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feat: --fixed Flag — Walk-Forward ohne Grid-Suche (fixe Spec-Default-Parameter)

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This commit is contained in:
Claude
2026-06-09 22:03:31 +00:00
parent cdf5b133a9
commit 8e838c4a66
2 changed files with 10 additions and 4 deletions
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9
src/server/scripts/walkforward.ts
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@@ -1,6 +1,7 @@
import { PAIRS, type Candle, type Pair } from '../types';
import { getCandles, getCoverage } from '../market/candle-store';
import { runWalkForward } from '../backtest/walkforward';
import { DEFAULT_PARAMS } from '../strategy/donchian-trend';
import { DEFAULT_RISK } from '../engine/sizing';
import { DEFAULT_EXEC } from '../engine/portfolio';
import { db, sql } from '../db/client';
@@ -20,11 +21,15 @@ for (const pair of PAIRS) {
}
const allowShort = process.argv.includes('--shorts');
// --fixed: keine Grid-Suche — fixe A-priori-Parameter (Spec-Defaults). Kein Overfitting
// durch Parameterwahl möglich; Train-Metriken dienen nur noch der Ratio-Diagnose.
const fixed = process.argv.includes('--fixed');
const grid = fixed ? [DEFAULT_PARAMS] : undefined;
const baseCfg = { startCapital: 1000, risk: DEFAULT_RISK, exec: DEFAULT_EXEC, maxPositions: 4, allowShort };
console.log(`Shorts: ${allowShort ? 'AN' : 'AUS'}`);
console.log(`Shorts: ${allowShort ? 'AN' : 'AUS'} | Parameter: ${fixed ? 'FIX (Spec-Defaults)' : 'Grid-Suche'}`);
console.log(`\nWalk-Forward über ${((dataTo - dataFrom) / 86400000).toFixed(0)} Tage…\n`);
const result = runWalkForward(candles15ByPair, baseCfg, dataFrom, dataTo, (msg) => console.log(msg));
const result = runWalkForward(candles15ByPair, baseCfg, dataFrom, dataTo, (msg) => console.log(msg), grid);
console.log('\n========== OOS-GESAMTERGEBNIS ==========');
const m = result.oosMetrics;