02e41881ac
- 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>
102 lines
2.5 KiB
JSON
102 lines
2.5 KiB
JSON
[
|
|
{
|
|
"date": "2026-03-05T23:53:20.451588",
|
|
"backend": "lgbm",
|
|
"auc": 0.9428,
|
|
"best_threshold": 0.8486,
|
|
"best_precision": 0.583,
|
|
"best_recall": 0.171,
|
|
"samples": 3222,
|
|
"features": 26,
|
|
"time_weight_decay": 2.0,
|
|
"model_path": "models/xrpusdt/lgbm_filter.pkl",
|
|
"tuned_params_path": null,
|
|
"lgbm_params": {
|
|
"n_estimators": 434,
|
|
"learning_rate": 0.123659,
|
|
"max_depth": 6,
|
|
"num_leaves": 14,
|
|
"min_child_samples": 10,
|
|
"subsample": 0.929062,
|
|
"colsample_bytree": 0.94633,
|
|
"reg_alpha": 0.573971,
|
|
"reg_lambda": 0.000157
|
|
},
|
|
"weight_scale": 1.783105
|
|
},
|
|
{
|
|
"date": "2026-03-06T02:00:24.712465",
|
|
"backend": "lgbm",
|
|
"auc": 0.9456,
|
|
"best_threshold": 0.7213,
|
|
"best_precision": 0.6,
|
|
"best_recall": 0.22,
|
|
"samples": 3222,
|
|
"features": 26,
|
|
"time_weight_decay": 2.0,
|
|
"model_path": "models/xrpusdt/lgbm_filter.pkl",
|
|
"tuned_params_path": null,
|
|
"lgbm_params": {
|
|
"n_estimators": 434,
|
|
"learning_rate": 0.123659,
|
|
"max_depth": 6,
|
|
"num_leaves": 14,
|
|
"min_child_samples": 10,
|
|
"subsample": 0.929062,
|
|
"colsample_bytree": 0.94633,
|
|
"reg_alpha": 0.573971,
|
|
"reg_lambda": 0.000157
|
|
},
|
|
"weight_scale": 1.783105
|
|
},
|
|
{
|
|
"date": "2026-03-06T22:37:08.529734",
|
|
"backend": "lgbm",
|
|
"auc": 0.9448,
|
|
"best_threshold": 0.7881,
|
|
"best_precision": 0.538,
|
|
"best_recall": 0.167,
|
|
"samples": 3234,
|
|
"features": 26,
|
|
"time_weight_decay": 2.0,
|
|
"model_path": "models/xrpusdt/lgbm_filter.pkl",
|
|
"tuned_params_path": null,
|
|
"lgbm_params": {
|
|
"n_estimators": 434,
|
|
"learning_rate": 0.123659,
|
|
"max_depth": 6,
|
|
"num_leaves": 14,
|
|
"min_child_samples": 10,
|
|
"subsample": 0.929062,
|
|
"colsample_bytree": 0.94633,
|
|
"reg_alpha": 0.573971,
|
|
"reg_lambda": 0.000157
|
|
},
|
|
"weight_scale": 1.783105
|
|
},
|
|
{
|
|
"date": "2026-03-06T23:35:02.930027",
|
|
"backend": "lgbm",
|
|
"auc": 0.9598,
|
|
"best_threshold": 0.4674,
|
|
"best_precision": 1.0,
|
|
"best_recall": 0.182,
|
|
"samples": 618,
|
|
"features": 26,
|
|
"time_weight_decay": 2.0,
|
|
"model_path": "models/xrpusdt/lgbm_filter.pkl",
|
|
"tuned_params_path": null,
|
|
"lgbm_params": {
|
|
"n_estimators": 434,
|
|
"learning_rate": 0.123659,
|
|
"max_depth": 6,
|
|
"num_leaves": 14,
|
|
"min_child_samples": 10,
|
|
"subsample": 0.929062,
|
|
"colsample_bytree": 0.94633,
|
|
"reg_alpha": 0.573971,
|
|
"reg_lambda": 0.000157
|
|
},
|
|
"weight_scale": 1.783105
|
|
}
|
|
] |