2f60e0cda0
- Wire position-delta cost model: costs only apply on position changes, proportional to delta (not flat per-bar) - Differentiate order types: Market=15bps, LimitMaker=5bps, IoC=10bps - Apply urgency weight: Patient=0.5x, Normal=1.0x, Aggressive=1.5x - Append 3 portfolio features (position, unrealized PnL, drawdown) to match training's 54-dim state vector (was 51, causing shape mismatch on load) - Fix default num_actions 3->45 to match training's factored action space - Add --bars-per-year CLI flag for per-symbol annualization (ES/NQ=347760, 6E=345000, ZN=105840) Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
1033 lines
37 KiB
Rust
1033 lines
37 KiB
Rust
//! Walk-forward evaluation binary for DQN and PPO baseline models.
|
||
//!
|
||
//! Loads trained model checkpoints, runs inference on walk-forward test data,
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//! computes financial metrics (Sharpe, drawdown, win rate, profit factor),
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//! and generates a JSON report.
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//!
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//! # Usage
|
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//!
|
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//! ```bash
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//! SQLX_OFFLINE=true cargo run -p ml --example evaluate_baseline -- \
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//! --model both --models-dir ml/trained_models \
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//! --data-dir test_data/futures-baseline \
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//! --output ml/trained_models/evaluation_report.json
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//! ```
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|
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#![allow(unused_crate_dependencies)]
|
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#![deny(
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clippy::unwrap_used,
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||
clippy::expect_used,
|
||
clippy::panic,
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||
clippy::indexing_slicing
|
||
)]
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||
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||
use std::path::{Path, PathBuf};
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||
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use anyhow::{Context, Result};
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use clap::Parser;
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use serde::Serialize;
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use serde_json::Value;
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use tracing::{error, info, warn};
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||
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use common::metrics::{server as metrics_server, training_metrics as tm};
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use ml::common::action::{ExposureLevel, OrderType as ActionOrderType, Urgency};
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use ml::dqn::{DQNConfig, DQN};
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#[allow(unreachable_pub)]
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mod baseline_common;
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use baseline_common::{load_all_bars, spread_cost_bps};
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use ml::features::extraction::extract_ml_features;
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use ml::ppo::ppo::{PPOConfig, PPO};
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use ml::types::OHLCVBar;
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use ml::walk_forward::{generate_walk_forward_windows, NormStats, WalkForwardConfig};
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// ---------------------------------------------------------------------------
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// CLI Arguments
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// ---------------------------------------------------------------------------
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||
|
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/// Walk-forward evaluation binary for DQN/PPO baseline models.
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#[derive(Parser, Debug)]
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||
#[command(
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name = "evaluate_baseline",
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about = "Evaluate trained DQN/PPO checkpoints with walk-forward test data"
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)]
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struct Args {
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||
/// Directory containing trained model checkpoints
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#[arg(long, default_value = "ml/trained_models")]
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models_dir: PathBuf,
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/// Path to directory containing .dbn.zst files
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#[arg(long, default_value = "test_data/futures-baseline")]
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data_dir: PathBuf,
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||
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/// Output path for evaluation report JSON
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#[arg(long, default_value = "ml/trained_models/evaluation_report.json")]
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output: PathBuf,
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||
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/// Which model(s) to evaluate: "dqn", "ppo", or "both"
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#[arg(long, default_value = "both")]
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model: String,
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||
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/// Feature dimension (51 market + 3 portfolio = 54, must match training config)
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#[arg(long, default_value_t = 54)]
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||
feature_dim: usize,
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/// Number of actions for the DQN/PPO action space (45 = 5 exposure x 3 order x 3 urgency)
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#[arg(long, default_value_t = 45)]
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num_actions: usize,
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/// Walk-forward: initial training window in months
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#[arg(long, default_value_t = 12)]
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train_months: u32,
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|
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/// Walk-forward: validation window in months
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#[arg(long, default_value_t = 3)]
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val_months: u32,
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/// Walk-forward: test window in months
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#[arg(long, default_value_t = 3)]
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test_months: u32,
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|
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/// Walk-forward: step size in months between folds
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#[arg(long, default_value_t = 3)]
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step_months: u32,
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||
|
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/// Symbol subdirectory to load (e.g. "ES.FUT", "NQ.FUT")
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#[arg(long, default_value = "ES.FUT")]
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symbol: String,
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||
|
||
/// Maximum absolute per-bar return; larger moves are clamped (contract roll filter)
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#[arg(long, default_value_t = 0.01)]
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||
max_bar_return: f64,
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||
|
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/// Round-trip commission cost in basis points (1 bps = 0.01%)
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/// Applied to BUY/SELL returns; HOLD is free.
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/// Default 1.0 bps covers ~$4 exchange+broker for ES e-mini.
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#[arg(long, default_value_t = 1.0)]
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tx_cost_bps: f64,
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/// Instrument tick size in price units (ES=0.25, NQ=0.25, ZN=1/64)
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#[arg(long, default_value_t = 0.25)]
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tick_size: f64,
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||
|
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/// Typical bid-ask spread in ticks (ES=1.0, ZN=1.0, 6E=2.0)
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/// Full spread slippage is added to `tx_cost_bps` per round-trip trade.
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#[arg(long, default_value_t = 1.0)]
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spread_ticks: f64,
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/// Bars per year for Sharpe annualization (ES/NQ=347760, 6E=345000, ZN=105840).
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/// Default 347760 = 252 trading days × 1380 bars/day (ES 23h session).
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#[arg(long, default_value_t = 347_760.0)]
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bars_per_year: f64,
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||
|
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/// Optional path to hyperopt results JSON -- overrides matching config fields
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||
/// (must match the file used during training so network architecture is identical)
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#[arg(long)]
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hyperopt_params: Option<PathBuf>,
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}
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// ---------------------------------------------------------------------------
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||
// Hyperopt parameter loading
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||
// ---------------------------------------------------------------------------
|
||
|
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/// Load `best_params` from a hyperopt results JSON file.
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||
///
|
||
/// Expected format: `{ "model_key": { "best_params": { ... }, ... } }`
|
||
/// Returns `None` if the file doesn't exist or can't be parsed.
|
||
#[allow(clippy::cognitive_complexity)]
|
||
fn load_hyperopt_params(hp_path: &Option<PathBuf>, model_key: &str) -> Option<Value> {
|
||
let file_path = hp_path.as_ref()?;
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if !file_path.exists() {
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info!("Hyperopt params file not found: {}, using defaults", file_path.display());
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||
return None;
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||
}
|
||
let contents = match std::fs::read_to_string(file_path) {
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||
Ok(c) => c,
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Err(e) => {
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warn!("Failed to read hyperopt params {}: {}", file_path.display(), e);
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return None;
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}
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};
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let json: Value = match serde_json::from_str(&contents) {
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||
Ok(v) => v,
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||
Err(e) => {
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warn!("Failed to parse hyperopt params JSON: {}", e);
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||
return None;
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}
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};
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let params = json.get(model_key)
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.and_then(|m| m.get("best_params"))
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.cloned();
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if params.is_some() {
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info!("Loaded hyperopt params for '{}' from {}", model_key, file_path.display());
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} else {
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warn!("No best_params found for '{}' in {}", model_key, file_path.display());
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}
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params
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}
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||
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#[allow(dead_code)]
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fn hp_f64(params: &Option<Value>, key: &str) -> Option<f64> {
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params.as_ref()?.get(key)?.as_f64()
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}
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fn hp_usize(params: &Option<Value>, key: &str) -> Option<usize> {
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params.as_ref()?.get(key)?.as_u64().map(|v| v as usize)
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}
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// ---------------------------------------------------------------------------
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// Report Data Types
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// ---------------------------------------------------------------------------
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||
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/// Metrics for a single fold/model combination.
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#[derive(Debug, Serialize)]
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struct FoldMetrics {
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fold: usize,
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model: String,
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sharpe_ratio: f64,
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max_drawdown_pct: f64,
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win_rate_pct: f64,
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profit_factor: f64,
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total_return_pct: f64,
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num_trades: usize,
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test_start: String,
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test_end: String,
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}
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/// Aggregate metrics across all folds for both models.
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#[derive(Debug, Serialize)]
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struct AggregateMetrics {
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dqn_avg_sharpe: f64,
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dqn_avg_drawdown: f64,
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dqn_avg_win_rate: f64,
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ppo_avg_sharpe: f64,
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ppo_avg_drawdown: f64,
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ppo_avg_win_rate: f64,
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}
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||
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/// Sanity checks to flag obviously broken models.
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#[derive(Debug, Serialize)]
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||
struct SanityChecks {
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||
/// True if any model has Sharpe > 0
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beats_random: bool,
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||
/// True if all 3 actions (buy/sell/hold) were used
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||
action_diversity: bool,
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/// True if Sharpe std < 2x |mean Sharpe|
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fold_consistency: bool,
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}
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/// Full evaluation report written to JSON.
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#[derive(Debug, Serialize)]
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struct EvaluationReport {
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folds: Vec<FoldMetrics>,
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aggregate: AggregateMetrics,
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sanity_checks: SanityChecks,
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}
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// ---------------------------------------------------------------------------
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// Financial Metrics
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// ---------------------------------------------------------------------------
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||
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/// Container for computed financial metrics from a sequence of trade returns.
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struct ComputedMetrics {
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||
sharpe_ratio: f64,
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max_drawdown_pct: f64,
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win_rate_pct: f64,
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profit_factor: f64,
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total_return_pct: f64,
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num_trades: usize,
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}
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/// Compute financial metrics from a sequence of per-bar trade returns.
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///
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/// - Sharpe: annualized (mean / std * sqrt(252))
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/// - Max drawdown: largest peak-to-trough drop on cumulative equity curve (%)
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/// - Win rate: percentage of returns > 0
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/// - Profit factor: `gross_profit` / `gross_loss` (inf if no losses)
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/// - Total return: sum of returns * 100 (as percentage)
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/// - Num trades: count of non-zero returns (BUY or SELL actions)
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fn compute_metrics(returns: &[f64], bars_per_year: f64) -> ComputedMetrics {
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let n = returns.len();
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if n == 0 {
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return ComputedMetrics {
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sharpe_ratio: 0.0,
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max_drawdown_pct: 0.0,
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win_rate_pct: 0.0,
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profit_factor: 0.0,
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total_return_pct: 0.0,
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num_trades: 0,
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};
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}
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// Count actual trades (non-zero returns, i.e. BUY or SELL actions)
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let num_trades = returns.iter().filter(|&&r| r.abs() > 1e-12).count();
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// Mean and std of returns
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let sum: f64 = returns.iter().sum();
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let mean = sum / n as f64;
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let variance: f64 = returns.iter().map(|&r| (r - mean).powi(2)).sum::<f64>() / n as f64;
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let std = variance.sqrt();
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let sharpe_ratio = if std > 1e-12 {
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(mean / std) * bars_per_year.sqrt()
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} else {
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0.0
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};
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// Max drawdown on cumulative equity curve
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let mut equity = 1.0_f64;
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let mut peak = 1.0_f64;
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let mut max_drawdown = 0.0_f64;
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|
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for &ret in returns {
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equity += ret;
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if equity > peak {
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peak = equity;
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}
|
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let drawdown = if peak > 1e-12 {
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(peak - equity) / peak
|
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} else {
|
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0.0
|
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};
|
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if drawdown > max_drawdown {
|
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max_drawdown = drawdown;
|
||
}
|
||
}
|
||
let max_drawdown_pct = max_drawdown * 100.0;
|
||
|
||
// Win rate
|
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let wins = returns.iter().filter(|&&r| r > 0.0).count();
|
||
let win_rate_pct = if num_trades > 0 {
|
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(wins as f64 / num_trades as f64) * 100.0
|
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} else {
|
||
0.0
|
||
};
|
||
|
||
// Profit factor
|
||
let gross_profit: f64 = returns.iter().filter(|&&r| r > 0.0).sum();
|
||
let gross_loss: f64 = returns.iter().filter(|&&r| r < 0.0).map(|&r| r.abs()).sum();
|
||
let profit_factor = if gross_loss > 1e-12 {
|
||
gross_profit / gross_loss
|
||
} else if gross_profit > 0.0 {
|
||
f64::INFINITY
|
||
} else {
|
||
0.0
|
||
};
|
||
|
||
// Total return
|
||
let total_return_pct = sum * 100.0;
|
||
|
||
ComputedMetrics {
|
||
sharpe_ratio,
|
||
max_drawdown_pct,
|
||
win_rate_pct,
|
||
profit_factor,
|
||
total_return_pct,
|
||
num_trades,
|
||
}
|
||
}
|
||
|
||
// ---------------------------------------------------------------------------
|
||
// DQN Evaluation
|
||
// ---------------------------------------------------------------------------
|
||
|
||
/// Run DQN inference on test features and return per-bar trade returns and
|
||
/// action counts (buy, sell, hold).
|
||
fn evaluate_dqn_fold(
|
||
fold: usize,
|
||
test_features: &[[f64; 51]],
|
||
test_bars: &[OHLCVBar],
|
||
models_dir: &Path,
|
||
args: &Args,
|
||
hp: &Option<Value>,
|
||
) -> Result<(Vec<f64>, [usize; 3])> {
|
||
let ckpt_path = models_dir.join(format!("dqn_fold{}_best.safetensors", fold));
|
||
if !ckpt_path.exists() {
|
||
anyhow::bail!(
|
||
"DQN checkpoint not found: {}",
|
||
ckpt_path.display()
|
||
);
|
||
}
|
||
|
||
// Create DQN with same config as training (gamma must match train_baseline)
|
||
#[allow(clippy::integer_division)]
|
||
let config = DQNConfig {
|
||
state_dim: args.feature_dim,
|
||
num_actions: args.num_actions,
|
||
hidden_dims: {
|
||
let base = hp_usize(hp, "hidden_dim_base").unwrap_or(128);
|
||
if base > 128 {
|
||
vec![base, base / 2, base / 4] // GPU-scaled: 3-layer network
|
||
} else {
|
||
vec![128, 64] // Default small network
|
||
}
|
||
},
|
||
learning_rate: 1e-4,
|
||
gamma: 0.95, // must match train_baseline (shorter horizon, 20 bars)
|
||
epsilon_start: 0.0, // No exploration during evaluation
|
||
epsilon_end: 0.0,
|
||
epsilon_decay: 1.0,
|
||
replay_buffer_capacity: 100, // Minimal buffer, not used for eval
|
||
batch_size: 64,
|
||
min_replay_size: 64,
|
||
target_update_freq: 500,
|
||
warmup_steps: 0,
|
||
use_double_dqn: true,
|
||
use_huber_loss: true,
|
||
use_per: false,
|
||
use_dueling: false,
|
||
use_distributional: false,
|
||
use_noisy_nets: false,
|
||
use_cql: false,
|
||
use_iqn: false,
|
||
use_cvar_action_selection: false,
|
||
..DQNConfig::default()
|
||
};
|
||
|
||
let mut dqn = DQN::new(config).context("Failed to create DQN model")?;
|
||
|
||
// Set epsilon to zero for pure greedy evaluation
|
||
dqn.set_epsilon(0.0);
|
||
|
||
// Load trained weights
|
||
dqn.load_from_safetensors(&ckpt_path.to_string_lossy())
|
||
.with_context(|| format!("Failed to load DQN checkpoint: {}", ckpt_path.display()))?;
|
||
|
||
info!(
|
||
" [DQN] Loaded checkpoint: {} (eps={})",
|
||
ckpt_path.display(),
|
||
dqn.get_epsilon()
|
||
);
|
||
|
||
// Run inference with position tracking and portfolio features
|
||
let n = test_features.len();
|
||
let mut returns = Vec::with_capacity(n);
|
||
let mut action_counts = [0_usize; 3]; // [buy, sell, hold]
|
||
let mut current_exposure: f64 = 0.0;
|
||
// Portfolio state for the 3 appended features (matching training's 54-dim input)
|
||
let mut equity: f64 = 1.0;
|
||
let mut peak_equity: f64 = 1.0;
|
||
let mut unrealized_pnl: f64 = 0.0;
|
||
|
||
for i in 0..n.saturating_sub(1) {
|
||
let Some(feat) = test_features.get(i) else {
|
||
continue;
|
||
};
|
||
|
||
// Append 3 portfolio features to match training's 54-dim state vector:
|
||
// [51 market features] + [position_size, unrealized_pnl, drawdown_pct]
|
||
let mut state: Vec<f32> = feat.iter().map(|&v| v as f32).collect();
|
||
let drawdown_pct = if peak_equity > 1e-12 {
|
||
((peak_equity - equity) / peak_equity).max(0.0)
|
||
} else {
|
||
0.0
|
||
};
|
||
state.push(current_exposure as f32); // position_size: -1.0 to +1.0
|
||
state.push(unrealized_pnl as f32); // unrealized P&L (fraction)
|
||
state.push(drawdown_pct as f32); // drawdown from peak (0.0 to 1.0)
|
||
|
||
// Select greedy action (returns FactoredAction)
|
||
let action = match dqn.select_action(&state) {
|
||
Ok(fa) => fa,
|
||
Err(e) => {
|
||
warn!(" [DQN] select_action error at step {}: {}", i, e);
|
||
ml::common::action::FactoredAction::new(
|
||
ExposureLevel::Flat,
|
||
ActionOrderType::Market,
|
||
Urgency::Normal,
|
||
)
|
||
}
|
||
};
|
||
|
||
// Track action diversity by legacy category (buy/sell/hold)
|
||
let legacy_idx = if action.is_buy() { 0 } else if action.is_sell() { 1 } else { 2 };
|
||
if let Some(count) = action_counts.get_mut(legacy_idx) {
|
||
*count += 1;
|
||
}
|
||
|
||
// Compute percentage return, clamped to filter contract roll boundaries
|
||
let close_cur = test_bars.get(i).map(|b| b.close).unwrap_or(0.0);
|
||
let close_next = test_bars.get(i + 1).map(|b| b.close).unwrap_or(close_cur);
|
||
let pct_change = if close_cur.abs() > 1e-12 {
|
||
((close_next - close_cur) / close_cur).clamp(-args.max_bar_return, args.max_bar_return)
|
||
} else {
|
||
0.0
|
||
};
|
||
|
||
// Position delta: only incur costs when position actually changes
|
||
let target_exposure = action.target_exposure();
|
||
let position_delta = (target_exposure - current_exposure).abs();
|
||
|
||
// Order-type and urgency-differentiated transaction cost:
|
||
// - Market orders: 15 bps, LimitMaker: 5 bps, IoC: 10 bps
|
||
// - Urgency scales cost: Patient=0.5x, Normal=1.0x, Aggressive=1.5x
|
||
// Cost is proportional to position delta (no cost for holding same position)
|
||
let tx_cost = if position_delta > 1e-12 {
|
||
let base_bps = args.tx_cost_bps + spread_cost_bps(close_cur, args.tick_size, args.spread_ticks);
|
||
let order_cost_frac = action.transaction_cost(); // 0.0015/0.0005/0.0010
|
||
let urgency_mult = action.urgency_weight(); // 0.5/1.0/1.5
|
||
position_delta * (base_bps * 0.0001 + order_cost_frac * urgency_mult)
|
||
} else {
|
||
0.0
|
||
};
|
||
|
||
// Exposure-weighted return minus differentiated transaction cost
|
||
let ret = target_exposure * pct_change - tx_cost;
|
||
returns.push(ret);
|
||
|
||
// Update portfolio state for next step's features
|
||
equity *= 1.0 + ret;
|
||
if equity > peak_equity {
|
||
peak_equity = equity;
|
||
}
|
||
unrealized_pnl = if position_delta > 1e-12 {
|
||
0.0 // Position changed, reset unrealized P&L
|
||
} else {
|
||
unrealized_pnl + target_exposure * pct_change // Accumulate while holding
|
||
};
|
||
current_exposure = target_exposure;
|
||
}
|
||
|
||
Ok((returns, action_counts))
|
||
}
|
||
|
||
// ---------------------------------------------------------------------------
|
||
// PPO Evaluation
|
||
// ---------------------------------------------------------------------------
|
||
|
||
/// Run PPO inference on test features and return per-bar trade returns and
|
||
/// action counts (buy, sell, hold).
|
||
fn evaluate_ppo_fold(
|
||
fold: usize,
|
||
test_features: &[[f64; 51]],
|
||
test_bars: &[OHLCVBar],
|
||
models_dir: &Path,
|
||
args: &Args,
|
||
hp: &Option<Value>,
|
||
) -> Result<(Vec<f64>, [usize; 3])> {
|
||
let actor_path = models_dir.join(format!("ppo_fold{}_actor.safetensors", fold));
|
||
let critic_path = models_dir.join(format!("ppo_fold{}_critic.safetensors", fold));
|
||
|
||
if !actor_path.exists() {
|
||
anyhow::bail!(
|
||
"PPO actor checkpoint not found: {}",
|
||
actor_path.display()
|
||
);
|
||
}
|
||
if !critic_path.exists() {
|
||
anyhow::bail!(
|
||
"PPO critic checkpoint not found: {}",
|
||
critic_path.display()
|
||
);
|
||
}
|
||
|
||
// Create PPO config matching training
|
||
#[allow(clippy::integer_division)]
|
||
let config = PPOConfig {
|
||
state_dim: args.feature_dim,
|
||
num_actions: args.num_actions,
|
||
policy_hidden_dims: {
|
||
let base = hp_usize(hp, "hidden_dim_base").unwrap_or(128);
|
||
vec![base, base / 2]
|
||
},
|
||
value_hidden_dims: {
|
||
let base = hp_usize(hp, "hidden_dim_base").unwrap_or(128);
|
||
vec![base * 2, base, base / 2]
|
||
},
|
||
policy_learning_rate: 3e-4,
|
||
value_learning_rate: 1e-3,
|
||
clip_epsilon: 0.2,
|
||
value_loss_coeff: 0.5,
|
||
entropy_coeff: 0.01,
|
||
batch_size: 64,
|
||
mini_batch_size: 64,
|
||
num_epochs: 4,
|
||
max_grad_norm: 0.5,
|
||
use_lstm: false,
|
||
..PPOConfig::default()
|
||
};
|
||
|
||
// Load PPO from checkpoint
|
||
let ppo = PPO::load_checkpoint(
|
||
&actor_path.to_string_lossy(),
|
||
&critic_path.to_string_lossy(),
|
||
config,
|
||
candle_core::Device::Cpu,
|
||
)
|
||
.with_context(|| {
|
||
format!(
|
||
"Failed to load PPO checkpoint: actor={}, critic={}",
|
||
actor_path.display(),
|
||
critic_path.display()
|
||
)
|
||
})?;
|
||
|
||
info!(
|
||
" [PPO] Loaded checkpoint: {}",
|
||
actor_path.display()
|
||
);
|
||
|
||
// Run inference with position tracking and portfolio features
|
||
let n = test_features.len();
|
||
let mut returns = Vec::with_capacity(n);
|
||
let mut action_counts = [0_usize; 3]; // [buy, sell, hold]
|
||
let mut current_exposure: f64 = 0.0;
|
||
let mut equity: f64 = 1.0;
|
||
let mut peak_equity: f64 = 1.0;
|
||
let mut unrealized_pnl: f64 = 0.0;
|
||
|
||
for i in 0..n.saturating_sub(1) {
|
||
let Some(feat) = test_features.get(i) else {
|
||
continue;
|
||
};
|
||
|
||
// Append 3 portfolio features to match training's 54-dim state vector
|
||
let mut state: Vec<f32> = feat.iter().map(|&v| v as f32).collect();
|
||
let drawdown_pct = if peak_equity > 1e-12 {
|
||
((peak_equity - equity) / peak_equity).max(0.0)
|
||
} else {
|
||
0.0
|
||
};
|
||
state.push(current_exposure as f32);
|
||
state.push(unrealized_pnl as f32);
|
||
state.push(drawdown_pct as f32);
|
||
|
||
// Get greedy (deterministic) action from policy for reproducible evaluation
|
||
let action = match ppo.greedy_action(&state) {
|
||
Ok(fa) => fa,
|
||
Err(e) => {
|
||
warn!(" [PPO] greedy_action error at step {}: {}", i, e);
|
||
ml::common::action::FactoredAction::new(
|
||
ExposureLevel::Flat,
|
||
ActionOrderType::Market,
|
||
Urgency::Normal,
|
||
)
|
||
}
|
||
};
|
||
|
||
// Track action diversity by legacy category (buy/sell/hold)
|
||
let legacy_idx = if action.is_buy() { 0 } else if action.is_sell() { 1 } else { 2 };
|
||
if let Some(count) = action_counts.get_mut(legacy_idx) {
|
||
*count += 1;
|
||
}
|
||
|
||
// Compute percentage return, clamped to filter contract roll boundaries
|
||
let close_cur = test_bars.get(i).map(|b| b.close).unwrap_or(0.0);
|
||
let close_next = test_bars.get(i + 1).map(|b| b.close).unwrap_or(close_cur);
|
||
let pct_change = if close_cur.abs() > 1e-12 {
|
||
((close_next - close_cur) / close_cur).clamp(-args.max_bar_return, args.max_bar_return)
|
||
} else {
|
||
0.0
|
||
};
|
||
|
||
// Position delta: only incur costs when position actually changes
|
||
let target_exposure = action.target_exposure();
|
||
let position_delta = (target_exposure - current_exposure).abs();
|
||
|
||
let tx_cost = if position_delta > 1e-12 {
|
||
let base_bps = args.tx_cost_bps + spread_cost_bps(close_cur, args.tick_size, args.spread_ticks);
|
||
let order_cost_frac = action.transaction_cost();
|
||
let urgency_mult = action.urgency_weight();
|
||
position_delta * (base_bps * 0.0001 + order_cost_frac * urgency_mult)
|
||
} else {
|
||
0.0
|
||
};
|
||
|
||
let ret = target_exposure * pct_change - tx_cost;
|
||
returns.push(ret);
|
||
|
||
// Update portfolio state for next step's features
|
||
equity *= 1.0 + ret;
|
||
if equity > peak_equity {
|
||
peak_equity = equity;
|
||
}
|
||
unrealized_pnl = if position_delta > 1e-12 {
|
||
0.0
|
||
} else {
|
||
unrealized_pnl + target_exposure * pct_change
|
||
};
|
||
current_exposure = target_exposure;
|
||
}
|
||
|
||
Ok((returns, action_counts))
|
||
}
|
||
|
||
// ---------------------------------------------------------------------------
|
||
// Aggregate & Sanity Checks
|
||
// ---------------------------------------------------------------------------
|
||
|
||
/// Compute average metrics for a specific model across all folds.
|
||
fn compute_aggregate(folds: &[FoldMetrics], model_name: &str) -> (f64, f64, f64) {
|
||
let model_folds: Vec<&FoldMetrics> = folds.iter().filter(|f| f.model == model_name).collect();
|
||
if model_folds.is_empty() {
|
||
return (0.0, 0.0, 0.0);
|
||
}
|
||
let n = model_folds.len() as f64;
|
||
let avg_sharpe = model_folds.iter().map(|f| f.sharpe_ratio).sum::<f64>() / n;
|
||
let avg_dd = model_folds.iter().map(|f| f.max_drawdown_pct).sum::<f64>() / n;
|
||
let avg_wr = model_folds.iter().map(|f| f.win_rate_pct).sum::<f64>() / n;
|
||
(avg_sharpe, avg_dd, avg_wr)
|
||
}
|
||
|
||
/// Run sanity checks across all fold metrics.
|
||
fn run_sanity_checks(
|
||
folds: &[FoldMetrics],
|
||
all_action_counts: &[[usize; 3]],
|
||
) -> SanityChecks {
|
||
// beats_random: any model Sharpe > 0?
|
||
let beats_random = folds.iter().any(|f| f.sharpe_ratio > 0.0);
|
||
|
||
// action_diversity: all 3 actions used across all evaluations?
|
||
let mut total_actions = [0_usize; 3];
|
||
for counts in all_action_counts {
|
||
for (total, &count) in total_actions.iter_mut().zip(counts.iter()) {
|
||
*total += count;
|
||
}
|
||
}
|
||
let action_diversity = total_actions.iter().all(|&c| c > 0);
|
||
|
||
// fold_consistency: std(Sharpe) < 2 * |mean(Sharpe)| across all folds
|
||
let sharpe_values: Vec<f64> = folds.iter().map(|f| f.sharpe_ratio).collect();
|
||
let fold_consistency = if sharpe_values.is_empty() {
|
||
false
|
||
} else {
|
||
let n = sharpe_values.len() as f64;
|
||
let mean_sharpe = sharpe_values.iter().sum::<f64>() / n;
|
||
let var = sharpe_values
|
||
.iter()
|
||
.map(|&s| (s - mean_sharpe).powi(2))
|
||
.sum::<f64>()
|
||
/ n;
|
||
let std_sharpe = var.sqrt();
|
||
std_sharpe < 2.0 * mean_sharpe.abs()
|
||
};
|
||
|
||
SanityChecks {
|
||
beats_random,
|
||
action_diversity,
|
||
fold_consistency,
|
||
}
|
||
}
|
||
|
||
// ---------------------------------------------------------------------------
|
||
// Main
|
||
// ---------------------------------------------------------------------------
|
||
|
||
#[allow(clippy::cognitive_complexity, clippy::too_many_lines)]
|
||
fn main() -> Result<()> {
|
||
// Initialize tracing with optional OTLP export to Tempo
|
||
let otlp_endpoint = std::env::var("OTEL_EXPORTER_OTLP_ENDPOINT").ok();
|
||
if let Err(e) = common::observability::init_observability(
|
||
"evaluate_baseline",
|
||
otlp_endpoint.as_deref(),
|
||
) {
|
||
eprintln!("Observability init failed (non-fatal): {e}");
|
||
}
|
||
|
||
tm::init();
|
||
metrics_server::start_metrics_server(9094);
|
||
tm::set_active_workers(1.0);
|
||
|
||
let args = Args::parse();
|
||
|
||
let eval_dqn = args.model == "dqn" || args.model == "both";
|
||
let eval_ppo = args.model == "ppo" || args.model == "both";
|
||
|
||
info!("=== Walk-Forward Baseline Evaluation ===");
|
||
info!(" Model(s): {}", args.model);
|
||
info!(" Symbol: {}", args.symbol);
|
||
info!(" Models dir: {}", args.models_dir.display());
|
||
info!(" Data dir: {}", args.data_dir.display());
|
||
info!(" Output: {}", args.output.display());
|
||
info!(" Feature dim: {}", args.feature_dim);
|
||
info!(" Num actions: {}", args.num_actions);
|
||
info!(" Max bar return: {:.2}%", args.max_bar_return * 100.0);
|
||
info!(" Tx cost: {:.1} bps commission + {:.1} tick spread (tick_size={:.4})",
|
||
args.tx_cost_bps, args.spread_ticks, args.tick_size);
|
||
if let Some(ref hp_path) = args.hyperopt_params {
|
||
info!(" Hyperopt params: {}", hp_path.display());
|
||
}
|
||
|
||
// 1. Load all OHLCV bars from DBN files
|
||
info!("Step 1/5: Loading OHLCV bars from DBN files...");
|
||
let data_load_start = std::time::Instant::now();
|
||
let bars = load_all_bars(&args.data_dir, &args.symbol)?;
|
||
let data_load_secs = data_load_start.elapsed().as_secs_f64();
|
||
if eval_dqn {
|
||
tm::record_data_load("dqn", data_load_secs);
|
||
}
|
||
if eval_ppo {
|
||
tm::record_data_load("ppo", data_load_secs);
|
||
}
|
||
if bars.is_empty() {
|
||
anyhow::bail!("No bars loaded from {}", args.data_dir.display());
|
||
}
|
||
info!(
|
||
" Loaded {} bars ({} to {})",
|
||
bars.len(),
|
||
bars.first().map(|b| b.timestamp.to_string()).unwrap_or_default(),
|
||
bars.last().map(|b| b.timestamp.to_string()).unwrap_or_default(),
|
||
);
|
||
|
||
// 2. Generate walk-forward windows (same config as training)
|
||
info!("Step 2/5: Generating walk-forward windows...");
|
||
let wf_config = WalkForwardConfig {
|
||
initial_train_months: args.train_months,
|
||
val_months: args.val_months,
|
||
test_months: args.test_months,
|
||
step_months: args.step_months,
|
||
};
|
||
let windows = generate_walk_forward_windows(&bars, &wf_config);
|
||
if windows.is_empty() {
|
||
anyhow::bail!(
|
||
"No walk-forward windows generated. Need at least {} months of data.",
|
||
wf_config.initial_train_months + wf_config.val_months + wf_config.test_months
|
||
);
|
||
}
|
||
info!(" Generated {} walk-forward folds", windows.len());
|
||
|
||
// 3. Evaluate each fold
|
||
info!("Step 3/5: Evaluating models on test data...");
|
||
let mut all_fold_metrics: Vec<FoldMetrics> = Vec::new();
|
||
let mut all_action_counts: Vec<[usize; 3]> = Vec::new();
|
||
|
||
for window in &windows {
|
||
info!(
|
||
"--- Fold {} --- Test: {} bars ({} to {})",
|
||
window.fold,
|
||
window.test.len(),
|
||
window.test
|
||
.first()
|
||
.map(|b| b.timestamp.to_string())
|
||
.unwrap_or_default(),
|
||
window.test
|
||
.last()
|
||
.map(|b| b.timestamp.to_string())
|
||
.unwrap_or_default(),
|
||
);
|
||
|
||
// Load NormStats from training
|
||
let norm_path = args
|
||
.models_dir
|
||
.join(format!("norm_stats_fold{}.json", window.fold));
|
||
let norm_stats: NormStats = if norm_path.exists() {
|
||
let norm_json = std::fs::read_to_string(&norm_path)
|
||
.with_context(|| format!("Failed to read {}", norm_path.display()))?;
|
||
serde_json::from_str(&norm_json)
|
||
.with_context(|| format!("Failed to parse {}", norm_path.display()))?
|
||
} else {
|
||
anyhow::bail!(
|
||
"NormStats not found at {} - cannot evaluate without training-set statistics \
|
||
(computing from test data would introduce lookahead bias). \
|
||
Run training first to generate this file.",
|
||
norm_path.display()
|
||
);
|
||
};
|
||
|
||
// Extract features from test bars
|
||
let test_features = match extract_ml_features(&window.test) {
|
||
Ok(f) => f,
|
||
Err(e) => {
|
||
warn!(
|
||
" Fold {} - test feature extraction failed: {}",
|
||
window.fold, e
|
||
);
|
||
continue;
|
||
}
|
||
};
|
||
|
||
if test_features.is_empty() {
|
||
warn!(" Fold {} - empty test features, skipping", window.fold);
|
||
continue;
|
||
}
|
||
|
||
// Normalize test features
|
||
let test_norm = norm_stats.normalize_batch(&test_features);
|
||
|
||
// Align bars to features (features skip warmup period)
|
||
let warmup_offset = window.test.len().saturating_sub(test_norm.len());
|
||
let test_bars_aligned = window.test.get(warmup_offset..).unwrap_or(&window.test);
|
||
|
||
// Test period date range for the report
|
||
let test_start = test_bars_aligned
|
||
.first()
|
||
.map(|b| b.timestamp.format("%Y-%m-%d").to_string())
|
||
.unwrap_or_default();
|
||
let test_end = test_bars_aligned
|
||
.last()
|
||
.map(|b| b.timestamp.format("%Y-%m-%d").to_string())
|
||
.unwrap_or_default();
|
||
|
||
// Evaluate DQN
|
||
if eval_dqn {
|
||
let hp = load_hyperopt_params(&args.hyperopt_params, "dqn");
|
||
match evaluate_dqn_fold(
|
||
window.fold,
|
||
&test_norm,
|
||
test_bars_aligned,
|
||
&args.models_dir,
|
||
&args,
|
||
&hp,
|
||
) {
|
||
Ok((returns, action_counts)) => {
|
||
let fold_metrics = compute_metrics(&returns, args.bars_per_year);
|
||
let fold_str = window.fold.to_string();
|
||
tm::set_epoch("dqn", &fold_str, window.fold as f64);
|
||
tm::set_eval_metrics(
|
||
"dqn",
|
||
&fold_str,
|
||
fold_metrics.win_rate_pct / 100.0,
|
||
fold_metrics.sharpe_ratio,
|
||
fold_metrics.profit_factor,
|
||
fold_metrics.total_return_pct / 100.0,
|
||
);
|
||
info!(
|
||
" [DQN] Fold {} - Sharpe={:.4} MaxDD={:.2}% WinRate={:.1}% PF={:.2} Return={:.4}% Trades={}",
|
||
window.fold,
|
||
fold_metrics.sharpe_ratio,
|
||
fold_metrics.max_drawdown_pct,
|
||
fold_metrics.win_rate_pct,
|
||
fold_metrics.profit_factor,
|
||
fold_metrics.total_return_pct,
|
||
fold_metrics.num_trades,
|
||
);
|
||
info!(
|
||
" [DQN] Actions - BUY={} SELL={} HOLD={}",
|
||
action_counts.first().copied().unwrap_or(0),
|
||
action_counts.get(1).copied().unwrap_or(0),
|
||
action_counts.get(2).copied().unwrap_or(0),
|
||
);
|
||
all_fold_metrics.push(FoldMetrics {
|
||
fold: window.fold,
|
||
model: "dqn".to_owned(),
|
||
sharpe_ratio: fold_metrics.sharpe_ratio,
|
||
max_drawdown_pct: fold_metrics.max_drawdown_pct,
|
||
win_rate_pct: fold_metrics.win_rate_pct,
|
||
profit_factor: fold_metrics.profit_factor,
|
||
total_return_pct: fold_metrics.total_return_pct,
|
||
num_trades: fold_metrics.num_trades,
|
||
test_start: test_start.clone(),
|
||
test_end: test_end.clone(),
|
||
});
|
||
all_action_counts.push(action_counts);
|
||
}
|
||
Err(e) => {
|
||
error!(" [DQN] Fold {} evaluation failed: {}", window.fold, e);
|
||
}
|
||
}
|
||
}
|
||
|
||
// Evaluate PPO
|
||
if eval_ppo {
|
||
let hp = load_hyperopt_params(&args.hyperopt_params, "ppo");
|
||
match evaluate_ppo_fold(
|
||
window.fold,
|
||
&test_norm,
|
||
test_bars_aligned,
|
||
&args.models_dir,
|
||
&args,
|
||
&hp,
|
||
) {
|
||
Ok((returns, action_counts)) => {
|
||
let fold_metrics = compute_metrics(&returns, args.bars_per_year);
|
||
let fold_str = window.fold.to_string();
|
||
tm::set_epoch("ppo", &fold_str, window.fold as f64);
|
||
tm::set_eval_metrics(
|
||
"ppo",
|
||
&fold_str,
|
||
fold_metrics.win_rate_pct / 100.0,
|
||
fold_metrics.sharpe_ratio,
|
||
fold_metrics.profit_factor,
|
||
fold_metrics.total_return_pct / 100.0,
|
||
);
|
||
info!(
|
||
" [PPO] Fold {} - Sharpe={:.4} MaxDD={:.2}% WinRate={:.1}% PF={:.2} Return={:.4}% Trades={}",
|
||
window.fold,
|
||
fold_metrics.sharpe_ratio,
|
||
fold_metrics.max_drawdown_pct,
|
||
fold_metrics.win_rate_pct,
|
||
fold_metrics.profit_factor,
|
||
fold_metrics.total_return_pct,
|
||
fold_metrics.num_trades,
|
||
);
|
||
info!(
|
||
" [PPO] Actions - BUY={} SELL={} HOLD={}",
|
||
action_counts.first().copied().unwrap_or(0),
|
||
action_counts.get(1).copied().unwrap_or(0),
|
||
action_counts.get(2).copied().unwrap_or(0),
|
||
);
|
||
all_fold_metrics.push(FoldMetrics {
|
||
fold: window.fold,
|
||
model: "ppo".to_owned(),
|
||
sharpe_ratio: fold_metrics.sharpe_ratio,
|
||
max_drawdown_pct: fold_metrics.max_drawdown_pct,
|
||
win_rate_pct: fold_metrics.win_rate_pct,
|
||
profit_factor: fold_metrics.profit_factor,
|
||
total_return_pct: fold_metrics.total_return_pct,
|
||
num_trades: fold_metrics.num_trades,
|
||
test_start: test_start.clone(),
|
||
test_end: test_end.clone(),
|
||
});
|
||
all_action_counts.push(action_counts);
|
||
}
|
||
Err(e) => {
|
||
error!(" [PPO] Fold {} evaluation failed: {}", window.fold, e);
|
||
}
|
||
}
|
||
}
|
||
}
|
||
|
||
// 4. Compute aggregate metrics
|
||
info!("Step 4/5: Computing aggregate metrics...");
|
||
let (dqn_avg_sharpe, dqn_avg_drawdown, dqn_avg_win_rate) =
|
||
compute_aggregate(&all_fold_metrics, "dqn");
|
||
let (ppo_avg_sharpe, ppo_avg_drawdown, ppo_avg_win_rate) =
|
||
compute_aggregate(&all_fold_metrics, "ppo");
|
||
|
||
let aggregate = AggregateMetrics {
|
||
dqn_avg_sharpe,
|
||
dqn_avg_drawdown,
|
||
dqn_avg_win_rate,
|
||
ppo_avg_sharpe,
|
||
ppo_avg_drawdown,
|
||
ppo_avg_win_rate,
|
||
};
|
||
|
||
info!(" DQN - avg Sharpe={:.4} avg MaxDD={:.2}% avg WinRate={:.1}%",
|
||
dqn_avg_sharpe, dqn_avg_drawdown, dqn_avg_win_rate);
|
||
info!(" PPO - avg Sharpe={:.4} avg MaxDD={:.2}% avg WinRate={:.1}%",
|
||
ppo_avg_sharpe, ppo_avg_drawdown, ppo_avg_win_rate);
|
||
|
||
// 5. Sanity checks & report
|
||
info!("Step 5/5: Running sanity checks and saving report...");
|
||
let sanity_checks = run_sanity_checks(&all_fold_metrics, &all_action_counts);
|
||
|
||
info!(" Beats random: {}", sanity_checks.beats_random);
|
||
info!(" Action diversity: {}", sanity_checks.action_diversity);
|
||
info!(" Fold consistency: {}", sanity_checks.fold_consistency);
|
||
|
||
let report = EvaluationReport {
|
||
folds: all_fold_metrics,
|
||
aggregate,
|
||
sanity_checks,
|
||
};
|
||
|
||
// Save report
|
||
if let Some(parent) = args.output.parent() {
|
||
std::fs::create_dir_all(parent)
|
||
.with_context(|| format!("Failed to create output dir: {}", parent.display()))?;
|
||
}
|
||
let report_json = serde_json::to_string_pretty(&report)
|
||
.context("Failed to serialize evaluation report")?;
|
||
std::fs::write(&args.output, &report_json)
|
||
.with_context(|| format!("Failed to write report to {}", args.output.display()))?;
|
||
|
||
info!("=== Evaluation Complete ===");
|
||
info!(" Report saved to: {}", args.output.display());
|
||
info!(" Total fold evaluations: {}", report.folds.len());
|
||
|
||
tm::set_active_workers(0.0);
|
||
|
||
Ok(())
|
||
}
|