foxhunt/ml/examples/simple_dqn_eval.rs

//! Simple DQN Trading Evaluation
//!
//! Minimal evaluation script that loads a trained DQN model and evaluates
//! its trading performance on test data using the integrated evaluation engine.
//!
//! # Usage
//! ```bash
//! cargo run -p ml --example simple_dqn_eval --release --features cuda -- \
//!   --model ml/trained_models/dqn_best_model.safetensors \
//!   --data test_data/ES_FUT_180d.parquet
//! ```

use anyhow::{Context, Result};
use candle_core::{Device, Tensor};
use clap::Parser;
use ml::data_loaders::load_parquet_data;
use ml::dqn::dqn::{WorkingDQN, WorkingDQNConfig};
use ml::evaluation::engine::{Action, EvaluationEngine};
use ml::evaluation::metrics::{OHLCVBar, PerformanceMetrics};
use ml::features::extraction::compute_dqn_features;
use std::path::PathBuf;
use tracing::{info, warn};

#[derive(Parser)]
struct Args {
    /// Path to trained model checkpoint
    #[arg(long, default_value = "ml/trained_models/dqn_best_model.safetensors")]
    model: PathBuf,

    /// Path to test data (Parquet)
    #[arg(long, default_value = "test_data/ES_FUT_180d.parquet")]
    data: PathBuf,

    /// Initial capital
    #[arg(long, default_value_t = 100000.0)]
    capital: f32,

    /// Warmup bars to skip
    #[arg(long, default_value_t = 50)]
    warmup: usize,
}

fn main() -> Result<()> {
    // Initialize logging
    tracing_subscriber::fmt()
        .with_max_level(tracing::Level::INFO)
        .init();

    let args = Args::parse();

    info!("=== Trial #2 DQN Model Evaluation ===");
    info!("Model: {}", args.model.display());
    info!("Data: {}", args.data.display());
    info!("Capital: ${}", args.capital);

    // Step 1: Load parquet data
    info!("Loading test data...");
    let (features, bars) = load_parquet_data(&args.data, args.warmup)
        .with_context(|| format!("Failed to load {}", args.data.display()))?;

    info!("Loaded {} bars ({} features)", bars.len(), features.len());

    // Validate data
    if features.is_empty() || bars.len() < args.warmup {
        anyhow::bail!(
            "Insufficient data: {} bars, {} warmup required",
            bars.len(),
            args.warmup
        );
    }

    // Step 2: Create device
    let device = Device::cuda_if_available(0).context("Failed to create compute device")?;
    info!("Device: {:?}", device);

    // Step 3: Load DQN model
    info!("Loading DQN model from {}...", args.model.display());

    // Create config matching training hyperparameters
    let config = WorkingDQNConfig {
        state_dim: 225, // Feature dimension
        action_dim: 3,  // BUY, HOLD, SELL
        hidden_dim: 256,
        learning_rate: 0.000156,
        gamma: 0.97,
        epsilon: 0.01, // Greedy during evaluation
        epsilon_decay: 0.995,
        epsilon_min: 0.01,
        batch_size: 100,
        buffer_capacity: 642214,
        target_update_freq: 10,
        hold_penalty_weight: 1.0,
        movement_threshold: 0.02,
        gradient_clip_norm: 10.0,
        leaky_relu_alpha: 0.01,
        tau: 0.005,
        warmup_steps: 0,
    };

    let mut dqn = WorkingDQN::new(config, device.clone()).context("Failed to create DQN model")?;

    // Load weights from checkpoint
    dqn.load(&args.model)
        .with_context(|| format!("Failed to load model from {}", args.model.display()))?;

    info!("✅ Model loaded successfully");

    // Step 4: Run evaluation
    info!("Running backtest evaluation...");
    let mut engine = EvaluationEngine::new(args.capital);

    for (idx, (feature, bar)) in features.iter().zip(bars.iter()).enumerate() {
        // Convert feature to DQN state (225-dim)
        let state = Tensor::from_slice(feature.as_slice(), (1, 225), &device)
            .context("Failed to create state tensor")?;

        // Get DQN action (greedy, no exploration during eval)
        let action_idx = dqn
            .select_action_greedy(&state)
            .context("Failed to select action")?;

        let action = Action::from(action_idx);

        // Process action through evaluation engine
        let ohlcv_bar = OHLCVBar {
            timestamp: bar.timestamp,
            open: bar.open,
            high: bar.high,
            low: bar.low,
            close: bar.close,
            volume: bar.volume,
        };

        engine.process_bar(idx, &ohlcv_bar, action);

        // Log every 1000 bars
        if (idx + 1) % 1000 == 0 {
            info!("Processed {}/{} bars", idx + 1, features.len());
        }
    }

    // Close any remaining position
    if let Some(last_bar) = bars.last() {
        let ohlcv_bar = OHLCVBar {
            timestamp: last_bar.timestamp,
            open: last_bar.open,
            high: last_bar.high,
            low: last_bar.low,
            close: last_bar.close,
            volume: last_bar.volume,
        };
        engine.close_position(features.len() - 1, &ohlcv_bar);
    }

    // Step 5: Calculate metrics
    info!("Calculating performance metrics...");

    let metrics = PerformanceMetrics::from_trades(&engine.trades, args.capital, &bars);
    let action_dist = engine.get_action_distribution();

    // Step 6: Print report
    println!("\n{}", "=".repeat(70));
    println!("TRIAL #2 DQN MODEL EVALUATION REPORT");
    println!("{}", "=".repeat(70));
    println!();

    println!("MODEL DETAILS:");
    println!("  Checkpoint: {}", args.model.display());
    println!("  Training Epochs: 100 (best at epoch 61)");
    println!("  Validation Loss: 8,017.93");
    println!();

    println!("HYPERPARAMETERS:");
    println!("  Learning Rate: 0.000156");
    println!("  Batch Size: 100");
    println!("  Gamma: 0.97");
    println!("  Buffer Size: 642,214");
    println!("  Hold Penalty: 1.0");
    println!();

    println!("BACKTEST PERFORMANCE:");
    println!("  Total Return: {:.2}%", metrics.total_return_pct);
    println!("  Sharpe Ratio: {:.2}", metrics.sharpe_ratio);
    println!("  Max Drawdown: {:.2}%", metrics.max_drawdown_pct);
    println!("  Win Rate: {:.2}%", metrics.win_rate * 100.0);
    println!("  Total Trades: {}", metrics.total_trades);
    println!("  Avg Trade P&L: ${:.2}", metrics.avg_trade_pnl);
    println!("  Final Equity: ${:.2}", metrics.final_equity);
    println!("  Total P&L: ${:.2}", metrics.total_pnl);
    println!();

    println!("ACTION DISTRIBUTION:");
    println!(
        "  BUY:  {:>6} ({:>5.2}%)",
        action_dist.buy_count, action_dist.buy_pct
    );
    println!(
        "  SELL: {:>6} ({:>5.2}%)",
        action_dist.sell_count, action_dist.sell_pct
    );
    println!(
        "  HOLD: {:>6} ({:>5.2}%)",
        action_dist.hold_count, action_dist.hold_pct
    );
    println!();

    println!("PRODUCTION READINESS:");
    let sharpe_ok = metrics.sharpe_ratio >= 1.5;
    let win_rate_ok = metrics.win_rate >= 0.55;
    let drawdown_ok = metrics.max_drawdown_pct <= 20.0;
    let profitable = metrics.total_pnl > 0.0;

    println!(
        "  {} Sharpe Ratio >= 1.5: {:.2}",
        if sharpe_ok { "✅" } else { "❌" },
        metrics.sharpe_ratio
    );
    println!(
        "  {} Win Rate >= 55%: {:.2}%",
        if win_rate_ok { "✅" } else { "❌" },
        metrics.win_rate * 100.0
    );
    println!(
        "  {} Max Drawdown <= 20%: {:.2}%",
        if drawdown_ok { "✅" } else { "❌" },
        metrics.max_drawdown_pct
    );
    println!(
        "  {} Profitable: ${:.2}",
        if profitable { "✅" } else { "❌" },
        metrics.total_pnl
    );
    println!();

    let production_ready = sharpe_ok && win_rate_ok && drawdown_ok && profitable;

    if production_ready {
        println!("✅ PRODUCTION READY - All criteria met!");
    } else {
        println!("⚠️  NOT PRODUCTION READY - Some criteria not met");
    }

    println!("{}", "=".repeat(70));
    println!();

    Ok(())
}