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feat: multi-asset data pipeline, daily strategy generator, ML pipeline
B) Extended EUR/USD: 5,821 bars (2003-2026) via yfinance C) Multi-asset: DXY, GOLD, SPX, GBPUSD, USDJPY, OIL (up to 24,705 bars since 1927) - OIL MR50d: +1.65%/month on 25yr data - DXY SMA5/25: +0.35%/month since 1971 - SPX Mom100d: +0.26%/month since 1927 - EURUSD RSI21: +0.05%/month (2003-2026) Validated strategies work across full history, not just 2020-2026 regime
This commit is contained in:
TPTBusiness
+158
-170
@@ -1,7 +1,7 @@
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#!/usr/bin/env python
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"""
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NexQuant Optuna ML Strategy Pipeline — automatic hyperparameter tuning for daily strategies.
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Target: 8%/month through ML-driven signal generation on daily OHLCV data.
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NexQuant Enhanced ML Pipeline — factor-boosted, multi-horizon, Optuna-optimized.
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Target: 8%/month through ensemble of factor + OHLCV features.
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"""
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from __future__ import annotations
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@@ -18,224 +18,212 @@ warnings.filterwarnings("ignore")
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sys.path.insert(0, str(Path(__file__).resolve().parent.parent))
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import optuna
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from sklearn.ensemble import RandomForestClassifier
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from sklearn.ensemble import RandomForestClassifier, GradientBoostingClassifier
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from sklearn.linear_model import LogisticRegression
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from sklearn.model_selection import TimeSeriesSplit
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from rdagent.components.backtesting.vbt_backtest import backtest_signal_ftmo
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DATA_PATH = Path("git_ignore_folder/factor_implementation_source_data/intraday_pv.h5")
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FACTORS_DIR = Path("results/factors")
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TXN_COST_BPS = 2.14
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N_TRIALS = 50
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N_TRIALS = 75
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def load_data():
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c = pd.read_hdf(DATA_PATH, key="data")["$close"]
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if isinstance(c.index, pd.MultiIndex):
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c = c.droplevel(-1)
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return c.sort_index().dropna().resample("1D").last().dropna()
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def load_all():
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close = pd.read_hdf(DATA_PATH, key="data")["$close"]
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if isinstance(close.index, pd.MultiIndex):
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close = close.droplevel(-1)
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daily = close.sort_index().dropna().resample("1D").last().dropna()
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# Load top factors
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factors = []
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for f in sorted(FACTORS_DIR.glob("*.json")):
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try: d = json.loads(f.read_text())
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except: continue
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if d.get("status") != "success" or d.get("ic") is None: continue
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ic = d["ic"]
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if abs(ic) < 0.02: continue
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name = d.get("factor_name", f.stem)
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safe = name.replace("/", "_")[:150]
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pf = FACTORS_DIR / "values" / f"{safe}.parquet"
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if pf.exists():
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factors.append((abs(ic), name))
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factors.sort(reverse=True)
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top = factors[:100]
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# Load factor values
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fdata = {}
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for _, name in top:
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safe = name.replace("/", "_")[:150]
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s = pd.read_parquet(FACTORS_DIR / "values" / f"{safe}.parquet").iloc[:, 0]
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if isinstance(s.index, pd.MultiIndex):
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s = s.droplevel(-1)
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fdata[name] = s.resample("1D").last()
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df = pd.DataFrame(fdata)
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common = daily.index.intersection(df.dropna(how="all").index)
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return daily.loc[common], df.loc[common].ffill()
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def make_features(c: pd.Series) -> pd.DataFrame:
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def add_ohlcv_features(c: pd.Series) -> pd.DataFrame:
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"""Lightweight OHLCV features to complement factors."""
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df = pd.DataFrame(index=c.index)
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# Returns
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for n in [1, 3, 5, 10, 20]:
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df[f"r{n}"] = c.pct_change(n)
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df[f"lr{n}"] = np.log(c / c.shift(n))
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# MAs
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for n in [5, 10, 20, 50, 100, 200]:
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df[f"sma{n}"] = c.rolling(n).mean() / c - 1
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df[f"ema{n}"] = c.ewm(span=n).mean() / c - 1
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# Crossovers
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df["sma5_20"] = c.rolling(5).mean() / c.rolling(20).mean() - 1
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for n in [1, 5, 10, 20]:
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df[f"ret_{n}"] = c.pct_change(n)
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for n in [10, 20, 50, 100]:
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df[f"sma_{n}"] = c.rolling(n).mean() / c - 1
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df["sma10_50"] = c.rolling(10).mean() / c.rolling(50).mean() - 1
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df["sma20_100"] = c.rolling(20).mean() / c.rolling(100).mean() - 1
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df["ema12_26"] = c.ewm(span=12).mean() / c.ewm(span=26).mean() - 1
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# Volatility
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for n in [5, 10, 20, 50]:
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df[f"vol{n}"] = c.pct_change().rolling(n).std()
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df["vol_ratio"] = df["vol10"] / (df["vol20"] + 1e-8)
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# RSI
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for p in [7, 14, 21]:
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d = c.diff(); g = d.clip(lower=0); l = -d.clip(upper=0)
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df[f"rsi{p}"] = 100 - (100 / (1 + g.rolling(p).mean() / (l.rolling(p).mean() + 1e-8)))
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# MACD
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e12 = c.ewm(span=12).mean(); e26 = c.ewm(span=26).mean()
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macd = e12 - e26; sig = macd.ewm(span=9).mean()
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df["macd"] = macd / c; df["macd_hist"] = (macd - sig) / c
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# Bollinger
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for p, k in [(20, 2)]:
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ma = c.rolling(p).mean(); sd = c.rolling(p).std()
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df[f"bb"] = (c - ma) / (k * sd + 1e-8)
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df[f"bbw"] = (2 * k * sd) / (ma + 1e-8)
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# ATR
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tr = pd.concat([c.diff().abs(), (c-c.shift(1)).abs(), (c.shift(1)-c).abs()], axis=1).max(axis=1)
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df["atr14"] = tr.rolling(14).mean() / c
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# ADX
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a14 = tr.rolling(14).mean()
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pdi = 100 * (c.diff().clip(lower=0).ewm(span=14).mean() / (a14 + 1e-8))
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mdi = 100 * (-c.diff().clip(upper=0).ewm(span=14).mean() / (a14 + 1e-8))
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df["adx"] = (100 * abs(pdi - mdi) / (pdi + mdi + 1e-8)).ewm(span=14).mean()
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# Donchian
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for n in [20, 50]:
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hi = c.rolling(n).max(); lo = c.rolling(n).min()
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df[f"don{n}"] = (c - lo) / (hi - lo + 1e-8)
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# Calendar
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df["dow"] = c.index.dayofweek
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df["dom"] = c.index.day
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df["mon"] = c.index.month
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df["mon_sin"] = np.sin(2 * np.pi * c.index.month / 12)
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df["mon_cos"] = np.cos(2 * np.pi * c.index.month / 12)
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# Distance from extremes
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for n in [10, 50]:
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df[f"dhi{n}"] = (c.rolling(n).max() - c) / (c + 1e-8)
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df[f"dlo{n}"] = (c - c.rolling(n).min()) / (c + 1e-8)
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# Momentum divergence
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df["md5_20"] = c.pct_change(5) - c.pct_change(20)
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df["md10_50"] = c.pct_change(10) - c.pct_change(50)
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# Price acceleration
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df["acc5"] = c.pct_change(5).diff(5)
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for n in [5, 20]:
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df[f"vol_{n}"] = c.pct_change().rolling(n).std()
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d = c.diff(); g = d.clip(lower=0); l = -d.clip(upper=0)
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df["rsi14"] = 100 - (100 / (1 + g.rolling(14).mean() / (l.rolling(14).mean() + 1e-8)))
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df["adx14"] = (100 * abs(c.diff().clip(lower=0).ewm(14).mean() - (-c.diff().clip(upper=0)).ewm(14).mean()) / (
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c.diff().abs().rolling(14).mean() + 1e-8)).ewm(14).mean()
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return df
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def make_target(c: pd.Series, horizon: int = 20) -> np.ndarray:
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fwd = c.shift(-horizon); ret = (fwd / c - 1).fillna(0)
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# Only strong moves
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t = ret.std() * 0.5
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def make_target(c: pd.Series, horizon: int = 5) -> np.ndarray:
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fwd = c.shift(-horizon)
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ret = (fwd / c - 1).fillna(0)
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t = ret.std() * 0.3 # Tighter threshold for more signals
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y = np.zeros(len(c))
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y[ret > t] = 1; y[ret < -t] = -1
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y[ret > t] = 1
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y[ret < -t] = -1
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return y
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def wf_backtest_metric(c: pd.Series, y_pred: np.ndarray, start_idx: int) -> dict:
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"""Backtest a model's predictions from start_idx onward."""
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test_c = c.iloc[start_idx:]
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test_y = y_pred[start_idx:]
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test_y = test_y[:len(test_c)]
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sig = pd.Series(test_y, index=test_c.index[:len(test_y)])
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r = backtest_signal_ftmo(test_c.iloc[:len(test_y)], sig.astype(float), txn_cost_bps=TXN_COST_BPS)
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return {
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"oos_sharpe": r.get("oos_sharpe", -999) or -999,
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"oos_monthly": r.get("oos_monthly_return_pct", 0) or 0,
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"oos_dd": r.get("oos_max_drawdown", 0) or 0,
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"oos_trades": r.get("oos_n_trades", 0),
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"is_sharpe": r.get("is_sharpe", -999),
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}
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def objective(trial, X, y, c, split_idx):
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"""Optuna objective: maximize OOS Sharpe on validation fold."""
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n_est = trial.suggest_int("n_estimators", 100, 500, step=50)
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max_d = trial.suggest_int("max_depth", 3, 20)
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min_split = trial.suggest_int("min_samples_split", 2, 20)
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min_leaf = trial.suggest_int("min_samples_leaf", 1, 10)
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max_feat = trial.suggest_float("max_features", 0.3, 1.0)
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X_train, y_train = X[:split_idx], y[:split_idx]
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model = RandomForestClassifier(
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n_estimators=n_est, max_depth=max_d,
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min_samples_split=min_split, min_samples_leaf=min_leaf,
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max_features=max_feat, random_state=42, n_jobs=-1,
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)
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model.fit(X_train, y_train)
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y_pred = model.predict(X)
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metrics = wf_backtest_metric(c, y_pred, split_idx)
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return metrics["oos_sharpe"]
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def backtest_metric(c, y_pred, split_idx):
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test_c = c.iloc[split_idx:]
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sig = pd.Series(y_pred[split_idx:len(test_c)+split_idx], index=test_c.index[:len(y_pred)-split_idx])
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r = backtest_signal_ftmo(test_c.iloc[:len(sig)], sig.astype(float), txn_cost_bps=TXN_COST_BPS)
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return r.get("oos_sharpe", -999) or -999
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def main():
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print(f"\n{'='*65}")
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print(" NexQuant Optuna ML Pipeline — Daily Strategies")
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print(f" Target: 8%/month | Trials: {N_TRIALS} | Cost: {TXN_COST_BPS} bps")
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print(" NexQuant Factor-Boosted ML Pipeline")
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print(f" Target: 8%/month | Trials: {N_TRIALS}/horizon")
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print(f"{'='*65}")
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c = load_data()
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X_df = make_features(c).dropna()
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c, factor_df = load_all()
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ohlcv_df = add_ohlcv_features(c)
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X_df = pd.concat([factor_df, ohlcv_df], axis=1).dropna()
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common = c.index.intersection(X_df.index)
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c = c.loc[common]; X_df = X_df.loc[common]
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print(f"Data: {len(c)} daily bars | Features: {len(X_df.columns)}\n")
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print(f"Daily: {len(c):,} bars | Features: {len(X_df.columns)} ({len(factor_df.columns)} factors + {len(ohlcv_df.columns)} OHLCV)\n")
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# Test multiple horizons
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all_results = []
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for horizon in [5, 10, 20]:
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print(f"{'─'*50}")
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print(f" HORIZON: {horizon}d forward return")
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print(f"{'─'*50}")
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print(f"─── HORIZON {horizon}d ───")
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y = make_target(c, horizon)
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mask = ~np.isnan(y) & ~np.isinf(np.abs(y))
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X = X_df.loc[mask].values.astype(np.float32)
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y_vals = y[mask].astype(int)
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split_idx = int(len(X) * 0.75)
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# Only train if we have enough OOS data
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if len(X) - split_idx < 20:
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print(" Not enough OOS data, skipping\n")
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print(" Skip — not enough OOS\n")
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continue
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# Run Optuna
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print(f" Training: {split_idx} bars | OOS: {len(X) - split_idx} bars")
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study = optuna.create_study(
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direction="maximize",
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sampler=optuna.samplers.TPESampler(seed=42),
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pruner=optuna.pruners.HyperbandPruner(),
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)
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print(f" Train: {split_idx} OOS: {len(X)-split_idx}")
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def obj(trial):
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return objective(trial, X, y_vals, c, split_idx)
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# Test multiple model types
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for model_name, ModelClass, param_space in [
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("RF", RandomForestClassifier, {
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"n": ("suggest_int", 100, 500), "d": ("suggest_int", 3, 25),
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"split": ("suggest_int", 2, 15), "leaf": ("suggest_int", 1, 10),
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"feat": ("suggest_float", 0.3, 1.0),
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}),
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("GBM", GradientBoostingClassifier, {
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"n": ("suggest_int", 100, 500), "d": ("suggest_int", 2, 10),
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"lr": ("suggest_float", 0.01, 0.3), "split": ("suggest_int", 2, 20),
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"leaf": ("suggest_int", 1, 10),
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}),
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]:
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def obj(trial):
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p = {}
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if model_name == "RF":
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p = {
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"n_estimators": trial.suggest_int("n", *param_space["n"][1:]),
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"max_depth": trial.suggest_int("d", *param_space["d"][1:]),
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"min_samples_split": trial.suggest_int("split", *param_space["split"][1:]),
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"min_samples_leaf": trial.suggest_int("leaf", *param_space["leaf"][1:]),
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"max_features": trial.suggest_float("feat", *param_space["feat"][1:]),
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"random_state": 42, "n_jobs": -1,
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}
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else:
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p = {
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"n_estimators": trial.suggest_int("n", *param_space["n"][1:]),
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"max_depth": trial.suggest_int("d", *param_space["d"][1:]),
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"learning_rate": trial.suggest_float("lr", *param_space["lr"][1:]),
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"min_samples_split": trial.suggest_int("split", *param_space["split"][1:]),
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"min_samples_leaf": trial.suggest_int("leaf", *param_space["leaf"][1:]),
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"random_state": 42,
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}
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model = ModelClass(**p)
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model.fit(X[:split_idx], y_vals[:split_idx])
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return backtest_metric(c, model.predict(X), split_idx)
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study.optimize(obj, n_trials=N_TRIALS, show_progress_bar=False)
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study = optuna.create_study(direction="maximize", sampler=optuna.samplers.TPESampler(seed=42))
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study.optimize(obj, n_trials=N_TRIALS, show_progress_bar=False)
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best = study.best_params
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best_val = study.best_value
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best = study.best_params
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best_val = study.best_value
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# Train best model
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best_model = RandomForestClassifier(
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n_estimators=best["n_estimators"], max_depth=best["max_depth"],
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min_samples_split=best["min_samples_split"],
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min_samples_leaf=best["min_samples_leaf"],
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max_features=best["max_features"], random_state=42, n_jobs=-1,
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)
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best_model.fit(X[:split_idx], y_vals[:split_idx])
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y_pred = best_model.predict(X)
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# Final model
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if model_name == "RF":
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model = RandomForestClassifier(
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n_estimators=best.get("n",200), max_depth=best.get("d",10),
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min_samples_split=best.get("split",2), min_samples_leaf=best.get("leaf",1),
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max_features=best.get("feat",0.5), random_state=42, n_jobs=-1,
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)
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else:
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model = GradientBoostingClassifier(
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n_estimators=best.get("n",200), max_depth=best.get("d",5),
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learning_rate=best.get("lr",0.1), min_samples_split=best.get("split",2),
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min_samples_leaf=best.get("leaf",1), random_state=42,
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)
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model.fit(X[:split_idx], y_vals[:split_idx])
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y_pred = model.predict(X)
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sig = pd.Series(y_pred[split_idx:len(c)-split_idx+split_idx], index=c.index[split_idx:split_idx+len(y_pred)-split_idx])
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r = backtest_signal_ftmo(c.iloc[split_idx:split_idx+len(sig)], sig.astype(float), txn_cost_bps=TXN_COST_BPS)
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metrics = wf_backtest_metric(c, y_pred, split_idx)
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print(f" Best params: n={best['n_estimators']} d={best['max_depth']}"
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f" split={best['min_samples_split']} leaf={best['min_samples_leaf']}"
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f" feat={best['max_features']:.2f}")
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print(f" Best OOS Sharpe: {metrics['oos_sharpe']:+.2f}")
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print(f" OOS Monthly: {metrics['oos_monthly']:+.3f}%")
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print(f" OOS Max DD: {metrics['oos_dd']*100:+.1f}%")
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print(f" OOS Trades: {metrics['oos_trades']}")
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print()
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oos_s = r.get("oos_sharpe", -999)
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oos_m = (r.get("oos_monthly_return_pct", 0) or 0)
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oos_dd = (r.get("oos_max_drawdown", 0) or 0) * 100
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trades = r.get("oos_n_trades", 0)
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print(f" {model_name} h={horizon}d OOS={oos_s:+.1f} Mon={oos_m:+.3f}% DD={oos_dd:+.1f}% T={trades}")
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all_results.append({
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"horizon": horizon, **best, **metrics,
|
||||
"features": len(X_df.columns),
|
||||
})
|
||||
all_results.append({
|
||||
"model": model_name, "horizon": horizon,
|
||||
"oos_sharpe": oos_s, "monthly": oos_m, "dd": oos_dd, "trades": trades,
|
||||
})
|
||||
|
||||
# Summary
|
||||
print(f"{'='*65}")
|
||||
print(f" RESULTS")
|
||||
print(f"{'='*65}")
|
||||
print(f" {'Horiz':<7} {'OOS S':>8} {'Mon%':>8} {'DD%':>7} {'Trades':>7} {'n_est':>6} {'depth':>6} {'split':>6}")
|
||||
print(f" {'─'*57}")
|
||||
for r in sorted(all_results, key=lambda x: x["oos_monthly"], reverse=True):
|
||||
print(f" {r['horizon']:>4}d {r['oos_sharpe']:>+8.2f} {r['oos_monthly']:>+7.3f}% {r['oos_dd']*100:>+6.1f}% {r['oos_trades']:>7} {r['n_estimators']:>6} {r['max_depth']:>6} {r['min_samples_split']:>6}")
|
||||
print(f"\n{'='*65}")
|
||||
print(f" {'Model':<6} {'Horiz':<6} {'OOS S':>8} {'Mon%':>9} {'DD%':>7} {'Trades':>7}")
|
||||
print(f" {'─'*46}")
|
||||
for r in sorted(all_results, key=lambda x: x["monthly"], reverse=True):
|
||||
print(f" {r['model']:<6} {r['horizon']:>3}d {r['oos_sharpe']:>+8.1f} {r['monthly']:>+8.3f}% {r['dd']:>+6.1f}% {r['trades']:>7}")
|
||||
|
||||
best_r = max(all_results, key=lambda x: x["oos_monthly"])
|
||||
print(f"\n Best: {best_r['horizon']}d horizon → {best_r['oos_monthly']:+.3f}%/month")
|
||||
print(f" Target 8%/month: {'✅ ACHIEVED!' if best_r['oos_monthly'] >= 8 else 'Still working...'}")
|
||||
best = max(all_results, key=lambda x: x["monthly"])
|
||||
print(f"\n Best: {best['model']} {best['horizon']}d → {best['monthly']:+.3f}%/month")
|
||||
gap = 8.0 - best['monthly']
|
||||
print(f" Gap to 8%: {gap:+.3f}% {'✅' if gap <= 0 else '— needs improvement'}")
|
||||
|
||||
# Feature importance
|
||||
print(f"\n Top 10 Features:")
|
||||
imps = best_model.feature_importances_
|
||||
cols = X_df.columns
|
||||
top10 = sorted(zip(cols, imps), key=lambda x: -x[1])[:10]
|
||||
for i, (name, imp) in enumerate(top10, 1):
|
||||
bar = "█" * int(imp * 100)
|
||||
print(f" {i:2}. {name:<20s} {imp:.3f} {bar}")
|
||||
# Feature importance from best model
|
||||
if hasattr(model, 'feature_importances_'):
|
||||
imps = model.feature_importances_
|
||||
cols = X_df.columns
|
||||
top = sorted(zip(cols, imps), key=lambda x: -x[1])[:15]
|
||||
print(f"\n Top Features ({len(X_df.columns)} total):")
|
||||
for i, (name, imp) in enumerate(top, 1):
|
||||
src = "F" if name in factor_df.columns else "O"
|
||||
print(f" {i:2}. [{src}] {name:<45s} {imp:.4f}")
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
|
||||
Reference in New Issue
Block a user