop) وحالة السوق
|
| 56 |
-
L2_WEIGHT_TITAN = 0.40
|
| 57 |
-
L2_WEIGHT_PATTERNS = 0.30
|
| 58 |
-
L2_WEIGHT_MC = 0.10
|
| 59 |
-
# (Hydra/Sniper قد يساهمون في L2 أو L4 حسب التصميم)
|
| 60 |
-
|
| 61 |
-
# إعدادات الأنماط (تتغير حسب الاستراتيجية)
|
| 62 |
-
PATTERN_TF_WEIGHTS = {'15m': 0.40, '1h': 0.30, '5m': 0.20, '4h': 0.10, '1d': 0.00}
|
| 63 |
-
PATTERN_THRESH_BULLISH = 0.60
|
| 64 |
-
PATTERN_THRESH_BEARISH = 0.40
|
| 65 |
-
|
| 66 |
-
# --- Layer 3 (Oracle) ---
|
| 67 |
-
L3_CONFIDENCE_THRESHOLD = 0.65
|
| 68 |
-
L3_WHALE_IMPACT_MAX = 0.10
|
| 69 |
-
L3_NEWS_IMPACT_MAX = 0.05
|
| 70 |
-
L3_MC_ADVANCED_MAX = 0.10
|
| 71 |
-
|
| 72 |
-
# --- Layer 4 (Sniper & Execution) ---
|
| 73 |
-
L4_ENTRY_THRESHOLD = 0.40
|
| 74 |
-
# أوزان داخلية لـ Sniper (ML vs OrderBook)
|
| 75 |
-
L4_WEIGHT_ML = 0.60
|
| 76 |
-
L4_WEIGHT_OB = 0.40
|
| 77 |
-
# نسبة الجدار المسموح بها (تتغير جذرياً بين Bull و Bear)
|
| 78 |
-
L4_OB_WALL_RATIO = 0.40
|
| 79 |
-
|
| 80 |
-
# --- Layer 0: Hydra & Guardian Thresholds ---
|
| 81 |
-
HYDRA_CRASH_THRESH = 0.60
|
| 82 |
-
HYDRA_GIVEBACK_THRESH = 0.70
|
| 83 |
-
HYDRA_STAGNATION_THRESH = 0.50
|
| 84 |
-
|
| 85 |
-
# Legacy Guard Thresholds
|
| 86 |
-
LEGACY_V2_PANIC_THRESH = 0.95
|
| 87 |
-
LEGACY_V3_HARD_THRESH = 0.95
|
| 88 |
-
LEGACY_V3_SOFT_THRESH = 0.85
|
| 89 |
-
LEGACY_V3_ULTRA_THRESH = 0.98
|
| 90 |
-
|
| 91 |
-
@classmethod
|
| 92 |
-
def to_dict(cls) -> Dict[str, Any]:
|
| 93 |
-
return {k: v for k, v in cls.__dict__.items() if not k.startswith('__') and not callable(v)}
|
| 94 |
-
|
| 95 |
-
@classmethod
|
| 96 |
-
def update_from_dict(cls, config: Dict[str, Any]):
|
| 97 |
-
"""تحديث القيم من AdaptiveHub"""
|
| 98 |
-
if not config: return
|
| 99 |
-
for k, v in config.items():
|
| 100 |
-
if hasattr(cls, k):
|
| 101 |
-
setattr(cls, k, v)
|
| 102 |
-
# print(f"🔄 [SystemLimits] Updated. TitanW={cls.L2_WEIGHT_TITAN:.2f}, WallRatio={cls.L4_OB_WALL_RATIO}")
|
| 103 |
|
| 104 |
-
|
| 105 |
-
|
| 106 |
-
|
| 107 |
-
|
| 108 |
-
def __init__(self, data_manager=None):
|
| 109 |
-
self.data_manager = data_manager
|
| 110 |
-
self.initialized = False
|
| 111 |
|
| 112 |
-
|
| 113 |
-
|
| 114 |
-
|
| 115 |
-
|
| 116 |
-
self.
|
| 117 |
|
| 118 |
-
self.
|
| 119 |
-
|
| 120 |
-
|
| 121 |
-
|
| 122 |
-
self.
|
| 123 |
-
|
| 124 |
-
|
| 125 |
-
|
| 126 |
-
|
| 127 |
-
|
| 128 |
-
|
| 129 |
-
|
| 130 |
-
print(f"
|
| 131 |
-
|
| 132 |
-
|
| 133 |
-
|
| 134 |
-
|
| 135 |
-
|
| 136 |
-
|
| 137 |
-
|
| 138 |
-
|
| 139 |
-
|
| 140 |
-
|
| 141 |
-
|
| 142 |
-
|
| 143 |
-
|
| 144 |
-
|
| 145 |
-
|
| 146 |
-
|
| 147 |
-
|
| 148 |
-
|
| 149 |
-
|
| 150 |
-
|
| 151 |
-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 152 |
|
| 153 |
-
if
|
| 154 |
-
# التكوين الأولي
|
| 155 |
-
if hasattr(self.sniper, 'configure_settings'):
|
| 156 |
-
self.sniper.configure_settings(
|
| 157 |
-
threshold=SystemLimits.L4_ENTRY_THRESHOLD,
|
| 158 |
-
wall_ratio=SystemLimits.L4_OB_WALL_RATIO,
|
| 159 |
-
w_ml=SystemLimits.L4_WEIGHT_ML,
|
| 160 |
-
w_ob=SystemLimits.L4_WEIGHT_OB
|
| 161 |
-
)
|
| 162 |
-
tasks.append(self.sniper.initialize())
|
| 163 |
|
| 164 |
-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 165 |
|
| 166 |
-
|
| 167 |
-
|
| 168 |
-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 169 |
|
| 170 |
-
|
| 171 |
-
|
| 172 |
-
|
| 173 |
-
|
| 174 |
-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 175 |
|
| 176 |
-
|
| 177 |
-
|
| 178 |
-
|
| 179 |
-
|
| 180 |
-
|
| 181 |
-
|
| 182 |
-
)
|
| 183 |
-
|
| 184 |
-
|
| 185 |
-
|
| 186 |
-
|
| 187 |
-
|
| 188 |
-
|
| 189 |
-
|
| 190 |
-
|
| 191 |
-
|
| 192 |
-
|
| 193 |
-
|
| 194 |
-
|
| 195 |
-
|
| 196 |
-
|
| 197 |
-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 198 |
|
| 199 |
-
|
| 200 |
-
|
| 201 |
-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 202 |
|
| 203 |
-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 204 |
|
| 205 |
-
|
| 206 |
-
|
| 207 |
-
score_titan = 0.5
|
| 208 |
-
titan_res = {}
|
| 209 |
-
if self.titan:
|
| 210 |
-
titan_res = await asyncio.to_thread(self.titan.predict, ohlcv_data)
|
| 211 |
-
score_titan = titan_res.get('score', 0.5)
|
| 212 |
-
|
| 213 |
-
# 2. Pattern Engine (Inject Dynamic Config First)
|
| 214 |
-
score_patterns = 0.5
|
| 215 |
-
pattern_res = {}
|
| 216 |
-
pattern_name = "Neutral"
|
| 217 |
-
if self.pattern_engine:
|
| 218 |
-
# تحديث التكوين قبل التحليل لضمان استخدام أحدث أوزان الاستراتيجية
|
| 219 |
-
self.pattern_engine.configure_thresholds(
|
| 220 |
-
weights=SystemLimits.PATTERN_TF_WEIGHTS,
|
| 221 |
-
bull_thresh=SystemLimits.PATTERN_THRESH_BULLISH,
|
| 222 |
-
bear_thresh=SystemLimits.PATTERN_THRESH_BEARISH
|
| 223 |
-
)
|
| 224 |
-
pattern_res = await self.pattern_engine.detect_chart_patterns(ohlcv_data)
|
| 225 |
-
score_patterns = pattern_res.get('pattern_confidence', 0.5)
|
| 226 |
-
pattern_name = pattern_res.get('pattern_detected', 'Neutral')
|
| 227 |
-
|
| 228 |
-
# 3. Monte Carlo (Light)
|
| 229 |
-
mc_score = 0.5
|
| 230 |
-
if self.mc_analyzer and '1h' in ohlcv_data:
|
| 231 |
-
closes = [c[4] for c in ohlcv_data['1h']]
|
| 232 |
-
raw_mc = self.mc_analyzer.run_light_check(closes)
|
| 233 |
-
mc_score = 0.5 + (raw_mc * 5.0)
|
| 234 |
-
mc_score = max(0.0, min(1.0, mc_score))
|
| 235 |
-
|
| 236 |
-
# 4. Hybrid Calculation (Using Dynamic Weights from SystemLimits)
|
| 237 |
-
# هذه الأوزان يتم تحديثها بواسطة AdaptiveHub
|
| 238 |
-
w_titan = SystemLimits.L2_WEIGHT_TITAN
|
| 239 |
-
w_patt = SystemLimits.L2_WEIGHT_PATTERNS
|
| 240 |
-
w_mc = SystemLimits.L2_WEIGHT_MC
|
| 241 |
|
| 242 |
-
#
|
| 243 |
-
|
| 244 |
-
|
|
|
|
|
|
|
|
|
|
| 245 |
|
| 246 |
-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 247 |
|
| 248 |
-
|
| 249 |
-
|
| 250 |
-
|
| 251 |
-
|
| 252 |
-
|
| 253 |
-
|
| 254 |
-
|
| 255 |
-
|
| 256 |
-
|
| 257 |
-
'patterns_score': score_patterns,
|
| 258 |
-
'mc_score': mc_score
|
| 259 |
-
},
|
| 260 |
-
'pattern_name': pattern_name,
|
| 261 |
-
'ohlcv': ohlcv_data,
|
| 262 |
-
'titan_details': titan_res,
|
| 263 |
-
'pattern_details': pattern_res.get('details', {})
|
| 264 |
-
}
|
| 265 |
-
except Exception as e:
|
| 266 |
-
print(f"❌ [Processor] Error processing {symbol}: {e}")
|
| 267 |
-
return None
|
| 268 |
-
|
| 269 |
-
async def consult_oracle(self, symbol_data: Dict[str, Any]) -> Dict[str, Any]:
|
| 270 |
-
"""
|
| 271 |
-
L3 Processing:
|
| 272 |
-
Oracle يستخدم العتبة الحالية من SystemLimits.
|
| 273 |
-
"""
|
| 274 |
-
if not self.initialized: await self.initialize()
|
| 275 |
-
|
| 276 |
-
if self.oracle:
|
| 277 |
-
# تحديث العتبة ديناميكياً
|
| 278 |
-
if hasattr(self.oracle, 'set_threshold'):
|
| 279 |
-
self.oracle.set_threshold(SystemLimits.L3_CONFIDENCE_THRESHOLD)
|
| 280 |
-
|
| 281 |
-
decision = await self.oracle.predict(symbol_data)
|
| 282 |
-
conf = decision.get('confidence', 0.0)
|
| 283 |
|
| 284 |
-
#
|
| 285 |
-
|
| 286 |
-
|
| 287 |
-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 288 |
|
| 289 |
-
|
| 290 |
-
|
| 291 |
-
|
| 292 |
-
|
| 293 |
-
"""
|
| 294 |
-
L4 Processing:
|
| 295 |
-
Sniper يستلم إعدادات دفتر الطلبات (DNA) قبل اتخاذ القرار.
|
| 296 |
-
"""
|
| 297 |
-
if not self.initialized: await self.initialize()
|
| 298 |
-
|
| 299 |
-
if self.sniper:
|
| 300 |
-
# ✅ الحقن الديناميكي لإعدادات Sniper قبل التنفيذ
|
| 301 |
-
if hasattr(self.sniper, 'configure_settings'):
|
| 302 |
-
self.sniper.configure_settings(
|
| 303 |
-
threshold=SystemLimits.L4_ENTRY_THRESHOLD,
|
| 304 |
-
wall_ratio=SystemLimits.L4_OB_WALL_RATIO,
|
| 305 |
-
w_ml=SystemLimits.L4_WEIGHT_ML,
|
| 306 |
-
w_ob=SystemLimits.L4_WEIGHT_OB
|
| 307 |
-
)
|
| 308 |
|
| 309 |
-
|
|
|
|
|
|
|
| 310 |
|
| 311 |
-
|
| 312 |
-
|
| 313 |
-
|
| 314 |
-
|
| 315 |
-
|
| 316 |
-
|
| 317 |
-
|
| 318 |
-
|
| 319 |
-
|
| 320 |
-
|
| 321 |
-
|
| 322 |
-
|
| 323 |
-
|
| 324 |
-
|
| 325 |
-
|
| 326 |
-
p_giveback = h_probs.get('giveback', 0.0)
|
| 327 |
|
| 328 |
-
|
| 329 |
-
|
| 330 |
-
|
| 331 |
-
|
| 332 |
-
hydra_result['reason'] = f"Hydra Crash Risk {p_crash:.2f}"
|
| 333 |
-
elif p_giveback >= SystemLimits.HYDRA_GIVEBACK_THRESH:
|
| 334 |
-
hydra_result['action'] = 'EXIT_SOFT'
|
| 335 |
-
hydra_result['reason'] = f"Hydra Giveback Risk {p_giveback:.2f}"
|
| 336 |
|
| 337 |
-
#
|
| 338 |
-
|
| 339 |
-
|
| 340 |
-
|
| 341 |
-
|
| 342 |
-
|
| 343 |
-
|
| 344 |
-
|
| 345 |
-
|
| 346 |
-
|
| 347 |
-
|
| 348 |
-
|
| 349 |
-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 350 |
|
| 351 |
-
|
| 352 |
-
|
| 353 |
-
order_book=order_book_snapshot,
|
| 354 |
-
volume_30m_usd=vol_30m
|
| 355 |
-
)
|
| 356 |
-
|
| 357 |
-
# 3. Final Arbitration & Display
|
| 358 |
-
h_probs = hydra_result.get('probs', {})
|
| 359 |
-
l_scores = legacy_result.get('scores', {})
|
| 360 |
|
| 361 |
-
|
| 362 |
-
|
| 363 |
-
|
| 364 |
-
|
| 365 |
-
l_v3 = l_scores.get('v3', 0.0)
|
| 366 |
|
| 367 |
-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 368 |
|
| 369 |
-
|
| 370 |
-
|
|
|
|
| 371 |
|
| 372 |
-
|
| 373 |
-
|
| 374 |
-
|
| 375 |
-
|
| 376 |
-
|
| 377 |
-
|
| 378 |
-
|
| 379 |
-
|
| 380 |
-
|
| 381 |
-
|
| 382 |
-
|
| 383 |
-
|
| 384 |
-
|
| 385 |
-
|
| 386 |
-
|
| 387 |
-
|
| 388 |
-
|
| 389 |
-
|
| 390 |
-
|
| 391 |
-
|
| 392 |
-
|
| 393 |
-
|
|
|
|
|
|
|
|
|
|
|
|
| 1 |
# ============================================================
|
| 2 |
+
# 🧪 backtest_engine.py (V115.0 - GEM-Architect: Full Grid Density)
|
| 3 |
# ============================================================
|
| 4 |
|
| 5 |
import asyncio
|
| 6 |
+
import pandas as pd
|
| 7 |
+
import numpy as np
|
| 8 |
+
import pandas_ta as ta
|
| 9 |
+
import time
|
| 10 |
import logging
|
| 11 |
+
import itertools
|
| 12 |
import os
|
| 13 |
+
import gc
|
| 14 |
import sys
|
| 15 |
+
import traceback
|
| 16 |
+
from datetime import datetime, timezone
|
| 17 |
+
from typing import Dict, Any, List
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 18 |
|
| 19 |
+
try:
|
| 20 |
+
from ml_engine.processor import MLProcessor, SystemLimits
|
| 21 |
+
from ml_engine.data_manager import DataManager
|
| 22 |
+
from learning_hub.adaptive_hub import StrategyDNA, AdaptiveHub
|
| 23 |
+
from r2 import R2Service
|
| 24 |
+
import ccxt.async_support as ccxt
|
| 25 |
+
import xgboost as xgb
|
| 26 |
+
except ImportError:
|
| 27 |
+
pass
|
|
|
|
|
|
|
|
|
|
| 28 |
|
| 29 |
+
logging.getLogger('ml_engine').setLevel(logging.WARNING)
|
| 30 |
+
CACHE_DIR = "backtest_real_scores"
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 31 |
|
| 32 |
+
class HeavyDutyBacktester:
|
| 33 |
+
def __init__(self, data_manager, processor):
|
| 34 |
+
self.dm = data_manager
|
| 35 |
+
self.proc = processor
|
|
|
|
|
|
|
|
|
|
| 36 |
|
| 37 |
+
# 🎛️ GRID DENSITY CONTROL
|
| 38 |
+
# 3 = Low (243 Scenarios) - Fast
|
| 39 |
+
# 4 = Med (1024 Scenarios) - Balanced
|
| 40 |
+
# 5 = High (3125 Scenarios) - Deep Search
|
| 41 |
+
self.GRID_DENSITY = 3
|
| 42 |
|
| 43 |
+
self.INITIAL_CAPITAL = 10.0
|
| 44 |
+
self.TRADING_FEES = 0.001
|
| 45 |
+
self.MAX_SLOTS = 4
|
| 46 |
+
|
| 47 |
+
self.TARGET_COINS = [
|
| 48 |
+
'SOL/USDT', 'XRP/USDT', 'DOGE/USDT'
|
| 49 |
+
]
|
| 50 |
+
|
| 51 |
+
self.force_start_date = None
|
| 52 |
+
self.force_end_date = None
|
| 53 |
+
|
| 54 |
+
if not os.path.exists(CACHE_DIR): os.makedirs(CACHE_DIR)
|
| 55 |
+
print(f"🧪 [Backtest V115.0] Grid Density: {self.GRID_DENSITY} | Full Stack Optimization.")
|
| 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 |
+
# ==============================================================
|
| 62 |
+
# ⚡ FAST DATA DOWNLOADER
|
| 63 |
+
# ==============================================================
|
| 64 |
+
async def _fetch_all_data_fast(self, sym, start_ms, end_ms):
|
| 65 |
+
print(f" ⚡ [Network] Downloading {sym}...", flush=True)
|
| 66 |
+
limit = 1000
|
| 67 |
+
duration_per_batch = limit * 60 * 1000
|
| 68 |
+
tasks = []
|
| 69 |
+
current = start_ms
|
| 70 |
+
while current < end_ms:
|
| 71 |
+
tasks.append(current)
|
| 72 |
+
current += duration_per_batch
|
| 73 |
+
all_candles = []
|
| 74 |
+
sem = asyncio.Semaphore(10)
|
| 75 |
+
|
| 76 |
+
async def _fetch_batch(timestamp):
|
| 77 |
+
async with sem:
|
| 78 |
+
for _ in range(3):
|
| 79 |
+
try:
|
| 80 |
+
return await self.dm.exchange.fetch_ohlcv(sym, '1m', since=timestamp, limit=limit)
|
| 81 |
+
except: await asyncio.sleep(1)
|
| 82 |
+
return []
|
| 83 |
+
|
| 84 |
+
chunk_size = 20
|
| 85 |
+
for i in range(0, len(tasks), chunk_size):
|
| 86 |
+
chunk_tasks = tasks[i:i + chunk_size]
|
| 87 |
+
futures = [_fetch_batch(ts) for ts in chunk_tasks]
|
| 88 |
+
results = await asyncio.gather(*futures)
|
| 89 |
+
for res in results:
|
| 90 |
+
if res: all_candles.extend(res)
|
| 91 |
+
|
| 92 |
+
if not all_candles: return None
|
| 93 |
+
filtered = [c for c in all_candles if c[0] >= start_ms and c[0] <= end_ms]
|
| 94 |
+
seen = set(); unique_candles = []
|
| 95 |
+
for c in filtered:
|
| 96 |
+
if c[0] not in seen:
|
| 97 |
+
unique_candles.append(c)
|
| 98 |
+
seen.add(c[0])
|
| 99 |
+
unique_candles.sort(key=lambda x: x[0])
|
| 100 |
+
print(f" ✅ Downloaded {len(unique_candles)} candles.", flush=True)
|
| 101 |
+
return unique_candles
|
| 102 |
+
|
| 103 |
+
# ==============================================================
|
| 104 |
+
# 🏎️ VECTORIZED INDICATORS
|
| 105 |
+
# ==============================================================
|
| 106 |
+
def _calculate_indicators_vectorized(self, df, timeframe='1m'):
|
| 107 |
+
df['close'] = df['close'].astype(float)
|
| 108 |
+
df['high'] = df['high'].astype(float)
|
| 109 |
+
df['low'] = df['low'].astype(float)
|
| 110 |
+
df['volume'] = df['volume'].astype(float)
|
| 111 |
+
df['open'] = df['open'].astype(float)
|
| 112 |
+
|
| 113 |
+
df['rsi'] = ta.rsi(df['close'], length=14)
|
| 114 |
+
df['ema20'] = ta.ema(df['close'], length=20)
|
| 115 |
+
df['ema50'] = ta.ema(df['close'], length=50)
|
| 116 |
+
df['atr'] = ta.atr(df['high'], df['low'], df['close'], length=14)
|
| 117 |
+
|
| 118 |
+
if timeframe == '1m':
|
| 119 |
+
sma20 = df['close'].rolling(20).mean()
|
| 120 |
+
std20 = df['close'].rolling(20).std()
|
| 121 |
+
df['bb_width'] = ((sma20 + 2*std20) - (sma20 - 2*std20)) / sma20
|
| 122 |
+
df['vol_ma50'] = df['volume'].rolling(50).mean()
|
| 123 |
+
df['rel_vol'] = df['volume'] / (df['vol_ma50'] + 1e-9)
|
| 124 |
+
|
| 125 |
+
df['slope'] = ta.slope(df['close'], length=7)
|
| 126 |
+
vol_mean = df['volume'].rolling(20).mean()
|
| 127 |
+
vol_std = df['volume'].rolling(20).std()
|
| 128 |
+
df['vol_z'] = (df['volume'] - vol_mean) / (vol_std + 1e-9)
|
| 129 |
+
df['atr_pct'] = df['atr'] / df['close']
|
| 130 |
+
|
| 131 |
+
if timeframe == '1m':
|
| 132 |
+
df['ret'] = df['close'].pct_change()
|
| 133 |
+
df['dollar_vol'] = df['close'] * df['volume']
|
| 134 |
+
df['amihud'] = (df['ret'].abs() / df['dollar_vol'].replace(0, np.nan)).fillna(0)
|
| 135 |
+
dp = df['close'].diff()
|
| 136 |
+
roll_cov = dp.rolling(64).cov(dp.shift(1))
|
| 137 |
+
df['roll_spread'] = (2 * np.sqrt(np.maximum(0, -roll_cov))).fillna(0)
|
| 138 |
+
sign = np.sign(df['close'].diff()).fillna(0)
|
| 139 |
+
df['signed_vol'] = sign * df['volume']
|
| 140 |
+
df['ofi'] = df['signed_vol'].rolling(30).sum().fillna(0)
|
| 141 |
+
buy_vol = (sign > 0) * df['volume']
|
| 142 |
+
sell_vol = (sign < 0) * df['volume']
|
| 143 |
+
imb = (buy_vol.rolling(60).sum() - sell_vol.rolling(60).sum()).abs()
|
| 144 |
+
tot = df['volume'].rolling(60).sum()
|
| 145 |
+
df['vpin'] = (imb / tot.replace(0, np.nan)).fillna(0)
|
| 146 |
+
vwap = (df['close'] * df['volume']).rolling(20).sum() / df['volume'].rolling(20).sum()
|
| 147 |
+
df['vwap_dev'] = (df['close'] - vwap).fillna(0)
|
| 148 |
+
df['rv_gk'] = (np.log(df['high'] / df['low'])**2) / 2 - (2 * np.log(2) - 1) * (np.log(df['close'] / df['open'])**2)
|
| 149 |
+
df['return_1m'] = df['ret']
|
| 150 |
+
df['return_5m'] = df['close'].pct_change(5)
|
| 151 |
+
df['return_15m'] = df['close'].pct_change(15)
|
| 152 |
+
r = df['volume'].rolling(500).mean()
|
| 153 |
+
s = df['volume'].rolling(500).std()
|
| 154 |
+
df['vol_zscore_50'] = ((df['volume'] - r) / s).fillna(0)
|
| 155 |
+
|
| 156 |
+
df['log_ret'] = np.log(df['close'] / df['close'].shift(1))
|
| 157 |
+
roll_max = df['high'].rolling(50).max()
|
| 158 |
+
roll_min = df['low'].rolling(50).min()
|
| 159 |
+
diff = (roll_max - roll_min).replace(0, 1e-9)
|
| 160 |
+
df['fib_pos'] = (df['close'] - roll_min) / diff
|
| 161 |
+
df['trend_slope'] = (df['ema20'] - df['ema20'].shift(5)) / df['ema20'].shift(5)
|
| 162 |
+
df['volatility'] = df['atr'] / df['close']
|
| 163 |
+
fib618 = roll_max - (diff * 0.382)
|
| 164 |
+
df['dist_fib618'] = (df['close'] - fib618) / df['close']
|
| 165 |
+
df['dist_ema50'] = (df['close'] - df['ema50']) / df['close']
|
| 166 |
+
df['ema200'] = ta.ema(df['close'], length=200)
|
| 167 |
+
df['dist_ema200'] = (df['close'] - df['ema200']) / df['close']
|
| 168 |
+
|
| 169 |
+
# Lags for V2
|
| 170 |
+
if timeframe == '1m':
|
| 171 |
+
for lag in [1, 2, 3, 5, 10, 20]:
|
| 172 |
+
df[f'log_ret_lag_{lag}'] = df['log_ret'].shift(lag).fillna(0)
|
| 173 |
+
df[f'rsi_lag_{lag}'] = (df['rsi'].shift(lag).fillna(50) / 100.0)
|
| 174 |
+
df[f'fib_pos_lag_{lag}'] = df['fib_pos'].shift(lag).fillna(0.5)
|
| 175 |
+
df[f'volatility_lag_{lag}'] = df['volatility'].shift(lag).fillna(0)
|
| 176 |
+
|
| 177 |
+
df.fillna(0, inplace=True)
|
| 178 |
+
return df
|
| 179 |
+
|
| 180 |
+
# ==============================================================
|
| 181 |
+
# 🧠 CPU PROCESSING (PRE-INFERENCE OPTIMIZED)
|
| 182 |
+
# ==============================================================
|
| 183 |
+
async def _process_data_in_memory(self, sym, candles, start_ms, end_ms):
|
| 184 |
+
safe_sym = sym.replace('/', '_')
|
| 185 |
+
period_suffix = f"{start_ms}_{end_ms}"
|
| 186 |
+
scores_file = f"{CACHE_DIR}/{safe_sym}_{period_suffix}_scores.pkl"
|
| 187 |
+
|
| 188 |
+
if os.path.exists(scores_file):
|
| 189 |
+
print(f" 📂 [{sym}] Data Exists -> Skipping.")
|
| 190 |
+
return
|
| 191 |
+
|
| 192 |
+
print(f" ⚙️ [CPU] Analyzing {sym} (Global Pre-Inference)...", flush=True)
|
| 193 |
+
t0 = time.time()
|
| 194 |
+
|
| 195 |
+
df_1m = pd.DataFrame(candles, columns=['timestamp', 'open', 'high', 'low', 'close', 'volume'])
|
| 196 |
+
df_1m['datetime'] = pd.to_datetime(df_1m['timestamp'], unit='ms')
|
| 197 |
+
df_1m.set_index('datetime', inplace=True)
|
| 198 |
+
df_1m = df_1m.sort_index()
|
| 199 |
+
|
| 200 |
+
frames = {}
|
| 201 |
+
agg_dict = {'open': 'first', 'high': 'max', 'low': 'min', 'close': 'last', 'volume': 'sum'}
|
| 202 |
+
|
| 203 |
+
# 1. Calc 1m
|
| 204 |
+
frames['1m'] = self._calculate_indicators_vectorized(df_1m.copy(), timeframe='1m')
|
| 205 |
+
frames['1m']['timestamp'] = frames['1m'].index.floor('1min').astype(np.int64) // 10**6
|
| 206 |
+
fast_1m = {col: frames['1m'][col].values for col in frames['1m'].columns}
|
| 207 |
+
|
| 208 |
+
# 2. Calc HTF
|
| 209 |
+
numpy_htf = {}
|
| 210 |
+
for tf_str, tf_code in [('5m', '5T'), ('15m', '15T'), ('1h', '1h'), ('4h', '4h'), ('1d', '1D')]:
|
| 211 |
+
resampled = df_1m.resample(tf_code).agg(agg_dict).dropna()
|
| 212 |
+
resampled = self._calculate_indicators_vectorized(resampled, timeframe=tf_str)
|
| 213 |
+
resampled['timestamp'] = resampled.index.astype(np.int64) // 10**6
|
| 214 |
+
frames[tf_str] = resampled
|
| 215 |
+
numpy_htf[tf_str] = {col: resampled[col].values for col in resampled.columns}
|
| 216 |
+
|
| 217 |
+
# 3. Global Index Maps
|
| 218 |
+
map_1m_to_1h = np.searchsorted(numpy_htf['1h']['timestamp'], fast_1m['timestamp'])
|
| 219 |
+
map_1m_to_5m = np.searchsorted(numpy_htf['5m']['timestamp'], fast_1m['timestamp'])
|
| 220 |
+
map_1m_to_15m = np.searchsorted(numpy_htf['15m']['timestamp'], fast_1m['timestamp'])
|
| 221 |
+
|
| 222 |
+
# Clip
|
| 223 |
+
max_idx_1h = len(numpy_htf['1h']['timestamp']) - 1
|
| 224 |
+
max_idx_5m = len(numpy_htf['5m']['timestamp']) - 1
|
| 225 |
+
max_idx_15m = len(numpy_htf['15m']['timestamp']) - 1
|
| 226 |
+
|
| 227 |
+
map_1m_to_1h = np.clip(map_1m_to_1h, 0, max_idx_1h)
|
| 228 |
+
map_1m_to_5m = np.clip(map_1m_to_5m, 0, max_idx_5m)
|
| 229 |
+
map_1m_to_15m = np.clip(map_1m_to_15m, 0, max_idx_15m)
|
| 230 |
+
|
| 231 |
+
# 4. Load Models
|
| 232 |
+
hydra_models = getattr(self.proc.guardian_hydra, 'models', {}) if self.proc.guardian_hydra else {}
|
| 233 |
+
hydra_cols = getattr(self.proc.guardian_hydra, 'feature_cols', []) if self.proc.guardian_hydra else []
|
| 234 |
+
legacy_v2 = getattr(self.proc.guardian_legacy, 'model_v2', None)
|
| 235 |
+
|
| 236 |
+
# 5. 🔥 PRE-CALCULATE LEGACY V2 (GLOBAL) 🔥
|
| 237 |
+
global_v2_probs = np.zeros(len(fast_1m['close']))
|
| 238 |
+
|
| 239 |
+
if legacy_v2:
|
| 240 |
+
print(f" 🚀 Pre-calculating Legacy V2 for entire history...", flush=True)
|
| 241 |
+
try:
|
| 242 |
+
# 1m Feats
|
| 243 |
+
l_log = fast_1m['log_ret']
|
| 244 |
+
l_rsi = fast_1m['rsi'] / 100.0
|
| 245 |
+
l_fib = fast_1m['fib_pos']
|
| 246 |
+
l_vol = fast_1m['volatility']
|
| 247 |
+
|
| 248 |
+
# HTF Feats Mapped to 1m
|
| 249 |
+
l5_log = numpy_htf['5m']['log_ret'][map_1m_to_5m]
|
| 250 |
+
l5_rsi = numpy_htf['5m']['rsi'][map_1m_to_5m] / 100.0
|
| 251 |
+
l5_fib = numpy_htf['5m']['fib_pos'][map_1m_to_5m]
|
| 252 |
+
l5_trd = numpy_htf['5m']['trend_slope'][map_1m_to_5m]
|
| 253 |
+
|
| 254 |
+
l15_log = numpy_htf['15m']['log_ret'][map_1m_to_15m]
|
| 255 |
+
l15_rsi = numpy_htf['15m']['rsi'][map_1m_to_15m] / 100.0
|
| 256 |
+
l15_fib618 = numpy_htf['15m']['dist_fib618'][map_1m_to_15m]
|
| 257 |
+
l15_trd = numpy_htf['15m']['trend_slope'][map_1m_to_15m]
|
| 258 |
+
|
| 259 |
+
# Lags
|
| 260 |
+
lag_cols = []
|
| 261 |
+
for lag in [1, 2, 3, 5, 10, 20]:
|
| 262 |
+
lag_cols.append(fast_1m[f'log_ret_lag_{lag}'])
|
| 263 |
+
lag_cols.append(fast_1m[f'rsi_lag_{lag}'])
|
| 264 |
+
lag_cols.append(fast_1m[f'fib_pos_lag_{lag}'])
|
| 265 |
+
lag_cols.append(fast_1m[f'volatility_lag_{lag}'])
|
| 266 |
+
|
| 267 |
+
# Huge Matrix
|
| 268 |
+
X_GLOBAL_V2 = np.column_stack([
|
| 269 |
+
l_log, l_rsi, l_fib, l_vol,
|
| 270 |
+
l5_log, l5_rsi, l5_fib, l5_trd,
|
| 271 |
+
l15_log, l15_rsi, l15_fib618, l15_trd,
|
| 272 |
+
*lag_cols
|
| 273 |
+
])
|
| 274 |
+
|
| 275 |
+
# Predict All in One Go
|
| 276 |
+
dm_glob = xgb.DMatrix(X_GLOBAL_V2)
|
| 277 |
+
preds_glob = legacy_v2.predict(dm_glob)
|
| 278 |
+
global_v2_probs = preds_glob[:, 2] if len(preds_glob.shape) > 1 else preds_glob
|
| 279 |
+
|
| 280 |
+
except Exception as e: print(f"V2 Error: {e}")
|
| 281 |
+
|
| 282 |
+
# 6. 🔥 PRE-ASSEMBLE HYDRA STATIC (GLOBAL) 🔥
|
| 283 |
+
global_hydra_static = None
|
| 284 |
+
if hydra_models:
|
| 285 |
+
print(f" 🚀 Pre-assembling Hydra features...", flush=True)
|
| 286 |
+
try:
|
| 287 |
+
# Map columns that don't depend on PnL
|
| 288 |
+
h_rsi_1m = fast_1m['rsi']
|
| 289 |
+
h_rsi_5m = numpy_htf['5m']['rsi'][map_1m_to_5m]
|
| 290 |
+
h_rsi_15m = numpy_htf['15m']['rsi'][map_1m_to_15m]
|
| 291 |
+
h_bb = fast_1m['bb_width']
|
| 292 |
+
h_vol = fast_1m['rel_vol']
|
| 293 |
+
h_atr = fast_1m['atr']
|
| 294 |
+
h_close = fast_1m['close']
|
| 295 |
+
|
| 296 |
+
global_hydra_static = np.column_stack([h_rsi_1m, h_rsi_5m, h_rsi_15m, h_bb, h_vol, h_atr, h_close])
|
| 297 |
+
except: pass
|
| 298 |
+
|
| 299 |
+
# 7. Candidate Filtering
|
| 300 |
+
df_1h = frames['1h'].reindex(frames['5m'].index, method='ffill')
|
| 301 |
+
df_5m = frames['5m'].copy()
|
| 302 |
+
is_valid = (df_1h['rsi'] <= 70)
|
| 303 |
+
valid_indices = df_5m[is_valid].index
|
| 304 |
+
start_dt = df_1m.index[0] + pd.Timedelta(minutes=500)
|
| 305 |
+
final_valid_indices = [t for t in valid_indices if t >= start_dt]
|
| 306 |
+
|
| 307 |
+
total_signals = len(final_valid_indices)
|
| 308 |
+
print(f" 🎯 Candidates: {total_signals}. Running Models...", flush=True)
|
| 309 |
+
|
| 310 |
+
oracle_dir_model = getattr(self.proc.oracle, 'model_direction', None)
|
| 311 |
+
oracle_cols = getattr(self.proc.oracle, 'feature_cols', [])
|
| 312 |
+
sniper_models = getattr(self.proc.sniper, 'models', [])
|
| 313 |
+
sniper_cols = getattr(self.proc.sniper, 'feature_names', [])
|
| 314 |
+
|
| 315 |
+
ai_results = []
|
| 316 |
+
|
| 317 |
+
# Pre-allocate Hydra time vector (0 to 240)
|
| 318 |
+
time_vec = np.arange(1, 241)
|
| 319 |
+
|
| 320 |
+
# --- MAIN LOOP (Optimized Lookups) ---
|
| 321 |
+
for i, current_time in enumerate(final_valid_indices):
|
| 322 |
+
ts_val = int(current_time.timestamp() * 1000)
|
| 323 |
+
idx_1m = np.searchsorted(fast_1m['timestamp'], ts_val)
|
| 324 |
|
| 325 |
+
if idx_1m < 500 or idx_1m >= len(fast_1m['close']) - 245: continue
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 326 |
|
| 327 |
+
idx_1h = map_1m_to_1h[idx_1m]
|
| 328 |
+
idx_15m = map_1m_to_15m[idx_1m]
|
| 329 |
+
idx_4h = np.searchsorted(numpy_htf['4h']['timestamp'], ts_val)
|
| 330 |
+
if idx_4h >= len(numpy_htf['4h']['close']): idx_4h = len(numpy_htf['4h']['close']) - 1
|
| 331 |
+
|
| 332 |
+
# === Oracle (Single Call) ===
|
| 333 |
+
oracle_conf = 0.5
|
| 334 |
+
if oracle_dir_model:
|
| 335 |
+
o_vec = []
|
| 336 |
+
for col in oracle_cols:
|
| 337 |
+
val = 0.0
|
| 338 |
+
if col.startswith('1h_'): val = numpy_htf['1h'].get(col[3:], [0])[idx_1h]
|
| 339 |
+
elif col.startswith('15m_'): val = numpy_htf['15m'].get(col[4:], [0])[idx_15m]
|
| 340 |
+
elif col.startswith('4h_'): val = numpy_htf['4h'].get(col[3:], [0])[idx_4h]
|
| 341 |
+
elif col == 'sim_titan_score': val = 0.6
|
| 342 |
+
elif col == 'sim_mc_score': val = 0.5
|
| 343 |
+
elif col == 'sim_pattern_score': val = 0.5
|
| 344 |
+
o_vec.append(val)
|
| 345 |
+
try:
|
| 346 |
+
o_pred = oracle_dir_model.predict(np.array(o_vec).reshape(1, -1))[0]
|
| 347 |
+
oracle_conf = float(o_pred[0]) if isinstance(o_pred, (list, np.ndarray)) else float(o_pred)
|
| 348 |
+
if oracle_conf < 0.5: oracle_conf = 1 - oracle_conf
|
| 349 |
+
except: pass
|
| 350 |
|
| 351 |
+
# === Sniper (Single Call) ===
|
| 352 |
+
sniper_score = 0.5
|
| 353 |
+
if sniper_models:
|
| 354 |
+
s_vec = []
|
| 355 |
+
for col in sniper_cols:
|
| 356 |
+
if col in fast_1m: s_vec.append(fast_1m[col][idx_1m])
|
| 357 |
+
elif col == 'L_score': s_vec.append(fast_1m.get('vol_zscore_50', [0])[idx_1m])
|
| 358 |
+
else: s_vec.append(0.0)
|
| 359 |
+
try:
|
| 360 |
+
s_preds = [m.predict(np.array(s_vec).reshape(1, -1))[0] for m in sniper_models]
|
| 361 |
+
sniper_score = np.mean(s_preds)
|
| 362 |
+
except: pass
|
| 363 |
+
|
| 364 |
+
# === RISK SIMULATION (ULTRA FAST) ===
|
| 365 |
+
start_idx = idx_1m + 1
|
| 366 |
+
end_idx = start_idx + 240
|
| 367 |
|
| 368 |
+
# 1. LEGACY V2 (Instant Lookup)
|
| 369 |
+
max_legacy_v2 = 0.0; legacy_panic_time = 0
|
| 370 |
+
if legacy_v2:
|
| 371 |
+
# Just slice the pre-calculated array!
|
| 372 |
+
probs_slice = global_v2_probs[start_idx:end_idx]
|
| 373 |
+
max_legacy_v2 = np.max(probs_slice)
|
| 374 |
+
panic_indices = np.where(probs_slice > 0.8)[0]
|
| 375 |
+
if len(panic_indices) > 0:
|
| 376 |
+
legacy_panic_time = int(fast_1m['timestamp'][start_idx + panic_indices[0]])
|
| 377 |
+
|
| 378 |
+
# 2. HYDRA (Semi-Vectorized)
|
| 379 |
+
max_hydra_crash = 0.0; hydra_crash_time = 0
|
| 380 |
+
if hydra_models and global_hydra_static is not None:
|
| 381 |
+
# Slice Static Feats
|
| 382 |
+
sl_static = global_hydra_static[start_idx:end_idx]
|
| 383 |
|
| 384 |
+
entry_price = fast_1m['close'][idx_1m]
|
| 385 |
+
sl_close = sl_static[:, 6]
|
| 386 |
+
sl_atr = sl_static[:, 5]
|
| 387 |
+
|
| 388 |
+
# Calc Dynamic Feats
|
| 389 |
+
sl_dist = 1.5 * sl_atr
|
| 390 |
+
sl_dist = np.where(sl_dist > 0, sl_dist, entry_price * 0.015)
|
| 391 |
+
|
| 392 |
+
sl_pnl = sl_close - entry_price
|
| 393 |
+
sl_norm_pnl = sl_pnl / sl_dist
|
| 394 |
+
|
| 395 |
+
sl_cum_max = np.maximum.accumulate(sl_close)
|
| 396 |
+
sl_cum_max = np.maximum(sl_cum_max, entry_price)
|
| 397 |
+
sl_max_pnl_r = (sl_cum_max - entry_price) / sl_dist
|
| 398 |
+
|
| 399 |
+
sl_atr_pct = sl_atr / sl_close
|
| 400 |
+
|
| 401 |
+
zeros = np.zeros(240)
|
| 402 |
+
oracle_arr = np.full(240, oracle_conf)
|
| 403 |
+
l2_arr = np.full(240, 0.7)
|
| 404 |
+
target_arr = np.full(240, 3.0)
|
| 405 |
+
|
| 406 |
+
X_hydra = np.column_stack([
|
| 407 |
+
sl_static[:, 0], sl_static[:, 1], sl_static[:, 2], # RSIs
|
| 408 |
+
sl_static[:, 3], sl_static[:, 4], # BB, Vol
|
| 409 |
+
zeros, # dist_ema
|
| 410 |
+
sl_atr_pct, sl_norm_pnl, sl_max_pnl_r,
|
| 411 |
+
zeros, zeros, # dists
|
| 412 |
+
time_vec, # time
|
| 413 |
+
zeros, oracle_arr, l2_arr, target_arr
|
| 414 |
+
])
|
| 415 |
+
|
| 416 |
+
try:
|
| 417 |
+
probs_crash = hydra_models['crash'].predict_proba(X_hydra)[:, 1]
|
| 418 |
+
max_hydra_crash = np.max(probs_crash)
|
| 419 |
+
crash_indices = np.where(probs_crash > 0.6)[0]
|
| 420 |
+
if len(crash_indices) > 0:
|
| 421 |
+
hydra_crash_time = int(fast_1m['timestamp'][start_idx + crash_indices[0]])
|
| 422 |
+
except: pass
|
| 423 |
+
|
| 424 |
+
ai_results.append({
|
| 425 |
+
'timestamp': ts_val, 'symbol': sym, 'close': entry_price,
|
| 426 |
+
'real_titan': 0.6, # Placeholder for real Titan score if available
|
| 427 |
+
'oracle_conf': oracle_conf,
|
| 428 |
+
'sniper_score': sniper_score,
|
| 429 |
+
'risk_hydra_crash': max_hydra_crash,
|
| 430 |
+
'time_hydra_crash': hydra_crash_time,
|
| 431 |
+
'risk_legacy_v2': max_legacy_v2,
|
| 432 |
+
'time_legacy_panic': legacy_panic_time,
|
| 433 |
+
'signal_type': 'BREAKOUT',
|
| 434 |
+
'l1_score': 50.0
|
| 435 |
+
})
|
| 436 |
|
| 437 |
+
dt = time.time() - t0
|
| 438 |
+
if ai_results:
|
| 439 |
+
pd.DataFrame(ai_results).to_pickle(scores_file)
|
| 440 |
+
print(f" ✅ [{sym}] Completed {len(ai_results)} signals in {dt:.2f} seconds.", flush=True)
|
| 441 |
+
else:
|
| 442 |
+
print(f" ⚠️ [{sym}] No valid signals. Time: {dt:.2f}s", flush=True)
|
| 443 |
+
|
| 444 |
+
del frames, fast_1m, numpy_htf, global_v2_probs, global_hydra_static
|
| 445 |
+
gc.collect()
|
| 446 |
+
|
| 447 |
+
# ==============================================================
|
| 448 |
+
# PHASE 1 & 2 (Enhanced with Consensus Analytics)
|
| 449 |
+
# ==============================================================
|
| 450 |
+
async def generate_truth_data(self):
|
| 451 |
+
if self.force_start_date and self.force_end_date:
|
| 452 |
+
dt_start = datetime.strptime(self.force_start_date, "%Y-%m-%d").replace(tzinfo=timezone.utc)
|
| 453 |
+
dt_end = datetime.strptime(self.force_end_date, "%Y-%m-%d").replace(tzinfo=timezone.utc)
|
| 454 |
+
start_time_ms = int(dt_start.timestamp() * 1000)
|
| 455 |
+
end_time_ms = int(dt_end.timestamp() * 1000)
|
| 456 |
+
print(f"\n🚜 [Phase 1] Processing Era: {self.force_start_date} -> {self.force_end_date}")
|
| 457 |
+
else: return
|
| 458 |
|
| 459 |
+
for sym in self.TARGET_COINS:
|
| 460 |
+
try:
|
| 461 |
+
candles = await self._fetch_all_data_fast(sym, start_time_ms, end_time_ms)
|
| 462 |
+
if candles: await self._process_data_in_memory(sym, candles, start_time_ms, end_time_ms)
|
| 463 |
+
except Exception as e: print(f" ❌ SKIP {sym}: {e}", flush=True)
|
| 464 |
+
gc.collect()
|
| 465 |
+
|
| 466 |
+
@staticmethod
|
| 467 |
+
def _worker_optimize(combinations_batch, scores_files, initial_capital, fees_pct, max_slots):
|
| 468 |
+
results = []
|
| 469 |
+
all_data = []
|
| 470 |
+
for fp in scores_files:
|
| 471 |
+
try:
|
| 472 |
+
df = pd.read_pickle(fp)
|
| 473 |
+
if not df.empty: all_data.append(df)
|
| 474 |
+
except: pass
|
| 475 |
+
if not all_data: return []
|
| 476 |
+
global_df = pd.concat(all_data)
|
| 477 |
+
global_df.sort_values('timestamp', inplace=True)
|
| 478 |
+
grouped_by_time = global_df.groupby('timestamp')
|
| 479 |
|
| 480 |
+
for config in combinations_batch:
|
| 481 |
+
wallet = { "balance": initial_capital, "allocated": 0.0, "positions": {}, "trades_history": [] }
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 482 |
|
| 483 |
+
# Param Extraction
|
| 484 |
+
oracle_thresh = config.get('oracle_thresh', 0.6)
|
| 485 |
+
sniper_thresh = config.get('sniper_thresh', 0.4)
|
| 486 |
+
hydra_thresh = config['hydra_thresh']
|
| 487 |
+
# Titan & Pattern weights are in config but not used for hard filtering here,
|
| 488 |
+
# they are optimized for the DNA output.
|
| 489 |
|
| 490 |
+
peak_balance = initial_capital; max_drawdown = 0.0
|
| 491 |
+
|
| 492 |
+
for ts, group in grouped_by_time:
|
| 493 |
+
active = list(wallet["positions"].keys())
|
| 494 |
+
current_prices = {row['symbol']: row['close'] for _, row in group.iterrows()}
|
| 495 |
+
for sym in active:
|
| 496 |
+
if sym in current_prices:
|
| 497 |
+
curr = current_prices[sym]
|
| 498 |
+
pos = wallet["positions"][sym]
|
| 499 |
+
h_risk = pos.get('risk_hydra_crash', 0)
|
| 500 |
+
h_time = pos.get('time_hydra_crash', 0)
|
| 501 |
+
is_crash = (h_risk > hydra_thresh) and (h_time > 0) and (ts >= h_time)
|
| 502 |
+
pnl = (curr - pos['entry']) / pos['entry']
|
| 503 |
+
if is_crash or pnl > 0.04 or pnl < -0.02:
|
| 504 |
+
wallet['balance'] += pos['size'] * (1 + pnl - (fees_pct*2))
|
| 505 |
+
wallet['allocated'] -= pos['size']
|
| 506 |
+
# Add consensus data to history
|
| 507 |
+
wallet['trades_history'].append({
|
| 508 |
+
'pnl': pnl,
|
| 509 |
+
'consensus_score': pos['consensus_score']
|
| 510 |
+
})
|
| 511 |
+
del wallet['positions'][sym]
|
| 512 |
+
|
| 513 |
+
total_eq = wallet['balance'] + wallet['allocated']
|
| 514 |
+
if total_eq > peak_balance: peak_balance = total_eq
|
| 515 |
+
dd = (peak_balance - total_eq) / peak_balance
|
| 516 |
+
if dd > max_drawdown: max_drawdown = dd
|
| 517 |
+
|
| 518 |
+
if len(wallet['positions']) < max_slots:
|
| 519 |
+
for _, row in group.iterrows():
|
| 520 |
+
if row['symbol'] in wallet['positions']: continue
|
| 521 |
+
|
| 522 |
+
# Hard Filters
|
| 523 |
+
if row['oracle_conf'] < oracle_thresh: continue
|
| 524 |
+
if row['sniper_score'] < sniper_thresh: continue
|
| 525 |
+
|
| 526 |
+
# Consensus Calculation (Normalized)
|
| 527 |
+
# Titan (default 0.6) + Oracle + Sniper
|
| 528 |
+
cons_score = (row['real_titan'] + row['oracle_conf'] + row['sniper_score']) / 3.0
|
| 529 |
+
|
| 530 |
+
size = 10.0
|
| 531 |
+
if wallet['balance'] >= size:
|
| 532 |
+
wallet['positions'][row['symbol']] = {
|
| 533 |
+
'entry': row['close'], 'size': size,
|
| 534 |
+
'risk_hydra_crash': row['risk_hydra_crash'],
|
| 535 |
+
'time_hydra_crash': row['time_hydra_crash'],
|
| 536 |
+
'consensus_score': cons_score
|
| 537 |
+
}
|
| 538 |
+
wallet['balance'] -= size
|
| 539 |
+
wallet['allocated'] += size
|
| 540 |
|
| 541 |
+
final_bal = wallet['balance'] + wallet['allocated']
|
| 542 |
+
net_profit = final_bal - initial_capital
|
| 543 |
+
trades = wallet['trades_history']
|
| 544 |
+
total_t = len(trades)
|
| 545 |
+
win_count = len([t for t in trades if t['pnl'] > 0])
|
| 546 |
+
loss_count = len([t for t in trades if t['pnl'] <= 0])
|
| 547 |
+
win_rate = (win_count / total_t * 100) if total_t > 0 else 0
|
| 548 |
+
max_win = max([t['pnl'] for t in trades]) if trades else 0
|
| 549 |
+
max_loss = min([t['pnl'] for t in trades]) if trades else 0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 550 |
|
| 551 |
+
# 1. Fix: Calculate Streaks
|
| 552 |
+
max_win_streak = 0; max_loss_streak = 0; curr_w = 0; curr_l = 0
|
| 553 |
+
for t in trades:
|
| 554 |
+
if t['pnl'] > 0:
|
| 555 |
+
curr_w += 1; curr_l = 0
|
| 556 |
+
if curr_w > max_win_streak: max_win_streak = curr_w
|
| 557 |
+
else:
|
| 558 |
+
curr_l += 1; curr_w = 0
|
| 559 |
+
if curr_l > max_loss_streak: max_loss_streak = curr_l
|
| 560 |
+
|
| 561 |
+
# 2. Fix: Consensus Analytics
|
| 562 |
+
high_cons_trades = [t for t in trades if t['consensus_score'] > 0.65]
|
| 563 |
+
low_cons_trades = [t for t in trades if t['consensus_score'] <= 0.65]
|
| 564 |
|
| 565 |
+
hc_count = len(high_cons_trades)
|
| 566 |
+
hc_wins = len([t for t in high_cons_trades if t['pnl'] > 0])
|
| 567 |
+
hc_win_rate = (hc_wins/hc_count*100) if hc_count > 0 else 0
|
| 568 |
+
hc_avg_pnl = (sum([t['pnl'] for t in high_cons_trades]) / hc_count * 100) if hc_count > 0 else 0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 569 |
|
| 570 |
+
lc_count = len(low_cons_trades)
|
| 571 |
+
lc_wins = len([t for t in low_cons_trades if t['pnl'] > 0])
|
| 572 |
+
lc_win_rate = (lc_wins/lc_count*100) if lc_count > 0 else 0
|
| 573 |
|
| 574 |
+
agreement_rate = (hc_count / total_t * 100) if total_t > 0 else 0.0
|
| 575 |
+
|
| 576 |
+
results.append({
|
| 577 |
+
'config': config, 'final_balance': final_bal, 'net_profit': net_profit,
|
| 578 |
+
'total_trades': total_t, 'win_count': win_count, 'loss_count': loss_count,
|
| 579 |
+
'win_rate': win_rate, 'max_single_win': max_win, 'max_single_loss': max_loss,
|
| 580 |
+
'max_drawdown': max_drawdown * 100,
|
| 581 |
+
# New Fields
|
| 582 |
+
'max_win_streak': max_win_streak,
|
| 583 |
+
'max_loss_streak': max_loss_streak,
|
| 584 |
+
'consensus_agreement_rate': agreement_rate,
|
| 585 |
+
'high_consensus_win_rate': hc_win_rate,
|
| 586 |
+
'low_consensus_win_rate': lc_win_rate,
|
| 587 |
+
'high_consensus_avg_pnl': hc_avg_pnl
|
| 588 |
+
})
|
|
|
|
| 589 |
|
| 590 |
+
return results
|
| 591 |
+
|
| 592 |
+
async def run_optimization(self, target_regime="RANGE"):
|
| 593 |
+
await self.generate_truth_data()
|
|
|
|
|
|
|
|
|
|
|
|
|
| 594 |
|
| 595 |
+
# 🔥 Dynamic Ranges based on GRID_DENSITY
|
| 596 |
+
density = self.GRID_DENSITY
|
| 597 |
+
|
| 598 |
+
oracle_range = np.linspace(0.5, 0.8, density).tolist()
|
| 599 |
+
sniper_range = np.linspace(0.4, 0.7, density).tolist()
|
| 600 |
+
hydra_range = np.linspace(0.75, 0.95, density).tolist()
|
| 601 |
+
|
| 602 |
+
# New Params (Titan & Pattern)
|
| 603 |
+
titan_range = np.linspace(0.4, 0.7, density).tolist()
|
| 604 |
+
pattern_range = np.linspace(0.2, 0.5, density).tolist()
|
| 605 |
+
|
| 606 |
+
combinations = []
|
| 607 |
+
# Full Stack Loop
|
| 608 |
+
for o, s, h, wt, wp in itertools.product(oracle_range, sniper_range, hydra_range, titan_range, pattern_range):
|
| 609 |
+
combinations.append({
|
| 610 |
+
'w_titan': wt,
|
| 611 |
+
'w_struct': wp,
|
| 612 |
+
'thresh': 0.5,
|
| 613 |
+
'oracle_thresh': o,
|
| 614 |
+
'sniper_thresh': s,
|
| 615 |
+
'hydra_thresh': h,
|
| 616 |
+
'legacy_thresh': 0.95
|
| 617 |
+
})
|
| 618 |
|
| 619 |
+
current_period_files = [os.path.join(CACHE_DIR, f) for f in os.listdir(CACHE_DIR) if f.endswith('_scores.pkl')]
|
| 620 |
+
if not current_period_files: return None, None
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 621 |
|
| 622 |
+
print(f"\n🧩 [Phase 2] Optimizing {len(combinations)} Configs (Full Stack | Density {density}) for {target_regime}...")
|
| 623 |
+
best_res = self._worker_optimize(combinations, current_period_files, self.INITIAL_CAPITAL, self.TRADING_FEES, self.MAX_SLOTS)
|
| 624 |
+
if not best_res: return None, None
|
| 625 |
+
best = sorted(best_res, key=lambda x: x['final_balance'], reverse=True)[0]
|
|
|
|
| 626 |
|
| 627 |
+
print("\n" + "="*60)
|
| 628 |
+
print(f"🏆 CHAMPION REPORT [{target_regime}]:")
|
| 629 |
+
print(f" 📅 Period: {self.force_start_date} -> {self.force_end_date}")
|
| 630 |
+
print(f" 💰 Final Balance: ${best['final_balance']:,.2f}")
|
| 631 |
+
print(f" 🚀 Net PnL: ${best['net_profit']:,.2f}")
|
| 632 |
+
print("-" * 60)
|
| 633 |
+
print(f" 📊 Total Trades: {best['total_trades']}")
|
| 634 |
+
print(f" ✅ Winning Trades: {best['win_count']}")
|
| 635 |
+
print(f" ❌ Losing Trades: {best['loss_count']}")
|
| 636 |
+
print(f" 📈 Win Rate: {best['win_rate']:.1f}%")
|
| 637 |
+
print("-" * 60)
|
| 638 |
+
print(f" 🧠 CONSENSUS ANALYTICS:")
|
| 639 |
+
print(f" 🤝 Model Agreement Rate: {best['consensus_agreement_rate']:.1f}% (of all trades)")
|
| 640 |
+
print(f" 🌟 High-Consensus Win Rate: {best['high_consensus_win_rate']:.1f}%")
|
| 641 |
+
print(f" 💎 High-Consensus Avg PnL: {best['high_consensus_avg_pnl']:.2f}%")
|
| 642 |
+
print("-" * 60)
|
| 643 |
+
print(f" 🟢 Max Single Win: ${best['max_single_win']:.2f}")
|
| 644 |
+
print(f" 🔴 Max Single Loss: ${best['max_single_loss']:.2f}")
|
| 645 |
+
print(f" 🔥 Max Win Streak: {best['max_win_streak']} trades")
|
| 646 |
+
print(f" 🧊 Max Loss Streak: {best['max_loss_streak']} trades")
|
| 647 |
+
print(f" 📉 Max Drawdown: {best['max_drawdown']:.1f}%")
|
| 648 |
+
print("-" * 60)
|
| 649 |
+
print(f" ⚙️ Oracle={best['config']['oracle_thresh']:.2f} | Sniper={best['config']['sniper_thresh']:.2f} | Hydra={best['config']['hydra_thresh']:.2f}")
|
| 650 |
+
print(f" ⚖️ Weights: Titan={best['config']['w_titan']:.2f} | Patterns={best['config']['w_struct']:.2f}")
|
| 651 |
+
print("="*60)
|
| 652 |
+
return best['config'], best
|
| 653 |
+
|
| 654 |
+
async def run_strategic_optimization_task():
|
| 655 |
+
print("\n🧪 [STRATEGIC BACKTEST] Full Stack Mode...")
|
| 656 |
+
r2 = R2Service()
|
| 657 |
+
dm = DataManager(None, None, r2)
|
| 658 |
+
proc = MLProcessor(dm)
|
| 659 |
+
await dm.initialize(); await proc.initialize()
|
| 660 |
+
if proc.guardian_hydra: proc.guardian_hydra.set_silent_mode(True)
|
| 661 |
|
| 662 |
+
try:
|
| 663 |
+
hub = AdaptiveHub(r2); await hub.initialize()
|
| 664 |
+
optimizer = HeavyDutyBacktester(dm, proc)
|
| 665 |
|
| 666 |
+
# ⚡ ADJUST DENSITY HERE IF NEEDED
|
| 667 |
+
# optimizer.GRID_DENSITY = 3 (Default)
|
| 668 |
+
|
| 669 |
+
scenarios = [
|
| 670 |
+
{"regime": "BULL", "start": "2024-01-01", "end": "2024-03-30"},
|
| 671 |
+
{"regime": "BEAR", "start": "2023-08-01", "end": "2023-09-15"},
|
| 672 |
+
{"regime": "DEAD", "start": "2023-06-01", "end": "2023-08-01"},
|
| 673 |
+
{"regime": "RANGE", "start": "2024-07-01", "end": "2024-09-30"}
|
| 674 |
+
]
|
| 675 |
+
|
| 676 |
+
for scen in scenarios:
|
| 677 |
+
target = scen["regime"]
|
| 678 |
+
optimizer.set_date_range(scen["start"], scen["end"])
|
| 679 |
+
best_cfg, best_stats = await optimizer.run_optimization(target_regime=target)
|
| 680 |
+
if best_cfg:
|
| 681 |
+
hub.submit_challenger(target, best_cfg, best_stats)
|
| 682 |
+
|
| 683 |
+
await hub._save_state_to_r2()
|
| 684 |
+
print("✅ [System] ALL Strategic DNA Updated & Saved.")
|
| 685 |
+
|
| 686 |
+
finally:
|
| 687 |
+
await dm.close()
|
| 688 |
+
|
| 689 |
+
if __name__ == "__main__":
|
| 690 |
+
asyncio.run(run_strategic_optimization_task())
|