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feat: strategy parameter sweep and production param optimization

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- Add independent backtest engine (backtester.py) with walk-forward support
- Add backtest sanity check validator (backtest_validator.py)
- Add CLI tools: run_backtest.py, strategy_sweep.py (with --combined mode)
- Fix train-serve skew: unify feature z-score normalization (ml_features.py)
- Add strategy params (SL/TP ATR mult, ADX filter, volume multiplier) to
  config.py, indicators.py, dataset_builder.py, bot.py, backtester.py
- Fix WalkForwardBacktester not propagating strategy params to test folds
- Update production defaults: SL=2.0x, TP=2.0x, ADX=25, Vol=2.5
  (3-symbol combined PF: 0.71 → 1.24, MDD: 65.9% → 17.1%)
- Retrain ML models with new strategy parameters

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
21in7
2026-03-06 23:39:43 +09:00
parent 15fb9c158a
commit 02e41881ac
20 changed files with 2153 additions and 33 deletions
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@@ -130,3 +130,4 @@ All design documents and implementation plans are stored in `docs/plans/` with t
| 2026-03-04 | `oi-derived-features` (design + plan) | Completed |
| 2026-03-05 | `multi-symbol-trading` (design + plan) | Completed |
| 2026-03-06 | `multi-symbol-dashboard` (design + plan) | Completed |
| 2026-03-06 | `strategy-parameter-sweep` (plan) | Completed |