ForexBot2/analyze_trades.py

#!/usr/bin/env python3
"""
Phase 1 analysis: post-hoc filters on an existing trades.csv.

Asks "which simple filters, applied to the trades the engine already
produced, would have moved total R toward zero or positive?" — without
re-running the backtest engine.

Discipline: candidate filters are derived on the **first 70% of trades
by entry_time** (train slice), then evaluated on the **last 30%** (test
slice). This is the same time-based split the meta-model uses, so the
numbers are comparable.

Outputs (printed + saved to backtest_results_all/phase1_summary.txt):
  - Session-of-day breakdown
  - Day-of-week breakdown
  - Pair × regime cross-tab
  - Per-pair contribution
  - Combined-filter sweep (drop-worst-hours / drop-worst-pairs / both)

Usage:
    python analyze_trades.py
    python analyze_trades.py --trades backtest_results_all/trades.csv
"""

from __future__ import annotations

import argparse
import sys
from pathlib import Path

import pandas as pd


def fmt(df: pd.DataFrame) -> pd.DataFrame:
    return df.round(3)


def split(df: pd.DataFrame, train_frac: float = 0.7):
    df = df.sort_values("entry_time").reset_index(drop=True)
    cutoff = int(len(df) * train_frac)
    return df.iloc[:cutoff].copy(), df.iloc[cutoff:].copy()


def stats(df: pd.DataFrame) -> dict:
    if len(df) == 0:
        return {"n": 0, "wr": 0.0, "avg_r": 0.0, "total_r": 0.0, "pf": 0.0}
    wins = (df["r_multiple"] > 0).sum()
    losses = (df["r_multiple"] <= 0).sum()
    gross_win = df.loc[df["r_multiple"] > 0, "r_multiple"].sum()
    gross_loss = -df.loc[df["r_multiple"] <= 0, "r_multiple"].sum()
    return {
        "n":       len(df),
        "wr":      wins / len(df) * 100,
        "avg_r":   df["r_multiple"].mean(),
        "total_r": df["r_multiple"].sum(),
        "pf":      gross_win / gross_loss if gross_loss > 0 else float("inf"),
    }


def stats_line(label: str, df: pd.DataFrame) -> str:
    s = stats(df)
    return (
        f"{label:<40s}"
        f"  n={s['n']:>5}  WR={s['wr']:5.1f}%"
        f"  avgR={s['avg_r']:+6.3f}  totalR={s['total_r']:+9.2f}  PF={s['pf']:.2f}"
    )


def main() -> int:
    ap = argparse.ArgumentParser(description="Phase 1 post-hoc analysis on backtest trades.")
    ap.add_argument("--trades", default="backtest_results_all/trades.csv")
    ap.add_argument("--out", default="backtest_results_all/phase1_summary.txt")
    ap.add_argument("--train-frac", type=float, default=0.7)
    args = ap.parse_args()

    p = Path(args.trades)
    if not p.exists():
        print(f"❌ {p} not found")
        return 1

    df = pd.read_csv(p)
    df["entry_time"] = pd.to_datetime(df["entry_time"])
    df["hour"] = df["entry_time"].dt.hour
    df["dow"] = df["entry_time"].dt.dayofweek
    df["winner"] = (df["r_multiple"] > 0).astype(int)

    train, test = split(df, args.train_frac)
    out_lines = []

    def emit(line: str = ""):
        print(line)
        out_lines.append(line)

    emit("=" * 92)
    emit(f"PHASE 1 ANALYSIS — {len(df):,} trades total")
    emit(f"  full:  {df['entry_time'].min().date()} → {df['entry_time'].max().date()}")
    emit(f"  train: {train['entry_time'].min().date()} → {train['entry_time'].max().date()}  ({len(train):,} trades)")
    emit(f"  test:  {test['entry_time'].min().date()} → {test['entry_time'].max().date()}  ({len(test):,} trades)")
    emit("=" * 92)
    emit()
    emit(stats_line("BASELINE  full",  df))
    emit(stats_line("BASELINE  train", train))
    emit(stats_line("BASELINE  test",  test))
    emit()

    # ── Per-hour (training set, used for filter selection) ──────────
    emit("─" * 92)
    emit("HOUR (UTC) — train slice  (used for filter selection)")
    emit("─" * 92)
    hr_stats = train.groupby("hour").apply(
        lambda x: pd.Series(stats(x)), include_groups=False,
    ).round(3)
    emit(hr_stats.to_string())
    emit()

    # Bottom-K hours by avg_r
    bad_hours_4 = hr_stats.sort_values("avg_r").head(4).index.tolist()
    bad_hours_6 = hr_stats.sort_values("avg_r").head(6).index.tolist()
    emit(f"  Worst 4 hours by avg_r (train): {sorted(bad_hours_4)}")
    emit(f"  Worst 6 hours by avg_r (train): {sorted(bad_hours_6)}")
    emit()

    # ── Per-DOW (training set) ──────────────────────────────────────
    emit("─" * 92)
    emit("DAY OF WEEK — train slice  (0=Mon, 4=Fri)")
    emit("─" * 92)
    dow_stats = train.groupby("dow").apply(
        lambda x: pd.Series(stats(x)), include_groups=False,
    ).round(3)
    emit(dow_stats.to_string())
    emit()
    bad_dow = dow_stats.sort_values("avg_r").head(2).index.tolist()
    emit(f"  Worst 2 days by avg_r (train): {sorted(bad_dow)}")
    emit()

    # ── Per-pair (training set) ─────────────────────────────────────
    emit("─" * 92)
    emit("PAIR — train slice")
    emit("─" * 92)
    pair_stats = train.groupby("pair").apply(
        lambda x: pd.Series(stats(x)), include_groups=False,
    ).round(3)
    emit(pair_stats.to_string())
    emit()
    bad_pairs = pair_stats.sort_values("total_r").head(3).index.tolist()
    emit(f"  Worst 3 pairs by total_r (train): {bad_pairs}")
    emit()

    # ── Per-regime × direction (training set) ───────────────────────
    emit("─" * 92)
    emit("REGIME × DIRECTION — train slice")
    emit("─" * 92)
    reg_stats = train.groupby(["regime", "direction"]).apply(
        lambda x: pd.Series(stats(x)), include_groups=False,
    ).round(3)
    emit(reg_stats.to_string())
    emit()

    # ── Filter sweep ON THE TEST SET (rule selected on train) ───────
    emit("=" * 92)
    emit("FILTER SWEEP — applied to TEST slice (rule chosen from train, no leakage)")
    emit("=" * 92)
    test_filtered_dropworst4hours = test[~test["hour"].isin(bad_hours_4)]
    test_filtered_dropworst6hours = test[~test["hour"].isin(bad_hours_6)]
    test_filtered_droppairs       = test[~test["pair"].isin(bad_pairs)]
    test_filtered_droprangingsell = test[~((test["regime"] == "ranging") & (test["direction"] == "SELL"))]
    test_filtered_only_ranging    = test[test["regime"] == "ranging"]
    test_filtered_drop_dow        = test[~test["dow"].isin(bad_dow)]

    test_combo_hr_pair = test[
        (~test["hour"].isin(bad_hours_4)) & (~test["pair"].isin(bad_pairs))
    ]
    test_combo_hr_pair_dow = test[
        (~test["hour"].isin(bad_hours_4))
        & (~test["pair"].isin(bad_pairs))
        & (~test["dow"].isin(bad_dow))
    ]

    emit()
    emit(stats_line("test  baseline (no filter)",         test))
    emit(stats_line("test  drop 4 worst hours",           test_filtered_dropworst4hours))
    emit(stats_line("test  drop 6 worst hours",           test_filtered_dropworst6hours))
    emit(stats_line("test  drop 3 worst pairs",           test_filtered_droppairs))
    emit(stats_line("test  drop 2 worst DOWs",            test_filtered_drop_dow))
    emit(stats_line("test  ONLY ranging regime",          test_filtered_only_ranging))
    emit(stats_line("test  hours+pairs (combined)",       test_combo_hr_pair))
    emit(stats_line("test  hours+pairs+DOW (combined)",   test_combo_hr_pair_dow))
    emit()

    # ── Same filters applied to TRAIN slice for reference ───────────
    emit("─" * 92)
    emit("Same filters — TRAIN slice for reference (these are the in-sample numbers)")
    emit("─" * 92)
    train_drop_hours = train[~train["hour"].isin(bad_hours_4)]
    train_drop_pairs = train[~train["pair"].isin(bad_pairs)]
    train_combo      = train[(~train["hour"].isin(bad_hours_4)) & (~train["pair"].isin(bad_pairs))]

    emit(stats_line("train baseline (no filter)",         train))
    emit(stats_line("train drop 4 worst hours",           train_drop_hours))
    emit(stats_line("train drop 3 worst pairs",           train_drop_pairs))
    emit(stats_line("train hours+pairs (combined)",       train_combo))
    emit()

    # ── Verdict ─────────────────────────────────────────────────────
    emit("=" * 92)
    emit("VERDICT")
    emit("=" * 92)
    test_base = stats(test)
    test_combo = stats(test_combo_hr_pair_dow)
    delta_r = test_combo["total_r"] - test_base["total_r"]
    delta_avgr = test_combo["avg_r"] - test_base["avg_r"]
    emit(f"  Best combined filter (hours+pairs+DOW) on TEST set:")
    emit(f"    {test_base['n']} → {test_combo['n']} trades  "
         f"({test_combo['n']/test_base['n']*100:.0f}% retained)")
    emit(f"    total R: {test_base['total_r']:+.2f} → {test_combo['total_r']:+.2f}  "
         f"(Δ {delta_r:+.2f})")
    emit(f"    avg R:   {test_base['avg_r']:+.3f} → {test_combo['avg_r']:+.3f}  "
         f"(Δ {delta_avgr:+.3f})")
    emit(f"    win rate: {test_base['wr']:.1f}% → {test_combo['wr']:.1f}%")
    emit()
    if test_combo["total_r"] > 0:
        emit("  ✅ Filtered subset is profitable on the held-out test set.")
        emit("     → Phase 2 (geometry grid) may be unnecessary; this filter alone may suffice.")
    elif test_combo["avg_r"] > test_base["avg_r"]:
        emit("  ⚠️  Filtered subset improves but is still negative.")
        emit("     → Phase 2 (geometry grid) needed to find profitable structure.")
    else:
        emit("  ❌ Filters do not survive the train/test split — rejected as noise.")
        emit("     → Skip Phase 1's filter list; rely on Phase 2 (geometry) instead.")

    Path(args.out).parent.mkdir(parents=True, exist_ok=True)
    Path(args.out).write_text("\n".join(out_lines))
    emit()
    emit(f"📁 Saved: {args.out}")
    return 0


if __name__ == "__main__":
    sys.exit(main())