55ffe2b26f
- New scripts/alpha_pipeline.sh: orchestrates the 2-quarter validation after fxcache lands. Auto-discovers the Q1+Q2 fxcache (newest .fxcache excluding the known Q1-only hash), trains alpha_train_stacker on it, then sweeps 4 conditions (baseline / +cost-rand / +regime-scale / +both) × 3 walk-forward folds, aggregating mean ± stddev Sharpe per cost across folds. No phase prefixes in name or contents — the script is meant to outlive any single milestone. - scripts/build_2q_fxcache.sh: fix staging layout so MBP-10 / trades / OHLCV symlinks live in the symbol subdir (`mbp10/ES.FUT/...`) that precompute_features expects. Previous flat-layout build aborted with "MBP-10 directory not found: .../mbp10/ES.FUT". Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
41 lines
1.8 KiB
Bash
Executable File
41 lines
1.8 KiB
Bash
Executable File
#!/usr/bin/env bash
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# Build a Q1+Q2 2024 combined fxcache for cross-quarter walk-forward CV.
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#
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# Requires:
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# test_data/futures-baseline/ES.FUT/ES.FUT_2024-Q1.dbn.zst (present)
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# test_data/futures-baseline/ES.FUT/ES.FUT_2024-Q2.dbn.zst (present)
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# test_data/futures-baseline-mbp10/ES.FUT/ES.FUT_2024-Q1.dbn.zst (present)
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# test_data/futures-baseline-mbp10/ES.FUT/ES.FUT_2024-Q2.dbn.zst (download in progress)
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# test_data/futures-baseline-trades/ES.FUT/ES.FUT_2024-Q1.dbn.zst (present)
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# test_data/futures-baseline-trades/ES.FUT/ES.FUT_2024-Q2.dbn.zst (present)
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#
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# Produces a single fxcache + norm_stats in test_data/feature-cache/.
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# Cache key is SHA256 over all matching DBN files in the input dirs.
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set -euo pipefail
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# Stage Q1+Q2 only — symlink them into a temporary dir so the builder
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# doesn't pick up other quarters that may land later.
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STAGE="${STAGE:-/tmp/fxbuild_2q_2024}"
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rm -rf "$STAGE"
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mkdir -p "$STAGE"/{ohlcv,mbp10,trades}/ES.FUT
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for q in Q1 Q2; do
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ln -s "/home/jgrusewski/Work/foxhunt/test_data/futures-baseline/ES.FUT/ES.FUT_2024-${q}.dbn.zst" "$STAGE/ohlcv/ES.FUT/"
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ln -s "/home/jgrusewski/Work/foxhunt/test_data/futures-baseline-mbp10/ES.FUT/ES.FUT_2024-${q}.dbn.zst" "$STAGE/mbp10/ES.FUT/"
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ln -s "/home/jgrusewski/Work/foxhunt/test_data/futures-baseline-trades/ES.FUT/ES.FUT_2024-${q}.dbn.zst" "$STAGE/trades/ES.FUT/"
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done
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mkdir -p test_data/feature-cache
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SQLX_OFFLINE=true cargo run -p ml --release --example precompute_features -- \
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--data-dir "$STAGE/ohlcv" \
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--mbp10-data-dir "$STAGE/mbp10" \
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--trades-data-dir "$STAGE/trades" \
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--output-dir test_data/feature-cache \
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--symbol ES.FUT \
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--yes
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echo
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echo "Built fxcaches in test_data/feature-cache/:"
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ls -lh test_data/feature-cache/ | grep "$(date +%Y-%m-%d)" || ls -lh test_data/feature-cache/ | tail
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