26b51a4f99
Replace stub validation functions with real model inference (DQN greedy, PPO act()) so early stopping optimizes actual trading performance instead of market volatility. Add transaction costs (commission + bid-ask spread) to reward computation across train/hyperopt/evaluate examples. Key changes: - Symbol filtering (--symbol ES.FUT) prevents mixing futures contracts - BTreeMap timestamp dedup handles overlapping .FUT contract bars - Return clamping (--max-bar-return) filters contract roll boundaries - Warmup offset alignment fixes feature-to-bar index mismatch - Kelly sizing: 3 stubs replaced with real data-driven implementations - Adam optimizer: BUG #14 diagnostic logging demoted to trace - TFT: varmap_mut() accessor for checkpoint loading - PPO hyperopt: with_costs() builder for tx cost configuration DQN eval (ES.FUT, 2 folds): Sharpe=11.36, MaxDD=7.42%, WinRate=33.2% Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
41 lines
1.1 KiB
JSON
41 lines
1.1 KiB
JSON
{
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"folds": [
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{
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"fold": 0,
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"model": "dqn",
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"sharpe_ratio": 13.177256687157323,
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"max_drawdown_pct": 4.532350632435176,
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"win_rate_pct": 35.910224438902745,
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"profit_factor": 3.6487762551668474,
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"total_return_pct": 251.49434394669345,
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"num_trades": 1604,
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"test_start": "2025-06-01",
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"test_end": "2025-08-31"
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},
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{
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"fold": 1,
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"model": "dqn",
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"sharpe_ratio": 9.546067497582882,
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"max_drawdown_pct": 10.308813242954853,
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"win_rate_pct": 30.488445378151262,
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"profit_factor": 1.9839555385250602,
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"total_return_pct": 209.96815231087328,
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"num_trades": 3808,
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"test_start": "2025-09-01",
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"test_end": "2025-11-30"
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}
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],
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"aggregate": {
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"dqn_avg_sharpe": 11.361662092370103,
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"dqn_avg_drawdown": 7.420581937695015,
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"dqn_avg_win_rate": 33.19933490852701,
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"ppo_avg_sharpe": 0.0,
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"ppo_avg_drawdown": 0.0,
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"ppo_avg_win_rate": 0.0
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},
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"sanity_checks": {
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"beats_random": true,
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"action_diversity": true,
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"fold_consistency": true
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}
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} |