research: 低滞后信号口径定稿与实盘前偏差审计
fast_bsp3 改用 tol=-1 + require_touch=False，信号滞后从 5.8 根降到 2.2 根。 滞后与收益严格单调（年化 370% -> 906%，同一份数据同一套成本）， 这是本轮提升的主因，也意味着实盘延迟会直接侵蚀收益。 新增 step31~39 验证策略能否落地： - 跨品种样本外——8 个未参与调参的币，PF 2.73 / t 28.5，无一为负 - 时点重建——只喂到信号那一根重算，同根命中 100%，确认无未来函数； 1m 在 2000 根窗口即饱和，计算耗时 0.20s - 偏差审计——多空对称、中枢生效时刻零回退、滑点稳健至 30bp、持仓几乎不重叠 - 消融——alpha 来自缠论中枢的上下文定位，而非「收盘转强」这个触发动作 补 research/HANDOFF.md：记录确切口径与参数、已排除的偏差、 已验证无效因而不必重做的方向，以及下一步用影子交易器实测执行滑点的方案。 清理 step1~20 的输出：早期方法论已被推翻（存在未来函数偏差）， 其结论不再被引用；脚本保留，需要时可重跑。 Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
jackyu66git
@@ -0,0 +1,208 @@
|
||||
"""Step 38：point-in-time 重建——回测的中枢，在当时那一刻真的存在吗。
|
||||
|
||||
incremental.py 开头写明「最后一笔 is_sure 允许收回」。而中枢生效时刻
|
||||
available_ts 取的正是笔的 sure_time，那是全量重算得出的。
|
||||
此前所有审计（后移入场、剔尾、多空、时间样本外、跨品种）都共用同一份
|
||||
全量结构，无法发现这类偏差。
|
||||
|
||||
本步对每个信号做严格的时点重建：只喂到信号那一根为止的数据，
|
||||
重跑 TF_DF -> 中枢 -> fast_bsp3，看该信号是否真的在那一刻出现。
|
||||
|
||||
召回 全量口径的信号，在时点口径下同一根也出现
|
||||
偏移 出现了但不在同一根（早/晚几根）
|
||||
消失 时点口径下完全没有
|
||||
另外在随机非信号点上做同样重建，量化时点口径的假阳性——
|
||||
那是实盘会真的下单、而回测里根本不存在的交易。
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
import argparse
|
||||
import os
|
||||
import sys
|
||||
import warnings
|
||||
from concurrent.futures import ProcessPoolExecutor, as_completed
|
||||
from pathlib import Path
|
||||
|
||||
import numpy as np
|
||||
import pandas as pd
|
||||
|
||||
warnings.filterwarnings("ignore")
|
||||
for v in ("OMP_NUM_THREADS", "OPENBLAS_NUM_THREADS", "MKL_NUM_THREADS"):
|
||||
os.environ.setdefault(v, "1")
|
||||
|
||||
HERE = Path(__file__).resolve().parent
|
||||
sys.path.insert(0, str(HERE))
|
||||
sys.path.insert(0, str(HERE.parent))
|
||||
pd.set_option("display.width", 320)
|
||||
|
||||
BEST = {"15m": "1h", "30m": "2h"}
|
||||
WINDOW = 4000 # 时点重建时回看多少根，实盘也不会带六年历史
|
||||
TOLERANCE = 3 # 判定「同一时刻」允许的根数偏移
|
||||
|
||||
|
||||
def pit_signals(df_slice: pd.DataFrame, ltf: str) -> set[int]:
|
||||
"""只用给定切片重建，返回该切片内的信号在切片中的下标集合。"""
|
||||
from chanlun import TF_DF
|
||||
from lib.fast_bsp3 import find_fast_bsp3
|
||||
from lib.nested_level import build_htf_zones
|
||||
|
||||
chan = TF_DF(df_slice, 1, ltf)
|
||||
cdf = chan.dataframe
|
||||
zones = build_htf_zones(cdf, ltf, chan=chan)
|
||||
if zones.empty:
|
||||
return set()
|
||||
sig = find_fast_bsp3(cdf, zones.reset_index(drop=True))
|
||||
if sig.empty:
|
||||
return set()
|
||||
return set(sig["entry_idx"].astype(int).tolist())
|
||||
|
||||
|
||||
def run_one(task: tuple) -> dict | None:
|
||||
import warnings as _w
|
||||
_w.filterwarnings("ignore")
|
||||
sys.path.insert(0, str(HERE))
|
||||
sys.path.insert(0, str(HERE.parent))
|
||||
|
||||
from chanlun import TF_DF
|
||||
from lib.data import fetch_ohlcv
|
||||
from lib.fast_bsp3 import find_fast_bsp3
|
||||
from lib.fx_signal import extract_fx_signals, signals_to_frame
|
||||
from lib.nested_bsp import attach_htf_context, htf_fx_timeline
|
||||
from lib.nested_level import build_htf_zones
|
||||
|
||||
sym, ltf, n_probe = task
|
||||
pair = f"{sym}/USDT:USDT"
|
||||
try:
|
||||
df_l = fetch_ohlcv(pair, ltf, 10**9)
|
||||
if df_l is None or len(df_l) < 3000:
|
||||
return None
|
||||
chan_l = TF_DF(df_l, 1, ltf)
|
||||
cdf = chan_l.dataframe
|
||||
zones = build_htf_zones(cdf, ltf, chan=chan_l).reset_index(drop=True)
|
||||
if zones.empty:
|
||||
return None
|
||||
z = zones.copy()
|
||||
pg, pdn = z["zg"].shift(), z["zd"].shift()
|
||||
z["z_above"], z["z_below"] = z["zd"] > pg, z["zg"] < pdn
|
||||
z["zone_i"] = np.arange(len(z))
|
||||
|
||||
df_h = fetch_ohlcv(pair, BEST[ltf], 10**9)
|
||||
chan_h = TF_DF(df_h, 1, BEST[ltf])
|
||||
s = signals_to_frame(extract_fx_signals(chan_h, chan_h.dataframe))
|
||||
tl = htf_fx_timeline(s, chan_h.dataframe)
|
||||
|
||||
# 全量口径（回测用的那一份）
|
||||
full = find_fast_bsp3(cdf, zones)
|
||||
full = full.merge(z[["zone_i", "z_above", "z_below"]], on="zone_i", how="left")
|
||||
full = attach_htf_context(full, cdf, tl, "h1")
|
||||
full["push"] = np.where(full["direction"] == 1, full["z_above"], full["z_below"])
|
||||
fin = full[(full["h1_agree"] == 1) & full["push"].fillna(False).astype(bool)]
|
||||
idx_all = fin["entry_idx"].astype(int).to_numpy()
|
||||
idx_all = idx_all[idx_all >= WINDOW]
|
||||
if len(idx_all) < 20:
|
||||
return None
|
||||
|
||||
rng = np.random.default_rng(7)
|
||||
probe = (rng.choice(idx_all, size=min(n_probe, len(idx_all)), replace=False)
|
||||
if len(idx_all) > n_probe else idx_all)
|
||||
|
||||
rows = []
|
||||
for i in sorted(probe):
|
||||
sl = cdf.iloc[i - WINDOW + 1: i + 1].reset_index(drop=True)
|
||||
pit = pit_signals(sl, ltf)
|
||||
last = len(sl) - 1 # 信号那一根在切片中的位置
|
||||
hit_exact = last in pit
|
||||
near = [p - last for p in pit if abs(p - last) <= TOLERANCE]
|
||||
rows.append({"idx": int(i), "exact": hit_exact,
|
||||
"near": bool(near), "shift": min(near, key=abs) if near else np.nan})
|
||||
|
||||
# 假阳性：随机非信号点，看时点口径是否在当根给出信号
|
||||
pool = np.setdiff1d(np.arange(WINDOW, len(cdf) - 1), idx_all)
|
||||
fp_probe = rng.choice(pool, size=min(len(probe), len(pool)), replace=False)
|
||||
fp = 0
|
||||
for i in sorted(fp_probe):
|
||||
sl = cdf.iloc[i - WINDOW + 1: i + 1].reset_index(drop=True)
|
||||
if (len(sl) - 1) in pit_signals(sl, ltf):
|
||||
fp += 1
|
||||
|
||||
return {"task": f"{sym} {ltf}", "sym": sym, "ltf": ltf,
|
||||
"probe": pd.DataFrame(rows), "n_full": len(idx_all),
|
||||
"fp": fp, "n_fp": len(fp_probe)}
|
||||
except Exception as e:
|
||||
return {"task": f"{sym} {ltf}", "error": repr(e)[:250]}
|
||||
|
||||
|
||||
def main() -> None:
|
||||
ap = argparse.ArgumentParser()
|
||||
ap.add_argument("--symbols", default="BTC,ETH,SOL,BNB,ADA,LINK")
|
||||
ap.add_argument("--probe", type=int, default=120)
|
||||
ap.add_argument("--workers", type=int, default=6)
|
||||
args = ap.parse_args()
|
||||
|
||||
syms = [s.strip() for s in args.symbols.split(",")]
|
||||
tasks = [(s, l, args.probe) for l in BEST for s in syms]
|
||||
print(f"[时点重建] {len(tasks)} 个任务 × 每个抽 {args.probe} 个信号"
|
||||
f"（窗口 {WINDOW} 根）\n", flush=True)
|
||||
res = []
|
||||
with ProcessPoolExecutor(max_workers=args.workers) as ex:
|
||||
futs = {ex.submit(run_one, t): t for t in tasks}
|
||||
for i, f in enumerate(as_completed(futs), 1):
|
||||
r = f.result()
|
||||
if r is None or "error" in (r or {}):
|
||||
print(f" [{i}] 跳过 {(r or {}).get('error', '')}", flush=True)
|
||||
continue
|
||||
res.append(r)
|
||||
p = r["probe"]
|
||||
print(f" [{i}/{len(tasks)}] {r['task']} 命中 "
|
||||
f"{p['exact'].mean() * 100:.0f}% / 容差内 {p['near'].mean() * 100:.0f}%",
|
||||
flush=True)
|
||||
if not res:
|
||||
return
|
||||
|
||||
print("\n" + "=" * 104)
|
||||
print("########## 1. 全量口径的信号，在时点口径下还在吗 ##########")
|
||||
rows = []
|
||||
for r in res:
|
||||
p = r["probe"]
|
||||
rows.append({"品种": r["sym"], "级别": r["ltf"], "全量信号数": r["n_full"],
|
||||
"抽检": len(p),
|
||||
"同根命中": f"{p['exact'].mean() * 100:.1f}%",
|
||||
f"±{TOLERANCE}根内": f"{p['near'].mean() * 100:.1f}%",
|
||||
"完全消失": f"{(~p['near']).mean() * 100:.1f}%",
|
||||
"中位偏移": (f"{np.nanmedian(p['shift']):+.1f}"
|
||||
if p["near"].any() else "—")})
|
||||
d = pd.DataFrame(rows).sort_values(["级别", "品种"])
|
||||
print(d.to_string(index=False))
|
||||
|
||||
print("\n########## 2. 分级别汇总 ##########")
|
||||
for ltf in BEST:
|
||||
sub = [r for r in res if r["ltf"] == ltf]
|
||||
if not sub:
|
||||
continue
|
||||
p = pd.concat([r["probe"] for r in sub], ignore_index=True)
|
||||
print(f" {ltf}: 抽检 {len(p)} 同根命中 {p['exact'].mean() * 100:.1f}% "
|
||||
f"±{TOLERANCE}根内 {p['near'].mean() * 100:.1f}% "
|
||||
f"完全消失 {(~p['near']).mean() * 100:.1f}%")
|
||||
|
||||
print("\n########## 3. 假阳性：实盘会下、回测里没有的单 ##########")
|
||||
rows = []
|
||||
for r in res:
|
||||
rows.append({"品种": r["sym"], "级别": r["ltf"], "抽检非信号点": r["n_fp"],
|
||||
"当根却给信号": r["fp"],
|
||||
"假阳性率": f"{r['fp'] / max(r['n_fp'], 1) * 100:.1f}%"})
|
||||
print(pd.DataFrame(rows).sort_values(["级别", "品种"]).to_string(index=False))
|
||||
|
||||
p_all = pd.concat([r["probe"] for r in res], ignore_index=True)
|
||||
fp_tot = sum(r["fp"] for r in res)
|
||||
fp_n = sum(r["n_fp"] for r in res)
|
||||
print("\n########## 结论 ##########")
|
||||
print(f" 同根命中 {p_all['exact'].mean() * 100:.1f}%，"
|
||||
f"±{TOLERANCE}根内 {p_all['near'].mean() * 100:.1f}%，"
|
||||
f"完全消失 {(~p_all['near']).mean() * 100:.1f}%，"
|
||||
f"假阳性 {fp_tot / max(fp_n, 1) * 100:.1f}%")
|
||||
print(" 同根命中率若接近 100%，说明结构在当时就已确定，回测口径可信；")
|
||||
print(" 若大量消失或偏移，则回测收益里有一部分实盘永远拿不到。")
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
main()
|
||||
Reference in New Issue
Block a user