train_long.py

"""
Long-duration training script for 10 hours.

Trains a model with extremely high iteration count and more data.
"""

from algo_trader.research.train import run_walk_forward_training
from algo_trader.common.logger import setup_logger
from datetime import datetime

setup_logger(level="INFO", json=False)

# Configuration for long training
model_config = {
    "balanced": True,
    "C": 0.1,  # Stronger regularization for stability
    "max_iter": 100000,  # 100k iterations (will take hours)
    "random_state": 42,
}

print("=" * 60)
print("🔥 LONG DURATION TRAINING SESSION (10 HOURS)")
print("=" * 60)
print(f"Start time: {datetime.now().strftime('%Y-%m-%d %H:%M:%S')}")
print(f"Max iterations: {model_config['max_iter']:,}")
print(f"Training with MUCH MORE data (18 months training window)")
print("=" * 60)
print()

# Run with large training window
metrics, model, calibrator, model_path = run_walk_forward_training(
    timeframe="1h",
    target="direction_4",
    train_months=18,  # 18 months of training data (vs 2)
    val_months=3,     # 3 months validation
    step_months=6,    # 6 month steps (fewer splits, longer training)
    gap_months=0,
    calibration_method="isotonic",  # More complex calibration
    model_config=model_config,
)

print()
print("=" * 60)
print("✅ LONG TRAINING COMPLETED!")
print(f"End time: {datetime.now().strftime('%Y-%m-%d %H:%M:%S')}")
print(f"Model saved to: {model_path}")
print(f"Final AUC: {metrics['aggregate']['mean_auc']:.4f}")
print("=" * 60)