gihyeon/cointrader
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

feat: strategy parameter sweep and production param optimization

Browse Source 
- 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
Download Patch File Download Diff File Expand all files Collapse all files

80
docs/plans/2026-03-06-strategy-parameter-sweep-plan.md Normal file
View File

@@ -0,0 +1,80 @@
# Strategy Parameter Sweep Plan
**Date**: 2026-03-06
**Status**: Completed
## Goal
Find profitable parameter combinations for the base technical indicator strategy (ML OFF) using walk-forward backtesting, targeting PF >= 1.0 as foundation for ML redesign.
## Background
Walk-forward backtest revealed the current XRP strategy is unprofitable (PF 0.71, -641 PnL). The strategy parameter sweep systematically tests 324 combinations of 5 parameters to find profitable regimes.
## Parameters Swept
| Parameter | Values | Description |
|-----------|--------|-------------|
| `atr_sl_mult` | 1.0, 1.5, 2.0 | Stop-loss ATR multiplier |
| `atr_tp_mult` | 2.0, 3.0, 4.0 | Take-profit ATR multiplier |
| `signal_threshold` | 3, 4, 5 | Min weighted indicator score for entry |
| `adx_threshold` | 0, 20, 25, 30 | ADX filter (0=disabled, N=require ADX>=N) |
| `volume_multiplier` | 1.5, 2.0, 2.5 | Volume surge detection multiplier |
Total combinations: 3 x 3 x 3 x 4 x 3 = **324**
## Implementation
### Files Modified
- `src/indicators.py` — `get_signal()` accepts `signal_threshold`, `adx_threshold`, `volume_multiplier` params
- `src/dataset_builder.py` — `_calc_signals()` accepts same params for vectorized computation
- `src/backtester.py` — `BacktestConfig` includes strategy params; `WalkForwardBacktester` propagates them to test folds
### Files Created
- `scripts/strategy_sweep.py` — CLI tool for parameter grid sweep
### Bug Fix
- `WalkForwardBacktester` was not passing `signal_threshold`, `adx_threshold`, `volume_multiplier`, or `use_ml` to fold `BacktestConfig`. All signal params were silently using defaults, making ADX/volume/threshold sweeps have zero effect.
## Results (XRPUSDT, Walk-Forward 3/1)
### Top 10 Combinations
| Rank | SL×ATR | TP×ATR | Signal | ADX | Vol | Trades | WinRate | PF | MDD | PnL | Sharpe |
|------|--------|--------|--------|-----|-----|--------|---------|-----|-----|------|--------|
| 1 | 1.5 | 4.0 | 3 | 30 | 2.5 | 19 | 52.6% | 2.39 | 7.0% | +469 | 61.0 |
| 2 | 1.5 | 2.0 | 3 | 30 | 2.5 | 19 | 68.4% | 2.23 | 6.5% | +282 | 61.2 |
| 3 | 1.0 | 2.0 | 3 | 30 | 2.5 | 19 | 57.9% | 1.98 | 5.0% | +213 | 50.8 |
| 4 | 1.0 | 4.0 | 3 | 30 | 2.5 | 19 | 36.8% | 1.80 | 7.7% | +248 | 37.1 |
| 5 | 1.5 | 3.0 | 3 | 30 | 2.5 | 19 | 52.6% | 1.76 | 10.1% | +258 | 40.9 |
| 6 | 1.5 | 4.0 | 3 | 25 | 2.5 | 28 | 42.9% | 1.75 | 13.1% | +381 | 36.8 |
| 7 | 2.0 | 4.0 | 3 | 30 | 1.5 | 39 | 48.7% | 1.67 | 16.9% | +572 | 35.3 |
| 8 | 1.0 | 2.0 | 3 | 25 | 2.5 | 28 | 50.0% | 1.64 | 5.8% | +205 | 35.7 |
| 9 | 1.5 | 2.0 | 3 | 25 | 2.5 | 28 | 57.1% | 1.62 | 10.3% | +229 | 35.7 |
| 10 | 2.0 | 2.0 | 3 | 25 | 2.5 | 27 | 66.7% | 1.57 | 12.0% | +217 | 33.3 |
### Current Production (Rank 93/324)
| SL×ATR | TP×ATR | Signal | ADX | Vol | Trades | WinRate | PF | MDD | PnL |
|--------|--------|--------|-----|-----|--------|---------|-----|-----|------|
| 1.5 | 3.0 | 3 | 0 | 1.5 | 118 | 30.5% | 0.71 | 65.9% | -641 |
### Key Findings
1. **ADX filter is the single most impactful parameter.** All top 10 results use ADX >= 25, with ADX=30 dominating the top 5. This filters out sideways/ranging markets where signals are noise.
2. **Volume multiplier 2.5 dominates.** Higher volume thresholds ensure entries only on strong conviction (genuine breakouts vs. noise).
3. **Signal threshold 3 is optimal.** Higher thresholds (4, 5) produced too few trades or zero trades in most ADX-filtered regimes.
4. **SL/TP ratios matter less than entry filters.** The top results span all SL/TP combos, but all share ADX=25-30 + Vol=2.5.
5. **Trade count drops significantly with filters.** Top combos have 19-39 trades vs. 118 for current. Fewer but higher quality entries.
6. **41 combinations achieved PF >= 1.0** out of 324 total (12.7%).
## Recommended Next Steps
1. **Update production defaults**: ADX=25, volume_multiplier=2.0 as a conservative choice (more trades than ADX=30)
2. **Validate on TRXUSDT and DOGEUSDT** to confirm ADX filter is not XRP-specific
3. **Retrain ML models** with updated strategy params — the ML filter should now have a profitable base to improve upon
4. **Fine-tune sweep** around the profitable zone: ADX [25-35], Vol [2.0-3.0]