Risiko-Overlays und Kosten bei Krypto-Perpetual-Strategien

# 15_risk_management.py


```py
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# %% [markdown]
# # Crypto perpetuals: fourteen ways to leave a position early
#
# The two stages before this one decided which contracts to hold and how much of each. Neither
# decided when to stop holding one. Every position so far ran until the entry rule stopped
# selecting it, which on an 8-hourly rebalance is at most one funding interval but can be many.
# This notebook adds one rule at a time that closes a position before the entry rule would.
#
# Three kinds are declared in `config/setup.yaml`. A **stop loss** exits when the position is down
# by a fixed fraction of its entry price. A **trailing stop** exits when it is down by a fixed
# fraction of the highest price it has seen, so the exit level rises with the position and never
# falls. A **time exit** closes after a fixed number of bars whatever the price has done.
#
# **What an overlay can and cannot do.** It never adds a position, so it cannot improve a ranking.
# All it can do is cut the left tail of positions the ranking already chose, and it pays for that
# in two ways: an exit is a trade, so it costs commission and slippage, and a position closed
# early stops earning - or paying - funding. On perpetual futures the second is not a rounding
# error, because funding is the reason a carry strategy holds anything at all.
#
# **Learning objectives.** By the end of this notebook you will be able to:
#
# - Tell a position-level control from a portfolio-level one, and say which of them a
#   single-strategy book can even express.
# - Run an overlay so that it differs from its own no-overlay result in one field, and read the
#   paired difference.
# - Say why a threshold calibrated on the split it is then selected on is not eligible, even when
#   the calibration looks like a property of the data rather than of the returns.
# - Recognise the two distinct costs an early exit pays on a funding-bearing instrument.
#
# **Book reference**: Chapter 19 (Risk Management).
#
# **Prerequisites**: [`14_portfolio_management`](14_portfolio_management.ipynb) has frozen a
# candidate set per label.
#
# **What it writes**: one `stage='risk_overlay'` backtest per label and declared control, and one
# candidate set per label spanning all three stages, which
# [`19_strategy_analysis`](19_strategy_analysis.ipynb) selects the final configuration from.

# %%
"""Run the declared risk-overlay grid on the surviving crypto perpetuals configuration."""

import json

import plotly.graph_objects as go
import polars as pl

from case_studies.crypto_perps_funding.research_workflow import (
    ALL_LABELS,
    allocation_pool,
    selected_allocation_results,
)
from case_studies.research import (
    Result,
    candidate_set_supersedes,
    open_study,
    population_supersedes,
    run_backtests,
)
from case_studies.research.strategy import strategy_warmup_periods
from case_studies.utils.backtest_loaders import load_backtest_prices_for
from case_studies.utils.strategy_analysis import rank_returns_on_common_support
from case_studies.utils.sweep_config import (
    get_portfolio_risk_controls,
    get_position_risk_controls,
    get_top_n_predictions,
)
from case_studies.utils.uncertainty import periods_per_year_from_setup
from utils.style import COLORS, show_plotly_with_alt

# %% tags=["parameters"]
LABELS: list[str] = []
EXECUTION_TIER = "canonical"
WORKSPACE: str = ""
POPULATION_SUFFIX = "v2"
# Left empty, and it stays empty. The registry was reset for the stage-04 holdout rebuild, so
# every name below is published at generation one and there is nothing to supersede. A
# declaration is only needed when a re-run changes an existing name's membership: the refusal
# prints the name and the hash, and it is resolved through the shared resolver rather than
# offered straight, because a reader's clean clone has no generation for it to replace.
SUPERSEDES: dict[str, str] = {}
# How many parents per label the overlay grid sits on. `None` reads
# `backtest.sweep.top_n_predictions.risk_overlay`, which this case study declares as 1 for the
# reason stated below. Until 2026-09-20 that 1 was a literal inside
# `selected_allocation_result`, so the declared width could not be read and no launch could ask
# a wider question. A run above the declared width publishes one population per parent and
# control rather than per label and control, because its member list is no longer a function of
# the label alone.
TOP_N_COMBOS = None

# %%
study = open_study(
    "crypto_perps_funding", execution_tier=EXECUTION_TIER, workspace=WORKSPACE or None
)
labels = list(LABELS) if LABELS else list(ALL_LABELS)
# Where this run's own results are written and read back from: the released case directory on a
# canonical run, the isolated preview directory otherwise. `study.root` is the released one in
# both tiers, so a preview that reads it is reading somebody else's registry.
STORAGE_ROOT = study.storage_root(study.execution_tier)
# A canonical run reads the funnel's frozen sets and publishes its own; a preview run reads and
# writes only what it produced. The tier decides that and a workspace does not: a canonical run
# given a workspace is the whole computation writing somewhere else, so it reads canonical-tier
# rows and publishes into the registry it was pointed at. Testing WORKSPACE here made such a run
# a preview of itself - it could not see the canonical allocation rows its own 14 had just
# written, and stopped with 'no preview baseline or allocation backtest ... traded in this
# workspace'.
CANONICAL_RUN = EXECUTION_TIER == "canonical"
if TOP_N_COMBOS is None:
    TOP_N_COMBOS = get_top_n_predictions("crypto_perps_funding", "risk_overlay")
if TOP_N_COMBOS < 1:
    raise ValueError("the risk overlay needs at least one parent per label")

# %% [markdown]
# ## 1. What the overlay is applied to
#
# The funnel gives this stage the top one, per `backtest.sweep.top_n_predictions.risk_overlay`.
# One is narrow on purpose: an overlay is a second search over the same validation folds, and
# fourteen controls applied to ten configurations would be a hundred and forty readings of one
# year of data. The question is whether a control improves the configuration the case study
# already arrived at, not which control looks best somewhere in the grid.
#
# This is the stage that reads the allocation set. [`16_costs`](16_costs.ipynb) is downstream of
# it rather than beside it: cost sensitivity prices the configuration that survives the whole
# funnel, so it reads the set frozen at the end of this notebook, not the one read here.

# %%
chosen_by_label = {
    label: selected_allocation_results(
        study, label=label, canonical=CANONICAL_RUN, top_n=TOP_N_COMBOS
    )
    for label in labels
}
chosen_pairs = [(label, chosen) for label, results in chosen_by_label.items() for chosen in results]
chosen_hashes = [chosen.hash for _, chosen in chosen_pairs]
# The pool each winner was chosen from. Kept because the paired difference below is taken
# against the unprotected result of the same generation, not against whatever the registry
# happens to hold under that label.
allocation_pool_hashes = [
    member
    for label in labels
    for member in allocation_pool(study, label=label, canonical=CANONICAL_RUN)
]

# %% [markdown]
# One row per label: the configuration each overlay is measured against, and the no-overlay
# numbers the paired difference is taken from.

# %% tags=["results"]
backtests = study.backtests.table(include_preview=not CANONICAL_RUN)
baseline = backtests.filter(pl.col("backtest_hash").is_in(chosen_hashes)).select(
    "label",
    "stage",
    "family",
    "config_name",
    pl.col("allocation_method").fill_null("equal_weight").alias("allocator"),
    "sharpe",
    "max_drawdown",
    "num_trades",
    "backtest_hash",
)
if baseline.height != len(chosen_hashes):
    raise RuntimeError("a selected result is absent from the backtest catalog")
baseline.drop("backtest_hash").sort("label")

# %% [markdown]
# ## 2. The declared controls
#
# Fourteen position-level rules: four stop losses, seven trailing stops and three time exits. A
# **position-level** control reads one position's own price path and decides about that position.
# A **portfolio-level** control reads the whole book - its drawdown, its realized volatility, a
# regime estimate - and scales or halts everything at once. `config/setup.yaml` declares no
# portfolio-level controls for this case study, and the cell below reports that rather than
# assuming it: a single long-short book of nineteen contracts rebalanced every eight hours has no
# regime state distinct from the positions themselves, so a portfolio control here would be a
# second copy of the position controls with a slower trigger.
#
# ### Why no calibrated threshold is in the grid
#
# A tempting fifteenth kind is a threshold read off the data - the tenth percentile of maximum
# adverse excursion, say, so the stop sits where prices actually turn. It is not here, and the
# reason is worth being precise about, because the calibration looks innocent.
#
# The thresholds would be fitted on the validation prices, and the overlay is then selected on
# validation Sharpe. That makes the threshold part of the search rather than an input to it, and
# the resulting Sharpe is not a measurement of the control - it is a measurement of how well the
# control was fitted to the same year it is scored on. The declared grid is fixed in
# `config/setup.yaml` precisely so the width of the search is a stated property of the case study
# rather than something a notebook can widen while running.

# %%
position_controls = get_position_risk_controls("crypto_perps_funding")
portfolio_controls = get_portfolio_risk_controls("crypto_perps_funding")
if not position_controls:
    raise RuntimeError("crypto_perps_funding declares no backtest.sweep.risk_controls.position")
print(
    f"{len(position_controls)} position-level controls, "
    f"{len(portfolio_controls)} portfolio-level controls"
)
pl.DataFrame(
    [
        {
            "control": control["name"],
            "type": control["type"],
            "reads": "price against entry"
            if control["type"] == "stop_loss"
            else "price against running best"
            if control["type"] == "trailing_stop"
            else "bars held",
            "setting": control.get("threshold", control.get("bars")),
        }
        for control in position_controls
    ]
)

# %% [markdown]
# ## 3. Running the grid
#
# For each label, the chosen configuration's own strategy is read back from its registered
# specification and re-run once per control, with the `risk` field added and nothing else
# changed. The prices carry the same warmup the allocator was given at the allocation stage, so a
# moment-based allocator weights from the same history it did there.
#
# The control is nested under `position_rules`, which is the key the engine reads. A control
# passed as the flat mapping `setup.yaml` declares would install no rule and run the unprotected
# book, and it would do so without failing: the mapping still lands in `strategy.risk`, so the
# specification hashes differently and registers as a distinct result under the control's name.


# %%
def as_risk_spec(control: dict) -> dict:
    """The declared control in the shape the engine reads it."""
    setting = (
        {"bars": control["bars"]}
        if control["type"] == "time_exit"
        else {"threshold": control["threshold"]}
    )
    return {
        "name": control["name"],
        "position_rules": [{"type": control["type"], **setting}],
    }


# %%
overlays = []
for label, chosen in chosen_pairs:
    strategy = chosen.spec()["strategy"]
    allocation = strategy.get("allocation")
    warmup = strategy_warmup_periods({"allocation": allocation} if allocation else {})
    prices = load_backtest_prices_for(
        "crypto_perps_funding", label, split="validation", warmup_periods=warmup
    )
    predictions = study.predictions.table(include_preview=not CANONICAL_RUN).filter(
        pl.col("prediction_hash") == chosen.spec()["backtest_config"]["metadata"]["prediction_hash"]
    )
    if predictions.height != 1:
        raise RuntimeError(f"{label}: the selected prediction set is not uniquely resolvable")
    for control in position_controls:
        execution = run_backtests(
            study,
            predictions=predictions,
            signal=strategy["signal"],
            allocation=allocation,
            risk=as_risk_spec(control),
            prices=prices,
            chapter="ch19",
            population_name=(
                (
                    risk_population := (
                        f"crypto-risk-{label}-{control['name']}-{POPULATION_SUFFIX}"
                        if TOP_N_COMBOS == 1
                        else f"crypto-risk-{label}-{chosen.hash[:12]}-{control['name']}"
                        f"-{POPULATION_SUFFIX}"
                    )
                )
                if CANONICAL_RUN
                else None
            ),
            # No declaration is carried for these today; resolving it anyway is what keeps the
            # call correct if one is ever added, on a clean clone as well as on this registry.
            supersedes=population_supersedes(
                study, name=risk_population, declared=SUPERSEDES.get(risk_population)
            )
            if CANONICAL_RUN
            else None,
        )
        overlays.extend(result.hash for result in execution.results)
        print(
            f"{label} / {control['name']}: {len(execution.results)} backtests registered\n"
            f"  this execution: {execution.disclosure()}"
        )

# %% [markdown]
# ## 4. What came out
#
# Read back from the registry, with the control recovered from each registered specification.
# `traded_folds` is derived the same way [`14_portfolio_management`](14_portfolio_management.ipynb)
# derives it, from the registered return series rather than from the control's name, because a
# control that closes everything and never re-enters would otherwise look like a comparable
# result with a better Sharpe.


# %%
def fold_windows(prediction_hash: str) -> pl.DataFrame:
    """First and last decision date of each validation fold, in date order."""
    return (
        Result.open(study, prediction_hash, include_preview=not CANONICAL_RUN)
        .load()
        .group_by("fold")
        .agg(
            fold_start=pl.col("timestamp").min().dt.date(),
            fold_end=pl.col("timestamp").max().dt.date(),
        )
        .sort("fold_start")
    )


# %%
def traded_folds(backtest_hash: str, windows: pl.DataFrame) -> tuple[int, ...]:
    """Which validation folds one registered result actually held a position in."""
    returns = pl.read_parquet(
        STORAGE_ROOT / "run_log" / "backtest" / backtest_hash / "daily_returns.parquet"
    )
    column = next(name for name in returns.columns if name != "timestamp")
    active = returns.filter(pl.col(column) != 0).select(pl.col("timestamp").dt.date().alias("day"))
    if active.is_empty():
        return ()
    return tuple(
        int(row["fold"])
        for row in windows.iter_rows(named=True)
        if active.filter(pl.col("day").is_between(row["fold_start"], row["fold_end"])).height
    )


# %%
# One entry per label, spanning every parent that label contributes. At the declared width of
# one parent per label this is that parent's own windows. Above it, two parents of the same label
# can carry different decision dates for the same fold - a sequence model needs a warmup its
# tree-based sibling does not - so a fold's window is the span any admitted parent produced for
# it, and `traded_folds` below asks whether a result held a position anywhere inside that span.
windows_by_label = {
    label: pl.concat(
        [
            fold_windows(chosen.spec()["backtest_config"]["metadata"]["prediction_hash"])
            for chosen in results_for_label
        ]
    )
    .group_by("fold")
    .agg(fold_start=pl.col("fold_start").min(), fold_end=pl.col("fold_end").max())
    .sort("fold_start")
    for label, results_for_label in chosen_by_label.items()
}
# The predecessor set's members plus this run's own overlays, named by hash. Reading
# `stage IN (signal, allocation, risk_overlay)` off the registry instead folds every retired
# generation of all three back into the grid, and a superseded result is not a candidate: the
# final set frozen below would then carry results no live comparison produced.
in_play = list(set(chosen_hashes) | set(allocation_pool_hashes) | set(overlays))
results = study.backtests.table(include_preview=not CANONICAL_RUN).filter(
    pl.col("backtest_hash").is_in(in_play)
)
# A risk_overlay row whose specification carries no position rule was run without the control it
# is registered under. The engine reads `strategy.risk.position_rules` and installs nothing when
# it is absent, while the control's name still lands in `strategy.risk` and hashes the result as
# distinct - so such a row reports the unprotected book under an overlay's name. The generation
# this notebook replaces registered fifty-six of them.
overlay_without_rule = results.filter(
    (pl.col("stage") == "risk_overlay")
    & pl.col("spec_json").str.json_path_match("$.strategy.risk.position_rules[0].type").is_null()
)
if overlay_without_rule.height:
    print(
        f"excluding {overlay_without_rule.height} risk_overlay rows that registered no position "
        "rule: they measure the unprotected book"
    )
    results = results.filter(
        ~pl.col("backtest_hash").is_in(overlay_without_rule.get_column("backtest_hash").implode())
    )
if results.filter(~pl.col("complete")).height:
    raise RuntimeError("the backtest catalog contains incomplete members")
keyed = results.with_columns(
    pl.col("spec_json").str.json_path_match("$.strategy.risk.name").alias("control"),
    pl.col("spec_json")
    .str.json_path_match("$.strategy.risk.position_rules[0].type")
    .alias("control_type"),
    pl.Series(
        "traded_folds",
        [
            "+".join(
                str(fold)
                for fold in traded_folds(row["backtest_hash"], windows_by_label[row["label"]])
            )
            for row in results.iter_rows(named=True)
        ],
    ),
)

# %% [markdown]
# One row per label and control. `sharpe_change` and `drawdown_change` are against that label's
# no-overlay result, which is the only comparison the stage supports: the overlay row and the
# baseline row differ in the `risk` field and in nothing else.
#
# That last clause has to be enforced, not assumed. Joining an overlay to its baseline on the
# label alone would pair them whenever they merely share a label, and the registry keeps every
# generation ever run - so an overlay measured against a superseded baseline would be reported
# as a difference against the current one, and the number would look ordinary. The join key
# below is the whole specification with the control removed, which is a statement of exactly
# what the paired difference claims. `chapter` and `preset_path` come out with it: the first
# changes because the overlay is a later chapter's run, the second names a directory on the
# machine that ran it, and neither is part of what a strategy is.


# %%
def baseline_key(spec_json: str) -> str:
    """The specification an overlay shares with the result it is measured against."""
    spec = json.loads(spec_json)
    spec.pop("chapter", None)
    metadata = spec.get("backtest_config", {}).get("metadata", {})
    metadata.pop("chapter", None)
    metadata.pop("preset_path", None)
    spec.get("strategy", {}).pop("risk", None)
    return json.dumps(spec, sort_keys=True)


# %% tags=["results"]
keyed = keyed.with_columns(
    pl.col("spec_json").map_elements(baseline_key, return_dtype=pl.String).alias("baseline_key")
)
no_overlay = keyed.filter(pl.col("backtest_hash").is_in(chosen_hashes)).select(
    "baseline_key",
    pl.col("sharpe").alias("baseline_sharpe"),
    pl.col("max_drawdown").alias("baseline_drawdown"),
    pl.col("num_trades").alias("baseline_trades"),
    pl.col("traded_folds").alias("baseline_traded_folds"),
    pl.col("backtest_hash").alias("baseline_backtest_hash"),
)
if no_overlay.get_column("baseline_key").n_unique() != no_overlay.height:
    raise RuntimeError("two selected baselines share one specification")
overlay = (
    keyed.filter(pl.col("stage") == "risk_overlay")
    .join(no_overlay, on="baseline_key", how="inner")
    .with_columns(
        (pl.col("sharpe") - pl.col("baseline_sharpe")).alias("sharpe_change"),
        (pl.col("max_drawdown") - pl.col("baseline_drawdown")).alias("drawdown_change"),
        (pl.col("num_trades") - pl.col("baseline_trades")).alias("extra_trades"),
    )
)
# Every overlay is compared, and each pair is read on the sessions both results priced.
#
# The previous form kept only overlays whose `traded_folds` matched their baseline's, and that
# is the wrong question asked in the right spirit. The right requirement is that a paired
# difference be taken over one sample; the filter asked instead that the overlay's exposure
# equal the baseline's, which is a different thing whenever the control does its job. Fourteen
# of these are stop losses, trailing stops and time exits: a control that fires exits the
# position, and an exited position is not held for the rest of the fold. So the filter removed
# exactly the controls the stage exists to evaluate, and removed the ones that bound hardest
# first. It bound on nothing in the published run - 56 of 56 comparable - which is why reading
# the output could never have found it.
#
# Both Sharpes come from `rank_returns_on_common_support`, over the intersection of the two
# registered return series, and what the control took off the book becomes `sessions_flattened`
# beside the result rather than a reason to drop the row. That count is read from the returns
# themselves - sessions where the baseline booked a return and the overlay booked exactly zero -
# and not from a difference in row counts: a backtest prices every session it was run over, so a
# flat session is a zero rather than a missing row, and an overlay that exits early keeps its
# baseline's dates. Counting missing rows would report zero for every control and call it
# exposure.
PERIODS_PER_YEAR = int(periods_per_year_from_setup("crypto_perps_funding"))


def paired_on_common_support(overlay_hash: str, baseline_hash: str) -> dict[str, float]:
    """Each side's Sharpe on the sessions both priced, and what the control took off the book.

    Two counts, and they answer different questions. ``shared_sessions`` is the support the two
    Sharpes are computed on. ``sessions_flattened`` is exposure: the sessions where the baseline
    booked a return and the overlay booked exactly zero, which is what a control that fires does
    to the book.

    The second is not the first subtracted from anything. A backtest prices every session it was
    run over, and a flat session is priced as a return of zero rather than left out, so an
    overlay that exits early keeps the same rows as its baseline and the supports stay equal.
    Reading a missing row as a fired control would report zero for every control here and say it
    had measured exposure.
    """
    frames = {
        result_hash: pl.read_parquet(
            STORAGE_ROOT / "run_log" / "backtest" / result_hash / "daily_returns.parquet"
        )
        for result_hash in (overlay_hash, baseline_hash)
    }
    ranked = rank_returns_on_common_support(frames, periods_per_year=PERIODS_PER_YEAR)
    by_hash = {row["backtest_hash"]: row for row in ranked.iter_rows(named=True)}
    shared = int(ranked.get_column("n_periods")[0])

    def _returns(frame: pl.DataFrame) -> pl.DataFrame:
        column = next(name for name in frame.columns if name != "timestamp")
        return frame.select("timestamp", pl.col(column).alias("value"))

    paired = _returns(frames[overlay_hash]).join(
        _returns(frames[baseline_hash]), on="timestamp", how="inner", suffix="_baseline"
    )
    flattened = paired.filter((pl.col("value") == 0.0) & (pl.col("value_baseline") != 0.0)).height
    return {
        "backtest_hash": overlay_hash,
        "paired_sharpe": float(by_hash[overlay_hash]["sharpe"]),
        "paired_baseline_sharpe": float(by_hash[baseline_hash]["sharpe"]),
        "shared_sessions": shared,
        "sessions_flattened": int(flattened),
    }


comparable = overlay.join(
    pl.DataFrame(
        [
            paired_on_common_support(row["backtest_hash"], row["baseline_backtest_hash"])
            for row in overlay.iter_rows(named=True)
        ]
    ),
    on="backtest_hash",
    how="inner",
).with_columns((pl.col("paired_sharpe") - pl.col("paired_baseline_sharpe")).alias("sharpe_change"))
if comparable.height != overlay.height:
    raise RuntimeError("an overlay lost its pair on the common-support join")
flattening = comparable.filter(pl.col("sessions_flattened") > 0)
print(
    f"{comparable.height} overlay results, each compared to its baseline on the sessions both "
    f"priced; {flattening.height} took the book flat on at least one session their baseline "
    "was exposed on"
)
if comparable.filter(pl.col("control_type").is_null()).height:
    raise RuntimeError(
        "an overlay result registered no control type: the rule never reached the engine"
    )
inert = comparable.filter(
    (pl.col("sharpe_change") == 0.0)
    & (pl.col("drawdown_change") == 0.0)
    & (pl.col("extra_trades") == 0.0)
)
if inert.height == comparable.height:
    raise RuntimeError(
        "every control left the book identical in Sharpe, drawdown and trade count. The tightest "
        "declared stop is 3% and the shortest time exit is 10 bars, against a baseline that draws "
        "down tens of percent, so a control that binds on nothing is not a result about risk "
        "management - it is a control the engine never installed."
    )
print(f"{inert.height} of {comparable.height} controls left the book untouched")
comparable.select(
    "label",
    "control",
    "control_type",
    "sharpe",
    "sharpe_change",
    "max_drawdown",
    "drawdown_change",
    "extra_trades",
    "shared_sessions",
    "sessions_flattened",
).sort("label", "sharpe_change", descending=[False, True])

# %% [markdown]
# The two axes an overlay trades against each other. A control that helps sits up and to the
# right: less drawdown and no worse Sharpe. The cluster's position relative to the origin is the
# reading, not any single point in it - fourteen controls on one year of validation will produce
# a best one whether or not any of them works.

# %%
fig = go.Figure()
palette = {
    "stop_loss": COLORS["blue"],
    "trailing_stop": COLORS["amber"],
    "time_exit": COLORS["copper"],
}
for control_type in sorted(set(comparable.get_column("control_type"))):
    panel = comparable.filter(pl.col("control_type") == control_type)
    fig.add_trace(
        go.Scatter(
            x=panel.get_column("drawdown_change").to_list(),
            y=panel.get_column("sharpe_change").to_list(),
            mode="markers",
            name=control_type,
            text=panel.get_column("control").to_list(),
            marker={"size": 9, "color": palette.get(control_type, COLORS["slate"]), "opacity": 0.7},
        )
    )
fig.add_hline(y=0, line_width=1, line_dash="dash", line_color=COLORS["neutral"])
fig.add_vline(x=0, line_width=1, line_dash="dash", line_color=COLORS["neutral"])
fig.update_layout(
    title={
        "text": "What each overlay changed, against its own no-overlay result"
        "<br><sup>One point per label and control; the origin is no overlay</sup>",
        "x": 0.02,
        "xanchor": "left",
    },
    xaxis_title="Change in maximum drawdown",
    yaxis_title="Change in annualized validation Sharpe",
    height=520,
    width=1000,
)
show_plotly_with_alt(
    fig,
    "Scatter plot of the change in annualized validation Sharpe against the change in maximum "
    "drawdown, one point per label and declared risk control coloured by control type, with "
    "dashed lines through the origin marking the no-overlay result. Points spread on both sides of the horizontal line, "
    "so the controls do not separate from no overlay on Sharpe.",
)

# %% [markdown]
# ## 5. The set the final choice is made from
#
# One candidate set per label spanning all three stages: the equal-weight baseline, the allocation
# results and the overlay results. [`19_strategy_analysis`](19_strategy_analysis.ipynb) selects one
# configuration from it, so no overlay is eligible only by being an overlay - a label where no
# control improved anything selects the configuration it already had.
#
# The same admission rule as the previous stage applies, for the same reason: a result that did
# not trade every validation fold is measured on a different period and cannot be ranked against
# one that did. Here the rule catches a different failure than it did at the allocation stage - a
# stop tight enough to close everything early sits out the rest of the span, and its Sharpe over
# what it did trade would otherwise compete for the final selection.
#
# `SUPERSEDES` names the generation of each set this run replaces, which the freeze refuses to do
# implicitly. `19_strategy_analysis` resolves these four sets by name, so two live generations of
# one name would leave it unable to say which comparison a result came from. It defaults to empty,
# because a first run has nothing to replace and a set whose members are unchanged returns the
# existing one without consulting it. Pass it only for a re-run that admits different members;
# the error raised then names the predecessor hash to supply.

# %%
for label in labels:
    label_rows = keyed.filter(pl.col("label") == label)
    full = "+".join(str(fold) for fold in windows_by_label[label].get_column("fold").to_list())
    admitted = label_rows.filter(pl.col("traded_folds") == full)
    excluded = label_rows.height - admitted.height
    set_name = f"crypto-final-validation-{label}"
    if CANONICAL_RUN:
        members = study.backtests.freeze(
            results.filter(
                pl.col("backtest_hash").is_in(admitted.get_column("backtest_hash").implode())
            ),
            name=set_name,
            # Keyed by label, and also by the full set name, which is what the refusal prints.
            # Pasting back the name it names is the obvious thing to try, and it used to miss.
            # Resolved rather than offered: on a reader's clean clone there is no generation to
            # supersede and `create` refuses a first version that claims to replace one.
            supersedes=candidate_set_supersedes(
                study, name=set_name, declared=SUPERSEDES.get(set_name) or SUPERSEDES.get(label)
            ),
        )
        print(
            f"{members.name}: {len(members.members)} members traded folds {full}; "
            f"{excluded} excluded for trading fewer"
        )
    else:
        print(
            f"{set_name} (preview): {admitted.height} members traded folds {full}; "
            f"{excluded} excluded for trading fewer, not frozen"
        )

# %% [markdown]
# ## 6. What to notice
#
# **An overlay is a second search, and the funnel narrows before it for that reason.** Fourteen
# controls against one configuration is fourteen readings of the same validation year. Had the
# stage run against the ten configurations the allocation stage started from, the highest Sharpe
# in the grid would be the maximum of a hundred and forty draws, and the distance between that
# maximum and the truth grows with the count whether or not any control helps.
#
# **A stop pays twice on a funding-bearing instrument.** The exit is a trade, so it pays
# commission and slippage at the declared schedule. The position it closes then stops settling
# funding, and on perpetual futures that cash flow is a large part of what the strategy is there
# to collect. A control that improves the price path and gives up the carry has not necessarily
# improved anything.
#
# **Drawdown and Sharpe do not move together.** A control can cut the worst peak-to-trough decline
# and still lower the Sharpe, because it removes the recovery along with the decline. The chart
# above puts the two on separate axes rather than resolving them into one number, since which one
# matters is a question about the mandate rather than about the data.
#
# **A calibrated threshold is a fitted parameter.** Reading a stop level off the same prices the
# overlay is then scored on makes the level part of the search. The declared grid exists so the
# search width is fixed in the configuration rather than chosen while the notebook runs, and that
# is the property this stage would lose first if a threshold were fitted here.
#
# **Known limitations.** Every control is applied uniformly to all nineteen contracts, so nothing
# here says whether a stop that scales with a contract's own volatility would do better - that is
# another parameter, and fitting it is the previous point. Portfolio-level controls are declared
# nowhere for this case study, so the whole regime-control family is untested here. And every
# number is measured on the validation folds at the declared cost schedule.
#
# **Next**: [`16_costs`](16_costs.ipynb) prices the winner this stage names, and then
# [`19_strategy_analysis`](19_strategy_analysis.ipynb) selects one configuration from
# the set this notebook froze and reports what it did.

```