research: extensive V7 optimization and V8 (TMF) evaluation
Research scripts exploring paths beyond V7+VT36: - regime_stock_picker_eval: V3 regime + S&P 500 stock picking - v7_parameter_sweep: VT range (20-48%) + adaptive PT variants - v7_synthetic_leverage_eval: synthetic 2x/3x leveraged individual stocks - v7_breakthrough_eval/fixed: ensemble, cross-market, alt regime engines - v7_three_ideas_eval: TMF risk-off, PT entry reset, fast exit - v7_trade_audit: full 10y trade log and alpha attribution - sota_ranking: comprehensive cross-strategy ranking Key findings: - VT36 is optimal risk-return tradeoff (+7% vs VT28, Sharpe ~flat) - PT30 is structural optimum for 3x ETFs (all adaptive variants worse) - V8 (TMF risk-off) debunked: +5% was 1-day lookahead bias artifact - V3 regime engine irreplaceable (all simplified alternatives fail) - PT mechanism is dominant alpha source (+15.6pp ann, +0.58 Sharpe) V8 strategy file kept for reference (not registered). Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
This commit is contained in:
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research/v7_parameter_sweep.py
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382
research/v7_parameter_sweep.py
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"""V7 parameter sweep: vol-target range + adaptive profit-take variants.
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Direction 1: higher vol-target (VT24 → VT48)
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Direction 3: adaptive profit-take (vol-scaled, time-decay, combined)
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"""
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from __future__ import annotations
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import sys
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sys.path.insert(0, ".")
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import numpy as np
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import pandas as pd
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import data_manager
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import metrics
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from main import backtest
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from strategies.base import Strategy
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from strategies.permanent import TrendRiderV3
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YEARS = 10
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CAPITAL = 100_000
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TX_COST = 0.001
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FIXED_FEE = 2.0
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ETF_TICKERS = ["SPY", "TQQQ", "UPRO", "GLD", "DBC", "SHY"]
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# ---------------------------------------------------------------------------
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# Adaptive V7: modular profit-take that accepts a callable threshold
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# ---------------------------------------------------------------------------
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class TrendRiderV7Adaptive(Strategy):
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"""V7 with pluggable profit-take logic.
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pt_func(gain, realized_vol, days_held) -> (threshold, restore_level)
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If pt_func is None, no profit-take is applied.
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"""
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def __init__(
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self,
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ma_long: int = 150,
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signal: str = "SPY",
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risk_on: tuple[str, ...] = ("TQQQ", "UPRO"),
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risk_off: tuple[str, ...] = ("GLD", "DBC"),
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target_vol: float = 0.28,
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vol_window: int = 60,
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min_lev: float = 0.6,
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max_lev: float = 1.0,
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pt_func=None,
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pt_park: str = "SHY",
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**v3_kwargs,
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) -> None:
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self.target_vol = target_vol
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self.vol_window = vol_window
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self.min_lev = min_lev
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self.max_lev = max_lev
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self.pt_func = pt_func
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self.pt_park = pt_park
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self.v3 = TrendRiderV3(
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signal=signal, risk_on=risk_on, risk_off=risk_off,
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ma_long=ma_long, **v3_kwargs,
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)
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def generate_signals(self, data: pd.DataFrame) -> pd.DataFrame:
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w = self.v3.generate_signals(data)
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# Vol-target overlay
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daily_ret = data.pct_change(fill_method=None).fillna(0.0)
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port_rets = (w * daily_ret).sum(axis=1)
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realized_vol = (
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port_rets.rolling(self.vol_window, min_periods=21).std()
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* np.sqrt(252)
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)
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scale = (self.target_vol / realized_vol).clip(
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lower=self.min_lev, upper=self.max_lev,
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)
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scale = scale.shift(1).fillna(1.0)
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w = w.mul(scale, axis=0)
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if self.pt_func is None:
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return w
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# Adaptive profit-take
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held = w.idxmax(axis=1)
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max_w = w.max(axis=1)
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held[max_w < 1e-8] = ""
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park_col = self.pt_park if self.pt_park in w.columns else ""
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entry_price: float | None = None
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current_sym: str | None = None
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is_stopped = False
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days_held = 0
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for i in range(len(w)):
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sym = held.iloc[i]
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if not sym or max_w.iloc[i] < 1e-8:
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current_sym = None
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entry_price = None
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is_stopped = False
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days_held = 0
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continue
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if sym != current_sym:
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current_sym = sym
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entry_price = (
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float(data[sym].iloc[i - 1])
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if i > 0 and sym in data.columns else None
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)
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is_stopped = False
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days_held = 0
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continue
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days_held += 1
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if entry_price is None or entry_price <= 0 or sym not in data.columns:
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continue
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yesterday = float(data[sym].iloc[i - 1]) if i > 0 else float(data[sym].iloc[i])
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gain = yesterday / entry_price - 1.0
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rv = float(realized_vol.iloc[i]) if not np.isnan(realized_vol.iloc[i]) else 0.25
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threshold, restore_level = self.pt_func(gain, rv, days_held)
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if is_stopped:
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if gain < restore_level:
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is_stopped = False
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else:
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w.iloc[i] = 0.0
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if park_col:
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w.at[w.index[i], park_col] = scale.iloc[i]
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else:
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if gain >= threshold:
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is_stopped = True
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w.iloc[i] = 0.0
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if park_col:
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w.at[w.index[i], park_col] = scale.iloc[i]
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return w
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# ---------------------------------------------------------------------------
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# Profit-take function factories
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# ---------------------------------------------------------------------------
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def fixed_pt(threshold: float, band: float):
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"""Classic fixed threshold (V7 default)."""
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def fn(gain, rv, days_held):
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return threshold, threshold - band
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return fn
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def vol_adaptive_pt(base_threshold: float = 0.30, base_vol: float = 0.25,
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band_ratio: float = 0.33, lo: float = 0.15, hi: float = 0.50):
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"""Threshold scales inversely with realized vol.
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High vol → lower threshold (harvest earlier, vol drag is worse).
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Low vol → higher threshold (let profits run, drag is mild).
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"""
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def fn(gain, rv, days_held):
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rv = max(rv, 0.05)
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t = np.clip(base_threshold * (base_vol / rv), lo, hi)
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return t, t * (1 - band_ratio)
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return fn
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def time_decay_pt(start_threshold: float = 0.40, end_threshold: float = 0.18,
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decay_days: int = 120, band_ratio: float = 0.33):
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"""Threshold decays linearly over holding period.
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Rationale: longer holds accumulate more vol drag → take profits earlier.
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"""
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def fn(gain, rv, days_held):
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frac = min(days_held / decay_days, 1.0)
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t = start_threshold - frac * (start_threshold - end_threshold)
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return t, t * (1 - band_ratio)
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return fn
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def combined_pt(base_threshold: float = 0.30, base_vol: float = 0.25,
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time_decay_rate: float = 0.0005, min_threshold: float = 0.12,
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max_threshold: float = 0.50, band_ratio: float = 0.33):
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"""Vol-adaptive + time decay combined."""
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def fn(gain, rv, days_held):
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rv = max(rv, 0.05)
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vol_adj = base_threshold * (base_vol / rv)
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time_adj = vol_adj - days_held * time_decay_rate
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t = np.clip(time_adj, min_threshold, max_threshold)
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return t, t * (1 - band_ratio)
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return fn
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def trailing_stop_pt(initial_threshold: float = 0.30, trail_pct: float = 0.15,
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band_ratio: float = 0.33):
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"""Once gain exceeds threshold, switch to trailing stop from peak gain.
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Lets winners run further but protects from reversal.
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"""
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# We need state across calls, so use a mutable closure
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state = {"peak_gain": 0.0, "trailing_active": False}
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def fn(gain, rv, days_held):
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if days_held == 1:
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state["peak_gain"] = 0.0
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state["trailing_active"] = False
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if state["trailing_active"]:
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state["peak_gain"] = max(state["peak_gain"], gain)
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trail_level = state["peak_gain"] * (1 - trail_pct)
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if gain < trail_level:
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return -1.0, -1.0 # trigger immediately
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return float("inf"), float("inf") # don't trigger via threshold
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else:
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if gain >= initial_threshold:
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state["trailing_active"] = True
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state["peak_gain"] = gain
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return float("inf"), float("inf")
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return initial_threshold, initial_threshold * (1 - band_ratio)
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return fn
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# ---------------------------------------------------------------------------
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# Main sweep
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# ---------------------------------------------------------------------------
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def main():
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print("=" * 100)
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print(" V7 PARAMETER SWEEP: Vol-Target + Adaptive Profit-Take")
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print("=" * 100)
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# Load ETF data
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print("\n[1] Loading ETF data...")
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etf_data = data_manager.update("etfs", ETF_TICKERS, with_open=False)
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if isinstance(etf_data, tuple):
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etf_data = etf_data[0]
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cutoff = etf_data.index[-1] - pd.DateOffset(years=YEARS)
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etf_data = etf_data[etf_data.index >= cutoff]
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tradable = [t for t in ETF_TICKERS if t in etf_data.columns]
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print(f" Period: {etf_data.index[0].date()} → {etf_data.index[-1].date()}")
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results: list[tuple[str, str, dict]] = []
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def run(group: str, label: str, strategy: Strategy):
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eq = backtest(strategy, etf_data[tradable], initial_capital=CAPITAL,
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transaction_cost=TX_COST, fixed_fee=FIXED_FEE)
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m = metrics.raw_summary(eq)
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results.append((group, label, m))
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print(f" {label:<45} Ann={m['annualizedReturn']*100:.1f}% "
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f"Sharpe={m['sharpeRatio']:.2f} MaxDD={m['maxDrawdown']*100:.1f}%")
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# =====================================================================
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# SWEEP 1: Vol-target range (with fixed PT30)
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# =====================================================================
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print("\n[2] Sweep 1: Vol-target range (PT30 fixed)")
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print("-" * 70)
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vt_configs = [
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("VT20", 0.20, 0.45),
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("VT24", 0.24, 0.50),
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("VT28 (default)", 0.28, 0.60),
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("VT32", 0.32, 0.70),
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("VT36", 0.36, 0.75),
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("VT40", 0.40, 0.80),
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("VT44", 0.44, 0.85),
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("VT48", 0.48, 0.90),
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("No VT (raw V3+PT30)", 0.28, 1.0), # min_lev=max_lev=1.0 → no scaling
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]
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for label, tv, ml in vt_configs:
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if label.startswith("No VT"):
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s = TrendRiderV7Adaptive(target_vol=1.0, min_lev=1.0, max_lev=1.0,
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pt_func=fixed_pt(0.30, 0.10))
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else:
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s = TrendRiderV7Adaptive(target_vol=tv, min_lev=ml,
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pt_func=fixed_pt(0.30, 0.10))
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run("VT sweep", label, s)
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# =====================================================================
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# SWEEP 2: Profit-take variants (using best VT from sweep 1)
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# =====================================================================
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print("\n[3] Sweep 2: Profit-take variants (VT32)")
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print("-" * 70)
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best_vt = 0.32
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best_ml = 0.70
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pt_configs: list[tuple[str, object]] = [
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# Fixed thresholds
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("No PT (ablation)", None),
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("Fixed PT15 band=5", fixed_pt(0.15, 0.05)),
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("Fixed PT20 band=8", fixed_pt(0.20, 0.08)),
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("Fixed PT25 band=10", fixed_pt(0.25, 0.10)),
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("Fixed PT30 band=10 (default)", fixed_pt(0.30, 0.10)),
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("Fixed PT35 band=12", fixed_pt(0.35, 0.12)),
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("Fixed PT40 band=15", fixed_pt(0.40, 0.15)),
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("Fixed PT50 band=15", fixed_pt(0.50, 0.15)),
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# Vol-adaptive
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("Vol-adaptive (base=30%, lo=15%)", vol_adaptive_pt(0.30, 0.25, 0.33, 0.15, 0.50)),
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("Vol-adaptive (base=25%, lo=12%)", vol_adaptive_pt(0.25, 0.25, 0.33, 0.12, 0.45)),
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("Vol-adaptive (base=35%, lo=18%)", vol_adaptive_pt(0.35, 0.25, 0.33, 0.18, 0.55)),
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# Time-decay
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("Time-decay (40%→18%, 120d)", time_decay_pt(0.40, 0.18, 120)),
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("Time-decay (35%→15%, 90d)", time_decay_pt(0.35, 0.15, 90)),
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("Time-decay (45%→20%, 150d)", time_decay_pt(0.45, 0.20, 150)),
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# Combined
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("Combined vol+time (base=30%)", combined_pt(0.30, 0.25, 0.0005, 0.12, 0.50)),
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("Combined vol+time (base=25%)", combined_pt(0.25, 0.25, 0.0005, 0.10, 0.45)),
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]
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for label, pt_fn in pt_configs:
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s = TrendRiderV7Adaptive(target_vol=best_vt, min_lev=best_ml,
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pt_func=pt_fn)
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run("PT sweep", label, s)
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# =====================================================================
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# SWEEP 3: Best PT × VT grid (narrow search around top combos)
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# =====================================================================
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print("\n[4] Sweep 3: Best combos (VT × PT grid)")
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print("-" * 70)
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grid = [
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(0.32, 0.70, "Fixed PT30", fixed_pt(0.30, 0.10)),
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(0.36, 0.75, "Fixed PT30", fixed_pt(0.30, 0.10)),
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(0.40, 0.80, "Fixed PT30", fixed_pt(0.30, 0.10)),
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(0.32, 0.70, "Fixed PT25", fixed_pt(0.25, 0.10)),
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(0.36, 0.75, "Fixed PT25", fixed_pt(0.25, 0.10)),
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(0.40, 0.80, "Fixed PT25", fixed_pt(0.25, 0.10)),
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(0.32, 0.70, "Vol-adapt 30%", vol_adaptive_pt(0.30, 0.25, 0.33, 0.15, 0.50)),
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(0.36, 0.75, "Vol-adapt 30%", vol_adaptive_pt(0.30, 0.25, 0.33, 0.15, 0.50)),
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(0.40, 0.80, "Vol-adapt 30%", vol_adaptive_pt(0.30, 0.25, 0.33, 0.15, 0.50)),
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(0.32, 0.70, "Time-decay 40→18", time_decay_pt(0.40, 0.18, 120)),
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(0.36, 0.75, "Time-decay 40→18", time_decay_pt(0.40, 0.18, 120)),
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(0.40, 0.80, "Time-decay 40→18", time_decay_pt(0.40, 0.18, 120)),
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(0.32, 0.70, "Combined 30%", combined_pt(0.30, 0.25, 0.0005, 0.12, 0.50)),
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(0.36, 0.75, "Combined 30%", combined_pt(0.30, 0.25, 0.0005, 0.12, 0.50)),
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(0.40, 0.80, "Combined 30%", combined_pt(0.30, 0.25, 0.0005, 0.12, 0.50)),
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]
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for tv, ml, pt_label, pt_fn in grid:
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label = f"VT{int(tv*100)} + {pt_label}"
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s = TrendRiderV7Adaptive(target_vol=tv, min_lev=ml, pt_func=pt_fn)
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run("Grid", label, s)
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# =====================================================================
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# Final ranking
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# =====================================================================
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results.sort(key=lambda x: x[2]["annualizedReturn"], reverse=True)
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print(f"\n{'=' * 115}")
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print(" FINAL RANKING (sorted by annualized return)")
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print(f"{'=' * 115}")
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print(f"{'#':<4} {'Group':<12} {'Config':<45} {'Ann%':>7} {'Vol%':>7} {'Sharpe':>7} "
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f"{'Sortino':>8} {'MaxDD%':>7} {'Calmar':>7}")
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print("-" * 115)
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for i, (group, label, m) in enumerate(results, 1):
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ann = m["annualizedReturn"] * 100
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vol = m["annualizedVolatility"] * 100
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sr = m["sharpeRatio"]
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so = m["sortinoRatio"]
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dd = m["maxDrawdown"] * 100
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ca = m["calmarRatio"]
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marker = " ★" if i <= 3 else ""
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print(f"{i:<4} {group:<12} {label:<45} {ann:>6.1f}% {vol:>6.1f}% {sr:>7.2f} "
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f"{so:>8.2f} {dd:>6.1f}% {ca:>7.2f}{marker}")
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print(f"{'=' * 115}")
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# Highlight top by Sharpe
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by_sharpe = sorted(results, key=lambda x: x[2]["sharpeRatio"], reverse=True)
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print("\nTop 5 by Sharpe:")
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for i, (group, label, m) in enumerate(by_sharpe[:5], 1):
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print(f" {i}. {label:<45} Sharpe={m['sharpeRatio']:.3f} "
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f"Ann={m['annualizedReturn']*100:.1f}% MaxDD={m['maxDrawdown']*100:.1f}%")
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by_calmar = sorted(results, key=lambda x: x[2]["calmarRatio"], reverse=True)
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print("\nTop 5 by Calmar:")
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for i, (group, label, m) in enumerate(by_calmar[:5], 1):
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print(f" {i}. {label:<45} Calmar={m['calmarRatio']:.3f} "
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f"Ann={m['annualizedReturn']*100:.1f}% MaxDD={m['maxDrawdown']*100:.1f}%")
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if __name__ == "__main__":
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main()
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