Strategy promotion added

2026-03-08 12:40:35 +01:00
parent a42255d58c
commit ca36383bb3
5 changed files with 286 additions and 24 deletions
--- a/src/calibration/strategy_promotion.py
+++ b/src/calibration/strategy_promotion.py
@@ -0,0 +1,68 @@
+#src/calibration/strategy_promotion.py
+from typing import List, Dict, Any
+
+def _clamp(v, lo, hi):
+    return max(lo, min(hi, v))
+
+def _score_return(oos_return):
+    return _clamp((oos_return / 50.0) * 30.0, 0, 30)
+
+def _score_stability(positive_rate, std_return):
+    score = positive_rate * 15
+    score += _clamp(10 - std_return, 0, 10)
+    return _clamp(score, 0, 25)
+
+def _score_risk(worst_dd):
+    return _clamp((1 + worst_dd / 20.0) * 20.0, 0, 20)
+
+def _score_trades(avg_trades):
+    return _clamp(avg_trades / 10.0 * 10.0, 0, 10)
+
+def _score_regime(regime_detail: Dict[str, Any]):
+    if not regime_detail:
+        return 0
+    positives = sum(1 for r in regime_detail.values() if r.get("avg_return", 0) >= 0)
+    total = len(regime_detail)
+    return (positives / total) * 15 if total else 0
+
+def evaluate_strategy(strategy: Dict[str, Any], config: Dict[str, Any]):
+    metrics = strategy.get("diagnostics", {})
+    stability = metrics.get("stability", {})
+    trades = metrics.get("trades", {})
+    regimes = metrics.get("regimes", {}).get("performance", {}).get("detail", {})
+
+    oos_return = strategy.get("oos_total_return_pct", 0)
+    worst_dd = strategy.get("oos_max_dd_worst_pct", -100)
+    positive_rate = stability.get("positive_window_rate", 0)
+    std_return = stability.get("std_return_pct", 0)
+    avg_trades = trades.get("avg_trades_per_window", 0)
+
+    score = 0
+    score += _score_return(oos_return)
+    score += _score_stability(positive_rate, std_return)
+    score += _score_risk(worst_dd)
+    score += _score_trades(avg_trades)
+    score += _score_regime(regimes)
+
+    promote_thr = config.get("promote_score_threshold", 70)
+    review_thr = config.get("review_score_threshold", 55)
+
+    if score >= promote_thr:
+        status = "promote"
+    elif score >= review_thr:
+        status = "review"
+    else:
+        status = "reject"
+
+    return {
+        "strategy_id": strategy.get("strategy_id"),
+        "score": round(score, 2),
+        "status": status,
+    }
+
+def rank_strategies(strategies: List[Dict[str, Any]], config: Dict[str, Any]):
+    evaluated = [evaluate_strategy(s, config) for s in strategies]
+    evaluated.sort(key=lambda x: x["score"], reverse=True)
+    for i, e in enumerate(evaluated):
+        e["rank"] = i + 1
+    return evaluated
--- a/src/web/api/v2/routers/calibration_strategies.py
+++ b/src/web/api/v2/routers/calibration_strategies.py
@@ -16,11 +16,14 @@ from src.calibration.strategies_inspector import (
    list_available_strategies,
 )
 from src.calibration.reports.strategies_report import generate_strategies_report_pdf
+from src.calibration.strategy_promotion import rank_strategies

 from ..schemas.calibration_strategies import (
    CalibrationStrategiesInspectRequest,
    CalibrationStrategiesInspectResponse,
    CalibrationStrategiesValidateResponse,
+    CalibrationStrategiesPromoteRequest,
+    CalibrationStrategiesPromoteResponse,
 )

 logger = logging.getLogger("tradingbot.api.v2")
@@ -94,6 +97,7 @@ def inspect_strategies(
    )
    return CalibrationStrategiesInspectResponse(**result)

+
@router.post("/validate", response_model=CalibrationStrategiesValidateResponse)
 def validate_strategies(
    payload: CalibrationStrategiesInspectRequest,
@@ -115,6 +119,13 @@ def validate_strategies(
    )
    return CalibrationStrategiesValidateResponse(**result)

+
+@router.post("/promote", response_model=CalibrationStrategiesPromoteResponse)
+def promote_strategies(payload: CalibrationStrategiesPromoteRequest):
+    results = rank_strategies(payload.strategies, payload.promotion.dict())
+    return {"results": results}
+
+
@router.post("/report")
 def report_strategies(
    payload: CalibrationStrategiesInspectRequest,
@@ -178,6 +189,7 @@ def report_strategies(
    public_url = f"/reports/strategies/{safe_symbol}/{filename}"
    return JSONResponse(content={"status": result.get("status", "ok"), "url": public_url})

+
@router.post("/run")
 def run_strategies_async(
    payload: CalibrationStrategiesInspectRequest,
@@ -247,6 +259,7 @@ def run_strategies_async(

    return {"job_id": job_id}

+
@router.get("/status/{job_id}")
 def get_status(job_id: str):
    return WF_JOBS.get(job_id, {"status": "unknown"})
--- a/src/web/api/v2/schemas/calibration_strategies.py
+++ b/src/web/api/v2/schemas/calibration_strategies.py
@@ -85,3 +85,26 @@ class CalibrationStrategiesInspectResponse(BaseModel):

 class CalibrationStrategiesValidateResponse(CalibrationStrategiesInspectResponse):
    series: Dict[str, Any]
+
+
+class PromotionConfigSchema(BaseModel):
+    min_windows_required: int = 6
+    min_positive_window_rate: float = 0.45
+    max_worst_window_dd_pct: float = -15
+    max_low_trade_window_ratio: float = 0.40
+    min_avg_trades_per_window: float = 3
+    promote_score_threshold: float = 70
+    review_score_threshold: float = 55
+
+class PromotionResultSchema(BaseModel):
+    strategy_id: str
+    score: float
+    status: Literal["promote", "review", "reject"]
+    rank: int
+
+class CalibrationStrategiesPromoteRequest(BaseModel):
+    strategies: List[Dict[str, Any]]
+    promotion: PromotionConfigSchema
+
+class CalibrationStrategiesPromoteResponse(BaseModel):
+    results: List[PromotionResultSchema]
--- a/src/web/ui/v2/static/js/pages/calibration_strategies.js
+++ b/src/web/ui/v2/static/js/pages/calibration_strategies.js
@@ -12,6 +12,7 @@ const MAX_STRATEGIES = 10;
 // WIZARD NAVIGATION
 // =================================================

+
 function enableNextStep() {
  const btn = document.getElementById("next-step-btn");
  if (!btn) return;
@@ -20,6 +21,7 @@ function enableNextStep() {
  btn.setAttribute("aria-disabled", "false");
 }

+
 function disableNextStep() {
  const btn = document.getElementById("next-step-btn");
  if (!btn) return;
@@ -28,10 +30,12 @@ function disableNextStep() {
  btn.setAttribute("aria-disabled", "true");
 }

+
 // =================================================
 // UTILS
 // =================================================

+
 function loadContextFromLocalStorage() {
  const symbol = localStorage.getItem("calibration.symbol");
  const timeframe = localStorage.getItem("calibration.timeframe");
@@ -81,16 +85,19 @@ function loadContextFromLocalStorage() {
  if (slippage) setVal("slippage", slippage);
 }

+
 function setVal(id, v) {
  const el = document.getElementById(id);
  if (el) el.value = v;
 }

+
 function str(id) {
  const el = document.getElementById(id);
  return el ? String(el.value || "").trim() : "";
 }

+
 function num(id) {
  const el = document.getElementById(id);
  if (!el) return null;
@@ -98,14 +105,17 @@ function num(id) {
  return Number.isFinite(v) ? v : null;
 }

+
 function sleep(ms) {
  return new Promise(res => setTimeout(res, ms));
 }

+
 // =================================================
 // FETCH CATALOG
 // =================================================

+
 async function fetchCatalog() {
  const symbol = str("symbol");
  const timeframe = str("timeframe");
@@ -118,16 +128,19 @@ async function fetchCatalog() {
  console.log("[catalog] strategies:", STRATEGY_CATALOG.map(s => s.strategy_id));
 }

+
 // =================================================
 // UI RENDERING
 // =================================================

+
 function initSlots() {
  strategySlots = [
    { strategy_id: null, parameters: {} }
  ];
 }

+
 function rerenderStrategySlots() {

  const container = document.getElementById("strategies_container");
@@ -157,6 +170,7 @@ function rerenderStrategySlots() {
  updateCombinationCounter();
 }

+
 function renderStrategySlot(index) {

  const container = document.getElementById("strategies_container");
@@ -206,6 +220,7 @@ function renderStrategySlot(index) {
  }
 }

+
 function onStrategySelected(index, strategyId) {

  if (!strategyId) {
@@ -228,6 +243,7 @@ function onStrategySelected(index, strategyId) {
  updateCombinationCounter();
 }

+
 function renderParametersOnly(index, strategyId) {

  const paramsContainer = document.getElementById(`strategy_params_${index}`);
@@ -304,6 +320,7 @@ function renderParametersOnly(index, strategyId) {
  validateParameterInputs();
 }

+
 function validateParameterInputs() {

  let valid = true;
@@ -380,6 +397,7 @@ function validateParameterInputs() {
  return valid;
 }

+
 function updateCombinationCounter() {

  let hasAnyStrategy = false;
@@ -407,6 +425,7 @@ function updateCombinationCounter() {
  return globalTotal;
 }

+
 function applyCombinationWarnings(total) {

  const maxComb = parseInt(
@@ -425,6 +444,7 @@ function applyCombinationWarnings(total) {
  }
 }

+
 function updateTimeEstimate(totalComb) {

  const trainDays = parseInt(
@@ -459,6 +479,7 @@ function updateTimeEstimate(totalComb) {
  if (el) el.textContent = label;
 }

+
 function removeStrategySlot(index) {

  strategySlots.splice(index, 1);
@@ -466,10 +487,12 @@ function removeStrategySlot(index) {
  rerenderStrategySlots();
 }

+
 // =================================================
 // PAYLOAD
 // =================================================

+
 function buildPayload() {
  const symbol = str("symbol");
  const timeframe = str("timeframe");
@@ -530,6 +553,7 @@ function buildPayload() {
  };
 }

+
 function collectSelectedStrategies() {

  const strategies = [];
@@ -581,33 +605,13 @@ function collectSelectedStrategies() {
  return strategies;
 }

+
 async function fetchAvailableStrategies() {
  const res = await fetch("/api/v2/calibration/strategies/catalog");
  const data = await res.json();
  return data.strategies || [];
 }

-function num(id) {
-  const el = document.getElementById(id);
-  if (!el) return null;
-  const val = el.value;
-  if (val === "" || val === null || val === undefined) return null;
-  const n = Number(val);
-  return Number.isFinite(n) ? n : null;
-}
-
-function str(id) {
-  const el = document.getElementById(id);
-  if (!el) return null;
-  const v = el.value;
-  return v === null || v === undefined ? null : String(v);
-}
-
-function setVal(id, value) {
-  const el = document.getElementById(id);
-  if (!el) return;
-  el.value = value ?? "";
-}

 function loadFromStep2() {

@@ -649,6 +653,7 @@ function loadFromStep2() {
  console.log("[calibration_strategies] Parameters loaded from Step 2 ✅");
 }

+
 function updateStopUI() {

  const type = document.getElementById("stop_type").value;
@@ -670,6 +675,7 @@ function updateStopUI() {
  }
 }

+
 async function loadStrategyCatalog() {

  const res = await fetch("/api/v2/calibration/strategies/catalog");
@@ -678,6 +684,7 @@ async function loadStrategyCatalog() {
  STRATEGY_CATALOG = data.strategies;
 }

+
 function addStrategySlot() {

  // Si ya hay un slot vacío al final, no crear otro
@@ -698,10 +705,12 @@ function addStrategySlot() {
  renderStrategySlot(index);
 }

+
 // =================================================
 // PROGRESS BAR
 // =================================================

+
 function startWF() {
  document
    .getElementById("wf_progress_card")
@@ -711,6 +720,7 @@ function startWF() {
  document.getElementById("wfProgressBar").innerText = "0%";
 }

+
 async function pollStatus(jobId) {
  const interval = setInterval(async () => {
    const res = await fetch(`/api/v2/calibration/strategies/status/${jobId}`);
@@ -733,6 +743,7 @@ async function pollStatus(jobId) {
 // DIFFERENT RENDER PLOTS
 // =================================================

+
 function renderEquityAndReturns(strategyId, s, data) {
  const equity = s.window_equity || [];
  const ret = s.window_returns_pct || [];
@@ -1090,6 +1101,7 @@ function renderEquityAndReturns(strategyId, s, data) {
  });
 }

+
 function renderRollingSharpe(strategyId, s, data) {
  const roll = s.diagnostics?.rolling?.rolling_sharpe_like || [];
  const x = roll.map((_, i) => i + 1);
@@ -1118,6 +1130,7 @@ function renderRollingSharpe(strategyId, s, data) {
  );
 }

+
 function renderOOSReturnsDistribution(strategyId, s, data) {
  const edges = s.diagnostics?.distribution?.hist_bin_edges || [];
  const counts = s.diagnostics?.distribution?.hist_counts || [];
@@ -1137,6 +1150,7 @@ function renderOOSReturnsDistribution(strategyId, s, data) {
  });
 }

+
 function renderDrawdownEvolution(strategyId, s, data) {
  const dd = s.diagnostics?.drawdown?.drawdown_pct || [];
  const x = dd.map((_, i) => i);
@@ -1155,6 +1169,7 @@ function renderDrawdownEvolution(strategyId, s, data) {
  });
 }

+
 function renderTradeDensity(strategyId, s, data) {
  const tpw = s.diagnostics?.trades?.trades_per_window || [];
  const tpd = s.diagnostics?.trades?.trades_per_day || [];
@@ -1203,10 +1218,12 @@ function renderTradeDensity(strategyId, s, data) {
  });
 }

+
 // =================================================
 // RENDER RESULTS
 // =================================================

+
 function renderStrategiesList(strategies) {
  const list = document.getElementById("strategies_list");
  if (!list) return;
@@ -1245,6 +1262,7 @@ function renderStrategiesList(strategies) {
  });
 }

+
 function setBadge(status) {
  const badge = document.getElementById("strategies_status_badge");
  if (!badge) return;
@@ -1256,6 +1274,7 @@ function setBadge(status) {
  badge.textContent = status ? status.toUpperCase() : "—";
 }

+
 function renderResultsTable(data) {
  const wrap = document.getElementById("strategies_table_wrap");
  if (!wrap) return;
@@ -1300,6 +1319,7 @@ function renderResultsTable(data) {
  `;
 }

+
 function populatePlotSelector(data) {
  const sel = document.getElementById("plot_strategy_select");
  if (!sel) return;
@@ -1326,6 +1346,7 @@ function populatePlotSelector(data) {
  }
 }

+
 function selectStrategy(strategyId, data) {
  if (!strategyId || !data) return;

@@ -1385,9 +1406,11 @@ function selectStrategy(strategyId, data) {
  });
 }

+
 function renderValidateResponse(data) {

  lastValidationResult = data;
+  window.lastStrategiesResult = Array.isArray(data.results) ? data.results : [];

  // -------------------------------
  // 1️⃣ Badge + message
@@ -1506,6 +1529,7 @@ function renderValidateResponse(data) {
  }
 }

+
 function renderChart(chartType, strategyId, s, data) {
  switch (chartType) {
    case "equity":
@@ -1529,6 +1553,7 @@ function renderChart(chartType, strategyId, s, data) {
  }
 }

+
 function highlightSelectedRow(strategyId) {

  document.querySelectorAll(".strategy-row").forEach(el => {
@@ -1544,6 +1569,7 @@ function highlightSelectedRow(strategyId) {
  }
 }

+
 async function validateStrategies() {
  console.log("[calibration_strategies] validateStrategies() START");

@@ -1639,6 +1665,7 @@ async function validateStrategies() {
  }
 }

+
 async function generateReport() {
  console.log("[calibration_strategies] generateReport() START");

@@ -1669,6 +1696,7 @@ async function generateReport() {
  }
 }

+
 function wireButtons() {
  document.getElementById("validate_strategies_btn")?.addEventListener("click", validateStrategies);
  document.getElementById("report_strategies_btn")?.addEventListener("click", generateReport);
@@ -1690,6 +1718,7 @@ function wireButtons() {
  });
 }

+
 function applyInheritedLock() {
  const locked = document.getElementById("lock_inherited").checked;
  const fields = document.querySelectorAll(".inherited-field");
@@ -1704,6 +1733,7 @@ function applyInheritedLock() {
  });
 }

+
 async function init() {
  await loadStrategyCatalog();
  addStrategySlot();
@@ -1716,12 +1746,16 @@ async function init() {
    .addEventListener("change", updateStopUI);

  wireButtons();
+  wirePromotionUI();

  document.getElementById("plot_strategy_select").addEventListener("change", function() {
-    const chartType = this.value;
-    const strategyData = lastValidationResult.series.strategies[selectedStrategyId];
+    if (!lastValidationResult || !selectedStrategyId) return;
+
+    const strategyData = lastValidationResult?.series?.strategies?.[selectedStrategyId];
+    if (!strategyData) return;
+
+    const chartType = this.value;

-    // Verifica que selectedStrategyId tenga el valor correcto
    console.log("selectedStrategyId:", selectedStrategyId);
    console.log("Strategy Data:", strategyData);

@@ -1738,20 +1772,24 @@ async function init() {
  }, 0);
 }

+
 // =================================================
 // MARKET REGIME
 // =================================================

+
 function fmtPct(v, digits = 2) {
  const n = Number(v ?? 0);
  return `${n.toFixed(digits)}%`;
 }

+
 function fmtNum(v, digits = 2) {
  const n = Number(v ?? 0);
  return n.toFixed(digits);
 }

+
 function regimeBadgeClass(regime) {
  switch (regime) {
    case "bull":
@@ -1767,6 +1805,7 @@ function regimeBadgeClass(regime) {
  }
 }

+
 function regimeLabel(regime) {
  switch (regime) {
    case "bull_strong": return "Bull strong";
@@ -1779,6 +1818,7 @@ function regimeLabel(regime) {
  }
 }

+
 function ensureRegimeContainer() {
  let el = document.getElementById("regime_analysis_wrap");
  if (el) return el;
@@ -1794,11 +1834,13 @@ function ensureRegimeContainer() {
  return el;
 }

+
 function clearRegimeSummary() {
  const el = document.getElementById("regime_analysis_wrap");
  if (el) el.innerHTML = "";
 }

+
 function getBestRegime(perf) {
  const candidates = ["bull", "sideways", "bear"]
    .map((k) => ({
@@ -1814,6 +1856,7 @@ function getBestRegime(perf) {
  return candidates[0].regime;
 }

+
 function renderRegimeSummary(strategyId, s, data) {
  const wrap = ensureRegimeContainer();
  if (!wrap) return;
@@ -1951,10 +1994,90 @@ function renderRegimeSummary(strategyId, s, data) {
  `;
 }

+
+// =================================================
+// STRATEGY PROMOTION
+// =================================================
+
+
+async function runPromotion() {
+
+  if (!Array.isArray(window.lastStrategiesResult) || window.lastStrategiesResult.length === 0) {
+    alert("Primero ejecuta Validate Strategies para generar resultados.");
+    return;
+  }
+
+  try {
+    const payload = {
+      strategies: window.lastStrategiesResult,
+      promotion: {
+        promote_score_threshold: 70,
+        review_score_threshold: 55
+      }
+    };
+
+    const res = await fetch('/api/v2/calibration/strategies/promote', {
+      method: 'POST',
+      headers: {'Content-Type': 'application/json'},
+      body: JSON.stringify(payload)
+    });
+
+    if (!res.ok) {
+      const errText = await res.text();
+      throw new Error(`Promotion failed: ${res.status} ${errText}`);
+    }
+
+    const data = await res.json();
+    renderPromotionResults(data.results || []);
+
+  } catch (err) {
+    console.error(err);
+    alert(`Promotion error: ${err.message}`);
+  }
+}
+
+
+function renderPromotionResults(results) {
+
+  const table = document.querySelector("#promotionTable tbody");
+  table.innerHTML = "";
+
+  results.forEach(r => {
+
+    const tr = document.createElement("tr");
+
+    tr.innerHTML = `
+      <td>${r.rank}</td>
+      <td>${r.strategy_id}</td>
+      <td>${r.score}</td>
+      <td>${r.status}</td>
+    `;
+
+    table.appendChild(tr);
+  });
+
+  const promoted = results.filter(r => r.status === "promote").length;
+  const review = results.filter(r => r.status === "review").length;
+  const reject = results.filter(r => r.status === "reject").length;
+
+  document.getElementById("promotionSummary").innerHTML =
+    `Promoted: ${promoted} | Review: ${review} | Rejected: ${reject}`;
+}
+
+
+function wirePromotionUI() {
+  const btn = document.getElementById("btnRunPromotion");
+  if (btn) {
+    btn.addEventListener("click", runPromotion);
+  }
+}
+
+
 // =================================================
 // PLOT ALERTS (Tabler) + SAFE PLOT CLEAR
 // =================================================

+
 function ensurePlotAlertContainer() {
  // Lo colocamos antes del primer plot si existe
  let el = document.getElementById("plot_alert");
@@ -1970,6 +2093,7 @@ function ensurePlotAlertContainer() {
  return el;
 }

+
 function escapeHtml(str) {
  return String(str ?? "")
    .replaceAll("&", "&amp;")
@@ -1979,6 +2103,7 @@ function escapeHtml(str) {
    .replaceAll("'", "&#039;");
 }

+
 function showPlotAlert(type, title, message, warnings) {
  const el = ensurePlotAlertContainer();
  if (!el) return;
@@ -1998,11 +2123,13 @@ function showPlotAlert(type, title, message, warnings) {
  `;
 }

+
 function clearPlotAlert() {
  const el = document.getElementById("plot_alert");
  if (el) el.innerHTML = "";
 }

+
 function clearPlots() {
  const eq = document.getElementById("plot_strategy");
  if (eq) eq.innerHTML = "";
@@ -2010,6 +2137,7 @@ function clearPlots() {
  clearRegimeSummary();
 }

+
 document.getElementById("lock_inherited")
  .addEventListener("change", applyInheritedLock);

--- a/src/web/ui/v2/templates/pages/calibration/calibration_strategies.html
+++ b/src/web/ui/v2/templates/pages/calibration/calibration_strategies.html
@@ -290,6 +290,36 @@
    </div>
  </div>

+  <!-- ========================= -->
+  <!-- Strategy Promotion / Selection -->
+  <!-- ========================= -->
+   
+  <div class="card mb-4">
+    <div class="card-header">
+      <h3 class="card-title">Strategy Promotion / Selection</h3>
+    </div>
+
+    <div class="card-body">
+      <button id="btnRunPromotion" class="btn btn-primary">
+        Run Promotion
+      </button>
+
+      <div id="promotionSummary" class="mt-3"></div>
+
+      <table class="table mt-3" id="promotionTable">
+        <thead>
+          <tr>
+            <th>Rank</th>
+            <th>Strategy</th>
+            <th>Score</th>
+            <th>Status</th>
+          </tr>
+        </thead>
+        <tbody></tbody>
+      </table>
+    </div>
+  </div>
+
  <!-- ========================= -->
  <!-- Results -->
  <!-- ========================= -->