#!/usr/bin/env python3 """Run the backtest with TRAINED models (loads saved model weights). Usage: python scripts/run_backtest_trained.py --data data/parquet/BTCUSDT_2021-05-19.parquet python scripts/run_backtest_trained.py --data data/parquet/LUNAUSDT_2022-05-10.parquet """ import argparse import logging import sys from pathlib import Path ML_DIR = Path(__file__).resolve().parent.parent / "ml" sys.path.insert(0, str(ML_DIR)) PROJECT_ROOT = Path(__file__).resolve().parent.parent sys.path.insert(0, str(PROJECT_ROOT)) from flash_crash_watchdog.cascade import DetectionCascade from flash_crash_watchdog.data.historical_loader import load_parquet from flash_crash_watchdog.eval.backtest import run_backtest from flash_crash_watchdog.models.stage2_isolation_forest import Stage2IsolationForest from flash_crash_watchdog.models.stage3_tcn import Stage3TCN, TCNConfig def main() -> int: parser = argparse.ArgumentParser(description="Run backtest with trained models") parser.add_argument("--data", required=True, help="Parquet file of crash data") parser.add_argument("--config", default="configs/pipeline.yml") parser.add_argument("--models", default="models/", help="Directory with trained models") parser.add_argument("--output", default="results/backtest_trained.json") parser.add_argument("--max-ticks", type=int, default=0, help="Max ticks to process (0 = all, for speed use 500000)") parser.add_argument("--stage2", default=None, help="Explicit Stage-2 (.joblib) path (overrides auto-discovery)") parser.add_argument("--stage3", default=None, help="Explicit Stage-3 (.pt) path (overrides auto-discovery)") parser.add_argument("--stage3-threshold", type=float, default=None, help="Override the Stage-3 pass threshold (default: whatever the checkpoint uses, 0.6)") parser.add_argument("--stage5-threshold", type=float, default=None, help="Override the Stage-5 (Bayesian) posterior alert threshold (default: keep config/pipeline.yml value)") parser.add_argument("--cooldown-ms", type=int, default=0, help="Coalesce alert bursts: keep at most one alert per interval (ms). 0 = every alert") parser.add_argument("--scan", action="store_true", help="Also print the window-scan (5s-lookahead) metrics on the same data so deployed and scan F1 are comparable") args = parser.parse_args() logging.basicConfig(level=logging.INFO, format="%(asctime)s %(levelname)s %(message)s") logger = logging.getLogger(__name__) # Load cascade cascade = DetectionCascade.from_config(args.config) # Locate trained models (canonical names first, legacy fallbacks, explicit overrides). # Stage-3 checkpoint is canonical as stage3_tcn_trained.pt (train_tcn_windows.py); # older train_models/train_gpu wrote stage3_tcn.pt — accept both. Stage3TCN.load # rebuilds the model to match its own checkpoint config, so architecture always lines up. models_dir = Path(args.models) stage2_path = args.stage2 or next( (p for p in [models_dir / "stage2_isolation_forest.joblib"] if p.exists()), None) stage3_path = args.stage3 or next( (p for p in [models_dir / "stage3_tcn_prod.pt", models_dir / "stage3_tcn_v2.pt", models_dir / "stage3_tcn_trained.pt", models_dir / "stage3_tcn.pt"] if p.exists()), None) if stage2_path is not None: logger.info("Loading trained Stage 2 from %s", stage2_path) cascade.s2.load(stage2_path) else: logger.warning("No trained Stage 2 found under %s — using untrained fallback", models_dir) if stage3_path is not None: logger.info("Loading trained Stage 3 from %s", stage3_path) cascade.s3.load(stage3_path) if args.stage3_threshold is not None: cascade.s3._threshold = args.stage3_threshold logger.info("Stage-3 threshold set to %.2f", args.stage3_threshold) else: logger.warning("No trained Stage 3 found under %s — using untrained fallback", models_dir) if args.stage5_threshold is not None: cascade.s5.config.alert_threshold = args.stage5_threshold logger.info("Stage-5 posterior alert threshold set to %.3f", args.stage5_threshold) # Load data df = load_parquet(args.data) if args.max_ticks > 0 and len(df) > args.max_ticks: logger.info("Sampling down to %d ticks (from %d) for speed", args.max_ticks, len(df)) indices = range(0, len(df), len(df) // args.max_ticks) df = df.iloc[indices[:args.max_ticks]].copy() # Run backtest results = run_backtest(cascade, df, cooldown_ms=args.cooldown_ms) results.print_summary() output_path = Path(args.output) output_path.parent.mkdir(parents=True, exist_ok=True) results.save(output_path) # Optional: print the window-scan (5s-lookahead) metrics on the same data so # the deployed (60s-window + cooldown) and scan F1 are directly comparable. if args.scan and stage3_path is not None: import subprocess logger.info("Window-scan metrics (5s-lookahead, stride-20) for comparison:") subprocess.run([ sys.executable, str(Path(__file__).parent / "tcn_score_diag.py"), "--data", args.data, "--model", str(args.stage3 or stage3_path), "--lookahead", "500", "--normalize", ]) elif args.scan: logger.warning("--scan requested but no Stage-3 checkpoint found to scan with") return 0 if __name__ == "__main__": raise SystemExit(main())