Prepare source-only public release for develop.
Add cluster audit pipeline, united EA updates, brochure generators, and publication hygiene (gitignore, MT5 path desensitization, pre-upload scan). Remove tracked reports, models, and binary artifacts from the repo. Co-authored-by: Cursor <cursoragent@cursor.com>
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zhutoutoutousan
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Cursor
Cursor
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3f75a08848
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605faf5310
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#!/usr/bin/env python3
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"""
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Solo MT5 audit for all currently-disabled sub-strategies (main.mq5 enable=false).
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Finds profitable passers to add to the cluster; compares enhanced portfolio vs production baseline.
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Usage:
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python -m cluster_audit.run_disabled_audit
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python -m cluster_audit.run_disabled_audit --min-trades 40
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"""
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from __future__ import annotations
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import argparse
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import json
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import re
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import sys
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from datetime import datetime
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from pathlib import Path
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sys.path.insert(0, str(Path(__file__).resolve().parent.parent))
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from cluster_audit.united_mt5_manifest import (
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ALL_ENABLE_KEYS,
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HIGH_MARGIN_STOCK_ENABLES,
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PRODUCTION_IDS,
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UNITED_MT5_STRATEGIES,
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)
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from cluster_audit.united_mt5_runner import (
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BASE_SET,
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CLUSTER,
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FROM_DATE,
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TO_DATE,
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deploy_united,
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mt5_context,
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patch_set,
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run_backtest,
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)
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OUT = Path(__file__).resolve().parent / "reports" / "disabled_audit"
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REF_BALANCE = 3000.0
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def g(m: dict, k: str) -> float:
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v = m.get(k)
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return float(v) if v is not None else 0.0
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def parse_dd_pct(dd: str | None) -> float | None:
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if not dd:
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return None
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m = re.search(r"([\d.]+)\s*%", dd.replace(",", ""))
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return float(m.group(1)) if m else None
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def disabled_ids_from_mq5() -> list[str]:
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text = (CLUSTER / "main.mq5").read_text(encoding="utf-8")
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off: set[str] = set()
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for m in re.finditer(r"input bool (Enable\w+) = false", text):
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off.add(m.group(1))
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for key in HIGH_MARGIN_STOCK_ENABLES:
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off.discard(key)
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ids: list[str] = []
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for s in UNITED_MT5_STRATEGIES:
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if s["enable"] in off:
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ids.append(s["id"])
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return ids
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def common_patches() -> dict[str, float | bool]:
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return {
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"ORCH_ReferenceBalance": REF_BALANCE,
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"ORCH_ScaleLotsByBalance": True,
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"GAP_Enable": False,
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"OPT_GuardOptimizationMode": True,
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}
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def production_enables() -> dict[str, bool]:
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prod = set(PRODUCTION_IDS)
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o: dict[str, bool] = {}
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for s in UNITED_MT5_STRATEGIES:
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o[s["enable"]] = s["id"] in prod
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for key in HIGH_MARGIN_STOCK_ENABLES:
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o[key] = False
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return o
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def solo_overrides(spec: dict) -> dict[str, bool]:
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o: dict[str, bool] = {k: False for k in ALL_ENABLE_KEYS}
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o[spec["enable"]] = True
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return o
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def classify(m: dict, min_trades: int) -> str:
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if not m.get("ready"):
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return "BROKEN"
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trades = int(m.get("total_trades") or 0)
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if trades < min_trades:
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return "LOW_TRADES"
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if g(m, "net_profit") > 0 and g(m, "profit_factor") >= 1.05:
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return "PASS"
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if g(m, "net_profit") > 50 and g(m, "profit_factor") >= 1.0:
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return "MARGINAL"
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return "FAIL"
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def main() -> None:
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p = argparse.ArgumentParser()
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p.add_argument("--from", dest="from_date", default=FROM_DATE)
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p.add_argument("--to", dest="to_date", default=TO_DATE)
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p.add_argument("--min-trades", type=int, default=60)
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args = p.parse_args()
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import cluster_audit.united_mt5_runner as runner
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runner.FROM_DATE = args.from_date.replace("-", ".")
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runner.TO_DATE = args.to_date.replace("-", ".")
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runner.DEPOSIT = int(REF_BALANCE)
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sm = {s["id"]: s for s in UNITED_MT5_STRATEGIES}
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disabled = disabled_ids_from_mq5()
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OUT.mkdir(parents=True, exist_ok=True)
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ctx = mt5_context()
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deploy_united(ctx["data"], ctx["mt5_path"])
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print(
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f"Disabled audit n={len(disabled)} production={PRODUCTION_IDS} "
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f"{runner.FROM_DATE}->{runner.TO_DATE}",
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flush=True,
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)
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prod_ov = {**common_patches(), **production_enables()}
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baseline = run_backtest(
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ctx["data"], ctx["mt5_path"], ctx["login"], ctx["server"],
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patch_set(BASE_SET, prod_ov), "dis_prod_baseline.set", "dis_prod_baseline",
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)
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print(
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f"PROD baseline PF={baseline.get('profit_factor')} net={baseline.get('net_profit')} "
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f"sharpe={baseline.get('sharpe')} dd={baseline.get('max_drawdown')}",
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flush=True,
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)
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solo_rows: list[dict] = []
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passed_ids: list[str] = []
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for sid in disabled:
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spec = sm[sid]
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m = run_backtest(
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ctx["data"], ctx["mt5_path"], ctx["login"], ctx["server"],
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patch_set(BASE_SET, {**common_patches(), **solo_overrides(spec)}),
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f"dis_solo_{sid}.set", f"dis_solo_{sid}",
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test_symbol=spec.get("test_symbol"),
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)
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verdict = classify(m, args.min_trades)
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dd_pct = parse_dd_pct(m.get("max_drawdown"))
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print(
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f" {sid:12} {verdict:10} PF={m.get('profit_factor')} net={m.get('net_profit')} "
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f"sharpe={m.get('sharpe')} trades={m.get('total_trades')} dd={m.get('max_drawdown')}",
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flush=True,
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)
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row = {"id": sid, "enable": spec["enable"], "verdict": verdict, "dd_pct": dd_pct, "metrics": m}
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solo_rows.append(row)
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if verdict in ("PASS", "MARGINAL"):
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passed_ids.append(sid)
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enhanced_ov = dict(prod_ov)
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for sid in passed_ids:
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enhanced_ov[sm[sid]["enable"]] = True
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enhanced = run_backtest(
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ctx["data"], ctx["mt5_path"], ctx["login"], ctx["server"],
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patch_set(BASE_SET, enhanced_ov), "dis_enhanced.set", "dis_enhanced",
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)
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print(
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f"ENHANCED +{len(passed_ids)} PF={enhanced.get('profit_factor')} net={enhanced.get('net_profit')} "
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f"sharpe={enhanced.get('sharpe')} dd={enhanced.get('max_drawdown')}",
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flush=True,
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)
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print(f"PASS/MARGINAL: {passed_ids}", flush=True)
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summary = {
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"timestamp": datetime.now().isoformat(timespec="seconds"),
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"period": {"from": runner.FROM_DATE, "to": runner.TO_DATE},
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"min_trades": args.min_trades,
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"disabled_ids": disabled,
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"production_baseline": baseline,
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"solo": solo_rows,
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"passed_ids": passed_ids,
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"enhanced": enhanced,
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}
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path = OUT / "disabled_audit_summary.json"
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path.write_text(json.dumps(summary, indent=2), encoding="utf-8")
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print(f"Saved {path}", flush=True)
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if __name__ == "__main__":
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main()
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