feat: 新增 ChanMacro 宏观 regime 检测模块

2026-08-20 16:03:25 +08:00
parent 340676bfbd
commit 29cff47f98
48 changed files with 5846 additions and 0 deletions
@@ -0,0 +1,113 @@
+"""
+config.py — Global configuration for ChanMacro.
+
+All weights, thresholds, and paths are configurable.
+V1 weights are deliberately simple; they will be tuned via Phase 0 validation.
+"""
+
+from dataclasses import dataclass, field
+from pathlib import Path
+from typing import Optional
+
+
+@dataclass
+class Config:
+    """Global configuration. Override via config.json or env vars."""
+
+    # ── Paths ──────────────────────────────────────────────
+    db_path: str = "data/macro.db"
+    data_dir: str = "data"
+
+    # ── Data Provider ──────────────────────────────────────
+    provider_url: str = "https://provider.jackyu66.com"
+    btc_symbol: str = "BTC/USDT:USDT"
+    top50_symbols: list[str] = field(default_factory=lambda: [
+        "BTC/USDT:USDT", "ETH/USDT:USDT", "SOL/USDT:USDT",
+        "BNB/USDT:USDT", "XRP/USDT:USDT", "DOGE/USDT:USDT",
+        "SUI/USDT:USDT", "TON/USDT:USDT", "ZEC/USDT:USDT",
+        "1000PEPE/USDT:USDT", "SAGA/USDT:USDT",
+        "XAU/USDT:USDT", "XAG/USDT:USDT",
+        "CL/USDT:USDT", "BILL/USDT:USDT", "BZ/USDT:USDT",
+        "LAB/USDT:USDT", "CRCL/USDT:USDT", "SNDK/USDT:USDT",
+        "CHIP/USDT:USDT",
+    ])
+
+    # ── Breadth ────────────────────────────────────────────
+    breadth_top_n: list[int] = field(default_factory=lambda: [20, 30, 50])
+    breadth_ema_period: int = 20
+    breadth_new_high_window: int = 20
+
+    # ── Regime (factor-locked: Price + Breadth + Vol) ─────
+    regime_version: str = "v1_price_breadth_vol"
+    # Weights for trend_score within regime detection
+    regime_w_price: float = 0.35
+    regime_w_breadth: float = 0.50
+    regime_w_vol: float = 0.15
+    # Weights for panic_score
+    regime_panic_w_anti_trend: float = 0.60
+    regime_panic_w_vol_extreme: float = 0.40
+
+    # ── Price Structure ────────────────────────────────────
+    ps_ema_fast: int = 20
+    ps_ema_mid: int = 60
+    ps_ema_slow: int = 120
+    ps_adx_period: int = 14
+    ps_adx_threshold: int = 25
+    ps_atr_period: int = 14
+    ps_bb_period: int = 20
+    ps_roc_periods: list[int] = field(default_factory=lambda: [5, 10, 20])
+
+    # ── OI Matrix ──────────────────────────────────────────
+    oi_price_threshold_pct: float = 0.5   # min price change% to classify
+    oi_oi_threshold_pct: float = 0.5      # min OI change% to classify
+
+    # ── Volatility Regime ──────────────────────────────────
+    vol_atr_period: int = 14
+    vol_hv_short: int = 20
+    vol_hv_long: int = 60
+    # Thresholds (ATR/Close %)
+    vol_low_threshold: float = 2.0
+    vol_high_threshold: float = 5.0
+    vol_explosive_threshold: float = 10.0
+
+    # ── Trend (L2 aggregation) ─────────────────────────────
+    trend_w_price: float = 0.30
+    trend_w_breadth: float = 0.70
+
+    # ── Maturity Score ─────────────────────────────────────
+    maturity_w_trend: float = 0.50
+    maturity_w_breadth: float = 0.30
+    maturity_w_vol: float = 0.20
+
+    # ── Expectancy ─────────────────────────────────────────
+    half_life_days: int = 180
+    sufficiency_min_effective: int = 30
+    sufficiency_low: int = 50
+    sufficiency_medium: int = 100
+    level_min_samples: int = 50
+    knn_max_distance: float = 0.35
+    knn_k: int = 200
+
+    # ── Validation ─────────────────────────────────────────
+    min_history_days: int = 365
+    regime_min_avg_duration: int = 5
+    regime_max_flip_rate: float = 0.15
+
+    @classmethod
+    def from_json(cls, path: str = "config.json") -> "Config":
+        """Load config from JSON file, overriding defaults."""
+        import json
+        config = cls()
+        try:
+            with open(path) as f:
+                data = json.load(f)
+            for key, value in data.items():
+                if hasattr(config, key):
+                    setattr(config, key, value)
+        except FileNotFoundError:
+            pass
+        return config
+
+
+# Global singleton
+config = Config()