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pequeños cambios para que el step 1 sea mas robusto

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dam
2026-03-03 08:55:43 +01:00
parent 8259e85b68
commit 9a59879988
7 changed files with 184 additions and 79 deletions
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44
src/calibration/strategies_inspector.py
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@@ -98,9 +98,11 @@ def inspect_strategies_config(
data_quality: Dict[str, Any],
include_series: bool,
progress_callback=None,
df: pd.DataFrame | None = None,
) -> Dict[str, Any]:
df = storage.load_ohlcv(symbol=payload.symbol, timeframe=payload.timeframe)
if df is None:
df = storage.load_ohlcv(symbol=payload.symbol, timeframe=payload.timeframe)
if df is None or df.empty:
return {
"valid": False,
@@ -117,14 +119,24 @@ def inspect_strategies_config(
}
if data_quality.get("status") == "fail":
return {
out = {
"valid": False,
"status": "fail",
"checks": checks,
"message": "Step 1 data quality is FAIL. Strategies cannot be validated.",
"results": [],
"series": {} if include_series else None,
"config": {
"wf": payload.wf.model_dump(),
"risk": payload.risk.model_dump(),
"stop": payload.stop.model_dump(),
"global_rules": payload.global_rules.model_dump(),
"commission": payload.commission,
"slippage": payload.slippage,
},
}
if include_series:
out["series"] = {"strategies": {}}
return out
stop_loss = _build_stop_loss(payload.stop)
base_sizer = _build_position_sizer(payload.risk)
@@ -183,7 +195,7 @@ def inspect_strategies_config(
"message": msg,
"warnings": [],
"series_available": False,
"series_error": "Unknown strategy_id (not in registry)",
"series_error": msg,
"n_windows": 0,
"oos_final_equity": payload.account_equity,
"oos_total_return_pct": 0.0,
@@ -204,9 +216,10 @@ def inspect_strategies_config(
# Wrapper sizer
class _CappedSizer(type(base_sizer)):
def __init__(self, inner):
class _CappedSizer:
def __init__(self, inner, max_position_fraction: float):
self.inner = inner
self.max_position_fraction = max_position_fraction
def calculate_size(self, *, capital, entry_price, stop_price=None, max_capital=None, volatility=None):
u = self.inner.calculate_size(
@@ -220,10 +233,10 @@ def inspect_strategies_config(
units=float(u),
capital=float(capital),
entry_price=float(entry_price),
max_position_fraction=float(payload.risk.max_position_fraction),
max_position_fraction=float(self.max_position_fraction),
)
capped_sizer = _CappedSizer(base_sizer)
capped_sizer = _CappedSizer(base_sizer, payload.risk.max_position_fraction)
log.info(f"🧠 Step3 | WF run | strategy={sid}")
@@ -302,11 +315,6 @@ def inspect_strategies_config(
oos_dd = win_df["max_dd_pct"].tolist()
n_windows = len(win_df)
required_cols = {"return_pct", "max_dd_pct", "trades", "window", "train_start", "train_end", "test_start", "test_end", "sharpe", "params"}
missing = required_cols - set(win_df.columns)
if missing:
raise ValueError(f"WF windows missing required columns: {sorted(missing)}")
trades = win_df["trades"].astype(int).tolist()
too_few = sum(t < int(payload.wf.min_trades_test) for t in trades)
@@ -401,6 +409,14 @@ def inspect_strategies_config(
"checks": checks,
"message": human_msg,
"results": results,
"config": {
"wf": payload.wf.model_dump(),
"risk": payload.risk.model_dump(),
"stop": payload.stop.model_dump(),
"global_rules": payload.global_rules.model_dump(),
"commission": payload.commission,
"slippage": payload.slippage,
},
}
if include_series: