Simon Moisy
1e4cb87da3
- Introduced `check_symbols.py` to load and filter ETH perpetual markets from the OKX exchange using CCXT. - Updated the backtester to normalize signals to a 5-tuple format, incorporating size management for trades. - Enhanced portfolio functions to support variable size and leverage adjustments based on initial capital. - Added a new method in `CryptoQuantClient` for chunked historical data fetching to avoid API limits. - Improved market symbol normalization in `market.py` to handle different formats. - Updated regime strategy parameters based on recent research findings for optimal performance.
343 lines
11 KiB
Python
343 lines
11 KiB
Python
"""
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Regime Detection Research Script with Walk-Forward Training.
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Tests multiple holding horizons to find optimal parameters
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without look-ahead bias.
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"""
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import sys
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import os
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sys.path.append(os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
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import pandas as pd
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import numpy as np
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import ta
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from sklearn.ensemble import RandomForestClassifier
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from sklearn.metrics import classification_report, f1_score
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from engine.data_manager import DataManager
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from engine.market import MarketType
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from engine.logging_config import get_logger
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logger = get_logger(__name__)
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# Configuration
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TRAIN_RATIO = 0.7 # 70% train, 30% test
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PROFIT_THRESHOLD = 0.005 # 0.5% profit target
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Z_WINDOW = 24
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FEE_RATE = 0.001 # 0.1% round-trip fee
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def load_data():
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"""Load and align BTC/ETH data."""
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dm = DataManager()
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df_btc = dm.load_data("okx", "BTC-USDT", "1h", MarketType.SPOT)
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df_eth = dm.load_data("okx", "ETH-USDT", "1h", MarketType.SPOT)
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# Filter to Oct-Dec 2025
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start = pd.Timestamp("2025-10-01", tz="UTC")
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end = pd.Timestamp("2025-12-31", tz="UTC")
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df_btc = df_btc[(df_btc.index >= start) & (df_btc.index <= end)]
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df_eth = df_eth[(df_eth.index >= start) & (df_eth.index <= end)]
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# Align indices
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common = df_btc.index.intersection(df_eth.index)
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df_btc = df_btc.loc[common]
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df_eth = df_eth.loc[common]
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logger.info(f"Loaded {len(common)} aligned hourly bars")
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return df_btc, df_eth
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def load_cryptoquant_data():
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"""Load CryptoQuant on-chain data if available."""
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try:
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cq_path = "data/cq_training_data.csv"
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cq_df = pd.read_csv(cq_path, index_col='timestamp', parse_dates=True)
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if cq_df.index.tz is None:
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cq_df.index = cq_df.index.tz_localize('UTC')
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logger.info(f"Loaded CryptoQuant data: {len(cq_df)} rows")
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return cq_df
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except Exception as e:
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logger.warning(f"CryptoQuant data not available: {e}")
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return None
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def calculate_features(df_btc, df_eth, cq_df=None):
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"""Calculate all features for the model."""
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spread = df_eth['close'] / df_btc['close']
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# Z-Score
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rolling_mean = spread.rolling(window=Z_WINDOW).mean()
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rolling_std = spread.rolling(window=Z_WINDOW).std()
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z_score = (spread - rolling_mean) / rolling_std
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# Technicals
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spread_rsi = ta.momentum.RSIIndicator(spread, window=14).rsi()
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spread_roc = spread.pct_change(periods=5) * 100
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spread_change_1h = spread.pct_change(periods=1)
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# Volume
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vol_ratio = df_eth['volume'] / df_btc['volume']
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vol_ratio_ma = vol_ratio.rolling(window=12).mean()
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# Volatility
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ret_btc = df_btc['close'].pct_change()
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ret_eth = df_eth['close'].pct_change()
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vol_btc = ret_btc.rolling(window=Z_WINDOW).std()
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vol_eth = ret_eth.rolling(window=Z_WINDOW).std()
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vol_spread_ratio = vol_eth / vol_btc
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features = pd.DataFrame(index=spread.index)
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features['spread'] = spread
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features['z_score'] = z_score
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features['spread_rsi'] = spread_rsi
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features['spread_roc'] = spread_roc
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features['spread_change_1h'] = spread_change_1h
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features['vol_ratio'] = vol_ratio
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features['vol_ratio_rel'] = vol_ratio / vol_ratio_ma
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features['vol_diff_ratio'] = vol_spread_ratio
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# Add CQ features if available
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if cq_df is not None:
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cq_aligned = cq_df.reindex(features.index, method='ffill')
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if 'btc_funding' in cq_aligned.columns and 'eth_funding' in cq_aligned.columns:
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cq_aligned['funding_diff'] = cq_aligned['eth_funding'] - cq_aligned['btc_funding']
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if 'btc_inflow' in cq_aligned.columns and 'eth_inflow' in cq_aligned.columns:
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cq_aligned['inflow_ratio'] = cq_aligned['eth_inflow'] / (cq_aligned['btc_inflow'] + 1)
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features = features.join(cq_aligned)
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return features.dropna()
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def calculate_targets(features, horizon):
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"""Calculate target labels for a given horizon."""
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spread = features['spread']
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z_score = features['z_score']
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# For Short (Z > 1): Did spread drop below target?
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future_min = spread.rolling(window=horizon).min().shift(-horizon)
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target_short = spread * (1 - PROFIT_THRESHOLD)
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success_short = (z_score > 1.0) & (future_min < target_short)
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# For Long (Z < -1): Did spread rise above target?
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future_max = spread.rolling(window=horizon).max().shift(-horizon)
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target_long = spread * (1 + PROFIT_THRESHOLD)
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success_long = (z_score < -1.0) & (future_max > target_long)
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targets = np.select([success_short, success_long], [1, 1], default=0)
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# Create valid mask (rows with complete future data)
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valid_mask = future_min.notna() & future_max.notna()
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return targets, valid_mask, future_min, future_max
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def calculate_mae(features, predictions, test_idx, horizon):
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"""Calculate Maximum Adverse Excursion for predicted trades."""
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test_features = features.loc[test_idx]
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spread = test_features['spread']
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z_score = test_features['z_score']
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mae_values = []
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for i, (idx, pred) in enumerate(zip(test_idx, predictions)):
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if pred != 1:
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continue
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entry_spread = spread.loc[idx]
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z = z_score.loc[idx]
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# Get future spread values
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future_idx = features.index.get_loc(idx)
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future_end = min(future_idx + horizon, len(features))
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future_spreads = features['spread'].iloc[future_idx:future_end]
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if len(future_spreads) < 2:
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continue
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if z > 1.0: # Short trade
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max_adverse = (future_spreads.max() - entry_spread) / entry_spread
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else: # Long trade
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max_adverse = (entry_spread - future_spreads.min()) / entry_spread
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mae_values.append(max_adverse * 100) # As percentage
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return np.mean(mae_values) if mae_values else 0.0
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def calculate_net_profit(features, predictions, test_idx, horizon):
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"""Calculate estimated net profit including fees."""
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test_features = features.loc[test_idx]
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spread = test_features['spread']
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z_score = test_features['z_score']
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total_pnl = 0.0
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n_trades = 0
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for i, (idx, pred) in enumerate(zip(test_idx, predictions)):
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if pred != 1:
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continue
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entry_spread = spread.loc[idx]
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z = z_score.loc[idx]
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# Get future spread values
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future_idx = features.index.get_loc(idx)
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future_end = min(future_idx + horizon, len(features))
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future_spreads = features['spread'].iloc[future_idx:future_end]
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if len(future_spreads) < 2:
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continue
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# Calculate PnL based on direction
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if z > 1.0: # Short trade - profit if spread drops
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exit_spread = future_spreads.iloc[-1] # Exit at horizon
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pnl = (entry_spread - exit_spread) / entry_spread
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else: # Long trade - profit if spread rises
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exit_spread = future_spreads.iloc[-1]
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pnl = (exit_spread - entry_spread) / entry_spread
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# Subtract fees
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net_pnl = pnl - FEE_RATE
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total_pnl += net_pnl
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n_trades += 1
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return total_pnl, n_trades
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def test_horizon(features, horizon):
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"""Test a single horizon with walk-forward training."""
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# Calculate targets
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targets, valid_mask, _, _ = calculate_targets(features, horizon)
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# Walk-forward split
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n_samples = len(features)
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train_size = int(n_samples * TRAIN_RATIO)
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train_features = features.iloc[:train_size]
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test_features = features.iloc[train_size:]
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train_targets = targets[:train_size]
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test_targets = targets[train_size:]
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train_valid = valid_mask.iloc[:train_size]
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test_valid = valid_mask.iloc[train_size:]
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# Prepare training data (only valid rows)
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exclude = ['spread']
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cols = [c for c in features.columns if c not in exclude]
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X_train = train_features[cols].fillna(0).replace([np.inf, -np.inf], 0)
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X_train_valid = X_train[train_valid]
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y_train_valid = train_targets[train_valid]
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if len(X_train_valid) < 50:
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return None # Not enough training data
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# Train model
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model = RandomForestClassifier(
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n_estimators=300, max_depth=5, min_samples_leaf=30,
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class_weight={0: 1, 1: 3}, random_state=42
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)
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model.fit(X_train_valid, y_train_valid)
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# Predict on test set
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X_test = test_features[cols].fillna(0).replace([np.inf, -np.inf], 0)
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predictions = model.predict(X_test)
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# Only evaluate on valid test rows (those with complete future data)
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test_valid_mask = test_valid.values
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y_test_valid = test_targets[test_valid_mask]
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pred_valid = predictions[test_valid_mask]
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if len(y_test_valid) < 10:
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return None
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# Calculate metrics
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f1 = f1_score(y_test_valid, pred_valid, zero_division=0)
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# Calculate MAE and Net Profit on ALL test predictions (not just valid targets)
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test_idx = test_features.index
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avg_mae = calculate_mae(features, predictions, test_idx, horizon)
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net_pnl, n_trades = calculate_net_profit(features, predictions, test_idx, horizon)
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return {
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'horizon': horizon,
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'f1_score': f1,
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'avg_mae': avg_mae,
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'net_pnl': net_pnl,
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'n_trades': n_trades,
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'train_samples': len(X_train_valid),
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'test_samples': len(X_test)
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}
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def test_horizons(features, horizons):
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"""Test multiple horizons and return comparison."""
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results = []
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print("\n" + "=" * 80)
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print("WALK-FORWARD HORIZON OPTIMIZATION")
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print(f"Train Ratio: {TRAIN_RATIO*100:.0f}% | Profit Target: {PROFIT_THRESHOLD*100:.1f}% | Fee Rate: {FEE_RATE*100:.2f}%")
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print("=" * 80)
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for h in horizons:
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result = test_horizon(features, h)
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if result:
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results.append(result)
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print(f"Horizon {h:3d}h: F1={result['f1_score']:.3f}, "
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f"MAE={result['avg_mae']:.2f}%, "
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f"Net PnL={result['net_pnl']*100:.2f}%, "
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f"Trades={result['n_trades']}")
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return results
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def main():
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"""Main research function."""
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# Load data
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df_btc, df_eth = load_data()
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cq_df = load_cryptoquant_data()
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# Calculate features
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features = calculate_features(df_btc, df_eth, cq_df)
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logger.info(f"Calculated {len(features)} feature rows with {len(features.columns)} columns")
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# Test horizons from 6h to 150h
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horizons = list(range(6, 151, 6)) # 6, 12, 18, ..., 150
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results = test_horizons(features, horizons)
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if not results:
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print("No valid results!")
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return
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# Find best by different metrics
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results_df = pd.DataFrame(results)
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print("\n" + "=" * 80)
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print("BEST HORIZONS BY METRIC")
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print("=" * 80)
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best_f1 = results_df.loc[results_df['f1_score'].idxmax()]
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print(f"Best F1 Score: {best_f1['horizon']:.0f}h (F1={best_f1['f1_score']:.3f})")
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best_pnl = results_df.loc[results_df['net_pnl'].idxmax()]
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print(f"Best Net PnL: {best_pnl['horizon']:.0f}h (PnL={best_pnl['net_pnl']*100:.2f}%)")
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lowest_mae = results_df.loc[results_df['avg_mae'].idxmin()]
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print(f"Lowest MAE: {lowest_mae['horizon']:.0f}h (MAE={lowest_mae['avg_mae']:.2f}%)")
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# Save results
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output_path = "research/horizon_optimization_results.csv"
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results_df.to_csv(output_path, index=False)
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print(f"\nResults saved to {output_path}")
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return results_df
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if __name__ == "__main__":
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main()
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