8df1c7eea2
PyTorch-GPU diversified-trend floor (TSMOM 1/3/12mo + inverse-vol + 10% vol-target) + CPCV/Deflated-Sharpe validation, over 22 CME futures x 19.7y (Databento GLBX ohlcv-1d via budget-capped fetcher, ~$32 credits). Verdict: Sharpe +0.32, CPCV median +0.30, IS +0.36/OOS +0.08 (sign-consistent), Deflated Sharpe ~0.92 at honest n_trials. Real but weak edge; fails deploy-grade gates (correct), passes edge-exists. Includes roll-neutralization fix (max-vol outright + zero roll-day returns) that eliminated 988%/day continuous-contract artifacts (RB vol 550%->31%). Plus install_torch_gpu.sh. Data gitignored. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
74 lines
2.9 KiB
Python
74 lines
2.9 KiB
Python
#!/usr/bin/env python3
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"""Download daily OHLCV for the surfer universe — continuous front-month, BUDGET-CAPPED.
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Re-confirms get_cost (free, no download) and ABORTS if over the cap before spending.
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Saves raw DBN to data/surfer/ (gitignored). Reads DATABENTO_API_KEY from env (never printed).
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"""
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import os
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import sys
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import databento as db
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CAP_USD = 40.00 # hard ceiling on cumulative get_cost; covered by $125 free credits ($0 cash)
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PER_ROOT_CAP = 10.00 # per-root sanity cap
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DS = "GLBX.MDP3"
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SCHEMA = "ohlcv-1d"
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START = "2010-06-06"
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END = "2026-06-05"
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ROOTS = ["ES", "NQ", "YM", "RTY", "ZN", "ZB", "ZF", "ZT", "6E", "6J", "6B", "6A",
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"6C", "GC", "SI", "HG", "CL", "NG", "RB", "ZC", "ZS", "ZW"]
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# parent symbology = all outright expiries per root (fast; continuous chain resolution 504s).
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# We build the continuous series ourselves (volume-roll + ratio-adjust) from these.
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STYPE = "parent"
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OUT_DIR = "data/surfer"
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def main():
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key = os.environ.get("DATABENTO_API_KEY")
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if not key:
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print("DATABENTO_API_KEY not set"); return 2
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client = db.Historical(key)
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os.makedirs(OUT_DIR, exist_ok=True)
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print(f"fetching {SCHEMA} per-root ({len(ROOTS)} roots, {STYPE}) {START}..{END}; "
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f"per-root get_cost gate (≤${PER_ROOT_CAP}), cumulative cap ${CAP_USD}")
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import time
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total_recs = 0
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spent = 0.0
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failed = []
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for r in ROOTS:
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sym = r + ".FUT"
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out_r = f"{OUT_DIR}/{r}.dbn"
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# per-root cost gate (free, no download)
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try:
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c_r = client.metadata.get_cost(dataset=DS, symbols=[sym], schema=SCHEMA,
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start=START, end=END, stype_in=STYPE)
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except Exception as e:
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print(f" {r}: get_cost failed ({type(e).__name__}); skipping"); failed.append(r); continue
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if c_r > PER_ROOT_CAP or spent + c_r > CAP_USD:
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print(f" {r}: cost ${c_r:.4f} would breach cap (spent ${spent:.2f}) — SKIP"); failed.append(r); continue
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ok = False
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for attempt in range(1, 4):
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try:
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data = client.timeseries.get_range(dataset=DS, symbols=[sym], schema=SCHEMA,
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start=START, end=END, stype_in=STYPE)
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data.to_file(out_r)
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n = sum(1 for _ in data)
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total_recs += n; spent += c_r
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print(f" {r}: ${c_r:.4f} {n:,} recs -> {out_r} (cum ${spent:.2f})")
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ok = True
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break
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except Exception as e:
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print(f" {r}: attempt {attempt} {type(e).__name__}; retry in 3s")
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time.sleep(3)
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if not ok:
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failed.append(r)
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print(f"DONE: {total_recs:,} records, get_cost-cum ${spent:.2f}, "
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f"{len(ROOTS)-len(failed)}/{len(ROOTS)} roots ok"
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+ (f"; FAILED/SKIPPED: {failed}" if failed else ""))
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return 1 if failed else 0
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if __name__ == "__main__":
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sys.exit(main())
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