mirror of
https://github.com/FXDavid-OffbeatForex/MBT.git
synced 2026-11-02 12:06:12 +00:00
51 lines
2.0 KiB
Python
51 lines
2.0 KiB
Python
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"""
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Validate the momentum-inversion finding: does the pattern hold in BOTH the
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train half and the locked test half? A real edge shows in both; noise doesn't.
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"""
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import csv
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from datetime import datetime
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from core.connection import signal_file_path
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from core.backtest import run_backtest
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rep = run_backtest(sequential=False)
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outcome_by_time = {t.time.strftime("%Y-%m-%d %H:%M"): t.outcome for t in rep.trades}
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COLS = ["time","direction","entry","sl","tp","atr_pips","regime",
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"adx","mom_fast","mom_med","mom_slow","vol_ratio","vpt_dir","near_level"]
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rows = []
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with open(signal_file_path(), encoding="ansi") as f:
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for r in csv.reader(f):
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if not r or len(r) < 12 or not r[0][:4].isdigit(): continue
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d = dict(zip(COLS, r))
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try:
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dt = datetime.strptime(d["time"], "%Y.%m.%d %H:%M")
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except ValueError:
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continue
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oc = outcome_by_time.get(dt.strftime("%Y-%m-%d %H:%M"))
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if oc not in ("WIN","LOSS"): continue
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rows.append({"dt": dt, "win": 1 if oc=="WIN" else 0,
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"mom_med": abs(float(d["mom_med"])),
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"mom_slow": abs(float(d["mom_slow"])),
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"vol_ratio": float(d["vol_ratio"])})
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rows.sort(key=lambda r: r["dt"])
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split = int(len(rows)*0.7)
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train, test = rows[:split], rows[split:]
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def terciles(data, feat):
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vals = sorted(r[feat] for r in data)
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c1, c2 = vals[len(vals)//3], vals[2*len(vals)//3]
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g = [[],[],[]]
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for r in data:
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idx = 0 if r[feat]<=c1 else (1 if r[feat]<=c2 else 2)
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g[idx].append(r["win"])
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return [(sum(x)/len(x)*100 if x else 0, len(x)) for x in g]
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for feat in ["mom_med","mom_slow","vol_ratio"]:
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tr = terciles(train, feat)
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te = terciles(test, feat)
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print(f"=== {feat}: win rate by tercile (low / mid / high) ===")
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print(f" TRAIN: {tr[0][0]:5.1f}% / {tr[1][0]:5.1f}% / {tr[2][0]:5.1f}% (n={tr[0][1]},{tr[1][1]},{tr[2][1]})")
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print(f" TEST : {te[0][0]:5.1f}% / {te[1][0]:5.1f}% / {te[2][0]:5.1f}% (n={te[0][1]},{te[1][1]},{te[2][1]})")
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print()
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