21in7
b5a5510499
feat(backtest): add --compare-ml for ML on/off walk-forward comparison
...
Runs WalkForwardBacktester twice (use_ml=True/False), prints side-by-side
comparison of PF, win rate, MDD, Sharpe, and auto-judges ML filter value.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com >
2026-03-21 19:58:24 +09:00
21in7
02e41881ac
feat: strategy parameter sweep and production param optimization
...
- 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 >
2026-03-06 23:39:43 +09:00
