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__pycache__/
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*.pyc
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data/cache.json
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data/history.json
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config/llm_settings.json
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results/
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*.log
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.env
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node_modules/
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+262
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# Bitcoin Accumulation Zone Monitor — Architecture & Logic
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||||
## Overview
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||||
|
||||
This is **NOT** a trading bot or ML predictor. It monitors proven Bitcoin on-chain metrics that have historically signaled optimal accumulation (buying) zones for long-term holders. Each metric scores 0-10 points, producing a composite score of 0-100.
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||||
|
||||
**Philosophy:** Every signal is transparent and traceable. No black box. The metrics used have correctly identified every major Bitcoin cycle bottom since 2010.
|
||||
|
||||
## How It Works
|
||||
|
||||
### Data Pipeline
|
||||
|
||||
```
|
||||
LookIntoBitcoin.com ──┐
|
||||
(Playwright scraper) │
|
||||
├──> data/cache.json (current values, refreshed every 15min)
|
||||
alternative.me API ────┤ data/history.json (full history back to 2010, refreshed weekly)
|
||||
│
|
||||
CoinGecko API ─────────┘
|
||||
│
|
||||
▼
|
||||
Scoring Engine (scoring/engine.py)
|
||||
│
|
||||
▼
|
||||
Composite Score 0-100
|
||||
│
|
||||
┌────┴────┐
|
||||
▼ ▼
|
||||
Dashboard Backtest Engine
|
||||
(live) (historical validation)
|
||||
```
|
||||
|
||||
### Data Sources
|
||||
|
||||
All data is scraped or fetched from free sources — **no API keys required**.
|
||||
|
||||
| Source | Method | Data |
|
||||
|--------|--------|------|
|
||||
| LookIntoBitcoin / BitcoinMagazinePro | Playwright browser scraping of Plotly Dash charts | Puell Multiple, MVRV Z-Score, Reserve Risk, RHODL Ratio, NUPL, 200W SMA, LTH Realized Price, LTH Supply, Hash Ribbons, Pi Cycle |
|
||||
| alternative.me | Free REST API | Fear & Greed Index (daily, back to Feb 2018) |
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||||
| CoinGecko | Free REST API | BTC price, market cap, 24h change |
|
||||
|
||||
#### Scraping Method (LookIntoBitcoin)
|
||||
|
||||
The site uses Plotly Dash charts. We intercept the `_dash-update-component` XHR response which contains the full chart data as JSON:
|
||||
|
||||
```python
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page.on("response", handler) # Intercept XHR
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||||
page.goto("https://www.lookintobitcoin.com/charts/puell-multiple/")
|
||||
# Response contains: response['chart']['figure']['data'] → list of trace objects
|
||||
# Each trace: {name: str, x: [dates], y: [values]}
|
||||
```
|
||||
|
||||
This gives us the **complete historical time series** (5000+ data points per metric going back to 2010) without needing any API key.
|
||||
|
||||
## Scoring System
|
||||
|
||||
### Individual Metrics (0-10 each)
|
||||
|
||||
#### 1. Fear & Greed Index (source: alternative.me)
|
||||
Measures market sentiment from social media, surveys, and momentum.
|
||||
|
||||
| F&G Value | Classification | Score |
|
||||
|-----------|---------------|-------|
|
||||
| 0-10 | Extreme Fear | 10 |
|
||||
| 11-25 | Fear | 7 |
|
||||
| 26-45 | Neutral-low | 4 |
|
||||
| 46-55 | Neutral | 2 |
|
||||
| 56-75 | Greed | 1 |
|
||||
| 76-100 | Extreme Greed | 0 |
|
||||
|
||||
**Logic:** "Be fearful when others are greedy, be greedy when others are fearful." — Buffett. Extreme Fear has historically coincided with cycle bottoms.
|
||||
|
||||
#### 2. Puell Multiple (source: LookIntoBitcoin)
|
||||
Measures miner revenue relative to 365-day average. When miners earn very little (low Puell), they're capitulating — historically a bottom signal.
|
||||
|
||||
| Puell Value | Meaning | Score |
|
||||
|-------------|---------|-------|
|
||||
| < 0.3 | Deep miner capitulation | 10 |
|
||||
| 0.3-0.5 | Miner stress | 8 |
|
||||
| 0.5-0.8 | Below average revenue | 5 |
|
||||
| 0.8-1.2 | Normal | 3 |
|
||||
| 1.2-2.0 | Above average | 1 |
|
||||
| > 2.0 | Miner euphoria | 0 |
|
||||
|
||||
**Historical accuracy:** Puell < 0.5 identified the Dec 2018, Mar 2020, and Jun 2022 bottoms.
|
||||
|
||||
#### 3. MVRV Z-Score (source: LookIntoBitcoin)
|
||||
Compares market value to realized value. Negative Z-Score means the market is valued below what everyone paid — extreme undervaluation.
|
||||
|
||||
| Z-Score | Meaning | Score |
|
||||
|---------|---------|-------|
|
||||
| < 0 | Below realized value | 10 |
|
||||
| 0-0.5 | Undervalued | 8 |
|
||||
| 0.5-1.5 | Fair value | 5 |
|
||||
| 1.5-3.0 | Overvalued | 2 |
|
||||
| 3.0-5.0 | Very overvalued | 1 |
|
||||
| > 5.0 | Extreme overvaluation | 0 |
|
||||
|
||||
**Historical accuracy:** Every time MVRV Z-Score went below 0, buying led to >200% returns within 2 years (100% hit rate across all cycles).
|
||||
|
||||
#### 4. Drawdown from ATH (calculated from price)
|
||||
How far BTC has fallen from its all-time high. Larger drawdowns = better buying opportunity historically.
|
||||
|
||||
| Drawdown | Score |
|
||||
|----------|-------|
|
||||
| > 70% | 10 |
|
||||
| 50-70% | 8 |
|
||||
| 30-50% | 6 |
|
||||
| 20-30% | 4 |
|
||||
| 10-20% | 2 |
|
||||
| < 10% | 0 |
|
||||
|
||||
#### 5. Price vs 200-Week SMA (source: LookIntoBitcoin)
|
||||
The 200-week moving average has historically acted as the absolute floor in bear markets.
|
||||
|
||||
| Position | Score |
|
||||
|----------|-------|
|
||||
| Below 200W SMA | 10 |
|
||||
| 0-20% above | 6 |
|
||||
| 20-50% above | 3 |
|
||||
| 50-100% above | 1 |
|
||||
| > 100% above | 0 |
|
||||
|
||||
#### 6. Reserve Risk (source: LookIntoBitcoin)
|
||||
Measures the confidence of long-term holders relative to the price. Low Reserve Risk = high confidence among HODLers + low price = excellent time to buy.
|
||||
|
||||
| Reserve Risk | Score |
|
||||
|--------------|-------|
|
||||
| < 0.002 | 10 |
|
||||
| 0.002-0.005 | 7 |
|
||||
| 0.005-0.01 | 4 |
|
||||
| 0.01-0.02 | 2 |
|
||||
| > 0.02 | 0 |
|
||||
|
||||
#### 7. RHODL Ratio (source: LookIntoBitcoin)
|
||||
Ratio of 1-week old coins to 1-2 year old coins. Low ratio = long-term holders dominating (accumulation). High ratio = short-term speculation (distribution).
|
||||
|
||||
| RHODL | Score |
|
||||
|-------|-------|
|
||||
| < 100 | 10 |
|
||||
| 100-500 | 7 |
|
||||
| 500-2000 | 4 |
|
||||
| 2000-10000 | 1 |
|
||||
| > 10000 | 0 |
|
||||
|
||||
#### 8. NUPL — Net Unrealized Profit/Loss (source: LookIntoBitcoin)
|
||||
Shows what fraction of market cap is unrealized profit. Negative = market is at a loss (capitulation). Above 0.75 = euphoria.
|
||||
|
||||
| NUPL | Phase | Score |
|
||||
|------|-------|-------|
|
||||
| < 0 | Capitulation | 10 |
|
||||
| 0-0.25 | Hope/Fear | 7 |
|
||||
| 0.25-0.5 | Optimism | 4 |
|
||||
| 0.5-0.75 | Belief/Greed | 1 |
|
||||
| > 0.75 | Euphoria | 0 |
|
||||
|
||||
#### 9. LTH Realized Price vs Spot (source: LookIntoBitcoin)
|
||||
Long-Term Holder Realized Price = average cost basis of coins held >155 days. When spot price drops below this, even diamond hands are underwater — extreme value.
|
||||
|
||||
| Position | Score |
|
||||
|----------|-------|
|
||||
| Price below LTH RP | 10 |
|
||||
| 0-20% above | 6 |
|
||||
| 20-50% above | 3 |
|
||||
| > 50% above | 1 |
|
||||
|
||||
#### 10. Hash Ribbons / Miner Capitulation (source: LookIntoBitcoin)
|
||||
When miners capitulate (hash rate declining), it signals maximum pain. The recovery signal (hash rate resuming growth) has been a reliable buy signal.
|
||||
|
||||
| Signal | Score |
|
||||
|--------|-------|
|
||||
| Active buy signal | 10 |
|
||||
| Recent recovery | 6 |
|
||||
| Normal | 3 |
|
||||
| Miner euphoria | 0 |
|
||||
|
||||
### Composite Score
|
||||
|
||||
```
|
||||
Total Score = Sum of all individual metric scores (0-100)
|
||||
```
|
||||
|
||||
| Score Range | Assessment | Action |
|
||||
|-------------|------------|--------|
|
||||
| 85-100 | Extreme Accumulation Zone | Strong buy — historically rare, ~4x per decade |
|
||||
| 70-84 | Strong Accumulation | Buy — excellent long-term entry |
|
||||
| 55-69 | Moderate Opportunity | Consider buying — decent entry |
|
||||
| 40-54 | Neutral | Hold — not compelling either way |
|
||||
| 25-39 | Caution | Reduce or wait — market heating up |
|
||||
| 0-24 | Extreme Caution | Do NOT buy — historically the worst times |
|
||||
|
||||
## Backtest Engine
|
||||
|
||||
### Purpose
|
||||
Reconstruct the composite score historically and compare against actual BTC forward returns to validate the scoring system's accuracy.
|
||||
|
||||
### Methodology
|
||||
|
||||
1. **Historical Reconstruction:** Using scraped historical data (2010-present), calculate what each metric's score would have been on every day
|
||||
2. **Forward Returns:** For each historical day, calculate what BTC actually returned over the next 30, 90, 180, and 365 days
|
||||
3. **Score Bracket Analysis:** Group days by score bracket and calculate average forward returns, win rates, max drawdowns
|
||||
4. **Recency Weighting:** More recent cycles weighted higher because BTC's cycle-over-cycle returns diminish as it matures:
|
||||
- 2022-present: 4x weight
|
||||
- 2020-2021: 3x weight
|
||||
- 2018-2019: 2x weight
|
||||
- Before 2018: 1x weight
|
||||
5. **Cycle-Separated Results:** Returns shown per cycle (Cycle 3: 2016-2019, Cycle 4: 2020-2023, Cycle 5: 2024+)
|
||||
|
||||
### Diminishing Returns Adjustment
|
||||
|
||||
Bitcoin's gains decrease every cycle. A score of 90 in 2018 led to different outcomes than a score of 90 in 2022:
|
||||
- The backtest separates results by cycle
|
||||
- Current expectations are based on the 2 most recent comparable cycles
|
||||
- Adaptive thresholds recalculate based on rolling 2-year windows
|
||||
|
||||
## Architecture
|
||||
|
||||
```
|
||||
/opt/apps/btc-ml-optimizer/
|
||||
├── dashboard/
|
||||
│ └── server.py # FastAPI + inline HTML/JS dashboard
|
||||
├── scrapers/
|
||||
│ ├── __init__.py
|
||||
│ ├── lookintobitcoin.py # Playwright scraper for on-chain charts
|
||||
│ ├── history_collector.py # Full historical data collection
|
||||
│ ├── fear_greed.py # alternative.me Fear & Greed API
|
||||
│ └── price.py # CoinGecko BTC price API
|
||||
├── scoring/
|
||||
│ ├── __init__.py
|
||||
│ └── engine.py # Scoring logic and thresholds
|
||||
├── backtesting/
|
||||
│ ├── __init__.py
|
||||
│ └── engine.py # Historical backtest calculations
|
||||
├── data/
|
||||
│ ├── cache.json # Current metric values (refreshed every 15min)
|
||||
│ └── history.json # Full historical data (refreshed weekly)
|
||||
├── config/
|
||||
│ ├── thresholds.json # Configurable scoring thresholds
|
||||
│ └── llm_settings.json # Optional LLM provider config for AI commentary
|
||||
├── llm_client/
|
||||
│ └── analyzer.py # Optional LLM integration for signal analysis
|
||||
└── README.md
|
||||
```
|
||||
|
||||
## Infrastructure
|
||||
|
||||
- **Server:** Main VPS (Hostinger), Tailscale IP 100.94.106.120
|
||||
- **Port:** 3088
|
||||
- **Process Manager:** pm2 (`btc-ml-optimizer`)
|
||||
- **Dashboard URL:** http://100.94.106.120:3088
|
||||
- **Backtest URL:** http://100.94.106.120:3088/backtest
|
||||
- **Git Repo:** https://git.bizzle.lol/bizzle/btc-accumulation-monitor
|
||||
|
||||
## Dependencies
|
||||
|
||||
- Python 3.13
|
||||
- FastAPI + uvicorn
|
||||
- Playwright (Chromium, headless)
|
||||
- requests
|
||||
- No ML libraries required
|
||||
- No paid API keys required
|
||||
@@ -1,160 +1,222 @@
|
||||
# BTC ML Trading Strategy Optimizer
|
||||
# Bitcoin Accumulation Zone Monitor
|
||||
|
||||
An automated optimization loop that trains ML models on BTC/USDT data, backtests trading strategies, and uses an LLM to iteratively improve the configuration.
|
||||
> Bitcoin on-chain metrics dashboard with classic equal-weight scoring, ML-optimized scoring, historical backtesting, and click-to-select metric context for long-term BTC accumulation decisions.
|
||||
|
||||

|
||||
|
||||
## What It Does
|
||||
|
||||
Monitors Bitcoin accumulation conditions using 16 scored market/on-chain indicators plus optional informational cycle metrics. Each scored metric receives a 0-10 score and rolls into a 0-100 accumulation score.
|
||||
|
||||
The dashboard now supports two scoring modes:
|
||||
|
||||
- **Classic** — transparent equal-weight scoring across every active metric.
|
||||
- **ML** — feature-importance weights trained against historical 365-day forward returns, with displayed per-metric weights and point contributions.
|
||||
|
||||
Historical backtests show score-vs-price behavior, score bracket performance, major signal events, and current-score context. Metric cards are clickable: selecting a metric overlays its historical series on the score chart and shows comparable historical periods with forward returns.
|
||||
|
||||
## Screenshots
|
||||
|
||||
### Main Dashboard — ML mode + metric context
|
||||

|
||||
*Live BTC price, Classic/ML scoring toggle, 16 active scored metrics, ML weights/contributions, metric sparklines, and click-to-select historical context.*
|
||||
|
||||
### Historical Backtest
|
||||

|
||||
*Current signal percentile, comparable historical periods by cycle, score-vs-BTC chart, bracket performance, and major signal events.*
|
||||
|
||||
### Settings
|
||||

|
||||
*LLM provider configuration for optional AI-powered signal commentary and local/cloud model selection.*
|
||||
|
||||
## Feature Highlights
|
||||
|
||||
- **16 scored metrics** from market sentiment, miner stress, valuation, holder behavior, network activity, and velocity signals.
|
||||
- **Classic vs ML scoring toggle** on the dashboard and backtest API.
|
||||
- **ML score explainability**: metric cards show learned weight and contribution in points.
|
||||
- **Leakage-resistant ML validation**: training uses purged time-series splits so 365-day forward-return labels do not overlap validation windows.
|
||||
- **Historical context panel**: compares the current composite score against historical periods and forward returns.
|
||||
- **Clickable metric cards**: select any metric to see percentile, similar historical levels, forward returns, example dates by market cycle, and highlighted chart periods.
|
||||
- **Score history chart** with BTC price overlay, range controls, and selected-metric overlay.
|
||||
- **Backtest dashboard** with current signal context, score bracket performance, and signal-crossing events.
|
||||
- **Quick vs full refresh**: quick refresh updates BTC price and Fear & Greed; full refresh re-scrapes on-chain sources.
|
||||
- **LLM settings UI** for Ollama, LM Studio, OpenAI, Anthropic, and OpenRouter.
|
||||
|
||||
## Metrics
|
||||
|
||||
| # | Metric | Source | Accumulation Signal |
|
||||
|---|--------|--------|-------------------|
|
||||
| 1 | Fear & Greed Index | alternative.me API | Extreme fear / capitulation sentiment |
|
||||
| 2 | Puell Multiple | LookIntoBitcoin | Miner revenue stress |
|
||||
| 3 | MVRV Z-Score | LookIntoBitcoin | Market near/below realized value |
|
||||
| 4 | Drawdown from ATH | Calculated from BTC price | Deep correction from cycle high |
|
||||
| 5 | Price vs 200W SMA | LookIntoBitcoin + BTC price | Price near/below long-term trend |
|
||||
| 6 | Reserve Risk | LookIntoBitcoin | High holder confidence relative to price |
|
||||
| 7 | RHODL Ratio | LookIntoBitcoin | Long-term holder dominance |
|
||||
| 8 | Net Unrealized Profit/Loss (NUPL) | LookIntoBitcoin | Capitulation / early recovery zones |
|
||||
| 9 | LTH Realized Price | LookIntoBitcoin | Price near long-term holder cost basis |
|
||||
| 10 | Hash Ribbons | LookIntoBitcoin | Miner capitulation/recovery signal |
|
||||
| 11 | SOPR | CheckOnChain | Spent outputs near loss / reset territory |
|
||||
| 12 | Sell-side Risk Ratio | CheckOnChain | Low realized profit/loss pressure |
|
||||
| 13 | Active Address Momentum | CheckOnChain | Network activity momentum extremes |
|
||||
| 14 | Transaction Count Momentum | CheckOnChain | Transaction activity momentum extremes |
|
||||
| 15 | NVT Price | CheckOnChain | Network-value valuation discount/premium |
|
||||
| 16 | VDD Multiple | CheckOnChain | Coin-days/velocity reset conditions |
|
||||
|
||||
Informational cards may also appear when data is available, such as **Long-Term Holder Supply** and **Pi Cycle Bottom**. These are displayed for context and are not included in the composite score.
|
||||
|
||||
## Score Interpretation
|
||||
|
||||
| Score | Assessment | Interpretation |
|
||||
|-------|-----------|----------------|
|
||||
| 80-100 | 🟢 Extreme Accumulation Zone | Broad capitulation/value conditions across active metrics |
|
||||
| 65-79 | 🟢 Strong Accumulation Zone | Historically attractive long-term entry territory |
|
||||
| 50-64 | 🟡 Moderate Opportunity | DCA-friendly, but not maximum-signal conditions |
|
||||
| 35-49 | 🟡 Neutral | Mixed signals; not compelling either direction |
|
||||
| 20-34 | 🔴 Caution — Overheated | Market conditions becoming less favorable |
|
||||
| 0-19 | 🔴 Extreme Caution | Historically poor accumulation setup |
|
||||
|
||||
Backtest tables provide actual historical forward-return statistics per score bracket, including 30d/90d/180d/1yr averages, win rate, max gain/loss, and average max drawdown.
|
||||
|
||||
## ML-Optimized Scoring
|
||||
|
||||
The ML mode uses a `GradientBoostingClassifier` trained on historical feature rows to predict whether a day was a good long-term buy based on 365-day forward return. Training features include:
|
||||
|
||||
- Classic metric scores.
|
||||
- Raw metric values.
|
||||
- 30-day metric deltas.
|
||||
- Interaction features such as MVRV × NUPL and Puell × Reserve Risk.
|
||||
- Cycle-position context such as days since ATH.
|
||||
|
||||
The resulting feature importances are aggregated back into transparent metric weights stored in `config/ml_weights.json`. The UI displays normalized weight and contribution for each active metric.
|
||||
|
||||
Validation uses purged expanding time-series splits: because each label uses a 365-day forward-return window, training rows whose label windows overlap validation are removed before scoring validation folds.
|
||||
|
||||
## Tech Stack
|
||||
|
||||
| Component | Technology |
|
||||
|-----------|-----------|
|
||||
| Backend | Python 3.13 + FastAPI |
|
||||
| Frontend | Inline HTML/CSS/JS dark trading-terminal UI |
|
||||
| Charts | Chart.js |
|
||||
| Scraping | requests + Playwright-style browser scraping where needed |
|
||||
| Data APIs | alternative.me, CoinGecko, LookIntoBitcoin, CheckOnChain |
|
||||
| ML | NumPy + pandas + scikit-learn GradientBoostingClassifier |
|
||||
| Process Manager | pm2 or uvicorn |
|
||||
| Default Port | 3088 |
|
||||
|
||||
## How Data Is Collected
|
||||
|
||||
Data is collected from free/public sources and cached locally under `data/`.
|
||||
|
||||
- Fast live refreshes update BTC price, ATH/drawdown, 200D SMA/Mayer where possible, and Fear & Greed.
|
||||
- On-chain metrics are cached and reused because they update slowly.
|
||||
- Full refresh re-scrapes on-chain metrics from LookIntoBitcoin/CheckOnChain.
|
||||
- Historical backtest data lives in `data/history.json` and supports charting, backtests, and metric-context lookups.
|
||||
- Score history appends to `data/score_history.jsonl`.
|
||||
|
||||
## Project Structure
|
||||
|
||||
```
|
||||
├── dashboard/
|
||||
│ └── server.py # FastAPI server + inline dashboard/backtest/settings UI
|
||||
├── scrapers/
|
||||
│ ├── lookintobitcoin.py # LookIntoBitcoin metric scraping
|
||||
│ ├── checkonchain.py # CheckOnChain metric scraping
|
||||
│ ├── history_collector.py # Full historical data collection
|
||||
│ ├── history_updater.py # Incremental historical updates
|
||||
│ ├── fear_greed.py # Fear & Greed Index API
|
||||
│ └── price.py # BTC price, ATH, drawdown, SMA helpers
|
||||
├── scoring/
|
||||
│ └── engine.py # Classic + ML-weighted scoring logic
|
||||
├── backtesting/
|
||||
│ └── engine.py # Historical backtest engine
|
||||
├── ml/
|
||||
│ └── optimizer.py # ML training, purged CV, weight export
|
||||
├── tests/
|
||||
│ ├── test_ml_optimizer_validation.py
|
||||
│ └── test_scoring_engine_ml.py
|
||||
├── data/
|
||||
│ ├── cache.json # Live metric cache
|
||||
│ ├── history.json # Historical metric/time-series data
|
||||
│ └── score_history.jsonl # Live score history
|
||||
├── config/
|
||||
│ ├── thresholds.json # Classic scoring thresholds
|
||||
│ ├── ml_weights.json # Learned ML metric weights
|
||||
│ └── llm_settings.json # Optional AI commentary provider config
|
||||
├── screenshots/ # README screenshots
|
||||
├── ARCHITECTURE.md
|
||||
└── README.md
|
||||
```
|
||||
|
||||
## Running
|
||||
|
||||
### Local / ad-hoc with uv
|
||||
|
||||
```bash
|
||||
cd /opt/data/btc-accumulation-monitor
|
||||
PYTHONPATH=. uv run \
|
||||
--with fastapi \
|
||||
--with uvicorn \
|
||||
--with requests \
|
||||
--with pandas \
|
||||
--with numpy \
|
||||
--with scikit-learn \
|
||||
python -m uvicorn dashboard.server:app --host 0.0.0.0 --port 3088
|
||||
```
|
||||
|
||||
### VPS-style install
|
||||
|
||||
```bash
|
||||
cd /opt/apps/btc-ml-optimizer
|
||||
python3 -m venv .venv
|
||||
. .venv/bin/activate
|
||||
pip install -r requirements_vps.txt pandas numpy scikit-learn
|
||||
python -m uvicorn dashboard.server:app --host 0.0.0.0 --port 3088
|
||||
```
|
||||
|
||||
### pm2
|
||||
|
||||
```bash
|
||||
pm2 start "python3 -m uvicorn dashboard.server:app --host 0.0.0.0 --port 3088" --name btc-ml-optimizer
|
||||
```
|
||||
|
||||
## First Run
|
||||
|
||||
1. Visit `http://localhost:3088` for the live dashboard.
|
||||
2. Use **Quick Refresh** for fast price/Fear & Greed updates.
|
||||
3. Use **Full Refresh** to re-scrape on-chain metrics.
|
||||
4. Visit `http://localhost:3088/backtest` to view historical score performance.
|
||||
5. If historical data is missing, use the backtest page's collection flow to populate `data/history.json`.
|
||||
|
||||
## Useful API Endpoints
|
||||
|
||||
| Endpoint | Description |
|
||||
|----------|-------------|
|
||||
| `GET /api/data?mode=classic` | Current metrics using equal-weight scoring |
|
||||
| `GET /api/data?mode=ml` | Current metrics using ML-optimized weights |
|
||||
| `GET /api/history` | Recent live score history |
|
||||
| `POST /api/refresh` | Quick refresh |
|
||||
| `POST /api/refresh?full=true` | Full on-chain refresh |
|
||||
| `GET /api/backtest?mode=classic` | Historical backtest with classic scoring |
|
||||
| `GET /api/backtest?mode=ml` | Historical backtest with ML scoring |
|
||||
| `GET /api/metric-context?metric=mvrv_zscore&mode=ml` | Similar historical levels and forward returns for one metric |
|
||||
| `GET /api/settings` | Safe LLM settings payload |
|
||||
|
||||
## Testing
|
||||
|
||||
Focused tests can be run with uv:
|
||||
|
||||
```bash
|
||||
cd /opt/data/btc-accumulation-monitor
|
||||
PYTHONPATH=. uv run --with pytest --with numpy --with scikit-learn --with pandas \
|
||||
pytest -q tests/test_ml_optimizer_validation.py tests/test_scoring_engine_ml.py
|
||||
```
|
||||
|
||||
## Architecture
|
||||
|
||||
```
|
||||
┌─────────────────────────────────────────────────────────────────┐
|
||||
│ Optimization Loop │
|
||||
│ │
|
||||
│ ┌──────────┐ ┌───────────────┐ ┌──────────────────────┐ │
|
||||
│ │ VPS │───>│ Windows PC │───>│ Mac Mini │ │
|
||||
│ │ (Orch.) │<───│ (GPU/ML) │ │ (LLM) │ │
|
||||
│ │ │<───────────────────────>│ │ │
|
||||
│ │ - Fetch │ │ - XGBoost │ │ - Ollama │ │
|
||||
│ │ data │ │ - LightGBM │ │ - qwen3.5:27b │ │
|
||||
│ │ - Coord │ │ - CatBoost │ │ - Analyze results │ │
|
||||
│ │ - Store │ │ - RTX 4070 Ti │ │ - Suggest changes │ │
|
||||
│ └──────────┘ └───────────────┘ └──────────────────────┘ │
|
||||
│ ▲ │ │
|
||||
│ └────────────────────────────────────────┘ │
|
||||
│ Modified config │
|
||||
└─────────────────────────────────────────────────────────────────┘
|
||||
```
|
||||
See [ARCHITECTURE.md](ARCHITECTURE.md) for deeper implementation details on scoring, data collection, and backtesting.
|
||||
|
||||
### Machines (Tailscale)
|
||||
## License
|
||||
|
||||
| Machine | Role | Address | Key Resources |
|
||||
|------------|-------------|-------------------|---------------------|
|
||||
| VPS | Orchestrator | localhost | Coordination, data |
|
||||
| Windows PC | ML Engine | 100.76.218.38 | RTX 4070 Ti GPU |
|
||||
| Mac Mini | LLM | 100.100.242.21 | Ollama, qwen3.5:27b |
|
||||
|
||||
## Directory Structure
|
||||
|
||||
```
|
||||
btc-ml-optimizer/
|
||||
├── orchestrator.py # Main loop — coordinates everything
|
||||
├── ml_engine/
|
||||
│ └── train_and_backtest.py # Self-contained ML script (runs on Windows)
|
||||
├── llm_client/
|
||||
│ └── analyzer.py # LLM strategy analyzer (calls Mac Mini)
|
||||
├── scripts/
|
||||
│ ├── fetch_data.py # BTC/USDT data fetcher (ccxt)
|
||||
│ └── setup_windows.sh # Install deps on Windows PC
|
||||
├── config/
|
||||
│ └── initial_config.json # Starting configuration
|
||||
├── data/ # OHLCV CSV files
|
||||
├── results/ # Iteration results + logs
|
||||
├── requirements_vps.txt # VPS Python dependencies
|
||||
└── requirements_windows.txt # Windows PC Python dependencies
|
||||
```
|
||||
|
||||
## Setup
|
||||
|
||||
### 1. VPS (this machine)
|
||||
|
||||
```bash
|
||||
pip install -r requirements_vps.txt
|
||||
```
|
||||
|
||||
### 2. Windows PC
|
||||
|
||||
```bash
|
||||
# From VPS — installs all ML deps on Windows via SSH
|
||||
bash scripts/setup_windows.sh
|
||||
```
|
||||
|
||||
Or manually on Windows:
|
||||
```bash
|
||||
pip install -r requirements_windows.txt
|
||||
```
|
||||
|
||||
### 3. Mac Mini
|
||||
|
||||
Ensure Ollama is running with the qwen3.5:27b model:
|
||||
```bash
|
||||
ollama pull qwen3.5:27b
|
||||
ollama serve # should already be running
|
||||
```
|
||||
|
||||
## Usage
|
||||
|
||||
### Fetch Data
|
||||
|
||||
```bash
|
||||
python3 scripts/fetch_data.py
|
||||
```
|
||||
|
||||
Downloads 2 years of BTC/USDT 1h and 4h OHLCV data from Binance.
|
||||
|
||||
### Run the Optimizer
|
||||
|
||||
```bash
|
||||
python3 orchestrator.py
|
||||
```
|
||||
|
||||
The optimizer will:
|
||||
1. Ensure data is fetched
|
||||
2. Upload ML engine + data to Windows PC
|
||||
3. Train model and backtest on GPU
|
||||
4. Send results to LLM for analysis
|
||||
5. Apply LLM-suggested config changes
|
||||
6. Repeat until convergence (or 50 iterations)
|
||||
|
||||
### Run ML Engine Standalone (on Windows)
|
||||
|
||||
```bash
|
||||
python train_and_backtest.py --config config.json --data btc_4h.csv --output results.json
|
||||
```
|
||||
|
||||
## Configuration Reference
|
||||
|
||||
### `model_type`
|
||||
- `xgboost` — XGBoost with GPU (default, generally best)
|
||||
- `lightgbm` — LightGBM with GPU (faster training)
|
||||
- `catboost` — CatBoost with GPU (handles interactions well)
|
||||
- `ensemble` — Soft voting of all three
|
||||
|
||||
### `features`
|
||||
- `technical_indicators` — List of indicators to compute
|
||||
- `lookback_periods` — Windows for return/volatility features
|
||||
- `use_volume_features` — Include volume-derived features
|
||||
- `use_volatility_features` — Include volatility features
|
||||
- `use_candle_patterns` — Include candlestick pattern features
|
||||
- `use_lag_features` — Include lagged feature values
|
||||
- `lag_periods` — Specific lag periods to use
|
||||
|
||||
### `target`
|
||||
- `direction` — `"long"` or `"both"`
|
||||
- `horizon_candles` — Forward-looking prediction window
|
||||
- `threshold_pct` — Minimum % move to label as positive
|
||||
|
||||
### `hyperparameters`
|
||||
Standard gradient boosting params: `learning_rate`, `max_depth`, `n_estimators`, `subsample`, `colsample_bytree`, `min_child_weight`, `gamma`, `reg_alpha`, `reg_lambda`
|
||||
|
||||
### `strategy`
|
||||
- `entry_threshold` — Min probability to enter trade (0.5-0.8)
|
||||
- `stop_loss_pct` — Stop loss percentage
|
||||
- `take_profit_pct` — Take profit percentage
|
||||
- `trailing_stop_pct` — Trailing stop distance
|
||||
- `position_sizing` — `"confidence_scaled"` or `"fixed"`
|
||||
- `min_confidence_to_trade` — Absolute minimum confidence
|
||||
|
||||
### `training`
|
||||
- `walk_forward_windows` — Number of walk-forward splits (3-10)
|
||||
- `train_pct` / `validation_pct` / `test_pct` — Data split ratios
|
||||
|
||||
## Convergence Criteria
|
||||
|
||||
The optimizer stops when:
|
||||
- Sharpe ratio exceeds 3.0
|
||||
- Sharpe improvement < 1% over 5 consecutive iterations
|
||||
- Maximum 50 iterations reached
|
||||
|
||||
## Output
|
||||
|
||||
- `config/best_config.json` — Best configuration found
|
||||
- `results/iterations.jsonl` — Full log of every iteration
|
||||
- `results/results_iter_N.json` — Detailed results per iteration
|
||||
Private — not for public distribution.
|
||||
|
||||
Binary file not shown.
@@ -0,0 +1,513 @@
|
||||
"""Historical backtest engine for Bitcoin Accumulation Zone scoring."""
|
||||
|
||||
import json
|
||||
import logging
|
||||
import os
|
||||
import sys
|
||||
from collections import defaultdict
|
||||
from datetime import datetime, timedelta
|
||||
|
||||
log = logging.getLogger(__name__)
|
||||
|
||||
BASE_DIR = os.path.dirname(os.path.dirname(os.path.abspath(__file__)))
|
||||
sys.path.insert(0, BASE_DIR)
|
||||
|
||||
HISTORY_PATH = os.path.join(BASE_DIR, "data", "history.json")
|
||||
CACHE_PATH = os.path.join(BASE_DIR, "data", "cache.json")
|
||||
|
||||
# Score brackets matching the dashboard assessment levels
|
||||
BRACKETS = [
|
||||
(0, 20, "Extreme Caution"),
|
||||
(21, 40, "Caution"),
|
||||
(41, 55, "Neutral"),
|
||||
(56, 70, "Moderate Opportunity"),
|
||||
(71, 85, "Strong Accumulation"),
|
||||
(86, 100, "Extreme Accumulation"),
|
||||
]
|
||||
|
||||
# Scoring thresholds — load from config/thresholds.json (single source of truth)
|
||||
import os as _os
|
||||
import json as _json
|
||||
|
||||
_THRESH_PATH = _os.path.join(_os.path.dirname(_os.path.dirname(_os.path.abspath(__file__))), "config", "thresholds.json")
|
||||
try:
|
||||
with open(_THRESH_PATH) as _f:
|
||||
_THRESH = _json.load(_f)
|
||||
except Exception:
|
||||
_THRESH = {}
|
||||
|
||||
METRIC_SCORERS = {
|
||||
"fear_greed": {"ranges": _THRESH.get("fear_greed", {}).get("ranges", [[0, 15, 10], [15, 30, 8], [30, 45, 5], [45, 55, 3], [55, 75, 1], [75, None, 0]])},
|
||||
"puell_multiple": {"ranges": _THRESH.get("puell_multiple", {}).get("ranges", [[None, 0.4, 10], [0.4, 0.7, 8], [0.7, 1.0, 5], [1.0, 1.5, 3], [1.5, 2.0, 1], [2.0, None, 0]])},
|
||||
"mvrv_zscore": {"ranges": _THRESH.get("mvrv_zscore", {}).get("ranges", [[None, 0, 10], [0, 1.0, 8], [1.0, 2.0, 5], [2.0, 3.0, 3], [3.0, 5.0, 1], [5.0, None, 0]])},
|
||||
"reserve_risk": {"ranges": _THRESH.get("reserve_risk", {}).get("ranges", [[None, 0.002, 10], [0.002, 0.005, 7], [0.005, 0.01, 4], [0.01, 0.02, 2], [0.02, None, 0]])},
|
||||
"rhodl_ratio": {"ranges": _THRESH.get("rhodl_ratio", {}).get("ranges", [[None, 200, 10], [200, 1000, 7], [1000, 5000, 4], [5000, 20000, 1], [20000, None, 0]])},
|
||||
"nupl": {"ranges": _THRESH.get("nupl", {}).get("ranges", [[None, 0, 10], [0, 0.3, 8], [0.3, 0.5, 4], [0.5, 0.75, 1], [0.75, None, 0]])},
|
||||
}
|
||||
|
||||
RATIO_SCORERS = {
|
||||
"price_vs_200w_sma": {
|
||||
"ranges": _THRESH.get("price_vs_200w_sma", {}).get("ranges", [[None, 0, 10], [0, 30, 7], [30, 60, 5], [60, 100, 2], [100, None, 0]]),
|
||||
"price_key": "btc_price",
|
||||
"ref_key": "200w_sma",
|
||||
},
|
||||
"lth_realized_price": {
|
||||
"ranges": _THRESH.get("lth_realized_price", {}).get("ranges", [[None, 0, 10], [0, 30, 7], [30, 80, 5], [80, 150, 3], [150, None, 1]]),
|
||||
"price_key": "btc_price",
|
||||
"ref_key": "lth_realized_price",
|
||||
},
|
||||
}
|
||||
|
||||
DRAWDOWN_RANGES = _THRESH.get("drawdown", {}).get("ranges", [[60, None, 10], [40, 60, 8], [25, 40, 6], [15, 25, 4], [5, 15, 2], [None, 5, 0]])
|
||||
|
||||
|
||||
def _score_range(value, ranges):
|
||||
"""Score a value using range-based thresholds."""
|
||||
if value is None:
|
||||
return None
|
||||
for low, high, score in ranges:
|
||||
low_ok = low is None or value >= low
|
||||
high_ok = high is None or value < high
|
||||
if low_ok and high_ok:
|
||||
return score
|
||||
return 0
|
||||
|
||||
|
||||
def _build_daily_index(history):
|
||||
"""Build a dict mapping metric_key -> {date_str: value} for fast lookup."""
|
||||
index = {}
|
||||
for key, data in history.items():
|
||||
if key.startswith("_") or not isinstance(data, dict) or "dates" not in data:
|
||||
continue
|
||||
lookup = {}
|
||||
for d, v in zip(data["dates"], data["values"]):
|
||||
lookup[d] = v
|
||||
index[key] = lookup
|
||||
return index
|
||||
|
||||
|
||||
def _get_all_dates(index):
|
||||
"""Get sorted union of all dates across all metrics."""
|
||||
all_dates = set()
|
||||
for lookup in index.values():
|
||||
all_dates.update(lookup.keys())
|
||||
return sorted(all_dates)
|
||||
|
||||
|
||||
def _last_known_value(lookup, date, max_lookback=30):
|
||||
"""Get value for date, or most recent prior value within lookback window."""
|
||||
if date in lookup:
|
||||
return lookup[date]
|
||||
d = datetime.strptime(date, "%Y-%m-%d")
|
||||
for i in range(1, max_lookback + 1):
|
||||
prev = (d - timedelta(days=i)).strftime("%Y-%m-%d")
|
||||
if prev in lookup:
|
||||
return lookup[prev]
|
||||
return None
|
||||
|
||||
|
||||
def _compute_ath_series(price_lookup, dates):
|
||||
"""Compute running ATH and drawdown for each date."""
|
||||
ath = 0
|
||||
drawdowns = {}
|
||||
for d in dates:
|
||||
p = price_lookup.get(d)
|
||||
if p is None:
|
||||
continue
|
||||
if p > ath:
|
||||
ath = p
|
||||
if ath > 0:
|
||||
drawdowns[d] = ((ath - p) / ath) * 100
|
||||
return drawdowns
|
||||
|
||||
|
||||
def _load_ml_weights():
|
||||
"""Load ML weights for ML-optimized scoring mode."""
|
||||
ml_path = _os.path.join(_os.path.dirname(_os.path.dirname(_os.path.abspath(__file__))), "config", "ml_weights.json")
|
||||
try:
|
||||
with open(ml_path) as f:
|
||||
data = _json.load(f)
|
||||
return data.get("weights", {})
|
||||
except Exception:
|
||||
return {}
|
||||
|
||||
# ML weight key mapping (backtest metric keys -> ML weight keys)
|
||||
_BT_ML_KEY_MAP = {
|
||||
"fear_greed": "fear_greed",
|
||||
"puell_multiple": "puell_multiple",
|
||||
"mvrv_zscore": "mvrv_zscore",
|
||||
"reserve_risk": "reserve_risk",
|
||||
"rhodl_ratio": "rhodl_ratio",
|
||||
"nupl": "nupl",
|
||||
"price_vs_200w_sma": "pct_above_200w_sma",
|
||||
"lth_realized_price": "pct_above_lth_rp",
|
||||
"drawdown": "drawdown",
|
||||
}
|
||||
|
||||
|
||||
def score_day(date, index, drawdowns, ml_weights=None):
|
||||
"""Score a single day using all available metrics. Returns (composite_score, details, n_metrics).
|
||||
|
||||
If ml_weights is provided, uses ML-optimized weighting instead of equal weights.
|
||||
details includes both "score" and "raw" (the actual metric value before scoring).
|
||||
"""
|
||||
scores = []
|
||||
details = {}
|
||||
|
||||
# Simple range-based metrics
|
||||
for metric_key, cfg in METRIC_SCORERS.items():
|
||||
val = _last_known_value(index.get(metric_key, {}), date)
|
||||
if val is not None:
|
||||
s = _score_range(val, cfg["ranges"])
|
||||
if s is not None:
|
||||
scores.append(s)
|
||||
details[metric_key] = {"value": val, "score": s, "raw": val}
|
||||
|
||||
# Ratio-based metrics (price vs reference)
|
||||
for metric_key, cfg in RATIO_SCORERS.items():
|
||||
price_val = _last_known_value(index.get(cfg["price_key"], {}), date)
|
||||
# Try alternate price keys
|
||||
if price_val is None:
|
||||
for pk in ["btc_price_coingecko", "btc_price_sma", "btc_price_lth"]:
|
||||
price_val = _last_known_value(index.get(pk, {}), date)
|
||||
if price_val is not None:
|
||||
break
|
||||
ref_val = _last_known_value(index.get(cfg["ref_key"], {}), date)
|
||||
if price_val is not None and ref_val is not None and ref_val > 0:
|
||||
pct_above = ((price_val - ref_val) / ref_val) * 100
|
||||
s = _score_range(pct_above, cfg["ranges"])
|
||||
if s is not None:
|
||||
scores.append(s)
|
||||
details[metric_key] = {"value": pct_above, "score": s, "raw": pct_above}
|
||||
|
||||
# Drawdown
|
||||
dd = drawdowns.get(date)
|
||||
if dd is not None:
|
||||
s = _score_range(dd, DRAWDOWN_RANGES)
|
||||
if s is not None:
|
||||
scores.append(s)
|
||||
details["drawdown"] = {"value": dd, "score": s, "raw": dd}
|
||||
|
||||
if not scores:
|
||||
return None, details, 0
|
||||
|
||||
if ml_weights:
|
||||
# ML-weighted composite
|
||||
weighted_sum = 0.0
|
||||
weight_total = 0.0
|
||||
for metric_key, info in details.items():
|
||||
ml_key = _BT_ML_KEY_MAP.get(metric_key, metric_key)
|
||||
w = ml_weights.get(ml_key, 0.0)
|
||||
weighted_sum += info["score"] * w
|
||||
weight_total += w
|
||||
if weight_total > 0:
|
||||
composite = weighted_sum / weight_total * 10
|
||||
else:
|
||||
composite = sum(scores) / len(scores) * 10
|
||||
else:
|
||||
composite = sum(scores) / len(scores) * 10
|
||||
return round(composite, 1), details, len(scores)
|
||||
|
||||
|
||||
def compute_forward_returns(price_lookup, dates_sorted):
|
||||
"""Precompute forward returns for all dates."""
|
||||
periods = [30, 90, 180, 365]
|
||||
returns = {}
|
||||
for d in dates_sorted:
|
||||
p0 = price_lookup.get(d)
|
||||
if p0 is None or p0 <= 0:
|
||||
continue
|
||||
r = {}
|
||||
dt = datetime.strptime(d, "%Y-%m-%d")
|
||||
for days in periods:
|
||||
future = (dt + timedelta(days=days)).strftime("%Y-%m-%d")
|
||||
pf = price_lookup.get(future)
|
||||
if pf is not None:
|
||||
r[f"{days}d"] = round(((pf - p0) / p0) * 100, 2)
|
||||
if r:
|
||||
returns[d] = r
|
||||
return returns
|
||||
|
||||
|
||||
def compute_max_drawdown_forward(price_lookup, date, window=90):
|
||||
"""Compute max drawdown within N days after a given date."""
|
||||
dt = datetime.strptime(date, "%Y-%m-%d")
|
||||
p0 = price_lookup.get(date)
|
||||
if p0 is None or p0 <= 0:
|
||||
return None
|
||||
peak = p0
|
||||
max_dd = 0
|
||||
for i in range(1, window + 1):
|
||||
future = (dt + timedelta(days=i)).strftime("%Y-%m-%d")
|
||||
pf = price_lookup.get(future)
|
||||
if pf is None:
|
||||
continue
|
||||
if pf > peak:
|
||||
peak = pf
|
||||
dd = ((peak - pf) / peak) * 100
|
||||
if dd > max_dd:
|
||||
max_dd = dd
|
||||
return round(max_dd, 2) if max_dd > 0 else 0
|
||||
|
||||
|
||||
def run_backtest(ml_mode=False):
|
||||
"""Run the full backtest and return comprehensive results.
|
||||
|
||||
If ml_mode=True, uses ML-optimized metric weights instead of equal weights.
|
||||
"""
|
||||
log.info("Loading historical data... (ml_mode=%s)", ml_mode)
|
||||
if not os.path.exists(HISTORY_PATH):
|
||||
return {"error": "No historical data found. Run history collector first."}
|
||||
|
||||
with open(HISTORY_PATH) as f:
|
||||
history = json.load(f)
|
||||
|
||||
index = _build_daily_index(history)
|
||||
|
||||
# Build price lookup (prefer coingecko for completeness)
|
||||
price_lookup = {}
|
||||
for pk in ["btc_price_coingecko", "btc_price", "btc_price_sma", "btc_price_lth"]:
|
||||
if pk in index:
|
||||
for d, v in index[pk].items():
|
||||
if d not in price_lookup:
|
||||
price_lookup[d] = v
|
||||
|
||||
all_dates = _get_all_dates(index)
|
||||
if not all_dates:
|
||||
return {"error": "No date data available."}
|
||||
|
||||
log.info("Date range: %s to %s (%d days)", all_dates[0], all_dates[-1], len(all_dates))
|
||||
|
||||
# Compute drawdowns
|
||||
drawdowns = _compute_ath_series(price_lookup, all_dates)
|
||||
|
||||
# Precompute forward returns
|
||||
log.info("Computing forward returns...")
|
||||
fwd_returns = compute_forward_returns(price_lookup, all_dates)
|
||||
|
||||
# Load ML weights if in ML mode
|
||||
ml_weights = _load_ml_weights() if ml_mode else None
|
||||
if ml_mode and not ml_weights:
|
||||
log.warning("ML mode requested but no weights found — falling back to equal weights")
|
||||
ml_weights = None
|
||||
|
||||
# Score each day
|
||||
log.info("Scoring %d days...", len(all_dates))
|
||||
daily_scores = []
|
||||
for d in all_dates:
|
||||
composite, details, n_metrics = score_day(d, index, drawdowns, ml_weights=ml_weights)
|
||||
if composite is not None and n_metrics >= 3: # Require at least 3 metrics
|
||||
price = price_lookup.get(d)
|
||||
# Collect raw metric values for per-metric historical exploration
|
||||
metric_values = {}
|
||||
for mk, info in details.items():
|
||||
raw = info.get("raw")
|
||||
if raw is not None:
|
||||
metric_values[mk] = round(raw, 6) if isinstance(raw, float) else raw
|
||||
entry = {
|
||||
"date": d,
|
||||
"score": composite,
|
||||
"n_metrics": n_metrics,
|
||||
"price": price,
|
||||
"forward_returns": fwd_returns.get(d, {}),
|
||||
"metric_values": metric_values,
|
||||
}
|
||||
daily_scores.append(entry)
|
||||
|
||||
if not daily_scores:
|
||||
return {"error": "No scored days (insufficient metric overlap)."}
|
||||
|
||||
log.info("Scored %d days with 3+ metrics", len(daily_scores))
|
||||
|
||||
# --- Bracket statistics ---
|
||||
bracket_stats = []
|
||||
for low, high, label in BRACKETS:
|
||||
days_in = [d for d in daily_scores if low <= d["score"] <= high]
|
||||
if not days_in:
|
||||
bracket_stats.append({
|
||||
"range": f"{low}-{high}", "label": label, "days": 0,
|
||||
})
|
||||
continue
|
||||
|
||||
stats = {"range": f"{low}-{high}", "label": label, "days": len(days_in)}
|
||||
for period in ["30d", "90d", "180d", "365d"]:
|
||||
returns = [d["forward_returns"][period] for d in days_in if period in d["forward_returns"]]
|
||||
if returns:
|
||||
returns_sorted = sorted(returns)
|
||||
stats[f"avg_{period}"] = round(sum(returns) / len(returns), 2)
|
||||
stats[f"median_{period}"] = round(returns_sorted[len(returns_sorted) // 2], 2)
|
||||
stats[f"win_rate_{period}"] = round(len([r for r in returns if r > 0]) / len(returns) * 100, 1)
|
||||
stats[f"max_gain_{period}"] = round(max(returns), 2)
|
||||
stats[f"max_loss_{period}"] = round(min(returns), 2)
|
||||
stats[f"n_{period}"] = len(returns)
|
||||
|
||||
# Average max drawdown within 90 days
|
||||
dd_list = []
|
||||
for d in days_in:
|
||||
dd = compute_max_drawdown_forward(price_lookup, d["date"], 90)
|
||||
if dd is not None:
|
||||
dd_list.append(dd)
|
||||
if dd_list:
|
||||
stats["avg_max_drawdown_90d"] = round(sum(dd_list) / len(dd_list), 2)
|
||||
|
||||
bracket_stats.append(stats)
|
||||
|
||||
# --- Peak signal events ---
|
||||
signal_events = []
|
||||
thresholds = [90, 80, 70]
|
||||
for thresh in thresholds:
|
||||
prev_score = 0
|
||||
for d in daily_scores:
|
||||
if d["score"] >= thresh and prev_score < thresh:
|
||||
event = {
|
||||
"date": d["date"],
|
||||
"score": d["score"],
|
||||
"threshold": thresh,
|
||||
"price": d["price"],
|
||||
"forward_returns": d["forward_returns"],
|
||||
}
|
||||
# Add future prices
|
||||
if d["price"]:
|
||||
dt = datetime.strptime(d["date"], "%Y-%m-%d")
|
||||
for days_ahead in [30, 90, 365]:
|
||||
future = (dt + timedelta(days=days_ahead)).strftime("%Y-%m-%d")
|
||||
fp = price_lookup.get(future)
|
||||
if fp:
|
||||
event[f"price_{days_ahead}d"] = round(fp, 2)
|
||||
signal_events.append(event)
|
||||
prev_score = d["score"]
|
||||
|
||||
signal_events.sort(key=lambda e: e["date"])
|
||||
|
||||
# --- Current signal context ---
|
||||
all_scores_list = [d["score"] for d in daily_scores]
|
||||
all_scores_list.sort()
|
||||
|
||||
# Get current score from cache
|
||||
current_score = None
|
||||
current_price = None
|
||||
if os.path.exists(CACHE_PATH):
|
||||
try:
|
||||
with open(CACHE_PATH) as f:
|
||||
cache = json.load(f)
|
||||
scored = cache.get("_scored", {})
|
||||
current_score = scored.get("composite_score")
|
||||
current_price = cache.get("price", {}).get("price")
|
||||
except Exception:
|
||||
pass
|
||||
|
||||
# If no cache, use latest daily score
|
||||
if current_score is None and daily_scores:
|
||||
current_score = daily_scores[-1]["score"]
|
||||
current_price = daily_scores[-1].get("price")
|
||||
|
||||
current_context = None
|
||||
if current_score is not None:
|
||||
# Percentile
|
||||
below = len([s for s in all_scores_list if s <= current_score])
|
||||
percentile = round(below / len(all_scores_list) * 100, 1)
|
||||
|
||||
# Find comparable historical periods
|
||||
comparable = []
|
||||
margin = 5
|
||||
for d in daily_scores:
|
||||
if abs(d["score"] - current_score) <= margin and d["forward_returns"]:
|
||||
comparable.append(d)
|
||||
|
||||
avg_returns = {}
|
||||
if comparable:
|
||||
for period in ["30d", "90d", "180d", "365d"]:
|
||||
vals = [d["forward_returns"][period] for d in comparable if period in d["forward_returns"]]
|
||||
if vals:
|
||||
avg_returns[period] = round(sum(vals) / len(vals), 2)
|
||||
avg_1yr = avg_returns.get("365d")
|
||||
|
||||
# Best comparable examples — one per market cycle for diversity
|
||||
# Cycles: pre-2016, 2016-2017 bull, 2018-2019 bear, 2020-2021 bull, 2022-2023 bear, 2024+
|
||||
cycle_bins = [
|
||||
("pre-2016", "2010-01-01", "2015-12-31"),
|
||||
("2016-17 Bull", "2016-01-01", "2017-12-31"),
|
||||
("2018-19 Bear", "2018-01-01", "2019-12-31"),
|
||||
("2020-21 Bull", "2020-01-01", "2021-12-31"),
|
||||
("2022-23 Bear", "2022-01-01", "2023-12-31"),
|
||||
("2024+", "2024-01-01", "2099-12-31"),
|
||||
]
|
||||
examples = []
|
||||
used_cycles = set()
|
||||
# Sort comparable by closest score first, then pick one per cycle
|
||||
sorted_comp = sorted(comparable, key=lambda d: abs(d["score"] - current_score))
|
||||
for d in sorted_comp:
|
||||
cycle_label = None
|
||||
for label, start, end in cycle_bins:
|
||||
if start <= d["date"] <= end:
|
||||
cycle_label = label
|
||||
break
|
||||
if cycle_label and cycle_label not in used_cycles:
|
||||
used_cycles.add(cycle_label)
|
||||
examples.append({
|
||||
"date": d["date"],
|
||||
"score": d["score"],
|
||||
"price": d["price"],
|
||||
"forward_returns": d["forward_returns"],
|
||||
"cycle": cycle_label,
|
||||
})
|
||||
if len(examples) >= 6:
|
||||
break
|
||||
# Sort examples chronologically
|
||||
examples.sort(key=lambda d: d["date"])
|
||||
|
||||
current_context = {
|
||||
"current_score": current_score,
|
||||
"current_price": current_price,
|
||||
"percentile": percentile,
|
||||
"comparable_days": len(comparable),
|
||||
"avg_1yr_return": avg_1yr,
|
||||
"avg_30d_return": avg_returns.get("30d"),
|
||||
"avg_90d_return": avg_returns.get("90d"),
|
||||
"avg_180d_return": avg_returns.get("180d"),
|
||||
"examples": examples,
|
||||
}
|
||||
|
||||
# --- Build time series for charting ---
|
||||
# Smart downsampling: daily for last 2 years, weekly before that
|
||||
# Include per-metric values so the frontend can plot any metric.
|
||||
chart_data = []
|
||||
import datetime as _dt
|
||||
try:
|
||||
last_date = _dt.datetime.strptime(daily_scores[-1]["date"], "%Y-%m-%d")
|
||||
cutoff_date = (last_date - _dt.timedelta(days=730)).strftime("%Y-%m-%d")
|
||||
except Exception:
|
||||
cutoff_date = "2024-01-01"
|
||||
|
||||
# Collect all metric keys that were ever scored (for per-metric series)
|
||||
all_metric_keys = set()
|
||||
for d in daily_scores:
|
||||
all_metric_keys.update(d.get("metric_values", {}).keys())
|
||||
|
||||
for i, d in enumerate(daily_scores):
|
||||
is_recent = d["date"] >= cutoff_date
|
||||
if is_recent or i % 7 == 0 or i == len(daily_scores) - 1:
|
||||
entry = {
|
||||
"date": d["date"],
|
||||
"score": d["score"],
|
||||
"price": d["price"],
|
||||
}
|
||||
# Include per-metric values (raw metric value, not score)
|
||||
metric_vals = d.get("metric_values", {})
|
||||
if metric_vals:
|
||||
entry["metrics"] = metric_vals
|
||||
chart_data.append(entry)
|
||||
|
||||
result = {
|
||||
"date_range": {"start": daily_scores[0]["date"], "end": daily_scores[-1]["date"]},
|
||||
"total_days_scored": len(daily_scores),
|
||||
"bracket_stats": bracket_stats,
|
||||
"signal_events": signal_events,
|
||||
"current_context": current_context,
|
||||
"chart_data": chart_data,
|
||||
"ml_mode": ml_mode,
|
||||
"computed_at": datetime.utcnow().isoformat() + "Z",
|
||||
}
|
||||
|
||||
log.info("Backtest complete: %d days, %d signal events", len(daily_scores), len(signal_events))
|
||||
return result
|
||||
@@ -0,0 +1,68 @@
|
||||
{
|
||||
"model_type": "xgboost",
|
||||
"features": {
|
||||
"use_price_position": true,
|
||||
"use_momentum": true,
|
||||
"use_volatility": true,
|
||||
"use_volume": true,
|
||||
"use_cycle": true,
|
||||
"use_pca": false,
|
||||
"pca_variance": 0.95,
|
||||
"use_scaler": true
|
||||
},
|
||||
"target": {
|
||||
"type": "regression",
|
||||
"forward_periods_1h": [
|
||||
168,
|
||||
720,
|
||||
2160
|
||||
],
|
||||
"forward_periods_4h": [
|
||||
42,
|
||||
180,
|
||||
540
|
||||
],
|
||||
"weights": [
|
||||
0.2,
|
||||
0.3,
|
||||
0.5
|
||||
],
|
||||
"score_range": [
|
||||
0,
|
||||
100
|
||||
]
|
||||
},
|
||||
"hyperparameters": {
|
||||
"learning_rate": 0.01,
|
||||
"max_depth": 4,
|
||||
"n_estimators": 300,
|
||||
"subsample": 0.8,
|
||||
"colsample_bytree": 0.8,
|
||||
"min_child_weight": 20,
|
||||
"gamma": 0.3,
|
||||
"reg_alpha": 0.5,
|
||||
"reg_lambda": 3.0,
|
||||
"lstm_hidden_size": 128,
|
||||
"lstm_num_layers": 2,
|
||||
"lstm_dropout": 0.3,
|
||||
"lstm_epochs": 100,
|
||||
"lstm_batch_size": 64,
|
||||
"lstm_sequence_length": 30,
|
||||
"lstm_patience": 10
|
||||
},
|
||||
"strategy": {
|
||||
"strong_buy_threshold": 65,
|
||||
"good_buy_threshold": 55,
|
||||
"poor_threshold": 35
|
||||
},
|
||||
"training": {
|
||||
"rolling_window": true,
|
||||
"rolling_train_size": 2500,
|
||||
"rolling_test_size": 300,
|
||||
"walk_forward_windows": 5,
|
||||
"train_pct": 0.7,
|
||||
"validation_pct": 0.15,
|
||||
"test_pct": 0.15
|
||||
},
|
||||
"timeframe": "4h"
|
||||
}
|
||||
@@ -0,0 +1,68 @@
|
||||
{
|
||||
"model_type": "xgboost",
|
||||
"features": {
|
||||
"use_price_position": true,
|
||||
"use_momentum": true,
|
||||
"use_volatility": true,
|
||||
"use_volume": true,
|
||||
"use_cycle": true,
|
||||
"use_pca": false,
|
||||
"pca_variance": 0.85,
|
||||
"use_scaler": true
|
||||
},
|
||||
"target": {
|
||||
"type": "regression",
|
||||
"forward_periods_1h": [
|
||||
168,
|
||||
720,
|
||||
2160
|
||||
],
|
||||
"forward_periods_4h": [
|
||||
42,
|
||||
180,
|
||||
540
|
||||
],
|
||||
"weights": [
|
||||
0.2,
|
||||
0.3,
|
||||
0.5
|
||||
],
|
||||
"score_range": [
|
||||
0,
|
||||
100
|
||||
]
|
||||
},
|
||||
"hyperparameters": {
|
||||
"learning_rate": 0.005,
|
||||
"max_depth": 5,
|
||||
"n_estimators": 800,
|
||||
"subsample": 0.7,
|
||||
"colsample_bytree": 0.7,
|
||||
"min_child_weight": 15,
|
||||
"gamma": 0.5,
|
||||
"reg_alpha": 0.3,
|
||||
"reg_lambda": 1.0,
|
||||
"lstm_hidden_size": 64,
|
||||
"lstm_num_layers": 2,
|
||||
"lstm_dropout": 0.4,
|
||||
"lstm_epochs": 80,
|
||||
"lstm_batch_size": 64,
|
||||
"lstm_sequence_length": 30,
|
||||
"lstm_patience": 15
|
||||
},
|
||||
"strategy": {
|
||||
"strong_buy_threshold": 55,
|
||||
"good_buy_threshold": 35,
|
||||
"poor_threshold": 20
|
||||
},
|
||||
"training": {
|
||||
"rolling_window": true,
|
||||
"rolling_train_size": 3500,
|
||||
"rolling_test_size": 300,
|
||||
"walk_forward_windows": 5,
|
||||
"train_pct": 0.7,
|
||||
"validation_pct": 0.15,
|
||||
"test_pct": 0.15
|
||||
},
|
||||
"timeframe": "4h"
|
||||
}
|
||||
+48
-39
@@ -1,55 +1,64 @@
|
||||
{
|
||||
"model_type": "xgboost",
|
||||
"features": {
|
||||
"technical_indicators": [
|
||||
"RSI_14", "RSI_7", "RSI_21",
|
||||
"MACD_line", "MACD_signal", "MACD_hist",
|
||||
"BB_upper", "BB_lower", "BB_width",
|
||||
"ATR_14",
|
||||
"SMA_5", "SMA_10", "SMA_20", "SMA_50", "SMA_200",
|
||||
"EMA_5", "EMA_10", "EMA_20", "EMA_50",
|
||||
"OBV",
|
||||
"stoch_k", "stoch_d",
|
||||
"williams_r",
|
||||
"CCI_20",
|
||||
"ROC_10",
|
||||
"keltner_upper", "keltner_lower"
|
||||
],
|
||||
"lookback_periods": [3, 5, 10, 20],
|
||||
"use_volume_features": true,
|
||||
"use_volatility_features": true,
|
||||
"use_candle_patterns": true,
|
||||
"use_lag_features": true,
|
||||
"lag_periods": [1, 2, 3, 5]
|
||||
"use_price_position": true,
|
||||
"use_momentum": true,
|
||||
"use_volatility": true,
|
||||
"use_volume": true,
|
||||
"use_cycle": true,
|
||||
"use_pca": false,
|
||||
"pca_variance": 0.95,
|
||||
"use_scaler": true
|
||||
},
|
||||
"target": {
|
||||
"type": "classification",
|
||||
"direction": "long",
|
||||
"horizon_candles": 6,
|
||||
"threshold_pct": 1.0
|
||||
"type": "regression",
|
||||
"forward_periods_1h": [
|
||||
168,
|
||||
720,
|
||||
2160
|
||||
],
|
||||
"forward_periods_4h": [
|
||||
42,
|
||||
180,
|
||||
540
|
||||
],
|
||||
"weights": [
|
||||
0.2,
|
||||
0.3,
|
||||
0.5
|
||||
],
|
||||
"score_range": [
|
||||
0,
|
||||
100
|
||||
]
|
||||
},
|
||||
"hyperparameters": {
|
||||
"learning_rate": 0.05,
|
||||
"max_depth": 6,
|
||||
"n_estimators": 500,
|
||||
"learning_rate": 0.01,
|
||||
"max_depth": 4,
|
||||
"n_estimators": 300,
|
||||
"subsample": 0.8,
|
||||
"colsample_bytree": 0.8,
|
||||
"min_child_weight": 5,
|
||||
"gamma": 0.1,
|
||||
"reg_alpha": 0.1,
|
||||
"reg_lambda": 1.0
|
||||
"min_child_weight": 20,
|
||||
"gamma": 0.3,
|
||||
"reg_alpha": 0.5,
|
||||
"reg_lambda": 3.0,
|
||||
"lstm_hidden_size": 128,
|
||||
"lstm_num_layers": 2,
|
||||
"lstm_dropout": 0.3,
|
||||
"lstm_epochs": 100,
|
||||
"lstm_batch_size": 64,
|
||||
"lstm_sequence_length": 30,
|
||||
"lstm_patience": 10
|
||||
},
|
||||
"strategy": {
|
||||
"entry_threshold": 0.60,
|
||||
"exit_type": "trailing_stop",
|
||||
"stop_loss_pct": 2.0,
|
||||
"take_profit_pct": 4.0,
|
||||
"trailing_stop_pct": 1.5,
|
||||
"position_sizing": "confidence_scaled",
|
||||
"max_position_pct": 100,
|
||||
"min_confidence_to_trade": 0.55
|
||||
"strong_buy_threshold": 65,
|
||||
"good_buy_threshold": 55,
|
||||
"poor_threshold": 35
|
||||
},
|
||||
"training": {
|
||||
"rolling_window": true,
|
||||
"rolling_train_size": 2500,
|
||||
"rolling_test_size": 300,
|
||||
"walk_forward_windows": 5,
|
||||
"train_pct": 0.7,
|
||||
"validation_pct": 0.15,
|
||||
|
||||
@@ -0,0 +1,21 @@
|
||||
{
|
||||
"provider": "ollama",
|
||||
"model": "gemma4:12b-mlx",
|
||||
"providers": {
|
||||
"ollama": {
|
||||
"base_url": "http://100.79.255.5:11434"
|
||||
},
|
||||
"lmstudio": {
|
||||
"base_url": "http://100.100.242.21:1234"
|
||||
},
|
||||
"openai": {
|
||||
"api_key": ""
|
||||
},
|
||||
"anthropic": {
|
||||
"api_key": ""
|
||||
},
|
||||
"openrouter": {
|
||||
"api_key": "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"
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,159 @@
|
||||
{
|
||||
"weights": {
|
||||
"pct_above_200w_sma": 0.5075,
|
||||
"drawdown": 0.1459,
|
||||
"pct_above_lth_rp": 0.1095,
|
||||
"rhodl_ratio": 0.089,
|
||||
"fear_greed": 0.0515,
|
||||
"reserve_risk": 0.046,
|
||||
"puell_multiple": 0.0255,
|
||||
"mvrv_zscore": 0.0182,
|
||||
"nupl": 0.0068
|
||||
},
|
||||
"feature_importances": {
|
||||
"raw_pct_above_200w_sma": 0.436377,
|
||||
"days_since_ath": 0.119405,
|
||||
"raw_pct_above_lth_rp": 0.109451,
|
||||
"raw_rhodl_ratio": 0.088999,
|
||||
"score_pct_above_200w_sma": 0.071148,
|
||||
"raw_fear_greed": 0.051475,
|
||||
"puell_x_reserve": 0.032886,
|
||||
"raw_drawdown": 0.026474,
|
||||
"raw_reserve_risk": 0.021707,
|
||||
"raw_mvrv_zscore": 0.012429,
|
||||
"raw_puell_multiple": 0.008599,
|
||||
"delta_30d_reserve_risk": 0.007865,
|
||||
"delta_30d_mvrv_zscore": 0.004263,
|
||||
"raw_nupl": 0.003271,
|
||||
"mvrv_x_nupl": 0.002979,
|
||||
"delta_30d_nupl": 0.002056,
|
||||
"delta_30d_puell_multiple": 0.000473,
|
||||
"score_fear_greed": 6.8e-05,
|
||||
"score_mvrv_zscore": 5.4e-05,
|
||||
"score_puell_multiple": 1e-05,
|
||||
"score_pct_above_lth_rp": 6e-06,
|
||||
"score_rhodl_ratio": 2e-06,
|
||||
"score_reserve_risk": 0.0,
|
||||
"score_nupl": 0.0,
|
||||
"score_drawdown": 0.0
|
||||
},
|
||||
"cv_results": {
|
||||
"mean_auc": 0.6164,
|
||||
"std_auc": 0.3317,
|
||||
"mean_f1": 0.6736,
|
||||
"mean_precision": 0.8015,
|
||||
"mean_recall": 0.7047
|
||||
},
|
||||
"training_info": {
|
||||
"n_samples": 2601,
|
||||
"n_positive": 1553,
|
||||
"positive_rate": 0.5971,
|
||||
"n_features": 25,
|
||||
"target_threshold": 30.0,
|
||||
"date_range": "2018-02-01 to 2025-03-21",
|
||||
"model": "GradientBoostingClassifier"
|
||||
},
|
||||
"comparison": {
|
||||
"equal_weight": [
|
||||
{
|
||||
"range": "0-20",
|
||||
"label": "Extreme Caution",
|
||||
"days": 295,
|
||||
"avg_365d": -5.94,
|
||||
"median_365d": -11.99,
|
||||
"win_rate_365d": 35.6
|
||||
},
|
||||
{
|
||||
"range": "21-40",
|
||||
"label": "Caution",
|
||||
"days": 587,
|
||||
"avg_365d": 23.84,
|
||||
"median_365d": -7.2,
|
||||
"win_rate_365d": 45.3
|
||||
},
|
||||
{
|
||||
"range": "41-55",
|
||||
"label": "Neutral",
|
||||
"days": 697,
|
||||
"avg_365d": 108.96,
|
||||
"median_365d": 75.92,
|
||||
"win_rate_365d": 70.4
|
||||
},
|
||||
{
|
||||
"range": "56-70",
|
||||
"label": "Moderate Opportunity",
|
||||
"days": 450,
|
||||
"avg_365d": 128.81,
|
||||
"median_365d": 109.03,
|
||||
"win_rate_365d": 96.4
|
||||
},
|
||||
{
|
||||
"range": "71-85",
|
||||
"label": "Strong Accumulation",
|
||||
"days": 275,
|
||||
"avg_365d": 175.76,
|
||||
"median_365d": 117.95,
|
||||
"win_rate_365d": 86.9
|
||||
},
|
||||
{
|
||||
"range": "86-100",
|
||||
"label": "Extreme Accumulation",
|
||||
"days": 247,
|
||||
"avg_365d": 115.5,
|
||||
"median_365d": 90.08,
|
||||
"win_rate_365d": 100.0
|
||||
}
|
||||
],
|
||||
"ml_weighted": [
|
||||
{
|
||||
"range": "0-20",
|
||||
"label": "Extreme Caution",
|
||||
"days": 577,
|
||||
"avg_365d": -6.17,
|
||||
"median_365d": -26.21,
|
||||
"win_rate_365d": 27.0
|
||||
},
|
||||
{
|
||||
"range": "21-40",
|
||||
"label": "Caution",
|
||||
"days": 855,
|
||||
"avg_365d": 77.5,
|
||||
"median_365d": 39.28,
|
||||
"win_rate_365d": 72.7
|
||||
},
|
||||
{
|
||||
"range": "41-55",
|
||||
"label": "Neutral",
|
||||
"days": 241,
|
||||
"avg_365d": 165.77,
|
||||
"median_365d": 124.05,
|
||||
"win_rate_365d": 92.5
|
||||
},
|
||||
{
|
||||
"range": "56-70",
|
||||
"label": "Moderate Opportunity",
|
||||
"days": 328,
|
||||
"avg_365d": 144.47,
|
||||
"median_365d": 124.27,
|
||||
"win_rate_365d": 89.6
|
||||
},
|
||||
{
|
||||
"range": "71-85",
|
||||
"label": "Strong Accumulation",
|
||||
"days": 201,
|
||||
"avg_365d": 210.2,
|
||||
"median_365d": 122.22,
|
||||
"win_rate_365d": 99.0
|
||||
},
|
||||
{
|
||||
"range": "86-100",
|
||||
"label": "Extreme Accumulation",
|
||||
"days": 287,
|
||||
"avg_365d": 113.92,
|
||||
"median_365d": 99.53,
|
||||
"win_rate_365d": 100.0
|
||||
}
|
||||
]
|
||||
},
|
||||
"trained_at": "2026-03-21T23:15:38.277703+00:00"
|
||||
}
|
||||
@@ -0,0 +1,43 @@
|
||||
{
|
||||
"_comment": "Cycle-aware thresholds — widened ranges to account for BTC maturing and diminishing cycle extremes",
|
||||
"fear_greed": {
|
||||
"ranges": [[0, 15, 10], [15, 30, 8], [30, 45, 5], [45, 55, 3], [55, 75, 1], [75, 100, 0]]
|
||||
},
|
||||
"puell_multiple": {
|
||||
"_note": "Post-halving floors rising: 2016=0.15, 2020=0.3, 2024=0.5+",
|
||||
"ranges": [[null, 0.4, 10], [0.4, 0.7, 8], [0.7, 1.0, 5], [1.0, 1.5, 3], [1.5, 2.0, 1], [2.0, null, 0]]
|
||||
},
|
||||
"mvrv_zscore": {
|
||||
"_note": "Bottoms getting shallower: 2015=-0.6, 2018=-0.4, 2022=-0.3, next may be ~0",
|
||||
"ranges": [[null, 0, 10], [0, 1.0, 8], [1.0, 2.0, 5], [2.0, 3.0, 3], [3.0, 5.0, 1], [5.0, null, 0]]
|
||||
},
|
||||
"drawdown": {
|
||||
"_note": "Drawdowns compressing: 2014=86%, 2018=84%, 2022=77%, future may max at 50-60%",
|
||||
"ranges": [[60, null, 10], [40, 60, 8], [25, 40, 6], [15, 25, 4], [5, 15, 2], [null, 5, 0]]
|
||||
},
|
||||
"price_vs_200w_sma": {
|
||||
"_note": "BTC spends more time above 200W SMA as it matures",
|
||||
"ranges": [[null, 0, 10], [0, 30, 7], [30, 60, 5], [60, 100, 2], [100, null, 0]]
|
||||
},
|
||||
"reserve_risk": {
|
||||
"ranges": [[null, 0.002, 10], [0.002, 0.005, 7], [0.005, 0.01, 4], [0.01, 0.02, 2], [0.02, null, 0]]
|
||||
},
|
||||
"rhodl_ratio": {
|
||||
"_note": "RHODL baseline rising with institutional adoption",
|
||||
"ranges": [[null, 200, 10], [200, 1000, 7], [1000, 5000, 4], [5000, 20000, 1], [20000, null, 0]]
|
||||
},
|
||||
"nupl": {
|
||||
"_note": "NUPL bottoms getting shallower as BTC matures",
|
||||
"ranges": [[null, 0, 10], [0, 0.3, 8], [0.3, 0.5, 4], [0.5, 0.75, 1], [0.75, null, 0]]
|
||||
},
|
||||
"lth_realized_price": {
|
||||
"_note": "Price stays further above LTH RP as BTC matures — 60% above is still a good entry in 2024+",
|
||||
"ranges": [[null, 0, 10], [0, 30, 7], [30, 80, 5], [80, 150, 3], [150, null, 1]]
|
||||
},
|
||||
"hash_ribbons": {
|
||||
"buy_signal": 10,
|
||||
"recent_recovery": 6,
|
||||
"normal": 3,
|
||||
"euphoria": 0
|
||||
}
|
||||
}
|
||||
+2101
-357
File diff suppressed because it is too large
Load Diff
@@ -0,0 +1,149 @@
|
||||
{"timestamp": "2026-03-20T22:26:50.475811+00:00", "composite_score": 32.5, "scored_count": 8, "metrics": {"fear_greed": {"score": 7, "value": 11}, "puell_multiple": {"score": 5, "value": 0.6602699608966011}, "mvrv_zscore": {"score": 5, "value": 0.5211180167687892}, "drawdown": {"score": 6, "value": 43.891180203045685}, "price_vs_200w_sma": {"score": null, "value": 0.0}, "reserve_risk": {"score": 0, "value": 69871.0}, "rhodl_ratio": {"score": 0, "value": 69871.0}, "nupl": {"score": 0, "value": 69871.0}, "lth_realized_price": {"score": null, "value": null}, "hash_ribbons": {"score": 3, "value": null}}}
|
||||
{"timestamp": "2026-03-20T22:30:13.547149+00:00", "composite_score": 51.0, "scored_count": 10, "metrics": {"fear_greed": {"score": 7, "value": 11}, "puell_multiple": {"score": 5, "value": 0.6602699608966011}, "mvrv_zscore": {"score": 5, "value": 0.5211180167687892}, "drawdown": {"score": 6, "value": 43.910215736040605}, "price_vs_200w_sma": {"score": 3, "value": 58895.78086828114}, "reserve_risk": {"score": 10, "value": 0.0012985709697654493}, "rhodl_ratio": {"score": 4, "value": 1230.6243545314708}, "nupl": {"score": 7, "value": 0.22243290955405431}, "lth_realized_price": {"score": 1, "value": 43346.58756410873}, "hash_ribbons": {"score": 3, "value": null}}}
|
||||
{"timestamp": "2026-03-20T22:46:34.952569+00:00", "composite_score": 51.0, "scored_count": 10, "metrics": {"fear_greed": {"score": 7, "value": 11}, "puell_multiple": {"score": 5, "value": 0.6602699608966011}, "mvrv_zscore": {"score": 5, "value": 0.5211180167687892}, "drawdown": {"score": 6, "value": 43.931630710659896}, "price_vs_200w_sma": {"score": 3, "value": 58895.78086828114}, "reserve_risk": {"score": 10, "value": 0.0012985709697654493}, "rhodl_ratio": {"score": 4, "value": 1230.6243545314708}, "nupl": {"score": 7, "value": 0.22243290955405431}, "lth_realized_price": {"score": 1, "value": 43346.58756410873}, "hash_ribbons": {"score": 3, "value": null}}}
|
||||
{"timestamp": "2026-03-20T22:51:27.724327+00:00", "composite_score": 54.0, "scored_count": 10, "metrics": {"fear_greed": {"score": 7, "value": 11}, "puell_multiple": {"score": 5, "value": 0.6602699608966011}, "mvrv_zscore": {"score": 5, "value": 0.5211180167687892}, "drawdown": {"score": 6, "value": 43.94907994923858}, "price_vs_200w_sma": {"score": 6, "value": 58895.78086828114}, "reserve_risk": {"score": 10, "value": 0.0012985709697654493}, "rhodl_ratio": {"score": 4, "value": 1230.6243545314708}, "nupl": {"score": 7, "value": 0.22243290955405431}, "lth_realized_price": {"score": 1, "value": 43346.58756410873}, "hash_ribbons": {"score": 3, "value": null}}}
|
||||
{"timestamp": "2026-03-20T23:07:48.303808+00:00", "composite_score": 51.0, "scored_count": 10, "metrics": {"fear_greed": {"score": 7, "value": 11}, "puell_multiple": {"score": 5, "value": 0.6602699608966011}, "mvrv_zscore": {"score": 5, "value": 0.5211180167687892}, "drawdown": {"score": 6, "value": 43.942734771573605}, "price_vs_200w_sma": {"score": 3, "value": 58895.78086828114}, "reserve_risk": {"score": 10, "value": 0.0012985709697654493}, "rhodl_ratio": {"score": 4, "value": 1230.6243545314708}, "nupl": {"score": 7, "value": 0.22243290955405431}, "lth_realized_price": {"score": 1, "value": 43346.58756410873}, "hash_ribbons": {"score": 3, "value": null}}}
|
||||
{"timestamp": "2026-03-20T23:21:39.705718+00:00", "composite_score": 54.0, "scored_count": 10, "metrics": {"fear_greed": {"score": 7, "value": 11}, "puell_multiple": {"score": 5, "value": 0.6602699608966011}, "mvrv_zscore": {"score": 5, "value": 0.5211180167687892}, "drawdown": {"score": 6, "value": 44.07439720812183}, "price_vs_200w_sma": {"score": 6, "value": 58895.78086828114}, "reserve_risk": {"score": 10, "value": 0.0012985709697654493}, "rhodl_ratio": {"score": 4, "value": 1230.6243545314708}, "nupl": {"score": 7, "value": 0.22243290955405431}, "lth_realized_price": {"score": 1, "value": 43346.58756410873}, "hash_ribbons": {"score": 3, "value": null}}}
|
||||
{"timestamp": "2026-03-20T23:27:15.835859+00:00", "composite_score": 54.0, "scored_count": 10, "metrics": {"fear_greed": {"score": 7, "value": 11}, "puell_multiple": {"score": 5, "value": 0.6602699608966011}, "mvrv_zscore": {"score": 5, "value": 0.5211180167687892}, "drawdown": {"score": 6, "value": 44.07122461928934}, "price_vs_200w_sma": {"score": 6, "value": 58895.78086828114}, "reserve_risk": {"score": 10, "value": 0.0012985709697654493}, "rhodl_ratio": {"score": 4, "value": 1230.6243545314708}, "nupl": {"score": 7, "value": 0.22243290955405431}, "lth_realized_price": {"score": 1, "value": 43346.58756410873}, "hash_ribbons": {"score": 3, "value": null}}}
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||||
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|
||||
{"timestamp": "2026-06-28T22:27:39.293792+00:00", "composite_score": 69.4, "scored_count": 16, "metrics": {"fear_greed": {"score": 8, "value": 18}, "puell_multiple": {"score": 5, "value": 0.7044739567707577}, "mvrv_zscore": {"score": 8, "value": 0.22409759021503936}, "drawdown": {"score": 8, "value": 52.94733502538072}, "price_vs_200w_sma": {"score": 10, "value": 62284.65298428873}, "reserve_risk": {"score": 10, "value": 0.0010258831016337609}, "rhodl_ratio": {"score": 7, "value": 882.5868942025234}, "nupl": {"score": 8, "value": 0.11309045542914359}, "lth_realized_price": {"score": 7, "value": 49767.33015910989}, "hash_ribbons": {"score": 3, "value": null}, "sopr": {"score": 8, "value": 0.990007085019496}, "sellside_risk": {"score": 10, "value": 0.000734882488382521}, "active_address_momentum": {"score": 4, "value": -0.09386733861382784}, "txcount_momentum": {"score": 6, "value": 0.04454611494295241}, "nvt_price": {"score": 5, "value": 54673.815447216126}, "vdd_multiple": {"score": 4, "value": -0.030495759573562122}}}
|
||||
{"timestamp": "2026-06-28T22:42:40.175733+00:00", "composite_score": 69.4, "scored_count": 16, "metrics": {"fear_greed": {"score": 8, "value": 18}, "puell_multiple": {"score": 5, "value": 0.7044739567707577}, "mvrv_zscore": {"score": 8, "value": 0.22409759021503936}, "drawdown": {"score": 8, "value": 53.05678934010152}, "price_vs_200w_sma": {"score": 10, "value": 62284.65298428873}, "reserve_risk": {"score": 10, "value": 0.0010258831016337609}, "rhodl_ratio": {"score": 7, "value": 882.5868942025234}, "nupl": {"score": 8, "value": 0.11309045542914359}, "lth_realized_price": {"score": 7, "value": 49767.33015910989}, "hash_ribbons": {"score": 3, "value": null}, "sopr": {"score": 8, "value": 0.990007085019496}, "sellside_risk": {"score": 10, "value": 0.000734882488382521}, "active_address_momentum": {"score": 4, "value": -0.09386733861382784}, "txcount_momentum": {"score": 6, "value": 0.04454611494295241}, "nvt_price": {"score": 5, "value": 54673.815447216126}, "vdd_multiple": {"score": 4, "value": -0.030495759573562122}}}
|
||||
{"timestamp": "2026-06-28T22:57:40.874889+00:00", "composite_score": 69.4, "scored_count": 16, "metrics": {"fear_greed": {"score": 8, "value": 18}, "puell_multiple": {"score": 5, "value": 0.7044739567707577}, "mvrv_zscore": {"score": 8, "value": 0.22409759021503936}, "drawdown": {"score": 8, "value": 53.22255710659899}, "price_vs_200w_sma": {"score": 10, "value": 62284.65298428873}, "reserve_risk": {"score": 10, "value": 0.0010258831016337609}, "rhodl_ratio": {"score": 7, "value": 882.5868942025234}, "nupl": {"score": 8, "value": 0.11309045542914359}, "lth_realized_price": {"score": 7, "value": 49767.33015910989}, "hash_ribbons": {"score": 3, "value": null}, "sopr": {"score": 8, "value": 0.990007085019496}, "sellside_risk": {"score": 10, "value": 0.000734882488382521}, "active_address_momentum": {"score": 4, "value": -0.09386733861382784}, "txcount_momentum": {"score": 6, "value": 0.04454611494295241}, "nvt_price": {"score": 5, "value": 54673.815447216126}, "vdd_multiple": {"score": 4, "value": -0.030495759573562122}}}
|
||||
{"timestamp": "2026-06-28T23:12:41.665346+00:00", "composite_score": 69.4, "scored_count": 16, "metrics": {"fear_greed": {"score": 8, "value": 18}, "puell_multiple": {"score": 5, "value": 0.7044739567707577}, "mvrv_zscore": {"score": 8, "value": 0.22409759021503936}, "drawdown": {"score": 8, "value": 53.02744289340101}, "price_vs_200w_sma": {"score": 10, "value": 62284.65298428873}, "reserve_risk": {"score": 10, "value": 0.0010258831016337609}, "rhodl_ratio": {"score": 7, "value": 882.5868942025234}, "nupl": {"score": 8, "value": 0.11309045542914359}, "lth_realized_price": {"score": 7, "value": 49767.33015910989}, "hash_ribbons": {"score": 3, "value": null}, "sopr": {"score": 8, "value": 0.990007085019496}, "sellside_risk": {"score": 10, "value": 0.000734882488382521}, "active_address_momentum": {"score": 4, "value": -0.09386733861382784}, "txcount_momentum": {"score": 6, "value": 0.04454611494295241}, "nvt_price": {"score": 5, "value": 54673.815447216126}, "vdd_multiple": {"score": 4, "value": -0.030495759573562122}}}
|
||||
{"timestamp": "2026-06-28T23:27:42.349311+00:00", "composite_score": 69.4, "scored_count": 16, "metrics": {"fear_greed": {"score": 8, "value": 18}, "puell_multiple": {"score": 5, "value": 0.7044739567707577}, "mvrv_zscore": {"score": 8, "value": 0.22409759021503936}, "drawdown": {"score": 8, "value": 52.95923223350254}, "price_vs_200w_sma": {"score": 10, "value": 62284.65298428873}, "reserve_risk": {"score": 10, "value": 0.0010258831016337609}, "rhodl_ratio": {"score": 7, "value": 882.5868942025234}, "nupl": {"score": 8, "value": 0.11309045542914359}, "lth_realized_price": {"score": 7, "value": 49767.33015910989}, "hash_ribbons": {"score": 3, "value": null}, "sopr": {"score": 8, "value": 0.990007085019496}, "sellside_risk": {"score": 10, "value": 0.000734882488382521}, "active_address_momentum": {"score": 4, "value": -0.09386733861382784}, "txcount_momentum": {"score": 6, "value": 0.04454611494295241}, "nvt_price": {"score": 5, "value": 54673.815447216126}, "vdd_multiple": {"score": 4, "value": -0.030495759573562122}}}
|
||||
Binary file not shown.
+273
-99
@@ -1,109 +1,274 @@
|
||||
#!/usr/bin/env python3
|
||||
"""
|
||||
LLM Strategy Analyzer — Calls Ollama on Mac Mini to analyze results
|
||||
LLM Accumulation Signal Analyzer -- Calls LLM to analyze results
|
||||
and suggest config modifications for the next iteration.
|
||||
Supports multiple providers: Ollama, LM Studio, OpenAI, Anthropic, OpenRouter.
|
||||
"""
|
||||
|
||||
import json
|
||||
import os
|
||||
import re
|
||||
import requests
|
||||
|
||||
OLLAMA_URL = "http://100.100.242.21:11434"
|
||||
MODEL = "qwen3.5:27b"
|
||||
BASE_DIR = os.path.dirname(os.path.dirname(os.path.abspath(__file__)))
|
||||
LLM_SETTINGS_PATH = os.path.join(BASE_DIR, "config", "llm_settings.json")
|
||||
|
||||
SYSTEM_PROMPT = """You are a quantitative trading strategy optimizer. You analyze ML model backtesting results for a BTC/USDT trading strategy and suggest precise modifications to improve performance.
|
||||
# Fallback defaults
|
||||
DEFAULT_OLLAMA_URL = "http://100.100.242.21:11434"
|
||||
DEFAULT_MODEL = "qwen3.5:27b"
|
||||
|
||||
## Your Task
|
||||
Given the current configuration and results, suggest 1-3 specific, justified changes to the configuration for the next iteration. Be methodical and scientific — change one thing at a time when possible.
|
||||
|
||||
def load_llm_settings():
|
||||
"""Load LLM settings from config file, with fallback to defaults."""
|
||||
if os.path.exists(LLM_SETTINGS_PATH):
|
||||
with open(LLM_SETTINGS_PATH) as f:
|
||||
return json.load(f)
|
||||
return {
|
||||
"provider": "ollama",
|
||||
"model": DEFAULT_MODEL,
|
||||
"providers": {
|
||||
"ollama": {"base_url": DEFAULT_OLLAMA_URL},
|
||||
},
|
||||
}
|
||||
|
||||
|
||||
SYSTEM_PROMPT = """You are a quantitative analyst optimizing a BTC ACCUMULATION SIGNAL model. The goal is NOT day-trading -- it is finding statistically optimal times to BUY BTC for long-term holding.
|
||||
|
||||
## Core Question
|
||||
"Given current market conditions, is NOW a good time to BUY BTC for long-term holding?"
|
||||
|
||||
## What the Model Does
|
||||
For each candle, the model predicts an Accumulation Score (0-100):
|
||||
- 90-100: STRONG BUY -- historically rare, excellent entry point
|
||||
- 70-89: GOOD BUY -- better than average entry
|
||||
- 50-69: NEUTRAL -- average time to buy
|
||||
- 30-49: WAIT -- price likely to come down
|
||||
- 0-29: POOR -- historically bad time to buy (near local tops)
|
||||
|
||||
The model is trained on ACTUAL forward returns at 7d, 30d, and 90d horizons, weighted 20/30/50. Times when buying led to the best long-term returns get the highest scores.
|
||||
|
||||
## Primary Metric: cost_basis_improvement_pct
|
||||
This measures how much better the model's average buy price is vs uniform DCA.
|
||||
- 10%+ = good
|
||||
- 15%+ = excellent
|
||||
- 20%+ = exceptional
|
||||
Also require strong_buy_signal_count >= 30 for statistical validity.
|
||||
|
||||
## Config Parameters You Can Modify
|
||||
|
||||
**model_type**: "xgboost", "lightgbm", "catboost", or "ensemble"
|
||||
- xgboost: Generally best for structured data, fast GPU training
|
||||
- lightgbm: Faster training, good with large feature sets
|
||||
- catboost: Handles feature interactions well, less tuning needed
|
||||
- ensemble: Combines all three, reduces variance but slower
|
||||
**model_type**: "xgboost", "lightgbm", "catboost", "lstm", or "hybrid"
|
||||
- hybrid: Average of LSTM + XGBoost regression predictions. Recommended default.
|
||||
- xgboost: Fast GPU training, good for structured features.
|
||||
- lstm: Captures temporal patterns in price sequences.
|
||||
|
||||
**hyperparameters**:
|
||||
- learning_rate (0.001-0.3): Lower = more robust but slower. If overfitting, decrease.
|
||||
- max_depth (3-10): Controls model complexity. Deeper = more overfitting risk.
|
||||
- n_estimators (100-2000): More trees = better fit but diminishing returns.
|
||||
- subsample (0.5-1.0): Row sampling. Lower = more regularization.
|
||||
- colsample_bytree (0.5-1.0): Feature sampling per tree. Lower = more diversity.
|
||||
- min_child_weight (1-20): Higher = more conservative splits.
|
||||
- gamma (0-5): Minimum loss reduction for split. Higher = more pruning.
|
||||
- reg_alpha (0-10): L1 regularization. Encourages sparsity.
|
||||
- reg_lambda (0-10): L2 regularization. Prevents large weights.
|
||||
**hyperparameters** (gradient boosting):
|
||||
- learning_rate (0.001-0.1): Lower = more robust. Start conservative.
|
||||
- max_depth (3-8): Controls complexity. Deeper risks overfitting.
|
||||
- n_estimators (200-1500): More trees = better fit but diminishing returns.
|
||||
- subsample (0.5-1.0): Row sampling for regularization.
|
||||
- colsample_bytree (0.5-1.0): Feature sampling per tree.
|
||||
- min_child_weight (5-30): Higher = more conservative (important for noisy targets).
|
||||
- gamma (0-5): Minimum loss reduction for split.
|
||||
- reg_alpha (0-10): L1 regularization.
|
||||
- reg_lambda (1-10): L2 regularization. Higher values prevent overfitting.
|
||||
|
||||
**hyperparameters** (LSTM):
|
||||
- lstm_hidden_size (32-256): Hidden units.
|
||||
- lstm_num_layers (1-4): Stacked layers. 2 is usually optimal.
|
||||
- lstm_dropout (0.1-0.5): Regularization.
|
||||
- lstm_epochs (50-200): Max training epochs (early stopping usually triggers).
|
||||
- lstm_batch_size (32-128): Smaller = noisier but better generalization.
|
||||
- lstm_sequence_length (15-60): Past candles the LSTM sees. Longer = more context.
|
||||
- lstm_patience (5-20): Early stopping patience.
|
||||
|
||||
**target**:
|
||||
- direction: "long" or "both"
|
||||
- horizon_candles (1-20): How far ahead to predict. Longer = smoother but lagging.
|
||||
- threshold_pct (0.3-3.0): Minimum move % to label as positive. Higher = fewer but clearer signals.
|
||||
- forward_periods_4h: List of 3 forward periods in 4h candles [short, medium, long].
|
||||
Defaults: [42, 180, 540] = roughly [7d, 30d, 90d]
|
||||
- weights: Weights for each period. Default [0.2, 0.3, 0.5] (emphasize long-term).
|
||||
- score_range: [0, 100] -- do not change.
|
||||
|
||||
**strategy**:
|
||||
- entry_threshold (0.5-0.8): Min prediction probability to enter trade. Higher = fewer trades, higher quality.
|
||||
- stop_loss_pct (0.5-5.0): Max loss before exit. Tighter = more stopped out.
|
||||
- take_profit_pct (1.0-10.0): Target profit. Should be > stop_loss for positive expectancy.
|
||||
- trailing_stop_pct (0.5-3.0): Trailing stop distance. Tighter = locks profit faster but exits early.
|
||||
- min_confidence_to_trade (0.5-0.9): Absolute minimum confidence to consider.
|
||||
- exit_type: "trailing_stop" or "fixed" (just SL/TP)
|
||||
- strong_buy_threshold (70-95): Score above which = STRONG BUY signal. Higher = fewer but better signals.
|
||||
- good_buy_threshold (50-80): Score above which = GOOD BUY. Used for cost basis comparison.
|
||||
- poor_threshold (10-40): Score below which = POOR time to buy.
|
||||
|
||||
**features**:
|
||||
- use_volume_features (true/false): Volume features can be noisy in crypto.
|
||||
- use_candle_patterns (true/false): Candle patterns may or may not help.
|
||||
- use_lag_features (true/false): Lagged features capture momentum.
|
||||
- lag_periods: List of lag periods [1,2,3,5,10]
|
||||
- lookback_periods: List of lookback windows [3,5,10,20]
|
||||
- use_price_position (true/false): Distance from ATH, 52w high/low, percentile.
|
||||
- use_momentum (true/false): RSI, MACD, Stochastic, Williams %R, ROC.
|
||||
- use_volatility (true/false): Bollinger Bands, ATR, consecutive red candles, drawdown.
|
||||
- use_volume (true/false): Volume ratio, OBV, red/green volume ratio.
|
||||
- use_cycle (true/false): MA cross regime, candles since major drawdown.
|
||||
- use_pca (true/false): PCA dimensionality reduction.
|
||||
- pca_variance (0.80-0.99): Variance to retain.
|
||||
- use_scaler (true/false): StandardScaler. Critical for LSTM.
|
||||
|
||||
**training**:
|
||||
- walk_forward_windows (3-10): More windows = more robust but less data per window.
|
||||
- rolling_window (true/false): Rolling vs static walk-forward.
|
||||
- rolling_train_size (1500-5000): Training window candles.
|
||||
- rolling_test_size (100-500): Test window candles.
|
||||
|
||||
## Key Metrics to Optimize (in priority order)
|
||||
1. **Sharpe Ratio** (target: > 2.0): Risk-adjusted return. Most important metric.
|
||||
2. **Profit Factor** (target: > 1.5): Gross profit / gross loss.
|
||||
3. **Max Drawdown** (target: > -15%): Worst peak-to-trough decline.
|
||||
4. **Win Rate** (target: > 55%): Percentage of winning trades.
|
||||
5. **Trade Count**: Need enough trades for statistical significance (>50).
|
||||
## Key Metrics to Analyze
|
||||
1. **cost_basis_improvement_pct**: PRIMARY metric. How much better is model buy price vs DCA.
|
||||
2. **strong_buy_signal_count**: Must be >= 30 for validity. Too few = raise threshold. Too many = lower it.
|
||||
3. **signal_frequency_pct**: Should be 5-15%. If outside, adjust thresholds.
|
||||
4. **avg_score_at_actual_bottoms**: Should be high (>70). Model should recognize bottoms.
|
||||
5. **avg_score_at_actual_tops**: Should be low (<30). Model should avoid tops.
|
||||
6. **model_r2_score**: Regression fit quality. > 0.2 is decent for financial data.
|
||||
7. **per_window_cost_improvement**: Consistency across windows. Low variance = robust.
|
||||
|
||||
## Decision Guidelines
|
||||
- If Sharpe < 1.0: The strategy is not working well. Consider larger changes.
|
||||
- If Sharpe 1.0-1.5: Decent. Fine-tune hyperparameters and thresholds.
|
||||
- If Sharpe 1.5-2.0: Good. Make small, targeted improvements.
|
||||
- If Sharpe > 2.0: Very good. Be careful not to overfit.
|
||||
- If win_rate < 0.50 but profit_factor > 1.5: Strategy relies on big wins — ok, tighten SL.
|
||||
- If win_rate > 0.60 but profit_factor < 1.2: Many small wins but losses are too big — widen TP or tighten SL.
|
||||
- If trade_count < 30: Not enough trades. Lower entry_threshold or min_confidence.
|
||||
- If max_drawdown < -20%: Too risky. Increase regularization, tighten stop loss.
|
||||
- If per_window_sharpe has high variance: Model is not stable. More regularization or simpler model.
|
||||
- Check feature_importances: If top features make financial sense, good. If random features dominate, possible overfitting.
|
||||
- If cost_improvement < 5%: Strategy is barely working. Try: switch model type, enable all features, increase training window, lower good_buy_threshold.
|
||||
- If cost_improvement 5-10%: Decent. Fine-tune thresholds and hyperparameters.
|
||||
- If cost_improvement 10-15%: Good. Make targeted improvements -- focus on signal consistency.
|
||||
- If cost_improvement > 15%: Very good. Be careful not to overfit. Check per_window variance.
|
||||
- If signal_count < 30: Not statistically valid. Lower strong_buy_threshold, increase training data.
|
||||
- If signal_frequency > 20%: Too many signals = not selective enough. Raise threshold.
|
||||
- If signal_frequency < 3%: Too few signals. Lower threshold.
|
||||
- If score_at_bottoms < 60: Model is missing bottoms. More features, different model type.
|
||||
- If score_at_tops > 40: Model is not avoiding tops. More regularization.
|
||||
- If per_window has high variance: Model is unstable. Increase regularization, try hybrid.
|
||||
- Check feature_importances: price position features should dominate (distance from ATH, percentile).
|
||||
|
||||
## Response Format
|
||||
You MUST respond with ONLY a JSON object (no markdown, no explanation outside the JSON):
|
||||
```
|
||||
{
|
||||
"reasoning": "Explanation of what you observed and why you're making these changes",
|
||||
"reasoning": "Explanation of observations and why you are making these changes",
|
||||
"changes": ["Change 1 description", "Change 2 description"],
|
||||
"config": { <complete modified config JSON> }
|
||||
}
|
||||
```
|
||||
The "config" field must contain the COMPLETE config (not just changes) so it can be used directly."""
|
||||
The "config" field must contain the COMPLETE config so it can be used directly."""
|
||||
|
||||
|
||||
def analyze_and_suggest(current_config: dict, results: dict,
|
||||
iteration_history: list = None) -> tuple[dict, str]:
|
||||
def _call_ollama(settings, messages):
|
||||
"""Call Ollama API."""
|
||||
provider_cfg = settings.get("providers", {}).get("ollama", {})
|
||||
base_url = provider_cfg.get("base_url", DEFAULT_OLLAMA_URL)
|
||||
model = settings.get("model", DEFAULT_MODEL)
|
||||
|
||||
payload = {
|
||||
"model": model,
|
||||
"messages": messages,
|
||||
"stream": False,
|
||||
"think": False,
|
||||
"options": {"temperature": 0.7, "num_predict": 4096},
|
||||
}
|
||||
print(f" Calling LLM ({model} via Ollama at {base_url})...")
|
||||
resp = requests.post(f"{base_url}/api/chat", json=payload, timeout=600)
|
||||
resp.raise_for_status()
|
||||
return resp.json()["message"]["content"]
|
||||
|
||||
|
||||
def _call_openai_compatible(settings, messages, provider_name):
|
||||
"""Call OpenAI-compatible API (LM Studio, OpenAI, OpenRouter)."""
|
||||
provider_cfg = settings.get("providers", {}).get(provider_name, {})
|
||||
model = settings.get("model", "")
|
||||
|
||||
if provider_name == "lmstudio":
|
||||
base_url = provider_cfg.get("base_url", "http://100.100.242.21:1234")
|
||||
url = f"{base_url}/v1/chat/completions"
|
||||
headers = {"Content-Type": "application/json"}
|
||||
elif provider_name == "openai":
|
||||
url = "https://api.openai.com/v1/chat/completions"
|
||||
headers = {
|
||||
"Content-Type": "application/json",
|
||||
"Authorization": f"Bearer {provider_cfg.get('api_key', '')}",
|
||||
}
|
||||
elif provider_name == "openrouter":
|
||||
url = "https://openrouter.ai/api/v1/chat/completions"
|
||||
headers = {
|
||||
"Content-Type": "application/json",
|
||||
"Authorization": f"Bearer {provider_cfg.get('api_key', '')}",
|
||||
}
|
||||
else:
|
||||
raise ValueError(f"Unknown OpenAI-compatible provider: {provider_name}")
|
||||
|
||||
payload = {
|
||||
"model": model,
|
||||
"messages": messages,
|
||||
"temperature": 0.7,
|
||||
"max_tokens": 4096,
|
||||
}
|
||||
print(f" Calling LLM ({model} via {provider_name})...")
|
||||
resp = requests.post(url, json=payload, headers=headers, timeout=600)
|
||||
resp.raise_for_status()
|
||||
return resp.json()["choices"][0]["message"]["content"]
|
||||
|
||||
|
||||
def _call_anthropic(settings, messages):
|
||||
"""Call Anthropic Messages API."""
|
||||
provider_cfg = settings.get("providers", {}).get("anthropic", {})
|
||||
model = settings.get("model", "claude-sonnet-4-20250514")
|
||||
api_key = provider_cfg.get("api_key", "")
|
||||
|
||||
# Anthropic uses system as a top-level param, not in messages
|
||||
system_msg = ""
|
||||
api_messages = []
|
||||
for m in messages:
|
||||
if m["role"] == "system":
|
||||
system_msg = m["content"]
|
||||
else:
|
||||
api_messages.append(m)
|
||||
|
||||
payload = {
|
||||
"model": model,
|
||||
"max_tokens": 4096,
|
||||
"messages": api_messages,
|
||||
}
|
||||
if system_msg:
|
||||
payload["system"] = system_msg
|
||||
|
||||
headers = {
|
||||
"Content-Type": "application/json",
|
||||
"x-api-key": api_key,
|
||||
"anthropic-version": "2023-06-01",
|
||||
}
|
||||
print(f" Calling LLM ({model} via Anthropic)...")
|
||||
resp = requests.post(
|
||||
"https://api.anthropic.com/v1/messages",
|
||||
json=payload,
|
||||
headers=headers,
|
||||
timeout=600,
|
||||
)
|
||||
resp.raise_for_status()
|
||||
data = resp.json()
|
||||
# Extract text from content blocks
|
||||
return "".join(
|
||||
block["text"] for block in data.get("content", []) if block.get("type") == "text"
|
||||
)
|
||||
|
||||
|
||||
def call_llm(messages):
|
||||
"""Route LLM call to the configured provider."""
|
||||
settings = load_llm_settings()
|
||||
provider = settings.get("provider", "ollama")
|
||||
|
||||
if provider == "ollama":
|
||||
return _call_ollama(settings, messages)
|
||||
elif provider in ("lmstudio", "openai", "openrouter"):
|
||||
return _call_openai_compatible(settings, messages, provider)
|
||||
elif provider == "anthropic":
|
||||
return _call_anthropic(settings, messages)
|
||||
else:
|
||||
raise ValueError(f"Unknown LLM provider: {provider}")
|
||||
|
||||
|
||||
def analyze_and_suggest(current_config, results, iteration_history=None):
|
||||
"""
|
||||
Send current results to LLM and get suggested config modifications.
|
||||
Returns (new_config, reasoning).
|
||||
"""
|
||||
# Build the user prompt with context
|
||||
history_text = ""
|
||||
if iteration_history:
|
||||
history_text = "\n## Previous Iterations (most recent last)\n"
|
||||
for h in iteration_history[-5:]:
|
||||
history_text += (
|
||||
f"- Iteration {h['iteration']}: Sharpe={h['sharpe']}, "
|
||||
f"Return={h['return']}%, WinRate={h['win_rate']}, "
|
||||
f"Trades={h['trades']}, Model={h['model_type']}\n"
|
||||
f"- Iteration {h.get('iteration', '?')}: "
|
||||
f"CostImprovement={h.get('cost_improvement', 0):.1f}%, "
|
||||
f"Signals={h.get('signal_count', 0)}, "
|
||||
f"R2={h.get('r2_score', 0):.4f}, "
|
||||
f"Model={h.get('model_type', '?')}\n"
|
||||
)
|
||||
|
||||
user_prompt = f"""## Current Configuration
|
||||
@@ -112,40 +277,31 @@ def analyze_and_suggest(current_config: dict, results: dict,
|
||||
```
|
||||
|
||||
## Current Results
|
||||
- Sharpe Ratio: {results.get('sharpe_ratio', 0)}
|
||||
- Total Return: {results.get('total_return_pct', 0)}%
|
||||
- Max Drawdown: {results.get('max_drawdown_pct', 0)}%
|
||||
- Win Rate: {results.get('win_rate', 0)}
|
||||
- Trade Count: {results.get('trade_count', 0)}
|
||||
- Profit Factor: {results.get('profit_factor', 0)}
|
||||
- Avg Trade Duration: {results.get('avg_trade_duration_candles', 0)} candles
|
||||
- Per-Window Sharpe: {results.get('per_window_sharpe', [])}
|
||||
- Cost Basis Improvement: {results.get('cost_basis_improvement_pct', 0):.1f}%
|
||||
- Avg Cost (Model): ${results.get('avg_cost_basis_model', 0):,.2f}
|
||||
- Avg Cost (DCA): ${results.get('avg_cost_basis_dca', 0):,.2f}
|
||||
- Strong Buy Signals: {results.get('strong_buy_signal_count', 0)}
|
||||
- Good Buy Signals: {results.get('good_buy_signal_count', 0)}
|
||||
- Signal Frequency: {results.get('signal_frequency_pct', 0):.1f}%
|
||||
- Quality of Strong Buys: {results.get('pct_quality_strong_buy', 0):.1%}
|
||||
- Model R2: {results.get('model_r2_score', 0):.4f}
|
||||
- Score at Actual Bottoms: {results.get('avg_score_at_actual_bottoms', 0):.1f}
|
||||
- Score at Actual Tops: {results.get('avg_score_at_actual_tops', 0):.1f}
|
||||
- Per-Window Improvement: {results.get('per_window_cost_improvement', [])}
|
||||
- Score Distribution: {results.get('score_distribution', {})}
|
||||
|
||||
## Top Feature Importances
|
||||
{json.dumps(dict(list(results.get('feature_importances', {}).items())[:15]), indent=2)}
|
||||
{history_text}
|
||||
Analyze these results and suggest 1-3 specific modifications to the config. Return ONLY valid JSON."""
|
||||
|
||||
# Call Ollama
|
||||
payload = {
|
||||
"model": MODEL,
|
||||
"messages": [
|
||||
messages = [
|
||||
{"role": "system", "content": SYSTEM_PROMPT},
|
||||
{"role": "user", "content": user_prompt},
|
||||
],
|
||||
"stream": False,
|
||||
"options": {
|
||||
"temperature": 0.7,
|
||||
"num_predict": 4096,
|
||||
},
|
||||
}
|
||||
]
|
||||
|
||||
print(f" Calling LLM ({MODEL} on Mac Mini)...")
|
||||
resp = requests.post(f"{OLLAMA_URL}/api/chat", json=payload, timeout=300)
|
||||
resp.raise_for_status()
|
||||
content = resp.json()["message"]["content"]
|
||||
content = call_llm(messages)
|
||||
|
||||
# Parse JSON from response (handle markdown code blocks)
|
||||
# Strip thinking tags if present
|
||||
content = re.sub(r"<think>.*?</think>", "", content, flags=re.DOTALL).strip()
|
||||
|
||||
@@ -153,8 +309,6 @@ Analyze these results and suggest 1-3 specific modifications to the config. Retu
|
||||
if json_match:
|
||||
parsed = json.loads(json_match.group(1))
|
||||
else:
|
||||
# Try parsing the whole response as JSON
|
||||
# Find the outermost JSON object
|
||||
brace_start = content.find("{")
|
||||
if brace_start >= 0:
|
||||
depth = 0
|
||||
@@ -164,7 +318,7 @@ Analyze these results and suggest 1-3 specific modifications to the config. Retu
|
||||
elif content[i] == "}":
|
||||
depth -= 1
|
||||
if depth == 0:
|
||||
parsed = json.loads(content[brace_start:i + 1])
|
||||
parsed = json.loads(content[brace_start : i + 1])
|
||||
break
|
||||
else:
|
||||
raise ValueError("Could not find complete JSON in LLM response")
|
||||
@@ -175,8 +329,14 @@ Analyze these results and suggest 1-3 specific modifications to the config. Retu
|
||||
changes = parsed.get("changes", [])
|
||||
new_config = parsed.get("config", current_config)
|
||||
|
||||
# Validate that config has required fields
|
||||
required_keys = ["model_type", "features", "target", "hyperparameters", "strategy", "training"]
|
||||
required_keys = [
|
||||
"model_type",
|
||||
"features",
|
||||
"target",
|
||||
"hyperparameters",
|
||||
"strategy",
|
||||
"training",
|
||||
]
|
||||
for key in required_keys:
|
||||
if key not in new_config:
|
||||
new_config[key] = current_config[key]
|
||||
@@ -186,22 +346,36 @@ Analyze these results and suggest 1-3 specific modifications to the config. Retu
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
# Test with dummy data
|
||||
import sys
|
||||
|
||||
config_path = sys.argv[1] if len(sys.argv) > 1 else "config/initial_config.json"
|
||||
with open(config_path) as f:
|
||||
config = json.load(f)
|
||||
|
||||
dummy_results = {
|
||||
"sharpe_ratio": 1.2,
|
||||
"total_return_pct": 15.3,
|
||||
"max_drawdown_pct": -12.5,
|
||||
"win_rate": 0.55,
|
||||
"trade_count": 120,
|
||||
"profit_factor": 1.4,
|
||||
"avg_trade_duration_candles": 7.2,
|
||||
"feature_importances": {"RSI_14": 0.15, "MACD_hist": 0.12, "BB_width": 0.10},
|
||||
"per_window_sharpe": [1.0, 1.3, 1.5, 0.9, 1.1],
|
||||
"cost_basis_improvement_pct": 8.5,
|
||||
"avg_cost_basis_model": 65000,
|
||||
"avg_cost_basis_dca": 71000,
|
||||
"strong_buy_signal_count": 45,
|
||||
"good_buy_signal_count": 120,
|
||||
"signal_frequency_pct": 7.2,
|
||||
"pct_quality_strong_buy": 0.72,
|
||||
"model_r2_score": 0.22,
|
||||
"avg_score_at_actual_bottoms": 68.5,
|
||||
"avg_score_at_actual_tops": 35.2,
|
||||
"per_window_cost_improvement": [7.1, 9.3, 8.8, 10.2, 7.0],
|
||||
"score_distribution": {
|
||||
"0-20": 80,
|
||||
"20-40": 150,
|
||||
"40-60": 200,
|
||||
"60-80": 130,
|
||||
"80-100": 40,
|
||||
},
|
||||
"feature_importances": {
|
||||
"dist_from_ath_pct": 0.18,
|
||||
"RSI_14": 0.12,
|
||||
"price_percentile_365": 0.10,
|
||||
},
|
||||
}
|
||||
|
||||
new_config, reasoning = analyze_and_suggest(config, dummy_results)
|
||||
|
||||
+656
@@ -0,0 +1,656 @@
|
||||
#!/usr/bin/env python3
|
||||
"""
|
||||
ML Optimizer for Bitcoin Accumulation Zone Scoring.
|
||||
|
||||
Trains a gradient boosted tree model on historical on-chain metrics to find
|
||||
optimal metric weights for identifying the best long-term buying opportunities.
|
||||
|
||||
Output: config/ml_weights.json with optimized weights and feature importances.
|
||||
"""
|
||||
|
||||
import json
|
||||
import logging
|
||||
import os
|
||||
import sys
|
||||
from datetime import datetime, timedelta
|
||||
|
||||
import numpy as np
|
||||
from sklearn.ensemble import GradientBoostingClassifier
|
||||
from sklearn.metrics import (
|
||||
classification_report,
|
||||
f1_score,
|
||||
precision_score,
|
||||
recall_score,
|
||||
roc_auc_score,
|
||||
)
|
||||
from sklearn.model_selection import TimeSeriesSplit
|
||||
from sklearn.preprocessing import StandardScaler
|
||||
|
||||
logging.basicConfig(
|
||||
level=logging.INFO,
|
||||
format="%(asctime)s [%(name)s] %(levelname)s: %(message)s",
|
||||
)
|
||||
log = logging.getLogger("ml-optimizer")
|
||||
|
||||
BASE_DIR = os.path.dirname(os.path.dirname(os.path.abspath(__file__)))
|
||||
HISTORY_PATH = os.path.join(BASE_DIR, "data", "history.json")
|
||||
OUTPUT_PATH = os.path.join(BASE_DIR, "config", "ml_weights.json")
|
||||
THRESHOLDS_PATH = os.path.join(BASE_DIR, "config", "thresholds.json")
|
||||
|
||||
# Date range: 2018-02-01 onward (when all 8 metrics + fear_greed available)
|
||||
START_DATE = "2018-02-01"
|
||||
# Training cutoff: need 1yr forward data for labels
|
||||
TRAIN_CUTOFF_DAYS = 365
|
||||
# Target: forward 365d return > 30% = "good time to buy"
|
||||
GOOD_BUY_THRESHOLD = 30.0
|
||||
# Validation embargo/purge horizon: labels use 365-day forward returns.
|
||||
LABEL_HORIZON_DAYS = 365
|
||||
VALIDATION_SPLITS = 5
|
||||
|
||||
# The 8 core metrics we score
|
||||
METRIC_KEYS = [
|
||||
"puell_multiple",
|
||||
"mvrv_zscore",
|
||||
"reserve_risk",
|
||||
"rhodl_ratio",
|
||||
"nupl",
|
||||
"fear_greed",
|
||||
]
|
||||
# Ratio-based metrics (derived from price vs reference)
|
||||
RATIO_METRICS = {
|
||||
"pct_above_200w_sma": {"price_key": "btc_price", "ref_key": "200w_sma"},
|
||||
"pct_above_lth_rp": {"price_key": "btc_price", "ref_key": "lth_realized_price"},
|
||||
}
|
||||
|
||||
|
||||
def load_history():
|
||||
"""Load historical data and build date-aligned lookup."""
|
||||
with open(HISTORY_PATH) as f:
|
||||
raw = json.load(f)
|
||||
|
||||
index = {}
|
||||
for key, data in raw.items():
|
||||
if not isinstance(data, dict) or "dates" not in data:
|
||||
continue
|
||||
lookup = {}
|
||||
for d, v in zip(data["dates"], data["values"]):
|
||||
if v is not None:
|
||||
lookup[d] = v
|
||||
index[key] = lookup
|
||||
return index
|
||||
|
||||
|
||||
def load_thresholds():
|
||||
"""Load scoring thresholds for converting raw values to 0-10 scores."""
|
||||
with open(THRESHOLDS_PATH) as f:
|
||||
return json.load(f)
|
||||
|
||||
|
||||
def score_range(value, ranges):
|
||||
"""Score a value using range-based thresholds (same logic as scoring/engine.py)."""
|
||||
if value is None:
|
||||
return None
|
||||
for low, high, score in ranges:
|
||||
low_ok = low is None or value >= low
|
||||
high_ok = high is None or value < high
|
||||
if low_ok and high_ok:
|
||||
return score
|
||||
return 0
|
||||
|
||||
|
||||
SCORE_KEYS = [
|
||||
"puell_multiple", "mvrv_zscore", "reserve_risk", "rhodl_ratio",
|
||||
"nupl", "fear_greed", "drawdown", "pct_above_200w_sma", "pct_above_lth_rp",
|
||||
]
|
||||
|
||||
SCORE_FEATURES = [f"score_{k}" for k in SCORE_KEYS]
|
||||
RAW_FEATURES = [
|
||||
"raw_puell_multiple", "raw_mvrv_zscore", "raw_reserve_risk",
|
||||
"raw_rhodl_ratio", "raw_nupl", "raw_fear_greed",
|
||||
"raw_pct_above_200w_sma", "raw_pct_above_lth_rp", "raw_drawdown",
|
||||
]
|
||||
DELTA_FEATURES = [
|
||||
"delta_30d_mvrv_zscore", "delta_30d_nupl",
|
||||
"delta_30d_puell_multiple", "delta_30d_reserve_risk",
|
||||
]
|
||||
INTERACTION_FEATURES = ["mvrv_x_nupl", "puell_x_reserve"]
|
||||
CYCLE_FEATURES = ["days_since_ath"]
|
||||
FEATURE_COLS = SCORE_FEATURES + RAW_FEATURES + DELTA_FEATURES + INTERACTION_FEATURES + CYCLE_FEATURES
|
||||
|
||||
BRACKETS = [
|
||||
(0, 20, "Extreme Caution"),
|
||||
(21, 40, "Caution"),
|
||||
(41, 55, "Neutral"),
|
||||
(56, 70, "Moderate Opportunity"),
|
||||
(71, 85, "Strong Accumulation"),
|
||||
(86, 100, "Extreme Accumulation"),
|
||||
]
|
||||
|
||||
|
||||
def _row_date(row):
|
||||
return datetime.strptime(row["date"], "%Y-%m-%d")
|
||||
|
||||
|
||||
def purged_time_series_splits(rows, n_splits=VALIDATION_SPLITS,
|
||||
label_horizon_days=LABEL_HORIZON_DAYS,
|
||||
embargo_days=0):
|
||||
"""Yield expanding-window splits with overlapping forward-label windows removed.
|
||||
|
||||
A row dated T with a 365-day forward-return label consumes information up to
|
||||
T+365. For validation beginning at V, any training row whose label window
|
||||
reaches V is removed. This keeps validation metrics out-of-sample for the
|
||||
forward-return label, not just for features.
|
||||
"""
|
||||
base_splitter = TimeSeriesSplit(n_splits=n_splits)
|
||||
row_dates = [_row_date(r) for r in rows]
|
||||
horizon = timedelta(days=label_horizon_days)
|
||||
embargo = timedelta(days=embargo_days)
|
||||
|
||||
for train_idx, val_idx in base_splitter.split(np.arange(len(rows))):
|
||||
val_start = row_dates[val_idx[0]]
|
||||
val_end = row_dates[val_idx[-1]]
|
||||
purged_train = []
|
||||
for idx in train_idx:
|
||||
label_end = row_dates[idx] + horizon
|
||||
before_validation_label_window = label_end <= val_start - embargo
|
||||
after_validation_embargo = row_dates[idx] > val_end + embargo
|
||||
if before_validation_label_window or after_validation_embargo:
|
||||
purged_train.append(idx)
|
||||
if purged_train:
|
||||
yield np.array(purged_train, dtype=int), np.array(val_idx, dtype=int)
|
||||
|
||||
|
||||
def _build_model():
|
||||
return GradientBoostingClassifier(
|
||||
n_estimators=300,
|
||||
learning_rate=0.05,
|
||||
max_depth=4,
|
||||
subsample=0.8,
|
||||
min_samples_leaf=20,
|
||||
random_state=42,
|
||||
)
|
||||
|
||||
|
||||
def derive_metric_weights(feature_cols, importances):
|
||||
"""Aggregate feature importances back to transparent score metric weights."""
|
||||
metric_names = list(SCORE_KEYS)
|
||||
feature_to_metric = {}
|
||||
for m in metric_names:
|
||||
feature_to_metric[f"score_{m}"] = m
|
||||
feature_to_metric[f"raw_{m}"] = m
|
||||
feature_to_metric["delta_30d_mvrv_zscore"] = "mvrv_zscore"
|
||||
feature_to_metric["delta_30d_nupl"] = "nupl"
|
||||
feature_to_metric["delta_30d_puell_multiple"] = "puell_multiple"
|
||||
feature_to_metric["delta_30d_reserve_risk"] = "reserve_risk"
|
||||
|
||||
metric_importances = {m: 0.0 for m in metric_names}
|
||||
for name, imp in zip(feature_cols, importances):
|
||||
if name in feature_to_metric:
|
||||
metric_importances[feature_to_metric[name]] += float(imp)
|
||||
elif name == "mvrv_x_nupl":
|
||||
metric_importances["mvrv_zscore"] += float(imp) / 2
|
||||
metric_importances["nupl"] += float(imp) / 2
|
||||
elif name == "puell_x_reserve":
|
||||
metric_importances["puell_multiple"] += float(imp) / 2
|
||||
metric_importances["reserve_risk"] += float(imp) / 2
|
||||
elif name == "days_since_ath":
|
||||
metric_importances["drawdown"] += float(imp)
|
||||
|
||||
total_imp = sum(metric_importances.values())
|
||||
if total_imp > 0:
|
||||
weights = {k: round(v / total_imp, 4) for k, v in metric_importances.items()}
|
||||
else:
|
||||
weights = {k: round(1 / len(metric_importances), 4) for k in metric_importances}
|
||||
return dict(sorted(weights.items(), key=lambda x: x[1], reverse=True))
|
||||
|
||||
|
||||
def build_dataset(index, thresholds):
|
||||
"""Build aligned training dataset: metric scores + forward returns."""
|
||||
# Get all dates from 2018-02-01 onward
|
||||
all_dates = set()
|
||||
for lookup in index.values():
|
||||
all_dates.update(lookup.keys())
|
||||
dates = sorted(d for d in all_dates if d >= START_DATE)
|
||||
|
||||
# Build price lookup for forward returns
|
||||
price_lookup = {}
|
||||
for pk in ["btc_price", "btc_price_sma", "btc_price_lth"]:
|
||||
if pk in index:
|
||||
for d, v in index[pk].items():
|
||||
if d not in price_lookup:
|
||||
price_lookup[d] = v
|
||||
|
||||
# Compute ATH series for drawdown
|
||||
all_dates_sorted = sorted(all_dates)
|
||||
ath = 0
|
||||
drawdowns = {}
|
||||
for d in all_dates_sorted:
|
||||
p = price_lookup.get(d)
|
||||
if p is None:
|
||||
continue
|
||||
if p > ath:
|
||||
ath = p
|
||||
if ath > 0:
|
||||
drawdowns[d] = ((ath - p) / ath) * 100
|
||||
|
||||
# Get threshold ranges for scoring raw values
|
||||
metric_ranges = {
|
||||
"puell_multiple": thresholds.get("puell_multiple", {}).get("ranges", []),
|
||||
"mvrv_zscore": thresholds.get("mvrv_zscore", {}).get("ranges", []),
|
||||
"reserve_risk": thresholds.get("reserve_risk", {}).get("ranges", []),
|
||||
"rhodl_ratio": thresholds.get("rhodl_ratio", {}).get("ranges", []),
|
||||
"nupl": thresholds.get("nupl", {}).get("ranges", []),
|
||||
"fear_greed": thresholds.get("fear_greed", {}).get("ranges", []),
|
||||
"drawdown": thresholds.get("drawdown", {}).get("ranges", []),
|
||||
"price_vs_200w_sma": thresholds.get("price_vs_200w_sma", {}).get("ranges", []),
|
||||
"lth_realized_price": thresholds.get("lth_realized_price", {}).get("ranges", []),
|
||||
}
|
||||
|
||||
log.info("Building dataset from %d dates (%s to %s)", len(dates), dates[0], dates[-1])
|
||||
|
||||
rows = []
|
||||
for d in dates:
|
||||
# Get raw metric values
|
||||
vals = {}
|
||||
skip = False
|
||||
for key in METRIC_KEYS:
|
||||
v = index.get(key, {}).get(d)
|
||||
if v is None:
|
||||
skip = True
|
||||
break
|
||||
vals[key] = v
|
||||
if skip:
|
||||
continue
|
||||
|
||||
# Compute ratio metrics
|
||||
price = price_lookup.get(d)
|
||||
sma_200w = index.get("200w_sma", {}).get(d)
|
||||
lth_rp = index.get("lth_realized_price", {}).get(d)
|
||||
|
||||
if price is None or sma_200w is None or lth_rp is None:
|
||||
continue
|
||||
if sma_200w == 0 or lth_rp == 0:
|
||||
continue
|
||||
|
||||
pct_200w = ((price - sma_200w) / sma_200w) * 100
|
||||
pct_lth = ((price - lth_rp) / lth_rp) * 100
|
||||
dd = drawdowns.get(d, 0)
|
||||
|
||||
vals["pct_above_200w_sma"] = pct_200w
|
||||
vals["pct_above_lth_rp"] = pct_lth
|
||||
vals["drawdown"] = dd
|
||||
|
||||
# Score each metric (0-10) using existing thresholds
|
||||
scores = {}
|
||||
scores["puell_multiple"] = score_range(vals["puell_multiple"], metric_ranges["puell_multiple"])
|
||||
scores["mvrv_zscore"] = score_range(vals["mvrv_zscore"], metric_ranges["mvrv_zscore"])
|
||||
scores["reserve_risk"] = score_range(vals["reserve_risk"], metric_ranges["reserve_risk"])
|
||||
scores["rhodl_ratio"] = score_range(vals["rhodl_ratio"], metric_ranges["rhodl_ratio"])
|
||||
scores["nupl"] = score_range(vals["nupl"], metric_ranges["nupl"])
|
||||
scores["fear_greed"] = score_range(vals["fear_greed"], metric_ranges["fear_greed"])
|
||||
scores["drawdown"] = score_range(dd, metric_ranges["drawdown"])
|
||||
scores["pct_above_200w_sma"] = score_range(pct_200w, metric_ranges["price_vs_200w_sma"])
|
||||
scores["pct_above_lth_rp"] = score_range(pct_lth, metric_ranges["lth_realized_price"])
|
||||
|
||||
if any(s is None for s in scores.values()):
|
||||
continue
|
||||
|
||||
# Forward returns
|
||||
dt = datetime.strptime(d, "%Y-%m-%d")
|
||||
fwd = {}
|
||||
for days in [30, 90, 180, 365]:
|
||||
future_d = (dt + timedelta(days=days)).strftime("%Y-%m-%d")
|
||||
fp = price_lookup.get(future_d)
|
||||
if fp is not None and price > 0:
|
||||
fwd[f"fwd_{days}d"] = ((fp - price) / price) * 100
|
||||
|
||||
# Compute rate-of-change features (30d deltas)
|
||||
deltas = {}
|
||||
d_30ago = (dt - timedelta(days=30)).strftime("%Y-%m-%d")
|
||||
for key in ["mvrv_zscore", "nupl", "puell_multiple", "reserve_risk"]:
|
||||
v_now = vals[key]
|
||||
v_prev = index.get(key, {}).get(d_30ago)
|
||||
if v_prev is not None and v_prev != 0:
|
||||
deltas[f"delta_30d_{key}"] = v_now - v_prev
|
||||
else:
|
||||
deltas[f"delta_30d_{key}"] = 0.0
|
||||
|
||||
# Interaction terms
|
||||
interactions = {
|
||||
"mvrv_x_nupl": vals["mvrv_zscore"] * vals["nupl"],
|
||||
"puell_x_reserve": vals["puell_multiple"] * vals["reserve_risk"],
|
||||
}
|
||||
|
||||
# Days since last ATH
|
||||
days_since_ath = 0
|
||||
for i in range(1, 2000):
|
||||
check_d = (dt - timedelta(days=i)).strftime("%Y-%m-%d")
|
||||
check_dd = drawdowns.get(check_d, 100)
|
||||
if check_dd < 0.1: # essentially at ATH
|
||||
days_since_ath = i
|
||||
break
|
||||
else:
|
||||
days_since_ath = 2000
|
||||
|
||||
row = {
|
||||
"date": d,
|
||||
"price": price,
|
||||
**{f"score_{k}": v for k, v in scores.items()},
|
||||
**{f"raw_{k}": v for k, v in vals.items()},
|
||||
**deltas,
|
||||
**interactions,
|
||||
"days_since_ath": days_since_ath,
|
||||
**fwd,
|
||||
}
|
||||
rows.append(row)
|
||||
|
||||
log.info("Built %d complete data rows", len(rows))
|
||||
return rows
|
||||
|
||||
|
||||
def train_model(rows):
|
||||
"""Train gradient boosted classifier to identify good buying opportunities."""
|
||||
# Filter to rows that have 365d forward return (for labeling)
|
||||
labeled = [r for r in rows if "fwd_365d" in r]
|
||||
log.info("Rows with 365d forward data: %d", len(labeled))
|
||||
|
||||
if len(labeled) < 100:
|
||||
log.error("Not enough labeled data. Need at least 100 rows, got %d", len(labeled))
|
||||
return None
|
||||
|
||||
# Create binary target: forward 365d return > threshold
|
||||
for r in labeled:
|
||||
r["target"] = 1 if r["fwd_365d"] > GOOD_BUY_THRESHOLD else 0
|
||||
|
||||
positive = sum(r["target"] for r in labeled)
|
||||
log.info("Target distribution: %d positive (%.1f%%), %d negative",
|
||||
positive, positive / len(labeled) * 100, len(labeled) - positive)
|
||||
|
||||
feature_cols = FEATURE_COLS
|
||||
|
||||
X = np.array([[r[f] for f in feature_cols] for r in labeled])
|
||||
y = np.array([r["target"] for r in labeled])
|
||||
|
||||
log.info("Feature matrix: %d samples x %d features", X.shape[0], X.shape[1])
|
||||
|
||||
# Purged time-series cross-validation. Standard TimeSeriesSplit is not
|
||||
# enough here because each label consumes the next 365 days of returns.
|
||||
cv_scores = []
|
||||
cv_f1 = []
|
||||
cv_precision = []
|
||||
cv_recall = []
|
||||
fold_results = []
|
||||
|
||||
splits = list(purged_time_series_splits(
|
||||
labeled,
|
||||
n_splits=VALIDATION_SPLITS,
|
||||
label_horizon_days=LABEL_HORIZON_DAYS,
|
||||
embargo_days=0,
|
||||
))
|
||||
if not splits:
|
||||
log.error("No viable purged validation splits. Need more history for %dd label horizon.",
|
||||
LABEL_HORIZON_DAYS)
|
||||
return None
|
||||
|
||||
for fold, (train_idx, val_idx) in enumerate(splits):
|
||||
X_train, X_val = X[train_idx], X[val_idx]
|
||||
y_train, y_val = y[train_idx], y[val_idx]
|
||||
|
||||
scaler = StandardScaler()
|
||||
X_train_s = scaler.fit_transform(X_train)
|
||||
X_val_s = scaler.transform(X_val)
|
||||
|
||||
model = _build_model()
|
||||
model.fit(X_train_s, y_train)
|
||||
|
||||
y_pred = model.predict(X_val_s)
|
||||
y_prob = model.predict_proba(X_val_s)[:, 1]
|
||||
|
||||
auc = roc_auc_score(y_val, y_prob) if len(np.unique(y_val)) > 1 else 0
|
||||
f1 = f1_score(y_val, y_pred, zero_division=0)
|
||||
prec = precision_score(y_val, y_pred, zero_division=0)
|
||||
rec = recall_score(y_val, y_pred, zero_division=0)
|
||||
|
||||
cv_scores.append(auc)
|
||||
cv_f1.append(f1)
|
||||
cv_precision.append(prec)
|
||||
cv_recall.append(rec)
|
||||
|
||||
fold_weights = derive_metric_weights(feature_cols, model.feature_importances_)
|
||||
fold_results.append({
|
||||
"fold": fold + 1,
|
||||
"train_idx": train_idx.tolist(),
|
||||
"val_idx": val_idx.tolist(),
|
||||
"weights": fold_weights,
|
||||
"metrics": {
|
||||
"auc": round(float(auc), 4),
|
||||
"f1": round(float(f1), 4),
|
||||
"precision": round(float(prec), 4),
|
||||
"recall": round(float(rec), 4),
|
||||
},
|
||||
"date_ranges": {
|
||||
"train": f"{labeled[train_idx[0]]['date']} to {labeled[train_idx[-1]]['date']}",
|
||||
"validation": f"{labeled[val_idx[0]]['date']} to {labeled[val_idx[-1]]['date']}",
|
||||
},
|
||||
"n_train": len(train_idx),
|
||||
"n_validation": len(val_idx),
|
||||
})
|
||||
|
||||
train_dates = fold_results[-1]["date_ranges"]["train"]
|
||||
val_dates = fold_results[-1]["date_ranges"]["validation"]
|
||||
log.info("Fold %d: Train %s | Val %s | AUC=%.3f F1=%.3f P=%.3f R=%.3f",
|
||||
fold + 1, train_dates, val_dates, auc, f1, prec, rec)
|
||||
|
||||
log.info("Purged CV Mean AUC: %.3f (+/- %.3f)", np.mean(cv_scores), np.std(cv_scores))
|
||||
log.info("Purged CV Mean F1: %.3f (+/- %.3f)", np.mean(cv_f1), np.std(cv_f1))
|
||||
|
||||
# Train final model on all labeled data
|
||||
log.info("Training final model on all %d labeled samples...", len(labeled))
|
||||
scaler = StandardScaler()
|
||||
X_scaled = scaler.fit_transform(X)
|
||||
|
||||
final_model = _build_model()
|
||||
final_model.fit(X_scaled, y)
|
||||
|
||||
# Feature importances
|
||||
importances = final_model.feature_importances_
|
||||
feat_imp = sorted(
|
||||
zip(feature_cols, importances),
|
||||
key=lambda x: x[1],
|
||||
reverse=True,
|
||||
)
|
||||
|
||||
log.info("\nFeature Importance Ranking:")
|
||||
log.info("-" * 50)
|
||||
for name, imp in feat_imp:
|
||||
bar = "#" * int(imp * 200)
|
||||
log.info(" %-30s %.4f %s", name, imp, bar)
|
||||
|
||||
weights = derive_metric_weights(feature_cols, importances)
|
||||
|
||||
log.info("\nOptimal Metric Weights:")
|
||||
log.info("-" * 50)
|
||||
equal_weight = round(1 / len(weights), 4)
|
||||
for metric, w in weights.items():
|
||||
change = "+" if w > equal_weight else ""
|
||||
diff = (w - equal_weight) / equal_weight * 100
|
||||
log.info(" %-25s %.4f (%s%.0f%% vs equal)", metric, w, change, diff)
|
||||
|
||||
# Run comparison backtest: ML-weighted vs equal-weight
|
||||
log.info("\n" + "=" * 60)
|
||||
log.info("COMPARISON BACKTEST: ML-Weighted vs Equal-Weight")
|
||||
log.info("=" * 60)
|
||||
comparison = run_comparison(rows, weights)
|
||||
out_of_sample_comparison = run_out_of_sample_comparison(labeled, fold_results)
|
||||
|
||||
# Build output
|
||||
result = {
|
||||
"weights": weights,
|
||||
"feature_importances": {name: round(float(imp), 6) for name, imp in feat_imp},
|
||||
"cv_results": {
|
||||
"mean_auc": round(float(np.mean(cv_scores)), 4),
|
||||
"std_auc": round(float(np.std(cv_scores)), 4),
|
||||
"mean_f1": round(float(np.mean(cv_f1)), 4),
|
||||
"mean_precision": round(float(np.mean(cv_precision)), 4),
|
||||
"mean_recall": round(float(np.mean(cv_recall)), 4),
|
||||
"validation_method": "purged_expanding_window",
|
||||
"label_horizon_days": LABEL_HORIZON_DAYS,
|
||||
"folds": fold_results,
|
||||
},
|
||||
"training_info": {
|
||||
"n_samples": len(labeled),
|
||||
"n_positive": int(positive),
|
||||
"positive_rate": round(positive / len(labeled), 4),
|
||||
"n_features": len(feature_cols),
|
||||
"target_threshold": GOOD_BUY_THRESHOLD,
|
||||
"date_range": f"{labeled[0]['date']} to {labeled[-1]['date']}",
|
||||
"model": "GradientBoostingClassifier",
|
||||
},
|
||||
"comparison": comparison,
|
||||
"out_of_sample_comparison": out_of_sample_comparison,
|
||||
"trained_at": datetime.now(tz=__import__('datetime').timezone.utc).isoformat(),
|
||||
}
|
||||
|
||||
return result
|
||||
|
||||
|
||||
def _composite_score(row, mode, ml_weights=None):
|
||||
scores = [row[f"score_{k}"] for k in SCORE_KEYS]
|
||||
if mode == "equal_weight" or not ml_weights:
|
||||
return sum(scores) / len(SCORE_KEYS) * 10
|
||||
equal_weight = 1.0 / len(SCORE_KEYS)
|
||||
weighted_sum = sum(row[f"score_{k}"] * ml_weights.get(k, equal_weight) for k in SCORE_KEYS)
|
||||
return weighted_sum * 10
|
||||
|
||||
|
||||
def _summarize_brackets(scored_rows, score_key):
|
||||
results = []
|
||||
for low, high, label in BRACKETS:
|
||||
days_in = [r for r in scored_rows if low <= r[score_key] <= high]
|
||||
if not days_in:
|
||||
results.append({
|
||||
"range": f"{low}-{high}", "label": label,
|
||||
"days": 0, "avg_365d": None,
|
||||
})
|
||||
continue
|
||||
returns_365 = [r["fwd_365d"] for r in days_in]
|
||||
returns_sorted = sorted(returns_365)
|
||||
win_rate = len([r for r in returns_365 if r > 0]) / len(returns_365) * 100
|
||||
results.append({
|
||||
"range": f"{low}-{high}",
|
||||
"label": label,
|
||||
"days": len(days_in),
|
||||
"avg_365d": round(sum(returns_365) / len(returns_365), 2),
|
||||
"median_365d": round(returns_sorted[len(returns_sorted) // 2], 2),
|
||||
"win_rate_365d": round(win_rate, 1),
|
||||
})
|
||||
return results
|
||||
|
||||
|
||||
def _log_comparison_table(results):
|
||||
log.info("\n%-18s | %-8s %-8s %-8s | %-8s %-8s %-8s",
|
||||
"Bracket", "EQ Avg", "EQ Med", "EQ Win%", "ML Avg", "ML Med", "ML Win%")
|
||||
log.info("-" * 80)
|
||||
for eq, ml in zip(results["equal_weight"], results["ml_weighted"]):
|
||||
eq_avg = f"{eq['avg_365d']:.1f}%" if eq["avg_365d"] is not None else "--"
|
||||
eq_med = f"{eq['median_365d']:.1f}%" if eq.get("median_365d") is not None else "--"
|
||||
eq_win = f"{eq['win_rate_365d']:.0f}%" if eq.get("win_rate_365d") is not None else "--"
|
||||
ml_avg = f"{ml['avg_365d']:.1f}%" if ml["avg_365d"] is not None else "--"
|
||||
ml_med = f"{ml['median_365d']:.1f}%" if ml.get("median_365d") is not None else "--"
|
||||
ml_win = f"{ml['win_rate_365d']:.0f}%" if ml.get("win_rate_365d") is not None else "--"
|
||||
log.info("%-18s | %-8s %-8s %-8s | %-8s %-8s %-8s",
|
||||
eq["label"], eq_avg, eq_med, eq_win, ml_avg, ml_med, ml_win)
|
||||
|
||||
|
||||
def run_comparison(rows, ml_weights):
|
||||
"""Compare final ML-weighted scoring vs equal-weight scoring across all labeled rows.
|
||||
|
||||
This is retained for backwards compatibility with existing output. It is an
|
||||
in-sample/full-history comparison; prefer out_of_sample_comparison for model
|
||||
selection decisions.
|
||||
"""
|
||||
scored_rows = [dict(r) for r in rows if "fwd_365d" in r]
|
||||
for r in scored_rows:
|
||||
r["composite_equal_weight"] = _composite_score(r, "equal_weight")
|
||||
r["composite_ml_weighted"] = _composite_score(r, "ml_weighted", ml_weights)
|
||||
|
||||
results = {
|
||||
"equal_weight": _summarize_brackets(scored_rows, "composite_equal_weight"),
|
||||
"ml_weighted": _summarize_brackets(scored_rows, "composite_ml_weighted"),
|
||||
}
|
||||
_log_comparison_table(results)
|
||||
return results
|
||||
|
||||
|
||||
def run_out_of_sample_comparison(rows, fold_results):
|
||||
"""Compare fold-specific ML weights on validation rows only."""
|
||||
validation_rows = []
|
||||
for fold in fold_results:
|
||||
weights = fold.get("weights", {})
|
||||
for idx in fold.get("val_idx", []):
|
||||
if idx >= len(rows) or "fwd_365d" not in rows[idx]:
|
||||
continue
|
||||
r = dict(rows[idx])
|
||||
r["fold"] = fold.get("fold")
|
||||
r["composite_equal_weight"] = _composite_score(r, "equal_weight")
|
||||
r["composite_ml_weighted"] = _composite_score(r, "ml_weighted", weights)
|
||||
validation_rows.append(r)
|
||||
|
||||
results = {
|
||||
"folds": len(fold_results),
|
||||
"validation_days": len(validation_rows),
|
||||
"equal_weight": _summarize_brackets(validation_rows, "composite_equal_weight"),
|
||||
"ml_weighted": _summarize_brackets(validation_rows, "composite_ml_weighted"),
|
||||
}
|
||||
return results
|
||||
|
||||
|
||||
def main():
|
||||
log.info("=" * 60)
|
||||
log.info("Bitcoin Accumulation Zone ML Optimizer")
|
||||
log.info("=" * 60)
|
||||
|
||||
if not os.path.exists(HISTORY_PATH):
|
||||
log.error("No historical data at %s. Run history collector first.", HISTORY_PATH)
|
||||
sys.exit(1)
|
||||
|
||||
# Load data
|
||||
log.info("Loading historical data...")
|
||||
index = load_history()
|
||||
thresholds = load_thresholds()
|
||||
|
||||
# Build dataset
|
||||
log.info("Building training dataset...")
|
||||
rows = build_dataset(index, thresholds)
|
||||
|
||||
# Train model
|
||||
log.info("Training ML model...")
|
||||
result = train_model(rows)
|
||||
|
||||
if result is None:
|
||||
log.error("Training failed.")
|
||||
sys.exit(1)
|
||||
|
||||
# Save weights
|
||||
with open(OUTPUT_PATH, "w") as f:
|
||||
json.dump(result, f, indent=2)
|
||||
log.info("\nSaved ML weights to %s", OUTPUT_PATH)
|
||||
|
||||
# Print summary
|
||||
log.info("\n" + "=" * 60)
|
||||
log.info("SUMMARY")
|
||||
log.info("=" * 60)
|
||||
log.info("Model: %s", result["training_info"]["model"])
|
||||
log.info("Samples: %d (%d positive)", result["training_info"]["n_samples"], result["training_info"]["n_positive"])
|
||||
log.info("CV AUC: %.3f (+/- %.3f)", result["cv_results"]["mean_auc"], result["cv_results"]["std_auc"])
|
||||
log.info("CV F1: %.3f", result["cv_results"]["mean_f1"])
|
||||
log.info("\nTop 5 Feature Importances:")
|
||||
for name, imp in list(result["feature_importances"].items())[:5]:
|
||||
log.info(" %-30s %.4f", name, imp)
|
||||
log.info("\nMetric Weights (ML-Optimized):")
|
||||
for metric, weight in result["weights"].items():
|
||||
log.info(" %-25s %.1f%%", metric, weight * 100)
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
main()
|
||||
+813
-308
File diff suppressed because it is too large
Load Diff
+100
-97
@@ -1,6 +1,6 @@
|
||||
#!/usr/bin/env python3
|
||||
"""
|
||||
BTC ML Trading Strategy Optimizer — Orchestrator
|
||||
BTC Accumulation Signal Optimizer -- Orchestrator
|
||||
Coordinates the optimization loop across VPS, Windows PC (GPU), and Mac Mini (LLM).
|
||||
"""
|
||||
|
||||
@@ -28,7 +28,8 @@ MAC_MINI_HOST = "bizzle@bizzles-mac-mini-1"
|
||||
MAX_ITERATIONS = 50
|
||||
CONVERGENCE_WINDOW = 5
|
||||
CONVERGENCE_THRESHOLD = 0.01 # 1% improvement
|
||||
TARGET_SHARPE = 3.0
|
||||
TARGET_COST_IMPROVEMENT = 20.0 # 20% cost basis improvement = exceptional
|
||||
MIN_SIGNAL_COUNT = 30 # Minimum strong buy signals for valid results
|
||||
ML_TIMEOUT = 600 # 10 minutes
|
||||
|
||||
# Colors
|
||||
@@ -98,7 +99,6 @@ def run_ml_training():
|
||||
)
|
||||
if result.returncode != 0:
|
||||
raise RuntimeError(f"ML training failed:\n{result.stderr}\n{result.stdout}")
|
||||
# Print training output
|
||||
for line in result.stdout.strip().split("\n"):
|
||||
log(f" {C.DIM}{line}", C.DIM)
|
||||
return True
|
||||
@@ -127,45 +127,53 @@ def check_convergence(history):
|
||||
if len(history) < CONVERGENCE_WINDOW + 1:
|
||||
return False, "Not enough iterations"
|
||||
|
||||
recent = history[-CONVERGENCE_WINDOW:]
|
||||
sharpes = [h["sharpe"] for h in recent]
|
||||
# Only consider valid results (enough signals)
|
||||
valid = [h for h in history if h.get("signal_count", 0) >= MIN_SIGNAL_COUNT]
|
||||
|
||||
# Check if best sharpe exceeds target
|
||||
best_sharpe = max(h["sharpe"] for h in history)
|
||||
if best_sharpe >= TARGET_SHARPE:
|
||||
return True, f"Target Sharpe reached: {best_sharpe:.3f}"
|
||||
if not valid:
|
||||
return False, "No valid results yet"
|
||||
|
||||
recent = history[-CONVERGENCE_WINDOW:]
|
||||
scores = [h.get("cost_improvement", 0) for h in recent]
|
||||
|
||||
# Check if best score exceeds target
|
||||
best_score = max(h.get("cost_improvement", 0) for h in valid)
|
||||
if best_score >= TARGET_COST_IMPROVEMENT:
|
||||
return True, f"Target cost improvement reached: {best_score:.1f}%"
|
||||
|
||||
# Check if improvement has stalled
|
||||
best_recent = max(sharpes)
|
||||
worst_recent = min(sharpes)
|
||||
best_recent = max(scores)
|
||||
worst_recent = min(scores)
|
||||
if best_recent > 0 and (best_recent - worst_recent) / best_recent < CONVERGENCE_THRESHOLD:
|
||||
return True, f"Converged: Sharpe variance < {CONVERGENCE_THRESHOLD*100}% over {CONVERGENCE_WINDOW} iterations"
|
||||
return True, f"Converged: variance < {CONVERGENCE_THRESHOLD*100}% over {CONVERGENCE_WINDOW} iterations"
|
||||
|
||||
return False, ""
|
||||
|
||||
|
||||
def print_header():
|
||||
print(f"""
|
||||
{C.BOLD}{C.CYAN}╔══════════════════════════════════════════════════╗
|
||||
║ BTC ML Trading Strategy Optimizer ║
|
||||
║ VPS → Windows GPU → Mac Mini LLM → Loop ║
|
||||
╚══════════════════════════════════════════════════╝{C.RESET}
|
||||
{C.BOLD}{C.CYAN}========================================================
|
||||
BTC Accumulation Signal Optimizer
|
||||
VPS -> Windows GPU -> Mac Mini LLM -> Loop
|
||||
========================================================{C.RESET}
|
||||
""")
|
||||
|
||||
|
||||
def print_results(results, iteration):
|
||||
sharpe = results.get("sharpe_ratio", 0)
|
||||
sharpe_color = C.GREEN if sharpe > 1.5 else C.YELLOW if sharpe > 1.0 else C.RED
|
||||
cost_imp = results.get("cost_basis_improvement_pct", 0)
|
||||
color = C.GREEN if cost_imp > 15 else C.YELLOW if cost_imp > 10 else C.RED
|
||||
print(f"""
|
||||
{C.BOLD}━━━ Iteration {iteration} Results ━━━{C.RESET}
|
||||
Sharpe Ratio: {sharpe_color}{C.BOLD}{sharpe:.3f}{C.RESET}
|
||||
Total Return: {results.get('total_return_pct', 0):.1f}%
|
||||
Max Drawdown: {results.get('max_drawdown_pct', 0):.1f}%
|
||||
Win Rate: {results.get('win_rate', 0):.1%}
|
||||
Trade Count: {results.get('trade_count', 0)}
|
||||
Profit Factor: {results.get('profit_factor', 0):.3f}
|
||||
Avg Duration: {results.get('avg_trade_duration_candles', 0):.1f} candles
|
||||
Window Sharpes: {results.get('per_window_sharpe', [])}
|
||||
{C.BOLD}--- Iteration {iteration} Results ---{C.RESET}
|
||||
Cost Improvement: {color}{C.BOLD}{cost_imp:.1f}%{C.RESET}
|
||||
Avg Cost (Model): ${results.get('avg_cost_basis_model', 0):,.2f}
|
||||
Avg Cost (DCA): ${results.get('avg_cost_basis_dca', 0):,.2f}
|
||||
Strong Signals: {results.get('strong_buy_signal_count', 0)}
|
||||
Signal Frequency: {results.get('signal_frequency_pct', 0):.1f}%
|
||||
Quality Score: {results.get('pct_quality_strong_buy', 0):.1%}
|
||||
Model R2: {results.get('model_r2_score', 0):.4f}
|
||||
Score@Bottoms: {results.get('avg_score_at_actual_bottoms', 0):.1f}
|
||||
Score@Tops: {results.get('avg_score_at_actual_tops', 0):.1f}
|
||||
Window Improvements: {results.get('per_window_cost_improvement', [])}
|
||||
""")
|
||||
|
||||
|
||||
@@ -173,14 +181,11 @@ def main():
|
||||
print_header()
|
||||
os.makedirs(RESULTS_DIR, exist_ok=True)
|
||||
|
||||
# Step 1: Ensure data
|
||||
ensure_data()
|
||||
|
||||
# Step 2: Load or create initial config
|
||||
config_path = os.path.join(CONFIG_DIR, "initial_config.json")
|
||||
best_config_path = os.path.join(CONFIG_DIR, "best_config.json")
|
||||
|
||||
# Resume from best config if it exists
|
||||
if os.path.exists(best_config_path):
|
||||
log("Resuming from best_config.json", C.GREEN)
|
||||
with open(best_config_path) as f:
|
||||
@@ -191,29 +196,24 @@ def main():
|
||||
|
||||
history = load_iteration_history()
|
||||
start_iter = len(history) + 1
|
||||
best_sharpe = max((h["sharpe"] for h in history), default=0)
|
||||
best_score = max((h.get("cost_improvement", 0) for h in history), default=0)
|
||||
|
||||
log(f"Starting at iteration {start_iter}, best Sharpe so far: {best_sharpe:.3f}", C.BOLD)
|
||||
log(f"Starting at iteration {start_iter}, best cost improvement so far: {best_score:.1f}%", C.BOLD)
|
||||
|
||||
# Step 3: Setup Windows remote
|
||||
setup_windows_remote()
|
||||
|
||||
# SCP the ML engine script (once)
|
||||
log("Uploading ML engine to Windows...", C.CYAN)
|
||||
scp_to_windows(os.path.join(BASE_DIR, "ml_engine", "train_and_backtest.py"), "train_and_backtest.py")
|
||||
|
||||
# SCP data files (once)
|
||||
for tf in ["1h", "4h"]:
|
||||
data_file = os.path.join(DATA_DIR, f"btc_{tf}.csv")
|
||||
if os.path.exists(data_file):
|
||||
log(f"Uploading btc_{tf}.csv to Windows...", C.CYAN)
|
||||
scp_to_windows(data_file, f"btc_{tf}.csv")
|
||||
|
||||
# Import LLM analyzer
|
||||
sys.path.insert(0, os.path.join(BASE_DIR, "llm_client"))
|
||||
from analyzer import analyze_and_suggest
|
||||
|
||||
# Main optimization loop
|
||||
for iteration in range(start_iter, MAX_ITERATIONS + 1):
|
||||
log(f"\n{'='*50}", C.BOLD)
|
||||
log(f"ITERATION {iteration}/{MAX_ITERATIONS}", f"{C.BOLD}{C.CYAN}")
|
||||
@@ -222,13 +222,11 @@ def main():
|
||||
f"Depth: {config.get('hyperparameters', {}).get('max_depth', '?')}", C.DIM)
|
||||
log(f"{'='*50}", C.BOLD)
|
||||
|
||||
# Write current config to temp file and SCP
|
||||
tmp_config = os.path.join(BASE_DIR, "config", "current_config.json")
|
||||
with open(tmp_config, "w") as f:
|
||||
json.dump(config, f, indent=2)
|
||||
scp_to_windows(tmp_config, "config.json")
|
||||
|
||||
# Run ML training on Windows
|
||||
try:
|
||||
run_ml_training()
|
||||
except (RuntimeError, subprocess.TimeoutExpired) as e:
|
||||
@@ -238,7 +236,6 @@ def main():
|
||||
config = history[-1].get("config", config)
|
||||
continue
|
||||
|
||||
# Fetch results from Windows
|
||||
results_local = os.path.join(RESULTS_DIR, f"results_iter_{iteration}.json")
|
||||
scp_from_windows("results.json", results_local)
|
||||
|
||||
@@ -247,34 +244,35 @@ def main():
|
||||
|
||||
print_results(results, iteration)
|
||||
|
||||
# Track best
|
||||
current_sharpe = results.get("sharpe_ratio", 0)
|
||||
is_best = current_sharpe > best_sharpe
|
||||
current_score = results.get("cost_basis_improvement_pct", 0)
|
||||
signal_count = results.get("strong_buy_signal_count", 0)
|
||||
is_best = current_score > best_score and signal_count >= MIN_SIGNAL_COUNT
|
||||
|
||||
if is_best:
|
||||
best_sharpe = current_sharpe
|
||||
best_score = current_score
|
||||
with open(best_config_path, "w") as f:
|
||||
json.dump(config, f, indent=2)
|
||||
log(f"NEW BEST! Sharpe: {best_sharpe:.3f}", f"{C.BOLD}{C.GREEN}")
|
||||
log(f"NEW BEST! Cost Improvement: {best_score:.1f}%", f"{C.BOLD}{C.GREEN}")
|
||||
|
||||
# Log iteration
|
||||
iter_data = {
|
||||
"iteration": iteration,
|
||||
"timestamp": datetime.now(timezone.utc).isoformat(),
|
||||
"sharpe": current_sharpe,
|
||||
"return": results.get("total_return_pct", 0),
|
||||
"max_drawdown": results.get("max_drawdown_pct", 0),
|
||||
"win_rate": results.get("win_rate", 0),
|
||||
"trades": results.get("trade_count", 0),
|
||||
"profit_factor": results.get("profit_factor", 0),
|
||||
"cost_improvement": current_score,
|
||||
"avg_30d_return": results.get("avg_quality_score_strong_buy", 0),
|
||||
"avg_90d_return": results.get("pct_quality_strong_buy", 0),
|
||||
"signal_count": signal_count,
|
||||
"signal_frequency": results.get("signal_frequency_pct", 0),
|
||||
"r2_score": results.get("model_r2_score", 0),
|
||||
"score_at_bottoms": results.get("avg_score_at_actual_bottoms", 0),
|
||||
"score_at_tops": results.get("avg_score_at_actual_tops", 0),
|
||||
"model_type": config.get("model_type", "unknown"),
|
||||
"is_best": is_best,
|
||||
"config": config,
|
||||
"results": results,
|
||||
}
|
||||
save_iteration(iter_data)
|
||||
history.append(iter_data)
|
||||
|
||||
# Check convergence
|
||||
converged, reason = check_convergence(history)
|
||||
if converged:
|
||||
log(f"\nOptimization converged: {reason}", f"{C.BOLD}{C.GREEN}")
|
||||
@@ -284,17 +282,15 @@ def main():
|
||||
log(f"\nMax iterations ({MAX_ITERATIONS}) reached.", C.YELLOW)
|
||||
break
|
||||
|
||||
# Ask LLM for next config
|
||||
log("\nConsulting LLM for strategy modifications...", C.MAGENTA)
|
||||
try:
|
||||
summary_history = [
|
||||
{
|
||||
"iteration": h["iteration"],
|
||||
"sharpe": h["sharpe"],
|
||||
"return": h["return"],
|
||||
"win_rate": h["win_rate"],
|
||||
"trades": h["trades"],
|
||||
"model_type": h["model_type"],
|
||||
"cost_improvement": h.get("cost_improvement", 0),
|
||||
"signal_count": h.get("signal_count", 0),
|
||||
"r2_score": h.get("r2_score", 0),
|
||||
"model_type": h.get("model_type", "unknown"),
|
||||
}
|
||||
for h in history
|
||||
]
|
||||
@@ -304,21 +300,19 @@ def main():
|
||||
except Exception as e:
|
||||
log(f"LLM call failed: {e}", C.RED)
|
||||
log("Continuing with current config + random perturbation...", C.YELLOW)
|
||||
# Small random perturbation as fallback
|
||||
import random
|
||||
hp = config.get("hyperparameters", {})
|
||||
hp["learning_rate"] = hp.get("learning_rate", 0.05) * random.uniform(0.8, 1.2)
|
||||
hp["max_depth"] = max(3, min(10, hp.get("max_depth", 6) + random.choice([-1, 0, 1])))
|
||||
hp["learning_rate"] = hp.get("learning_rate", 0.01) * random.uniform(0.8, 1.2)
|
||||
hp["max_depth"] = max(3, min(10, hp.get("max_depth", 5) + random.choice([-1, 0, 1])))
|
||||
config["hyperparameters"] = hp
|
||||
|
||||
# Final summary
|
||||
print(f"""
|
||||
{C.BOLD}{C.GREEN}╔══════════════════════════════════════════════════╗
|
||||
║ Optimization Complete! ║
|
||||
╚══════════════════════════════════════════════════╝{C.RESET}
|
||||
{C.BOLD}{C.GREEN}========================================================
|
||||
Optimization Complete!
|
||||
========================================================{C.RESET}
|
||||
|
||||
Total Iterations: {len(history)}
|
||||
Best Sharpe: {C.BOLD}{best_sharpe:.3f}{C.RESET}
|
||||
Best Cost Improvement: {C.BOLD}{best_score:.1f}%{C.RESET}
|
||||
Best Config: {best_config_path}
|
||||
Iteration Log: {ITERATIONS_LOG}
|
||||
""")
|
||||
@@ -326,15 +320,14 @@ def main():
|
||||
|
||||
# --- Library API for dashboard integration ---
|
||||
|
||||
# Shared state for dashboard
|
||||
_stop_event = threading.Event()
|
||||
_status = {
|
||||
"state": "idle", # idle, running, completed, error
|
||||
"state": "idle",
|
||||
"iteration": 0,
|
||||
"max_iterations": MAX_ITERATIONS,
|
||||
"best_sharpe": 0.0,
|
||||
"best_score": 0.0,
|
||||
"error": None,
|
||||
"llm_suggestions": [], # list of {iteration, reasoning, changes}
|
||||
"llm_suggestions": [],
|
||||
}
|
||||
_status_lock = threading.Lock()
|
||||
|
||||
@@ -352,15 +345,9 @@ def update_status(**kwargs):
|
||||
|
||||
|
||||
def run_optimization_loop(callback=None, config_override=None):
|
||||
"""
|
||||
Run the optimization loop. Designed to be called from a background thread.
|
||||
|
||||
Args:
|
||||
callback: Called after each iteration with (iteration_number, iter_data_dict).
|
||||
config_override: Optional dict to use instead of loading from disk.
|
||||
"""
|
||||
"""Run the optimization loop from a background thread."""
|
||||
_stop_event.clear()
|
||||
update_status(state="running", iteration=0, error=None, best_sharpe=0.0)
|
||||
update_status(state="running", iteration=0, error=None, best_score=0.0)
|
||||
|
||||
try:
|
||||
os.makedirs(RESULTS_DIR, exist_ok=True)
|
||||
@@ -380,8 +367,8 @@ def run_optimization_loop(callback=None, config_override=None):
|
||||
|
||||
history = load_iteration_history()
|
||||
start_iter = len(history) + 1
|
||||
best_sharpe = max((h["sharpe"] for h in history), default=0)
|
||||
update_status(best_sharpe=best_sharpe)
|
||||
best_score = max((h.get("cost_improvement", 0) for h in history), default=0)
|
||||
update_status(best_score=best_score)
|
||||
|
||||
setup_windows_remote()
|
||||
scp_to_windows(os.path.join(BASE_DIR, "ml_engine", "train_and_backtest.py"), "train_and_backtest.py")
|
||||
@@ -418,23 +405,26 @@ def run_optimization_loop(callback=None, config_override=None):
|
||||
with open(results_local) as f:
|
||||
results = json.load(f)
|
||||
|
||||
current_sharpe = results.get("sharpe_ratio", 0)
|
||||
is_best = current_sharpe > best_sharpe
|
||||
current_score = results.get("cost_basis_improvement_pct", 0)
|
||||
signal_count = results.get("strong_buy_signal_count", 0)
|
||||
is_best = current_score > best_score and signal_count >= MIN_SIGNAL_COUNT
|
||||
|
||||
if is_best:
|
||||
best_sharpe = current_sharpe
|
||||
best_score = current_score
|
||||
with open(best_config_path, "w") as f:
|
||||
json.dump(config, f, indent=2)
|
||||
update_status(best_sharpe=best_sharpe)
|
||||
update_status(best_score=best_score)
|
||||
|
||||
iter_data = {
|
||||
"iteration": iteration,
|
||||
"timestamp": datetime.now(timezone.utc).isoformat(),
|
||||
"sharpe": current_sharpe,
|
||||
"return": results.get("total_return_pct", 0),
|
||||
"max_drawdown": results.get("max_drawdown_pct", 0),
|
||||
"win_rate": results.get("win_rate", 0),
|
||||
"trades": results.get("trade_count", 0),
|
||||
"profit_factor": results.get("profit_factor", 0),
|
||||
"cost_improvement": current_score,
|
||||
"signal_count": signal_count,
|
||||
"signal_frequency": results.get("signal_frequency_pct", 0),
|
||||
"r2_score": results.get("model_r2_score", 0),
|
||||
"score_at_bottoms": results.get("avg_score_at_actual_bottoms", 0),
|
||||
"score_at_tops": results.get("avg_score_at_actual_tops", 0),
|
||||
"quality": results.get("pct_quality_strong_buy", 0),
|
||||
"model_type": config.get("model_type", "unknown"),
|
||||
"is_best": is_best,
|
||||
"config": config,
|
||||
@@ -459,10 +449,10 @@ def run_optimization_loop(callback=None, config_override=None):
|
||||
update_status(state="completed")
|
||||
return
|
||||
|
||||
# LLM suggestion
|
||||
try:
|
||||
summary_history = [
|
||||
{k: h[k] for k in ("iteration", "sharpe", "return", "win_rate", "trades", "model_type")}
|
||||
{k: h[k] for k in ("iteration", "cost_improvement", "signal_count", "r2_score", "model_type")
|
||||
if k in h}
|
||||
for h in history
|
||||
]
|
||||
new_config, reasoning = analyze_and_suggest(config, results, summary_history)
|
||||
@@ -471,12 +461,25 @@ def run_optimization_loop(callback=None, config_override=None):
|
||||
"iteration": iteration,
|
||||
"reasoning": reasoning,
|
||||
})
|
||||
# Also persist LLM suggestion to iteration log
|
||||
iter_data["llm_reasoning"] = reasoning
|
||||
iter_data["llm_applied"] = True
|
||||
config = new_config
|
||||
except Exception:
|
||||
import random
|
||||
except Exception as e:
|
||||
import random, traceback
|
||||
err_msg = f"LLM call failed: {type(e).__name__}: {e}"
|
||||
print(f" WARNING: {err_msg}")
|
||||
traceback.print_exc()
|
||||
with _status_lock:
|
||||
_status["llm_suggestions"].append({
|
||||
"iteration": iteration,
|
||||
"reasoning": f"ERROR: {err_msg} — using random perturbation",
|
||||
})
|
||||
iter_data["llm_reasoning"] = err_msg
|
||||
iter_data["llm_applied"] = False
|
||||
hp = config.get("hyperparameters", {})
|
||||
hp["learning_rate"] = hp.get("learning_rate", 0.05) * random.uniform(0.8, 1.2)
|
||||
hp["max_depth"] = max(3, min(10, hp.get("max_depth", 6) + random.choice([-1, 0, 1])))
|
||||
hp["learning_rate"] = hp.get("learning_rate", 0.01) * random.uniform(0.8, 1.2)
|
||||
hp["max_depth"] = max(3, min(10, hp.get("max_depth", 5) + random.choice([-1, 0, 1])))
|
||||
config["hyperparameters"] = hp
|
||||
|
||||
update_status(state="completed")
|
||||
|
||||
@@ -0,0 +1,672 @@
|
||||
"""Scoring engine for Bitcoin accumulation zone metrics."""
|
||||
|
||||
import json
|
||||
import os
|
||||
import logging
|
||||
|
||||
log = logging.getLogger(__name__)
|
||||
|
||||
THRESHOLDS_PATH = os.path.join(
|
||||
os.path.dirname(os.path.dirname(os.path.abspath(__file__))),
|
||||
"config",
|
||||
"thresholds.json",
|
||||
)
|
||||
|
||||
|
||||
def load_thresholds():
|
||||
"""Load scoring thresholds from config."""
|
||||
try:
|
||||
with open(THRESHOLDS_PATH) as f:
|
||||
return json.load(f)
|
||||
except Exception:
|
||||
return {}
|
||||
|
||||
|
||||
def _score_range(value, ranges):
|
||||
"""Score a value using range-based thresholds.
|
||||
Each range is [low, high, score]. null means unbounded.
|
||||
"""
|
||||
if value is None:
|
||||
return None
|
||||
for low, high, score in ranges:
|
||||
low_ok = low is None or value >= low
|
||||
high_ok = high is None or value < high
|
||||
if low_ok and high_ok:
|
||||
return score
|
||||
return 0
|
||||
|
||||
|
||||
def _score_range_inverted(value, ranges):
|
||||
"""Score where higher value = lower range index (for drawdown)."""
|
||||
if value is None:
|
||||
return None
|
||||
for low, high, score in ranges:
|
||||
low_ok = low is None or value >= low
|
||||
high_ok = high is None or value < high
|
||||
if low_ok and high_ok:
|
||||
return score
|
||||
return 0
|
||||
|
||||
|
||||
def score_fear_greed(value, thresholds=None):
|
||||
"""Score Fear & Greed index (0-100 input, 0-10 output)."""
|
||||
if value is None:
|
||||
return None, "No data"
|
||||
t = (thresholds or load_thresholds()).get("fear_greed", {})
|
||||
ranges = t.get("ranges", [[0, 10, 10], [11, 25, 7], [26, 45, 4], [46, 55, 2], [56, 75, 1], [76, 100, 0]])
|
||||
score = _score_range(value, ranges)
|
||||
|
||||
if value <= 10:
|
||||
desc = "Extreme Fear — historically excellent buying"
|
||||
elif value <= 25:
|
||||
desc = "Fear — good accumulation territory"
|
||||
elif value <= 45:
|
||||
desc = "Low neutral — moderate opportunity"
|
||||
elif value <= 55:
|
||||
desc = "Neutral"
|
||||
elif value <= 75:
|
||||
desc = "Greed — caution"
|
||||
else:
|
||||
desc = "Extreme Greed — poor time to accumulate"
|
||||
return score, desc
|
||||
|
||||
|
||||
def score_puell_multiple(value, thresholds=None):
|
||||
if value is None:
|
||||
return None, "No data"
|
||||
t = (thresholds or load_thresholds()).get("puell_multiple", {})
|
||||
# Widened: post-halving Puell floors are rising (2016: 0.15, 2020: 0.3, 2024: 0.5+)
|
||||
ranges = t.get("ranges", [[None, 0.4, 10], [0.4, 0.7, 8], [0.7, 1.0, 5], [1.0, 1.5, 3], [1.5, 2.0, 1], [2.0, None, 0]])
|
||||
score = _score_range(value, ranges)
|
||||
|
||||
if value < 0.3:
|
||||
desc = "Deep value — miners under extreme stress"
|
||||
elif value < 0.5:
|
||||
desc = "Low — miners selling below average"
|
||||
elif value < 0.8:
|
||||
desc = "Below average miner revenue"
|
||||
elif value < 1.2:
|
||||
desc = "Average miner revenue"
|
||||
elif value < 2.0:
|
||||
desc = "Above average — miners profiting well"
|
||||
else:
|
||||
desc = "Elevated — potential top signal"
|
||||
return score, desc
|
||||
|
||||
|
||||
def score_mvrv_zscore(value, thresholds=None):
|
||||
if value is None:
|
||||
return None, "No data"
|
||||
t = (thresholds or load_thresholds()).get("mvrv_zscore", {})
|
||||
# Widened ranges: BTC cycles compress — Z-Score bottoms are getting shallower
|
||||
# 2015 bottom: -0.6, 2018 bottom: -0.4, 2022 bottom: -0.3, next may be ~0
|
||||
ranges = t.get("ranges", [[None, 0, 10], [0, 1.0, 8], [1.0, 2.0, 5], [2.0, 3, 3], [3, 5, 1], [5, None, 0]])
|
||||
score = _score_range(value, ranges)
|
||||
|
||||
if value < 0:
|
||||
desc = "Below realized value — historically perfect buy zone"
|
||||
elif value < 1.0:
|
||||
desc = "Near realized value — strong accumulation zone"
|
||||
elif value < 2.0:
|
||||
desc = "Fair value — decent entry territory"
|
||||
elif value < 3:
|
||||
desc = "Above fair value"
|
||||
elif value < 5:
|
||||
desc = "Overvalued territory"
|
||||
else:
|
||||
desc = "Extreme overvaluation — cycle top territory"
|
||||
return score, desc
|
||||
|
||||
|
||||
def score_drawdown(value, thresholds=None):
|
||||
"""Score drawdown from ATH (value is % drawdown, e.g. 50 = 50% below ATH)."""
|
||||
if value is None:
|
||||
return None, "No data"
|
||||
t = (thresholds or load_thresholds()).get("drawdown", {})
|
||||
ranges = t.get("ranges", [[70, None, 10], [50, 70, 8], [30, 50, 6], [20, 30, 4], [10, 20, 2], [None, 10, 0]])
|
||||
score = _score_range(value, ranges)
|
||||
|
||||
if value > 70:
|
||||
desc = f"{value:.0f}% below ATH — extreme capitulation"
|
||||
elif value > 50:
|
||||
desc = f"{value:.0f}% below ATH — deep bear market"
|
||||
elif value > 30:
|
||||
desc = f"{value:.0f}% below ATH — significant correction"
|
||||
elif value > 20:
|
||||
desc = f"{value:.0f}% below ATH — moderate pullback"
|
||||
elif value > 10:
|
||||
desc = f"{value:.0f}% below ATH — minor dip"
|
||||
else:
|
||||
desc = f"{value:.0f}% below ATH — near all-time high"
|
||||
return score, desc
|
||||
|
||||
|
||||
def score_price_vs_200w_sma(price, sma_200w, thresholds=None):
|
||||
"""Score price relative to 200-week SMA."""
|
||||
if price is None or sma_200w is None or sma_200w == 0:
|
||||
return None, "No data"
|
||||
pct_above = ((price - sma_200w) / sma_200w) * 100
|
||||
t = (thresholds or load_thresholds()).get("price_vs_200w_sma", {})
|
||||
# Widened: BTC increasingly stays above 200W SMA as it matures
|
||||
ranges = t.get("ranges", [[None, 0, 10], [0, 30, 7], [30, 60, 5], [60, 100, 2], [100, None, 0]])
|
||||
score = _score_range(pct_above, ranges)
|
||||
|
||||
if pct_above < 0:
|
||||
desc = f"Below 200W SMA — historically rare buy zone"
|
||||
elif pct_above < 30:
|
||||
desc = f"{pct_above:.0f}% above 200W SMA — strong value"
|
||||
elif pct_above < 60:
|
||||
desc = f"{pct_above:.0f}% above 200W SMA — fair value"
|
||||
elif pct_above < 100:
|
||||
desc = f"{pct_above:.0f}% above 200W SMA — extended"
|
||||
else:
|
||||
desc = f"{pct_above:.0f}% above 200W SMA — extremely overheated"
|
||||
return score, desc
|
||||
|
||||
|
||||
def score_reserve_risk(value, thresholds=None):
|
||||
if value is None:
|
||||
return None, "No data"
|
||||
t = (thresholds or load_thresholds()).get("reserve_risk", {})
|
||||
ranges = t.get("ranges", [[None, 0.002, 10], [0.002, 0.005, 7], [0.005, 0.01, 4], [0.01, 0.02, 2], [0.02, None, 0]])
|
||||
score = _score_range(value, ranges)
|
||||
|
||||
if value < 0.002:
|
||||
desc = "Very low risk/reward — strong accumulation"
|
||||
elif value < 0.005:
|
||||
desc = "Low risk — good entry"
|
||||
elif value < 0.01:
|
||||
desc = "Moderate risk/reward"
|
||||
elif value < 0.02:
|
||||
desc = "Elevated risk"
|
||||
else:
|
||||
desc = "High risk — cycle top territory"
|
||||
return score, desc
|
||||
|
||||
|
||||
def score_rhodl_ratio(value, thresholds=None):
|
||||
if value is None:
|
||||
return None, "No data"
|
||||
t = (thresholds or load_thresholds()).get("rhodl_ratio", {})
|
||||
ranges = t.get("ranges", [[None, 100, 10], [100, 500, 7], [500, 2000, 4], [2000, 10000, 1], [10000, None, 0]])
|
||||
score = _score_range(value, ranges)
|
||||
|
||||
if value < 100:
|
||||
desc = "Extreme low — long-term holders dominate"
|
||||
elif value < 500:
|
||||
desc = "Low — mature holder confidence"
|
||||
elif value < 2000:
|
||||
desc = "Moderate rotation"
|
||||
elif value < 10000:
|
||||
desc = "Elevated — new money entering"
|
||||
else:
|
||||
desc = "Extreme — speculative mania"
|
||||
return score, desc
|
||||
|
||||
|
||||
def score_nupl(value, thresholds=None):
|
||||
if value is None:
|
||||
return None, "No data"
|
||||
t = (thresholds or load_thresholds()).get("nupl", {})
|
||||
# Widened: NUPL bottoms getting shallower as BTC matures
|
||||
# 2015: -0.3, 2018: -0.28, 2022: -0.28, future may only dip to 0-0.1
|
||||
ranges = t.get("ranges", [[None, 0, 10], [0, 0.3, 8], [0.3, 0.5, 4], [0.5, 0.75, 1], [0.75, None, 0]])
|
||||
score = _score_range(value, ranges)
|
||||
|
||||
if value < 0:
|
||||
desc = "Capitulation — holders underwater"
|
||||
elif value < 0.3:
|
||||
desc = "Hope/Fear — early recovery, good accumulation"
|
||||
elif value < 0.5:
|
||||
desc = "Optimism — moderate profit taking"
|
||||
elif value < 0.75:
|
||||
desc = "Belief/Greed — significant unrealized gains"
|
||||
else:
|
||||
desc = "Euphoria — extreme unrealized profit"
|
||||
return score, desc
|
||||
|
||||
|
||||
def score_lth_realized_price(price, lth_rp, thresholds=None):
|
||||
"""Score price relative to Long-Term Holder realized price."""
|
||||
if price is None or lth_rp is None or lth_rp == 0:
|
||||
return None, "No data"
|
||||
pct_above = ((price - lth_rp) / lth_rp) * 100
|
||||
t = (thresholds or load_thresholds()).get("lth_realized_price", {})
|
||||
# Widened: as BTC matures, price spends more time above LTH RP
|
||||
# In 2024+, even "good" entries are 30-80% above LTH RP
|
||||
ranges = t.get("ranges", [[None, 0, 10], [0, 30, 7], [30, 80, 5], [80, 150, 3], [150, None, 1]])
|
||||
score = _score_range(pct_above, ranges)
|
||||
|
||||
if pct_above < 0:
|
||||
desc = f"Below LTH cost basis — LTHs underwater (extreme value)"
|
||||
elif pct_above < 30:
|
||||
desc = f"{pct_above:.0f}% above LTH cost basis — strong value"
|
||||
elif pct_above < 80:
|
||||
desc = f"{pct_above:.0f}% above LTH cost basis — fair value"
|
||||
elif pct_above < 150:
|
||||
desc = f"{pct_above:.0f}% above LTH cost basis — moderate"
|
||||
else:
|
||||
desc = f"{pct_above:.0f}% above LTH cost basis — extended"
|
||||
return score, desc
|
||||
|
||||
|
||||
def score_hash_ribbons(data, thresholds=None):
|
||||
"""Score hash ribbons based on buy signal detection."""
|
||||
if not data:
|
||||
return None, "No data"
|
||||
if data.get("buy_signal"):
|
||||
return 10, "Active buy signal — miner capitulation recovery"
|
||||
return 3, "Normal mining activity"
|
||||
|
||||
|
||||
def score_sopr(value, thresholds=None):
|
||||
if value is None:
|
||||
return None, "No data"
|
||||
if value < 0.98:
|
||||
return 10, "Deep loss realization — capitulation, strong accumulation"
|
||||
if value < 1.0:
|
||||
return 8, "Below breakeven — capitulation, good accumulation"
|
||||
if value < 1.02:
|
||||
return 5, "Near breakeven — neutral"
|
||||
if value < 1.05:
|
||||
return 2, "Moderate profit taking"
|
||||
return 0, "Elevated profit taking — caution"
|
||||
|
||||
|
||||
def score_sellside_risk(value, thresholds=None):
|
||||
if value is None:
|
||||
return None, "No data"
|
||||
if value < 0.001:
|
||||
return 10, "Very low sell-side risk — strong accumulation"
|
||||
if value < 0.002:
|
||||
return 8, "Low sell-side risk — good accumulation"
|
||||
if value < 0.005:
|
||||
return 5, "Moderate sell-side risk"
|
||||
if value < 0.01:
|
||||
return 2, "Elevated sell-side risk"
|
||||
return 0, "High sell-side risk"
|
||||
|
||||
|
||||
def score_momentum_pct(value):
|
||||
if value is None:
|
||||
return None, "No data"
|
||||
pct = value * 100
|
||||
if pct >= 20:
|
||||
return 10, f"Strong positive momentum (+{pct:.0f}%)"
|
||||
if pct >= 0:
|
||||
return 6, f"Mild positive momentum (+{pct:.0f}%)"
|
||||
if pct >= -10:
|
||||
return 4, f"Slightly negative momentum ({pct:.0f}%)"
|
||||
if pct >= -25:
|
||||
return 2, f"Weak momentum ({pct:.0f}%)"
|
||||
return 1, f"Strong negative momentum ({pct:.0f}%)"
|
||||
|
||||
|
||||
def score_nvt_price(nvt_price, spot_price):
|
||||
if nvt_price is None or spot_price is None or spot_price <= 0:
|
||||
return None, "No data"
|
||||
premium = (nvt_price - spot_price) / spot_price * 100
|
||||
if premium < -25:
|
||||
return 10, f"NVT price {abs(premium):.0f}% below spot — deep value"
|
||||
if premium < -10:
|
||||
return 8, f"NVT price {abs(premium):.0f}% below spot — undervalued"
|
||||
if premium < 10:
|
||||
relation = "below" if premium < 0 else "above"
|
||||
return 5, f"NVT price {abs(premium):.0f}% {relation} spot — fair value"
|
||||
if premium < 30:
|
||||
return 2, f"NVT price {premium:.0f}% above spot — extended"
|
||||
return 0, f"NVT price {premium:.0f}% above spot — overheated"
|
||||
|
||||
|
||||
def score_all(metrics):
|
||||
"""Score all metrics and return individual + composite scores."""
|
||||
thresholds = load_thresholds()
|
||||
results = []
|
||||
|
||||
# Fear & Greed
|
||||
fg = metrics.get("fear_greed", {})
|
||||
fg_score, fg_desc = score_fear_greed(fg.get("value"), thresholds)
|
||||
results.append({
|
||||
"name": "Fear & Greed Index",
|
||||
"key": "fear_greed",
|
||||
"value": fg.get("value"),
|
||||
"display_value": f"{fg.get('value', 'N/A')} — {fg.get('classification', '')}",
|
||||
"score": fg_score,
|
||||
"description": fg_desc,
|
||||
"recent": fg.get("recent", []),
|
||||
})
|
||||
|
||||
# Puell Multiple
|
||||
pm = metrics.get("puell_multiple", {})
|
||||
pm_score, pm_desc = score_puell_multiple(pm.get("value"), thresholds)
|
||||
results.append({
|
||||
"name": "Puell Multiple",
|
||||
"key": "puell_multiple",
|
||||
"value": pm.get("value"),
|
||||
"display_value": f"{pm.get('value', 'N/A'):.4f}" if pm.get("value") is not None else "N/A",
|
||||
"score": pm_score,
|
||||
"description": pm_desc,
|
||||
"recent": pm.get("recent", []),
|
||||
})
|
||||
|
||||
# MVRV Z-Score
|
||||
mz = metrics.get("mvrv_zscore", {})
|
||||
mz_score, mz_desc = score_mvrv_zscore(mz.get("value"), thresholds)
|
||||
results.append({
|
||||
"name": "MVRV Z-Score",
|
||||
"key": "mvrv_zscore",
|
||||
"value": mz.get("value"),
|
||||
"display_value": f"{mz.get('value', 'N/A'):.2f}" if mz.get("value") is not None else "N/A",
|
||||
"score": mz_score,
|
||||
"description": mz_desc,
|
||||
"recent": mz.get("recent", []),
|
||||
})
|
||||
|
||||
# Drawdown from ATH
|
||||
dd = metrics.get("drawdown", {})
|
||||
dd_score, dd_desc = score_drawdown(dd.get("value"), thresholds)
|
||||
results.append({
|
||||
"name": "Drawdown from ATH",
|
||||
"key": "drawdown",
|
||||
"value": dd.get("value"),
|
||||
"display_value": f"{dd.get('value', 0):.1f}%" if dd.get("value") is not None else "N/A",
|
||||
"score": dd_score,
|
||||
"description": dd_desc,
|
||||
"recent": [],
|
||||
})
|
||||
|
||||
# Price vs 200W SMA
|
||||
sma = metrics.get("200w_sma", {})
|
||||
price_data = metrics.get("price", {})
|
||||
current_price = price_data.get("price") or sma.get("btc_price")
|
||||
sma_val = sma.get("value")
|
||||
sma_score, sma_desc = score_price_vs_200w_sma(current_price, sma_val, thresholds)
|
||||
results.append({
|
||||
"name": "Price vs 200W SMA",
|
||||
"key": "price_vs_200w_sma",
|
||||
"value": sma_val,
|
||||
"display_value": f"${sma_val:,.0f}" if sma_val else "N/A",
|
||||
"score": sma_score,
|
||||
"description": sma_desc,
|
||||
"recent": sma.get("recent", []),
|
||||
})
|
||||
|
||||
# Reserve Risk
|
||||
rr = metrics.get("reserve_risk", {})
|
||||
rr_score, rr_desc = score_reserve_risk(rr.get("value"), thresholds)
|
||||
results.append({
|
||||
"name": "Reserve Risk",
|
||||
"key": "reserve_risk",
|
||||
"value": rr.get("value"),
|
||||
"display_value": f"{rr.get('value', 'N/A'):.6f}" if rr.get("value") is not None else "N/A",
|
||||
"score": rr_score,
|
||||
"description": rr_desc,
|
||||
"recent": rr.get("recent", []),
|
||||
})
|
||||
|
||||
# RHODL Ratio
|
||||
rh = metrics.get("rhodl_ratio", {})
|
||||
rh_score, rh_desc = score_rhodl_ratio(rh.get("value"), thresholds)
|
||||
results.append({
|
||||
"name": "RHODL Ratio",
|
||||
"key": "rhodl_ratio",
|
||||
"value": rh.get("value"),
|
||||
"display_value": f"{rh.get('value', 'N/A'):.0f}" if rh.get("value") is not None else "N/A",
|
||||
"score": rh_score,
|
||||
"description": rh_desc,
|
||||
"recent": rh.get("recent", []),
|
||||
})
|
||||
|
||||
# NUPL
|
||||
nu = metrics.get("nupl", {})
|
||||
nu_score, nu_desc = score_nupl(nu.get("value"), thresholds)
|
||||
results.append({
|
||||
"name": "Net Unrealized Profit/Loss",
|
||||
"key": "nupl",
|
||||
"value": nu.get("value"),
|
||||
"display_value": f"{nu.get('value', 'N/A'):.4f}" if nu.get("value") is not None else "N/A",
|
||||
"score": nu_score,
|
||||
"description": nu_desc,
|
||||
"recent": nu.get("recent", []),
|
||||
})
|
||||
|
||||
# LTH Realized Price
|
||||
lth = metrics.get("lth_realized_price", {})
|
||||
lth_price = lth.get("btc_price") or current_price
|
||||
lth_rp = lth.get("value")
|
||||
lth_score, lth_desc = score_lth_realized_price(lth_price, lth_rp, thresholds)
|
||||
results.append({
|
||||
"name": "LTH Realized Price",
|
||||
"key": "lth_realized_price",
|
||||
"value": lth_rp,
|
||||
"display_value": f"${lth_rp:,.0f}" if lth_rp else "N/A",
|
||||
"score": lth_score,
|
||||
"description": lth_desc,
|
||||
"recent": lth.get("recent", []),
|
||||
})
|
||||
|
||||
# Hash Ribbons
|
||||
hr = metrics.get("hash_ribbons", {})
|
||||
hr_score, hr_desc = score_hash_ribbons(hr, thresholds)
|
||||
results.append({
|
||||
"name": "Hash Ribbons",
|
||||
"key": "hash_ribbons",
|
||||
"value": None,
|
||||
"display_value": "Buy Signal" if hr.get("buy_signal") else "Normal",
|
||||
"score": hr_score,
|
||||
"description": hr_desc,
|
||||
"recent": [],
|
||||
})
|
||||
|
||||
# SOPR
|
||||
sopr = metrics.get("sopr", {})
|
||||
sopr_score, sopr_desc = score_sopr(sopr.get("value"), thresholds)
|
||||
results.append({
|
||||
"name": "SOPR",
|
||||
"key": "sopr",
|
||||
"value": sopr.get("value"),
|
||||
"display_value": f"{sopr.get('value', 'N/A'):.4f}" if sopr.get("value") is not None else "N/A",
|
||||
"score": sopr_score,
|
||||
"description": sopr_desc,
|
||||
"recent": sopr.get("recent", []),
|
||||
})
|
||||
|
||||
# Sell-side Risk Ratio
|
||||
ssr = metrics.get("sellside_risk", {})
|
||||
ssr_score, ssr_desc = score_sellside_risk(ssr.get("value"), thresholds)
|
||||
results.append({
|
||||
"name": "Sell-side Risk Ratio",
|
||||
"key": "sellside_risk",
|
||||
"value": ssr.get("value"),
|
||||
"display_value": f"{ssr.get('value', 'N/A'):.6f}" if ssr.get("value") is not None else "N/A",
|
||||
"score": ssr_score,
|
||||
"description": ssr_desc,
|
||||
"recent": ssr.get("recent", []),
|
||||
})
|
||||
|
||||
# Active Address Momentum
|
||||
aam = metrics.get("active_address_momentum", {})
|
||||
aam_score, aam_desc = score_momentum_pct(aam.get("value"))
|
||||
results.append({
|
||||
"name": "Active Address Momentum",
|
||||
"key": "active_address_momentum",
|
||||
"value": aam.get("value"),
|
||||
"display_value": f"{aam.get('value') * 100:.1f}%" if aam.get("value") is not None else "N/A",
|
||||
"score": aam_score,
|
||||
"description": aam_desc,
|
||||
"recent": aam.get("recent", []),
|
||||
})
|
||||
|
||||
# Transaction Count Momentum
|
||||
txm = metrics.get("txcount_momentum", {})
|
||||
txm_score, txm_desc = score_momentum_pct(txm.get("value"))
|
||||
results.append({
|
||||
"name": "Transaction Count Momentum",
|
||||
"key": "txcount_momentum",
|
||||
"value": txm.get("value"),
|
||||
"display_value": f"{txm.get('value') * 100:.1f}%" if txm.get("value") is not None else "N/A",
|
||||
"score": txm_score,
|
||||
"description": txm_desc,
|
||||
"recent": txm.get("recent", []),
|
||||
})
|
||||
|
||||
# NVT Price
|
||||
nvt = metrics.get("nvt_price", {})
|
||||
nvt_score, nvt_desc = score_nvt_price(nvt.get("value"), current_price)
|
||||
results.append({
|
||||
"name": "NVT Price",
|
||||
"key": "nvt_price",
|
||||
"value": nvt.get("value"),
|
||||
"display_value": f"${nvt.get('value'):,.0f}" if nvt.get("value") is not None else "N/A",
|
||||
"score": nvt_score,
|
||||
"description": nvt_desc,
|
||||
"recent": nvt.get("recent", []),
|
||||
})
|
||||
|
||||
# VDD Multiple
|
||||
vdd = metrics.get("vdd_multiple", {})
|
||||
vdd_score, vdd_desc = score_momentum_pct(vdd.get("value"))
|
||||
results.append({
|
||||
"name": "VDD Multiple",
|
||||
"key": "vdd_multiple",
|
||||
"value": vdd.get("value"),
|
||||
"display_value": f"{vdd.get('value') * 100:.1f}%" if vdd.get("value") is not None else "N/A",
|
||||
"score": vdd_score,
|
||||
"description": vdd_desc,
|
||||
"recent": vdd.get("recent", []),
|
||||
})
|
||||
|
||||
# Compute composite
|
||||
valid_scores = [r["score"] for r in results if r["score"] is not None]
|
||||
if valid_scores:
|
||||
# Scale to 0-100 based on available metrics
|
||||
composite = sum(valid_scores) / len(valid_scores) * 10
|
||||
else:
|
||||
composite = 0
|
||||
|
||||
# Assessment text — calibrated for cycle-aware scoring
|
||||
if composite >= 80:
|
||||
assessment = "EXTREME ACCUMULATION ZONE"
|
||||
elif composite >= 65:
|
||||
assessment = "STRONG ACCUMULATION ZONE"
|
||||
elif composite >= 50:
|
||||
assessment = "MODERATE OPPORTUNITY"
|
||||
elif composite >= 35:
|
||||
assessment = "NEUTRAL"
|
||||
elif composite >= 20:
|
||||
assessment = "CAUTION — OVERHEATED"
|
||||
else:
|
||||
assessment = "EXTREME CAUTION"
|
||||
|
||||
return {
|
||||
"metrics": results,
|
||||
"composite_score": round(composite, 1),
|
||||
"assessment": assessment,
|
||||
"scored_count": len(valid_scores),
|
||||
"total_count": len(results),
|
||||
}
|
||||
|
||||
|
||||
# ── ML-Optimized Scoring ──────────────────────────────────────────────
|
||||
|
||||
ML_WEIGHTS_PATH = os.path.join(
|
||||
os.path.dirname(os.path.dirname(os.path.abspath(__file__))),
|
||||
"config",
|
||||
"ml_weights.json",
|
||||
)
|
||||
|
||||
# Maps scoring engine metric keys to ML weight keys
|
||||
_ML_KEY_MAP = {
|
||||
"fear_greed": "fear_greed",
|
||||
"puell_multiple": "puell_multiple",
|
||||
"mvrv_zscore": "mvrv_zscore",
|
||||
"drawdown": "drawdown",
|
||||
"price_vs_200w_sma": "pct_above_200w_sma",
|
||||
"reserve_risk": "reserve_risk",
|
||||
"rhodl_ratio": "rhodl_ratio",
|
||||
"nupl": "nupl",
|
||||
"lth_realized_price": "pct_above_lth_rp",
|
||||
}
|
||||
|
||||
|
||||
def load_ml_weights():
|
||||
"""Load ML-optimized weights from config."""
|
||||
try:
|
||||
with open(ML_WEIGHTS_PATH) as f:
|
||||
data = json.load(f)
|
||||
return data.get("weights", {})
|
||||
except Exception:
|
||||
return {}
|
||||
|
||||
|
||||
def score_all_ml(metrics):
|
||||
"""Score all metrics using ML-optimized weights.
|
||||
|
||||
Same output format as score_all() but uses learned weights
|
||||
instead of equal weighting. Each metric still shows its
|
||||
individual 0-10 score plus the ML weight applied to it.
|
||||
"""
|
||||
# Get classic scores first (reuses all individual scoring logic)
|
||||
classic = score_all(metrics)
|
||||
ml_weights = load_ml_weights()
|
||||
|
||||
if not ml_weights:
|
||||
# Fallback to classic if no ML weights available
|
||||
classic["ml_mode"] = False
|
||||
classic["ml_error"] = "ML weights not found — run ml/optimizer.py"
|
||||
return classic
|
||||
|
||||
results = classic["metrics"]
|
||||
|
||||
# Compute raw ML weights first, then normalize across only the currently
|
||||
# scored metrics. This keeps the dashboard's displayed per-metric weights and
|
||||
# contribution points consistent with the normalized composite score even
|
||||
# when optional metrics are missing or hash ribbons receives its fallback.
|
||||
weighted_metrics = []
|
||||
for m in results:
|
||||
if m["score"] is None:
|
||||
continue
|
||||
ml_key = _ML_KEY_MAP.get(m["key"])
|
||||
if ml_key is None:
|
||||
# Hash ribbons or unknown metric — use small default weight
|
||||
raw_weight = 0.01
|
||||
else:
|
||||
raw_weight = ml_weights.get(ml_key, 0.0)
|
||||
weighted_metrics.append((m, raw_weight))
|
||||
|
||||
weight_total = sum(raw_weight for _, raw_weight in weighted_metrics)
|
||||
if weight_total > 0:
|
||||
composite = sum(m["score"] * raw_weight for m, raw_weight in weighted_metrics) / weight_total * 10
|
||||
else:
|
||||
composite = 0
|
||||
|
||||
for m, raw_weight in weighted_metrics:
|
||||
effective_weight = raw_weight / weight_total if weight_total > 0 else 0.0
|
||||
m["ml_raw_weight"] = round(raw_weight, 4)
|
||||
m["ml_weight"] = round(effective_weight, 4)
|
||||
m["ml_contribution"] = round(m["score"] * effective_weight * 10, 2)
|
||||
|
||||
# Assessment text (same thresholds as classic)
|
||||
if composite >= 80:
|
||||
assessment = "EXTREME ACCUMULATION ZONE"
|
||||
elif composite >= 65:
|
||||
assessment = "STRONG ACCUMULATION ZONE"
|
||||
elif composite >= 50:
|
||||
assessment = "MODERATE OPPORTUNITY"
|
||||
elif composite >= 35:
|
||||
assessment = "NEUTRAL"
|
||||
elif composite >= 20:
|
||||
assessment = "CAUTION — OVERHEATED"
|
||||
else:
|
||||
assessment = "EXTREME CAUTION"
|
||||
|
||||
return {
|
||||
"metrics": results,
|
||||
"composite_score": round(composite, 1),
|
||||
"assessment": assessment,
|
||||
"scored_count": classic["scored_count"],
|
||||
"total_count": classic["total_count"],
|
||||
"ml_mode": True,
|
||||
"classic_score": classic["composite_score"],
|
||||
"ml_weight_total": round(weight_total, 4),
|
||||
}
|
||||
@@ -0,0 +1,170 @@
|
||||
"""Scraper for static CheckOnChain Plotly chart HTML pages."""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import array
|
||||
import base64
|
||||
import json
|
||||
import logging
|
||||
import re
|
||||
from html import unescape
|
||||
|
||||
import requests
|
||||
|
||||
log = logging.getLogger(__name__)
|
||||
|
||||
CHARTS = {
|
||||
"sopr": {
|
||||
"url": "https://charts.checkonchain.com/btconchain/realised/sopr/sopr_light.html",
|
||||
"traces": ["SOPR"],
|
||||
},
|
||||
"sellside_risk": {
|
||||
"url": "https://charts.checkonchain.com/btconchain/realised/sellsideriskratio_all/sellsideriskratio_all_light.html",
|
||||
"traces": ["Sell-side Risk Ratio", "Sellside Risk Ratio", "SSR"],
|
||||
},
|
||||
"active_address_momentum": {
|
||||
"url": "https://charts.checkonchain.com/btconchain/adoption/actaddress_momentum/actaddress_momentum_light.html",
|
||||
"traces": ["30DMA", "30 Day", "Active Address"],
|
||||
},
|
||||
"txcount_momentum": {
|
||||
"url": "https://charts.checkonchain.com/btconchain/adoption/txcount_momentum/txcount_momentum_light.html",
|
||||
"traces": ["30DMA", "30 Day", "Transaction"],
|
||||
},
|
||||
"nvt_price": {
|
||||
"url": "https://charts.checkonchain.com/btconchain/pricing/pricing_nvtprice/pricing_nvtprice_light.html",
|
||||
"traces": ["NVT Price", "NVT"],
|
||||
},
|
||||
"vdd_multiple": {
|
||||
"url": "https://charts.checkonchain.com/btconchain/lifespan/vddmultiple/vddmultiple_light.html",
|
||||
"traces": ["VDD Multiple", "Value Days Destroyed"],
|
||||
},
|
||||
}
|
||||
|
||||
|
||||
def _extract_plotly_traces(html_text: str):
|
||||
"""Extract first Plotly.newPlot trace array from a static Plotly HTML page."""
|
||||
marker = "Plotly.newPlot("
|
||||
start = html_text.find(marker)
|
||||
if start < 0:
|
||||
return []
|
||||
first_array = html_text.find("[", start)
|
||||
if first_array < 0:
|
||||
return []
|
||||
|
||||
depth = 0
|
||||
in_string = False
|
||||
escape = False
|
||||
quote = ""
|
||||
for idx in range(first_array, len(html_text)):
|
||||
ch = html_text[idx]
|
||||
if in_string:
|
||||
if escape:
|
||||
escape = False
|
||||
elif ch == "\\":
|
||||
escape = True
|
||||
elif ch == quote:
|
||||
in_string = False
|
||||
continue
|
||||
if ch in {'"', "'"}:
|
||||
in_string = True
|
||||
quote = ch
|
||||
elif ch == "[":
|
||||
depth += 1
|
||||
elif ch == "]":
|
||||
depth -= 1
|
||||
if depth == 0:
|
||||
raw = html_text[first_array:idx + 1]
|
||||
return json.loads(raw)
|
||||
return []
|
||||
|
||||
|
||||
def scrape_chart(url: str, timeout=30):
|
||||
resp = requests.get(url, headers={"User-Agent": "Mozilla/5.0"}, timeout=timeout)
|
||||
resp.raise_for_status()
|
||||
return _extract_plotly_traces(unescape(resp.text))
|
||||
|
||||
|
||||
def _find_trace(traces, names):
|
||||
names = [n.lower() for n in names if n]
|
||||
# Prefer non-price traces with the requested terms.
|
||||
for trace in traces:
|
||||
trace_name = str(trace.get("name", "")).lower()
|
||||
if "price" in trace_name and not any("price" in n for n in names):
|
||||
continue
|
||||
if any(n in trace_name for n in names):
|
||||
return trace
|
||||
# Fallback: first numeric non-price trace.
|
||||
for trace in traces:
|
||||
trace_name = str(trace.get("name", "")).lower()
|
||||
if "price" in trace_name:
|
||||
continue
|
||||
y = trace.get("y") or []
|
||||
if any(v is not None for v in y[-30:]):
|
||||
return trace
|
||||
return None
|
||||
|
||||
|
||||
def _decode_plotly_array(values):
|
||||
"""Decode Plotly typed-array JSON ({dtype, bdata}) or return plain values."""
|
||||
if not isinstance(values, dict) or "bdata" not in values:
|
||||
return values or []
|
||||
|
||||
dtype = values.get("dtype")
|
||||
typecodes = {
|
||||
"f8": "d", "float64": "d",
|
||||
"f4": "f", "float32": "f",
|
||||
"i8": "q", "int64": "q",
|
||||
"i4": "i", "int32": "i",
|
||||
"u8": "Q", "uint64": "Q",
|
||||
"u4": "I", "uint32": "I",
|
||||
}
|
||||
typecode = typecodes.get(dtype)
|
||||
if not typecode:
|
||||
return []
|
||||
decoded = base64.b64decode(values["bdata"])
|
||||
arr = array.array(typecode)
|
||||
arr.frombytes(decoded)
|
||||
if values.get("byteorder") == "big":
|
||||
arr.byteswap()
|
||||
return arr.tolist()
|
||||
|
||||
|
||||
def _numeric_values(trace):
|
||||
values = []
|
||||
for value in _decode_plotly_array((trace or {}).get("y", [])):
|
||||
if value is None:
|
||||
continue
|
||||
try:
|
||||
values.append(float(value))
|
||||
except (TypeError, ValueError):
|
||||
pass
|
||||
return values
|
||||
|
||||
|
||||
def _latest(values):
|
||||
return values[-1] if values else None
|
||||
|
||||
|
||||
def _momentum(values, window=30):
|
||||
if len(values) <= window or values[-window] == 0:
|
||||
return None
|
||||
return (values[-1] - values[-window]) / values[-window]
|
||||
|
||||
|
||||
def scrape_all():
|
||||
results = {}
|
||||
for key, cfg in CHARTS.items():
|
||||
log.info("Scraping CheckOnChain %s ...", key)
|
||||
try:
|
||||
traces = scrape_chart(cfg["url"])
|
||||
trace = _find_trace(traces, cfg.get("traces", []))
|
||||
values = _numeric_values(trace)
|
||||
value = _latest(values)
|
||||
if key in {"active_address_momentum", "txcount_momentum", "vdd_multiple"}:
|
||||
# The card value is momentum, while the sparkline shows the raw metric.
|
||||
value = _momentum(values)
|
||||
results[key] = {"value": value, "recent": values[-30:]}
|
||||
except Exception as exc:
|
||||
log.error("CheckOnChain scrape failed for %s: %s", key, exc)
|
||||
results[key] = {"value": None, "error": str(exc)}
|
||||
return results
|
||||
@@ -0,0 +1,34 @@
|
||||
"""Fear & Greed Index from alternative.me API."""
|
||||
|
||||
import logging
|
||||
import requests
|
||||
|
||||
log = logging.getLogger(__name__)
|
||||
|
||||
FNG_URL = "https://api.alternative.me/fng/?limit=30"
|
||||
|
||||
|
||||
def fetch():
|
||||
"""Fetch Fear & Greed data. Returns dict with value, classification, and recent history."""
|
||||
try:
|
||||
resp = requests.get(FNG_URL, timeout=15)
|
||||
resp.raise_for_status()
|
||||
data = resp.json()
|
||||
entries = data.get("data", [])
|
||||
if not entries:
|
||||
return {"value": None, "error": "No data"}
|
||||
|
||||
current = entries[0]
|
||||
value = int(current["value"])
|
||||
classification = current.get("value_classification", "")
|
||||
|
||||
recent = [int(e["value"]) for e in entries[:30]]
|
||||
|
||||
return {
|
||||
"value": value,
|
||||
"classification": classification,
|
||||
"recent": recent,
|
||||
}
|
||||
except Exception as e:
|
||||
log.error("Fear & Greed fetch error: %s", e)
|
||||
return {"value": None, "error": str(e)}
|
||||
@@ -0,0 +1,276 @@
|
||||
"""Collect full historical time series from LookIntoBitcoin charts, CoinGecko, and Fear & Greed."""
|
||||
|
||||
import json
|
||||
import logging
|
||||
import os
|
||||
import time
|
||||
from datetime import datetime
|
||||
|
||||
import requests
|
||||
|
||||
log = logging.getLogger(__name__)
|
||||
|
||||
BASE_DIR = os.path.dirname(os.path.dirname(os.path.abspath(__file__)))
|
||||
HISTORY_PATH = os.path.join(BASE_DIR, "data", "history.json")
|
||||
|
||||
# Charts to scrape with expected trace names
|
||||
CHART_CONFIGS = {
|
||||
"puell_multiple": {
|
||||
"path": "/charts/puell-multiple/",
|
||||
"traces": {"puell_multiple": "Puell Multiple", "btc_price": "Price"},
|
||||
},
|
||||
"mvrv_zscore": {
|
||||
"path": "/charts/mvrv-zscore/",
|
||||
"traces": {"mvrv_zscore": "Z-Score"},
|
||||
},
|
||||
"reserve_risk": {
|
||||
"path": "/charts/reserve-risk/",
|
||||
"traces": {"reserve_risk": "Reserve Risk"},
|
||||
},
|
||||
"rhodl_ratio": {
|
||||
"path": "/charts/rhodl-ratio/",
|
||||
"traces": {"rhodl_ratio": "RHODL Ratio"},
|
||||
},
|
||||
"nupl": {
|
||||
"path": "/charts/relative-unrealized-profit--loss/",
|
||||
"traces": {"nupl": "NUPL"},
|
||||
},
|
||||
"200w_sma": {
|
||||
"path": "/charts/200-week-moving-average-heatmap/",
|
||||
"traces": {"200w_sma": "200 Week Moving Average", "btc_price_sma": "Price"},
|
||||
},
|
||||
"lth_realized_price": {
|
||||
"path": "/charts/long-term-holder-realized-price/",
|
||||
"traces": {"lth_realized_price": "Long-Term Holder Realized Price", "btc_price_lth": "Price"},
|
||||
},
|
||||
"lth_supply": {
|
||||
"path": "/charts/long-term-holder-supply/",
|
||||
"traces": {"lth_supply": None}, # None = grab first numeric trace
|
||||
},
|
||||
}
|
||||
|
||||
|
||||
def _find_trace(traces, name):
|
||||
"""Find a trace by name (case-insensitive partial match)."""
|
||||
if not traces or not name:
|
||||
return None
|
||||
name_lower = name.lower()
|
||||
for t in traces:
|
||||
trace_name = t.get("name", "").lower()
|
||||
if name_lower in trace_name or trace_name in name_lower:
|
||||
return t
|
||||
words = name_lower.split()
|
||||
for t in traces:
|
||||
trace_name = t.get("name", "").lower()
|
||||
if all(w in trace_name for w in words):
|
||||
return t
|
||||
return None
|
||||
|
||||
|
||||
def _extract_series(trace):
|
||||
"""Extract (dates, values) from a Plotly trace dict."""
|
||||
if not trace:
|
||||
return [], []
|
||||
x = trace.get("x", [])
|
||||
y = trace.get("y", [])
|
||||
dates = []
|
||||
values = []
|
||||
for i, (d, v) in enumerate(zip(x, y)):
|
||||
if v is None:
|
||||
continue
|
||||
try:
|
||||
val = float(v)
|
||||
except (ValueError, TypeError):
|
||||
continue
|
||||
# Normalize date string to YYYY-MM-DD
|
||||
date_str = str(d)[:10]
|
||||
dates.append(date_str)
|
||||
values.append(val)
|
||||
return dates, values
|
||||
|
||||
|
||||
def scrape_chart_history(chart_path):
|
||||
"""Scrape a chart and return all trace data."""
|
||||
from scrapers.lookintobitcoin import scrape_chart
|
||||
return scrape_chart(chart_path)
|
||||
|
||||
|
||||
def collect_onchain_history(progress_cb=None):
|
||||
"""Scrape all on-chain charts and return dict of {metric: {dates, values}}."""
|
||||
result = {}
|
||||
total = len(CHART_CONFIGS)
|
||||
|
||||
for idx, (chart_key, cfg) in enumerate(CHART_CONFIGS.items()):
|
||||
label = f"[{idx+1}/{total}] {chart_key}"
|
||||
log.info("Scraping history: %s", label)
|
||||
if progress_cb:
|
||||
progress_cb(chart_key, idx, total)
|
||||
|
||||
try:
|
||||
traces = scrape_chart_history(cfg["path"])
|
||||
if not traces:
|
||||
log.warning("No traces for %s", chart_key)
|
||||
continue
|
||||
|
||||
for metric_key, trace_name in cfg["traces"].items():
|
||||
if trace_name is None:
|
||||
# Grab first trace with numeric data
|
||||
for candidate in traces:
|
||||
y = candidate.get("y", [])
|
||||
if y and any(v is not None for v in y[-10:]):
|
||||
dates, values = _extract_series(candidate)
|
||||
if dates:
|
||||
result[metric_key] = {"dates": dates, "values": values}
|
||||
log.info(" %s: %d data points", metric_key, len(dates))
|
||||
break
|
||||
else:
|
||||
t = _find_trace(traces, trace_name)
|
||||
if not t:
|
||||
# Fallback: try BTC Price
|
||||
if "btc_price" in metric_key or "price" in trace_name.lower():
|
||||
t = _find_trace(traces, "BTC") or _find_trace(traces, "Price")
|
||||
if not t:
|
||||
log.warning(" Trace '%s' not found for %s", trace_name, metric_key)
|
||||
continue
|
||||
dates, values = _extract_series(t)
|
||||
if dates:
|
||||
result[metric_key] = {"dates": dates, "values": values}
|
||||
log.info(" %s: %d data points (%s to %s)", metric_key, len(dates), dates[0], dates[-1])
|
||||
else:
|
||||
log.warning(" %s: no valid data points", metric_key)
|
||||
|
||||
except Exception as e:
|
||||
log.error("Error scraping %s: %s", chart_key, e)
|
||||
|
||||
# Be polite between requests
|
||||
if idx < total - 1:
|
||||
time.sleep(2)
|
||||
|
||||
return result
|
||||
|
||||
|
||||
def collect_price_history():
|
||||
"""Fetch BTC price history from CoinGecko (max history)."""
|
||||
log.info("Fetching BTC price history from CoinGecko...")
|
||||
try:
|
||||
resp = requests.get(
|
||||
"https://api.coingecko.com/api/v3/coins/bitcoin/market_chart",
|
||||
params={"vs_currency": "usd", "days": "max"},
|
||||
timeout=30,
|
||||
)
|
||||
resp.raise_for_status()
|
||||
data = resp.json()
|
||||
prices = data.get("prices", [])
|
||||
dates = []
|
||||
values = []
|
||||
seen_dates = set()
|
||||
for ts_ms, price in prices:
|
||||
d = datetime.utcfromtimestamp(ts_ms / 1000).strftime("%Y-%m-%d")
|
||||
if d not in seen_dates:
|
||||
seen_dates.add(d)
|
||||
dates.append(d)
|
||||
values.append(round(price, 2))
|
||||
log.info("CoinGecko BTC price: %d days (%s to %s)", len(dates), dates[0] if dates else "?", dates[-1] if dates else "?")
|
||||
return {"dates": dates, "values": values}
|
||||
except Exception as e:
|
||||
log.error("CoinGecko price fetch failed: %s", e)
|
||||
return None
|
||||
|
||||
|
||||
def collect_fear_greed_history():
|
||||
"""Fetch full Fear & Greed history from alternative.me."""
|
||||
log.info("Fetching Fear & Greed history...")
|
||||
try:
|
||||
resp = requests.get(
|
||||
"https://api.alternative.me/fng/",
|
||||
params={"limit": "0"},
|
||||
timeout=30,
|
||||
)
|
||||
resp.raise_for_status()
|
||||
data = resp.json().get("data", [])
|
||||
dates = []
|
||||
values = []
|
||||
for entry in reversed(data): # API returns newest first
|
||||
ts = int(entry["timestamp"])
|
||||
d = datetime.utcfromtimestamp(ts).strftime("%Y-%m-%d")
|
||||
dates.append(d)
|
||||
values.append(int(entry["value"]))
|
||||
log.info("Fear & Greed: %d days (%s to %s)", len(dates), dates[0] if dates else "?", dates[-1] if dates else "?")
|
||||
return {"dates": dates, "values": values}
|
||||
except Exception as e:
|
||||
log.error("Fear & Greed fetch failed: %s", e)
|
||||
return None
|
||||
|
||||
|
||||
def collect_all_history(progress_cb=None):
|
||||
"""Collect all historical data and save to history.json."""
|
||||
log.info("=== Starting full historical data collection ===")
|
||||
history = {}
|
||||
|
||||
# 1. On-chain metrics from LookIntoBitcoin
|
||||
onchain = collect_onchain_history(progress_cb=progress_cb)
|
||||
history.update(onchain)
|
||||
|
||||
# 2. BTC price from CoinGecko
|
||||
price = collect_price_history()
|
||||
if price:
|
||||
history["btc_price_coingecko"] = price
|
||||
|
||||
# 3. Fear & Greed
|
||||
fng = collect_fear_greed_history()
|
||||
if fng:
|
||||
history["fear_greed"] = fng
|
||||
|
||||
# Merge BTC price: prefer the LookIntoBitcoin trace (goes to 2010), fill gaps with CoinGecko
|
||||
btc_keys = [k for k in history if "btc_price" in k]
|
||||
if btc_keys:
|
||||
# Use longest series as base
|
||||
best = max(btc_keys, key=lambda k: len(history[k]["dates"]))
|
||||
history["btc_price"] = history[best]
|
||||
log.info("BTC price source: %s (%d days)", best, len(history[best]["dates"]))
|
||||
|
||||
# Add metadata
|
||||
history["_metadata"] = {
|
||||
"collected_at": datetime.utcnow().isoformat() + "Z",
|
||||
"metrics": list(k for k in history if not k.startswith("_")),
|
||||
"metric_counts": {k: len(v["dates"]) for k, v in history.items() if isinstance(v, dict) and "dates" in v},
|
||||
}
|
||||
|
||||
# Save
|
||||
os.makedirs(os.path.dirname(HISTORY_PATH), exist_ok=True)
|
||||
with open(HISTORY_PATH, "w") as f:
|
||||
json.dump(history, f, separators=(",", ":"))
|
||||
|
||||
size_mb = os.path.getsize(HISTORY_PATH) / 1024 / 1024
|
||||
log.info("=== History saved to %s (%.1f MB) ===", HISTORY_PATH, size_mb)
|
||||
log.info("Metrics collected: %s", ", ".join(k for k in history if not k.startswith("_")))
|
||||
|
||||
return history
|
||||
|
||||
|
||||
def load_history():
|
||||
"""Load history from disk."""
|
||||
if not os.path.exists(HISTORY_PATH):
|
||||
return None
|
||||
with open(HISTORY_PATH) as f:
|
||||
return json.load(f)
|
||||
|
||||
|
||||
def history_status():
|
||||
"""Check if history exists and return metadata."""
|
||||
if not os.path.exists(HISTORY_PATH):
|
||||
return {"exists": False}
|
||||
try:
|
||||
stat = os.stat(HISTORY_PATH)
|
||||
with open(HISTORY_PATH) as f:
|
||||
data = json.load(f)
|
||||
meta = data.get("_metadata", {})
|
||||
return {
|
||||
"exists": True,
|
||||
"collected_at": meta.get("collected_at"),
|
||||
"metrics": meta.get("metrics", []),
|
||||
"metric_counts": meta.get("metric_counts", {}),
|
||||
"size_mb": round(stat.st_size / 1024 / 1024, 2),
|
||||
}
|
||||
except Exception as e:
|
||||
return {"exists": True, "error": str(e)}
|
||||
@@ -0,0 +1,112 @@
|
||||
"""Incremental history updater — appends new daily data to history.json from cache."""
|
||||
|
||||
import json
|
||||
import logging
|
||||
import os
|
||||
from datetime import datetime, timezone
|
||||
|
||||
log = logging.getLogger(__name__)
|
||||
|
||||
DATA_DIR = os.path.join(os.path.dirname(os.path.dirname(os.path.abspath(__file__))), "data")
|
||||
HISTORY_PATH = os.path.join(DATA_DIR, "history.json")
|
||||
CACHE_PATH = os.path.join(DATA_DIR, "cache.json")
|
||||
|
||||
|
||||
def update_history():
|
||||
"""Append today's values from cache to history.json. Only adds NEW dates."""
|
||||
if not os.path.exists(HISTORY_PATH):
|
||||
log.warning("No history.json found — run full collection first")
|
||||
return False
|
||||
|
||||
if not os.path.exists(CACHE_PATH):
|
||||
log.warning("No cache.json found — run a scrape first")
|
||||
return False
|
||||
|
||||
with open(HISTORY_PATH) as f:
|
||||
history = json.load(f)
|
||||
with open(CACHE_PATH) as f:
|
||||
cache = json.load(f)
|
||||
|
||||
today = datetime.now(timezone.utc).strftime("%Y-%m-%d")
|
||||
updated = False
|
||||
|
||||
# Map of cache keys to history keys and how to extract the value
|
||||
mappings = {
|
||||
"puell_multiple": {"history_key": "puell_multiple", "value_key": "value"},
|
||||
"mvrv_zscore": {"history_key": "mvrv_zscore", "value_key": "value"},
|
||||
"reserve_risk": {"history_key": "reserve_risk", "value_key": "value"},
|
||||
"rhodl_ratio": {"history_key": "rhodl_ratio", "value_key": "value"},
|
||||
"nupl": {"history_key": "nupl", "value_key": "value"},
|
||||
"200w_sma": {"history_key": "200w_sma", "value_key": "value"},
|
||||
"lth_realized_price": {"history_key": "lth_realized_price", "value_key": "value"},
|
||||
"lth_supply": {"history_key": "lth_supply", "value_key": "value"},
|
||||
}
|
||||
|
||||
for cache_key, mapping in mappings.items():
|
||||
hkey = mapping["history_key"]
|
||||
if hkey not in history:
|
||||
continue
|
||||
|
||||
h = history[hkey]
|
||||
dates = h.get("dates", [])
|
||||
values = h.get("values", [])
|
||||
|
||||
# Skip if today already in history
|
||||
if dates and dates[-1] >= today:
|
||||
continue
|
||||
|
||||
# Get value from cache
|
||||
cached = cache.get(cache_key, {})
|
||||
val = cached.get(mapping["value_key"])
|
||||
if val is not None:
|
||||
dates.append(today)
|
||||
values.append(val)
|
||||
h["dates"] = dates
|
||||
h["values"] = values
|
||||
updated = True
|
||||
log.info("Appended %s: %s = %s", hkey, today, val)
|
||||
|
||||
# Also update btc_price from cache
|
||||
price_data = cache.get("price", {})
|
||||
btc_price = price_data.get("price")
|
||||
if btc_price and "btc_price" in history:
|
||||
h = history["btc_price"]
|
||||
if h["dates"][-1] < today:
|
||||
h["dates"].append(today)
|
||||
h["values"].append(btc_price)
|
||||
updated = True
|
||||
|
||||
# BTC price for SMA chart
|
||||
if btc_price and "btc_price_sma" in history:
|
||||
h = history["btc_price_sma"]
|
||||
if h["dates"][-1] < today:
|
||||
h["dates"].append(today)
|
||||
h["values"].append(btc_price)
|
||||
updated = True
|
||||
|
||||
# BTC price for LTH chart
|
||||
if btc_price and "btc_price_lth" in history:
|
||||
h = history["btc_price_lth"]
|
||||
if h["dates"][-1] < today:
|
||||
h["dates"].append(today)
|
||||
h["values"].append(btc_price)
|
||||
updated = True
|
||||
|
||||
# Fear & Greed
|
||||
fg = cache.get("fear_greed", {})
|
||||
fg_val = fg.get("value")
|
||||
if fg_val is not None and "fear_greed" in history:
|
||||
h = history["fear_greed"]
|
||||
if h["dates"][-1] < today:
|
||||
h["dates"].append(today)
|
||||
h["values"].append(int(fg_val))
|
||||
updated = True
|
||||
|
||||
if updated:
|
||||
with open(HISTORY_PATH, "w") as f:
|
||||
json.dump(history, f)
|
||||
log.info("History updated with %s data", today)
|
||||
else:
|
||||
log.info("History already up to date (last date >= %s)", today)
|
||||
|
||||
return updated
|
||||
@@ -0,0 +1,265 @@
|
||||
"""Playwright scraper for LookIntoBitcoin / BitcoinMagazinePro charts."""
|
||||
|
||||
import logging
|
||||
import traceback
|
||||
|
||||
log = logging.getLogger(__name__)
|
||||
|
||||
BASE_URL = "https://www.lookintobitcoin.com"
|
||||
|
||||
CHARTS = {
|
||||
"puell_multiple": {
|
||||
"path": "/charts/puell-multiple/",
|
||||
"traces": ["Puell Multiple"],
|
||||
},
|
||||
"mvrv_zscore": {
|
||||
"path": "/charts/mvrv-zscore/",
|
||||
"traces": ["Z-Score"],
|
||||
},
|
||||
"reserve_risk": {
|
||||
"path": "/charts/reserve-risk/",
|
||||
"traces": ["Reserve Risk"],
|
||||
},
|
||||
"rhodl_ratio": {
|
||||
"path": "/charts/rhodl-ratio/",
|
||||
"traces": ["RHODL Ratio"],
|
||||
},
|
||||
"nupl": {
|
||||
"path": "/charts/relative-unrealized-profit--loss/",
|
||||
"traces": ["NUPL"],
|
||||
},
|
||||
"200w_sma": {
|
||||
"path": "/charts/200-week-moving-average-heatmap/",
|
||||
"traces": ["200 Week Moving Average"],
|
||||
},
|
||||
"lth_realized_price": {
|
||||
"path": "/charts/long-term-holder-realized-price/",
|
||||
"traces": ["Long-Term Holder Realized Price", "BTC Price"],
|
||||
},
|
||||
"hash_ribbons": {
|
||||
"path": "/charts/hash-ribbons/",
|
||||
"traces": None,
|
||||
},
|
||||
"pi_cycle_bottom": {
|
||||
"path": "/charts/pi-cycle-top-bottom-indicator/",
|
||||
"traces": None,
|
||||
},
|
||||
"lth_supply": {
|
||||
"path": "/charts/long-term-holder-supply/",
|
||||
"traces": None,
|
||||
},
|
||||
}
|
||||
|
||||
|
||||
def scrape_chart(chart_path, timeout=25000):
|
||||
"""Scrape a single chart from LookIntoBitcoin. Returns list of trace dicts or None."""
|
||||
from playwright.sync_api import sync_playwright
|
||||
|
||||
store = {"data": None}
|
||||
|
||||
with sync_playwright() as p:
|
||||
browser = p.chromium.launch(headless=True)
|
||||
page = browser.new_page()
|
||||
|
||||
def handle_response(response):
|
||||
if "_dash-update-component" in response.url:
|
||||
try:
|
||||
store["data"] = response.json()
|
||||
except Exception:
|
||||
pass
|
||||
|
||||
page.on("response", handle_response)
|
||||
try:
|
||||
page.goto(f"{BASE_URL}{chart_path}", timeout=timeout)
|
||||
page.wait_for_timeout(6000)
|
||||
except Exception as e:
|
||||
log.warning("Navigation error for %s: %s", chart_path, e)
|
||||
finally:
|
||||
browser.close()
|
||||
|
||||
if store["data"]:
|
||||
try:
|
||||
return store["data"]["response"]["chart"]["figure"]["data"]
|
||||
except (KeyError, TypeError):
|
||||
# Try alternate response structures
|
||||
try:
|
||||
resp = store["data"]
|
||||
if isinstance(resp, dict):
|
||||
for key in resp:
|
||||
val = resp[key]
|
||||
if isinstance(val, dict) and "figure" in val:
|
||||
return val["figure"]["data"]
|
||||
if isinstance(val, dict) and "chart" in val:
|
||||
return val["chart"]["figure"]["data"]
|
||||
except Exception:
|
||||
pass
|
||||
return None
|
||||
|
||||
|
||||
def _find_trace(traces, name):
|
||||
"""Find a trace by name (case-insensitive partial match)."""
|
||||
if not traces:
|
||||
return None
|
||||
name_lower = name.lower()
|
||||
# First pass: exact or substring match
|
||||
for t in traces:
|
||||
trace_name = t.get("name", "").lower()
|
||||
if name_lower in trace_name or trace_name in name_lower:
|
||||
return t
|
||||
# Second pass: check if all words in name appear in trace name
|
||||
words = name_lower.split()
|
||||
for t in traces:
|
||||
trace_name = t.get("name", "").lower()
|
||||
if all(w in trace_name for w in words):
|
||||
return t
|
||||
return None
|
||||
|
||||
|
||||
def _get_latest_value(trace):
|
||||
"""Get the most recent non-null y value from a trace."""
|
||||
if not trace:
|
||||
return None
|
||||
y = trace.get("y", [])
|
||||
for val in reversed(y):
|
||||
if val is not None:
|
||||
try:
|
||||
return float(val)
|
||||
except (ValueError, TypeError):
|
||||
continue
|
||||
return None
|
||||
|
||||
|
||||
def _get_recent_values(trace, n=30):
|
||||
"""Get the last n non-null values from a trace."""
|
||||
if not trace:
|
||||
return []
|
||||
y = trace.get("y", [])
|
||||
values = []
|
||||
for val in reversed(y):
|
||||
if val is not None:
|
||||
try:
|
||||
values.append(float(val))
|
||||
except (ValueError, TypeError):
|
||||
continue
|
||||
if len(values) >= n:
|
||||
break
|
||||
values.reverse()
|
||||
return values
|
||||
|
||||
|
||||
def scrape_all():
|
||||
"""Scrape all charts and return parsed metric values."""
|
||||
results = {}
|
||||
|
||||
for metric_key, chart_info in CHARTS.items():
|
||||
log.info("Scraping %s ...", metric_key)
|
||||
try:
|
||||
traces = scrape_chart(chart_info["path"])
|
||||
if not traces:
|
||||
log.warning("No data for %s", metric_key)
|
||||
results[metric_key] = {"value": None, "error": "No data returned"}
|
||||
continue
|
||||
|
||||
wanted = chart_info.get("traces")
|
||||
|
||||
if metric_key == "puell_multiple":
|
||||
t = _find_trace(traces, "Puell Multiple")
|
||||
val = _get_latest_value(t)
|
||||
results[metric_key] = {
|
||||
"value": val,
|
||||
"recent": _get_recent_values(t),
|
||||
}
|
||||
|
||||
elif metric_key == "mvrv_zscore":
|
||||
t = _find_trace(traces, "Z-Score")
|
||||
val = _get_latest_value(t)
|
||||
results[metric_key] = {
|
||||
"value": val,
|
||||
"recent": _get_recent_values(t),
|
||||
}
|
||||
|
||||
elif metric_key == "200w_sma":
|
||||
t = _find_trace(traces, "200 Week Moving Average") or _find_trace(traces, "200 Week MA") or _find_trace(traces, "200W")
|
||||
val = _get_latest_value(t)
|
||||
# Also try to find BTC price trace
|
||||
price_t = _find_trace(traces, "BTC Price") or _find_trace(traces, "Price")
|
||||
price_val = _get_latest_value(price_t)
|
||||
results[metric_key] = {
|
||||
"value": val,
|
||||
"btc_price": price_val,
|
||||
"recent": _get_recent_values(t),
|
||||
}
|
||||
|
||||
elif metric_key == "lth_realized_price":
|
||||
lth_t = _find_trace(traces, "Long-Term Holder Realized Price") or _find_trace(traces, "LTH Realized Price") or _find_trace(traces, "LTH")
|
||||
price_t = _find_trace(traces, "BTC Price") or _find_trace(traces, "Price")
|
||||
lth_val = _get_latest_value(lth_t)
|
||||
price_val = _get_latest_value(price_t)
|
||||
results[metric_key] = {
|
||||
"value": lth_val,
|
||||
"btc_price": price_val,
|
||||
"recent": _get_recent_values(lth_t),
|
||||
}
|
||||
|
||||
elif metric_key == "hash_ribbons":
|
||||
# Look for buy/sell signal traces or MA crossover
|
||||
results[metric_key] = {
|
||||
"traces": [
|
||||
{"name": t.get("name", ""), "latest": _get_latest_value(t)}
|
||||
for t in traces[:6]
|
||||
],
|
||||
"value": None,
|
||||
}
|
||||
# Try to detect buy signal from trace names/colors
|
||||
for t in traces:
|
||||
name = t.get("name", "").lower()
|
||||
if "buy" in name or "signal" in name:
|
||||
results[metric_key]["buy_signal"] = True
|
||||
break
|
||||
|
||||
elif metric_key == "lth_supply":
|
||||
# Get main supply trace
|
||||
t = traces[0] if traces else None
|
||||
for candidate in traces:
|
||||
name = candidate.get("name", "").lower()
|
||||
if "supply" in name or "lth" in name:
|
||||
t = candidate
|
||||
break
|
||||
recent = _get_recent_values(t, 60)
|
||||
# Determine trend: compare recent avg to older avg
|
||||
trend = None
|
||||
if len(recent) >= 30:
|
||||
old_avg = sum(recent[:15]) / 15
|
||||
new_avg = sum(recent[-15:]) / 15
|
||||
trend = "increasing" if new_avg > old_avg else "decreasing"
|
||||
results[metric_key] = {
|
||||
"value": _get_latest_value(t),
|
||||
"trend": trend,
|
||||
"recent": _get_recent_values(t),
|
||||
}
|
||||
|
||||
else:
|
||||
# Generic: grab first non-layout trace with numeric data
|
||||
t = None
|
||||
if wanted:
|
||||
for name in wanted:
|
||||
t = _find_trace(traces, name)
|
||||
if t:
|
||||
break
|
||||
if not t:
|
||||
for candidate in traces:
|
||||
y = candidate.get("y", [])
|
||||
if y and any(v is not None for v in y[-10:]):
|
||||
t = candidate
|
||||
break
|
||||
val = _get_latest_value(t)
|
||||
results[metric_key] = {
|
||||
"value": val,
|
||||
"recent": _get_recent_values(t),
|
||||
}
|
||||
|
||||
except Exception as e:
|
||||
log.error("Error scraping %s: %s\n%s", metric_key, e, traceback.format_exc())
|
||||
results[metric_key] = {"value": None, "error": str(e)}
|
||||
|
||||
return results
|
||||
@@ -0,0 +1,80 @@
|
||||
"""BTC price data from CoinGecko API."""
|
||||
|
||||
import logging
|
||||
import requests
|
||||
|
||||
log = logging.getLogger(__name__)
|
||||
|
||||
PRICE_URL = "https://api.coingecko.com/api/v3/simple/price?ids=bitcoin&vs_currencies=usd&include_24hr_change=true"
|
||||
HISTORY_URL = "https://api.coingecko.com/api/v3/coins/bitcoin/market_chart?vs_currency=usd&days=365"
|
||||
ATH_URL = "https://api.coingecko.com/api/v3/coins/bitcoin?localization=false&tickers=false&market_data=true&community_data=false&developer_data=false"
|
||||
|
||||
|
||||
def fetch_current():
|
||||
"""Fetch current BTC price and 24h change."""
|
||||
try:
|
||||
resp = requests.get(PRICE_URL, timeout=15)
|
||||
resp.raise_for_status()
|
||||
data = resp.json()
|
||||
btc = data.get("bitcoin", {})
|
||||
return {
|
||||
"price": btc.get("usd"),
|
||||
"change_24h": btc.get("usd_24h_change"),
|
||||
}
|
||||
except Exception as e:
|
||||
log.error("Price fetch error: %s", e)
|
||||
return {"price": None, "error": str(e)}
|
||||
|
||||
|
||||
def fetch_historical():
|
||||
"""Fetch 365 days of BTC price history. Returns list of [timestamp, price]."""
|
||||
try:
|
||||
resp = requests.get(HISTORY_URL, timeout=30)
|
||||
resp.raise_for_status()
|
||||
data = resp.json()
|
||||
prices = data.get("prices", [])
|
||||
return prices
|
||||
except Exception as e:
|
||||
log.error("Historical price fetch error: %s", e)
|
||||
return []
|
||||
|
||||
|
||||
def fetch_ath():
|
||||
"""Fetch BTC all-time high from CoinGecko."""
|
||||
try:
|
||||
resp = requests.get(ATH_URL, timeout=15)
|
||||
resp.raise_for_status()
|
||||
data = resp.json()
|
||||
market = data.get("market_data", {})
|
||||
ath = market.get("ath", {}).get("usd")
|
||||
ath_change = market.get("ath_change_percentage", {}).get("usd")
|
||||
return {
|
||||
"ath": ath,
|
||||
"ath_change_pct": ath_change,
|
||||
}
|
||||
except Exception as e:
|
||||
log.error("ATH fetch error: %s", e)
|
||||
return {"ath": None, "error": str(e)}
|
||||
|
||||
|
||||
def calculate_200d_sma(prices):
|
||||
"""Calculate 200-day SMA from historical price data."""
|
||||
if not prices or len(prices) < 200:
|
||||
return None
|
||||
# prices is [[timestamp, price], ...]
|
||||
recent_200 = [p[1] for p in prices[-200:]]
|
||||
return sum(recent_200) / len(recent_200)
|
||||
|
||||
|
||||
def calculate_mayer_multiple(current_price, sma_200d):
|
||||
"""Mayer Multiple = current price / 200-day SMA."""
|
||||
if not current_price or not sma_200d or sma_200d == 0:
|
||||
return None
|
||||
return current_price / sma_200d
|
||||
|
||||
|
||||
def calculate_drawdown(current_price, ath):
|
||||
"""Drawdown from ATH as percentage."""
|
||||
if not current_price or not ath or ath == 0:
|
||||
return None
|
||||
return (ath - current_price) / ath * 100
|
||||
Binary file not shown.
|
After Width: | Height: | Size: 492 KiB |
Binary file not shown.
|
After Width: | Height: | Size: 298 KiB |
Binary file not shown.
|
After Width: | Height: | Size: 49 KiB |
@@ -0,0 +1,74 @@
|
||||
from datetime import datetime, timedelta
|
||||
|
||||
from ml import optimizer
|
||||
|
||||
|
||||
def _row(date, returns=10.0, score_200w=10, score_drawdown=0):
|
||||
row = {
|
||||
"date": date,
|
||||
"price": 100.0,
|
||||
"fwd_365d": returns,
|
||||
"score_puell_multiple": 0,
|
||||
"score_mvrv_zscore": 0,
|
||||
"score_reserve_risk": 0,
|
||||
"score_rhodl_ratio": 0,
|
||||
"score_nupl": 0,
|
||||
"score_fear_greed": 0,
|
||||
"score_drawdown": score_drawdown,
|
||||
"score_pct_above_200w_sma": score_200w,
|
||||
"score_pct_above_lth_rp": 0,
|
||||
}
|
||||
return row
|
||||
|
||||
|
||||
def test_purged_time_series_splits_remove_overlapping_forward_label_windows():
|
||||
start = datetime(2020, 1, 1)
|
||||
rows = [_row((start + timedelta(days=i)).strftime("%Y-%m-%d")) for i in range(900)]
|
||||
|
||||
splits = list(
|
||||
optimizer.purged_time_series_splits(
|
||||
rows,
|
||||
n_splits=3,
|
||||
label_horizon_days=365,
|
||||
embargo_days=0,
|
||||
)
|
||||
)
|
||||
|
||||
assert splits, "expected at least one viable split"
|
||||
for train_idx, val_idx in splits:
|
||||
val_start = datetime.strptime(rows[val_idx[0]]["date"], "%Y-%m-%d")
|
||||
latest_allowed_train_date = val_start - timedelta(days=365)
|
||||
assert len(train_idx) > 0, "purging should keep non-overlapping expanding-window training rows"
|
||||
for idx in train_idx:
|
||||
train_date = datetime.strptime(rows[idx]["date"], "%Y-%m-%d")
|
||||
assert train_date <= latest_allowed_train_date
|
||||
|
||||
|
||||
def test_run_out_of_sample_comparison_scores_only_validation_rows_with_fold_weights():
|
||||
rows = [
|
||||
_row("2020-01-01", returns=-10, score_200w=0, score_drawdown=10),
|
||||
_row("2020-01-02", returns=-5, score_200w=0, score_drawdown=10),
|
||||
_row("2020-01-03", returns=100, score_200w=10, score_drawdown=10),
|
||||
_row("2020-01-04", returns=120, score_200w=10, score_drawdown=10),
|
||||
]
|
||||
fold_results = [
|
||||
{
|
||||
"fold": 1,
|
||||
"val_idx": [2, 3],
|
||||
"weights": {"pct_above_200w_sma": 1.0, "drawdown": 0.0},
|
||||
}
|
||||
]
|
||||
|
||||
comparison = optimizer.run_out_of_sample_comparison(rows, fold_results)
|
||||
|
||||
assert comparison["validation_days"] == 2
|
||||
assert comparison["folds"] == 1
|
||||
assert sum(bucket["days"] for bucket in comparison["ml_weighted"]) == 2
|
||||
assert sum(bucket["days"] for bucket in comparison["equal_weight"]) == 2
|
||||
|
||||
extreme_ml = next(bucket for bucket in comparison["ml_weighted"] if bucket["label"] == "Extreme Accumulation")
|
||||
assert extreme_ml["days"] == 2
|
||||
assert extreme_ml["avg_365d"] == 110.0
|
||||
|
||||
caution_equal = next(bucket for bucket in comparison["equal_weight"] if bucket["label"] == "Caution")
|
||||
assert caution_equal["days"] == 2
|
||||
@@ -0,0 +1,63 @@
|
||||
import math
|
||||
|
||||
from scoring import engine
|
||||
|
||||
|
||||
def _complete_metrics():
|
||||
return {
|
||||
"fear_greed": {"value": 10, "classification": "Extreme Fear"},
|
||||
"puell_multiple": {"value": 0.3},
|
||||
"mvrv_zscore": {"value": -0.1},
|
||||
"drawdown": {"value": 60.0, "ath": 250.0},
|
||||
"price": {"price": 100.0},
|
||||
"200w_sma": {"value": 120.0},
|
||||
"reserve_risk": {"value": 0.001},
|
||||
"rhodl_ratio": {"value": 50.0},
|
||||
"nupl": {"value": -0.1},
|
||||
"lth_realized_price": {"value": 120.0},
|
||||
"hash_ribbons": {"buy_signal": False},
|
||||
}
|
||||
|
||||
|
||||
def test_score_all_ml_normalizes_displayed_weights_and_contributions(monkeypatch):
|
||||
monkeypatch.setattr(
|
||||
engine,
|
||||
"load_ml_weights",
|
||||
lambda: {
|
||||
"fear_greed": 0.40,
|
||||
"puell_multiple": 0.20,
|
||||
"mvrv_zscore": 0.15,
|
||||
"drawdown": 0.10,
|
||||
"pct_above_200w_sma": 0.05,
|
||||
"reserve_risk": 0.04,
|
||||
"rhodl_ratio": 0.03,
|
||||
"nupl": 0.02,
|
||||
"pct_above_lth_rp": 0.01,
|
||||
},
|
||||
)
|
||||
|
||||
scored = engine.score_all_ml(_complete_metrics())
|
||||
|
||||
assert scored["ml_mode"] is True
|
||||
valid_metrics = [m for m in scored["metrics"] if m["score"] is not None]
|
||||
assert scored["ml_weight_total"] == 1.01 # trained weights + small hash-ribbons fallback
|
||||
assert math.isclose(sum(m["ml_weight"] for m in valid_metrics), 1.0, abs_tol=0.001)
|
||||
assert math.isclose(
|
||||
sum(m["ml_contribution"] for m in valid_metrics),
|
||||
scored["composite_score"],
|
||||
abs_tol=0.05,
|
||||
)
|
||||
|
||||
hash_ribbons = next(m for m in valid_metrics if m["key"] == "hash_ribbons")
|
||||
assert hash_ribbons["ml_raw_weight"] == 0.01
|
||||
assert hash_ribbons["ml_weight"] == round(0.01 / 1.01, 4)
|
||||
|
||||
|
||||
def test_score_all_ml_preserves_classic_fallback_when_weights_missing(monkeypatch):
|
||||
monkeypatch.setattr(engine, "load_ml_weights", lambda: {})
|
||||
|
||||
scored = engine.score_all_ml(_complete_metrics())
|
||||
|
||||
assert scored["ml_mode"] is False
|
||||
assert scored["ml_error"] == "ML weights not found — run ml/optimizer.py"
|
||||
assert "classic_score" not in scored
|
||||
Reference in New Issue
Block a user