research: 订正额外信号的机制——不是重画，是中枢终点在实时不可知
我先前把 B4 的额外信号归因为「中枢重画」，用户两次指出后逐条查证，归因是错的： ① 中枢边界不重画（用户对）。zg/zd 由前三笔定死，verify_window_sens/step39 验过。 ② 中枢只由已确认的笔构成，这是结构性保证：cal_bi_zs_list_pure 要求 bi1/bi2/bi3.is_sure，延伸时要求 leave_bi/back_bi.is_sure。 step70 实测 789 个信号全部 z_sure=True，用户说的浅色 B4 在研究路径不存在。 因此我提的「补一道 is_sure 门」是空操作，实测 PF 0.73→0.73，已标记不要再提。 ③ 真机制是 available_ts 棘轮，§5.41 早写明：改动不是已确认的笔被推翻， 而是中枢又吸收了新笔、bis[-1] 换人。available_ts 取末笔 sure_time， 于是往后棘轮，find_fast_bsp3 的 200 根扫描窗口整体右移。 消失的不是笔，是中枢的终点。 顺带澄清一个伪问题：中枢跨度 > 200 根不会导致突破落不进窗口， 因为扫描起点是中枢结束（末笔确认）而非起点，此时价格已在离开中枢。 仍未对上的是数量级：中枢层面 6.5% vs 信号层面 75%。假设是 max_per_zone=1 的放大（起点棘轮越过旧入场点，同一中枢反复产出「第一个」）。 step69_mechanism.py 已写好判据但三次后台运行被中断，标为下一步前置项。 Co-authored-by: Cursor <cursoragent@cursor.com>
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jackyu66git
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"""把 B4 按「中枢末笔是否已确认」拆开——之前的统计把两种混在一起了。
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用户指出：B4 有两种，**没确认的会出现然后消失，确认的不会**。而我在 step63/68
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里统计的是 `find_fast_bsp3` 的全部输出，它的返回列里根本没有确认标志
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（entry_idx/direction/bo_idx/pb_idx/lag/depth/zg/zd/width_pct/occ/zone_i），
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**两种被混在一起了**，所以「额外信号 74%」这个数字不能直接拿来说实盘。
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确认状态在更上游，`zones_from_zs_list`：
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sure_key = str(getattr(key_bi, "sure_time", "") or "")
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end_key = str(getattr(key_bi, "end_time", "") or "")
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avail = ts_of.get(sure_key) or ts_of.get(end_key) # ← 静默退回 end_time
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`ChanBI` 初始 `is_sure=False / sure_time=None`，确认时才 `set_is_sure(True, ...)`。
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所以**末笔未确认时 available_ts 退回 end_time，而 end_time 随笔延伸而移动**，
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中枢的可用时刻跟着漂 —— 这正是「出现然后消失」的那一种。笔一旦确认，
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`sure_time` 固定，中枢不再动。
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这也解释了 §5.41 的数量级：中枢层面确认时刻只被改 6.5%，而我在信号层面看到 74%。
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本脚本按 `zs.bi_list[-1].is_sure` 把信号拆成两组，分别看：
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额外率 未确认组应显著高（会出现然后消失），已确认组应接近 0
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收益 若亏损集中在未确认组，那么修法就是**信号侧加一道 is_sure 门**，
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而不是动出场参数或放弃 B4
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⚠️ 同时要查的第二件事：**实盘路径到底交易哪一种。** `shadow_signal.py` 的三道
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滤网是同向 + 阶梯 + ATR 门控，**没有 is_sure 这一道**。若未确认组确实是亏损源，
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且实盘没有挡它，那这道门就是要补的东西。
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"""
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from __future__ import annotations
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import argparse
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import sys
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import warnings
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from concurrent.futures import ProcessPoolExecutor, as_completed
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from pathlib import Path
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import numpy as np
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import pandas as pd
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warnings.filterwarnings("ignore")
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HERE = Path(__file__).resolve().parent
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sys.path.insert(0, str(HERE))
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sys.path.insert(0, str(HERE.parent))
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OUT = HERE / "out" / "step70_sure.feather"
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SL, SCALE_AT, RUNNER, RSTOP, MAXB = 2.0, 3.0, 8.0, 2.0, 48
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WIN, MAX_GROW, GATE_BP = 2001, 500, 8.0
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def _sure_map(zs_list) -> dict:
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"""(zg, zd) -> 末笔是否已确认。zones_from_zs_list 会按 available_ts 重排，
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索引对不上，所以用中枢边界当键接回去。"""
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m = {}
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for zs in zs_list:
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bis = getattr(zs, "bi_list", []) or []
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if not bis:
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continue
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m[(round(float(zs.zg), 10), round(float(zs.zd), 10))] = \
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bool(getattr(bis[-1], "is_sure", False))
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return m
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def replay(sym: str, ltf: str, htf: str, rows: int,
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steps: int) -> pd.DataFrame | None:
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from chanlun import TF_DF
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from chanlun.analysis.fast_bsp import (
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ensure_timestamp,
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find_fast_bsp3,
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zones_from_zs_list,
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)
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from lib.data import fetch_ohlcv
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from lib.fx_signal import extract_fx_signals, signals_to_frame
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from lib.nested_bsp import attach_htf_context, htf_fx_timeline
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try:
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df = fetch_ohlcv(f"{sym}/USDT:USDT", ltf, rows)
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if df is None or len(df) < WIN + steps + 100:
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return None
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df = df.iloc[-(WIN + steps):].reset_index(drop=True)
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full = TF_DF(df, 1, ltf)
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cdf = ensure_timestamp(full.dataframe)
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zsf = full.cal_bi_zs_list_pure(full.bi_list)
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if not zsf:
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return None
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sig_full = find_fast_bsp3(cdf, zones_from_zs_list(zsf, cdf))
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full_keys = {(int(r.entry_idx), int(r.direction))
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for r in sig_full.itertuples()} if not sig_full.empty \
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else set()
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dh = fetch_ohlcv(f"{sym}/USDT:USDT", htf, rows)
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tl = None
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if dh is not None and len(dh) > 500:
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ch = TF_DF(dh, 1, htf)
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tl = htf_fx_timeline(
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signals_to_frame(extract_fx_signals(ch, ch.dataframe)),
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ch.dataframe)
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rec: dict[tuple, dict] = {}
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chan, anchor = None, 0
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for i in range(WIN, len(df)):
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if chan is None or (i - anchor) >= MAX_GROW:
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w = df.iloc[i - WIN + 1:i + 1].copy()
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chan = TF_DF(w, 1, ltf)
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chan.init_stream(w, 1, ltf)
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anchor = i
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else:
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chan.append_bar(df.iloc[i])
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try:
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zl = chan.cal_bi_zs_list_pure(chan.bi_list)
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if not zl:
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continue
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sub = ensure_timestamp(chan.dataframe)
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z = zones_from_zs_list(zl, sub)
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if z is None or z.empty:
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continue
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sm = _sure_map(zl)
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pg, pdn = z["zg"].shift(), z["zd"].shift()
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z["z_above"], z["z_below"] = z["zd"] > pg, z["zg"] < pdn
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z["zone_i"] = np.arange(len(z))
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z["z_sure"] = [
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sm.get((round(float(a), 10), round(float(b), 10)), False)
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for a, b in zip(z["zg"], z["zd"])]
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s = find_fast_bsp3(sub, z)
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if s is None or s.empty:
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continue
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last = len(sub) - 1
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s = s[s["entry_idx"].astype(int) == last]
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if s.empty or "zone_i" not in s.columns:
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continue
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s = s.merge(z[["zone_i", "z_above", "z_below", "z_sure"]],
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on="zone_i", how="left")
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if tl is not None:
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s = attach_htf_context(s, sub, tl, "h1")
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except Exception: # noqa: BLE001
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continue
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for r in s.itertuples():
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k = (i, int(r.direction))
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if k in rec:
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continue
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push = getattr(r, "z_above" if r.direction == 1
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else "z_below", None)
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ag = getattr(r, "h1_agree", 0)
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rec[k] = {
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"sym": sym, "entry_idx": i, "direction": int(r.direction),
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"in_full": k in full_keys,
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"z_sure": bool(getattr(r, "z_sure", False)),
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"ladder_ok": int(bool(pd.notna(push) and bool(push))),
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"h1_agree": int(ag) if pd.notna(ag) else 0,
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}
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if not rec:
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return None
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r = pd.DataFrame(list(rec.values()))
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from lib.exit_model import cfg_name, walk_exits
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atr = cdf["atr"].to_numpy(float)
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cl = cdf["close"].to_numpy(float)
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r = r[(r.entry_idx < len(cdf) - 2)
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& np.isfinite(atr[r.entry_idx.values])
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& (atr[r.entry_idx.values] > 0)].reset_index(drop=True)
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if r.empty:
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return None
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res = walk_exits(cdf, pd.DataFrame({
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"entry_idx": r.entry_idx.values,
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"direction": r.direction.values}), [SL], [RUNNER], [MAXB],
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scale_at=SCALE_AT, runners=(RUNNER,), runner_stops=(RSTOP,))
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cfg = cfg_name(SL, RUNNER, MAXB, RSTOP)
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if len(res) != len(r):
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return None
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for c in ("g", "r", "c"):
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r[c] = res[f"{cfg}_{c}"].to_numpy()
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r["atr_pct"] = atr[r.entry_idx.values] / cl[r.entry_idx.values]
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r["gate_ok"] = (r.atr_pct * 1e4 >= GATE_BP).astype(int)
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r["pass_all"] = ((r.h1_agree == 1) & (r.ladder_ok == 1)
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& (r.gate_ok == 1)).astype(int)
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return r
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except Exception as e: # noqa: BLE001
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print(f" {sym} 失败: {type(e).__name__}: {e}", flush=True)
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return None
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def perf(g: pd.DataFrame) -> dict | None:
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from lib.exit_model import fee_of, taker_notional
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if len(g) < 15:
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return None
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net = g.g.values - fee_of(g.r.values, g.c.values)
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gR = g.g.values / (SL * g.atr_pct.values)
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w, o = net[net > 0].sum(), -net[net <= 0].sum()
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return {
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"笔数": len(g), "胜率": f"{(net > 0).mean()*100:.1f}%",
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"PF": round(w / o, 2) if o > 0 else np.inf,
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"余量bp": round(net.mean()
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/ taker_notional(g.r.values, g.c.values).mean() * 1e4, 2),
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"t值": round(gR.mean() / (gR.std(ddof=1) / np.sqrt(len(g))), 2),
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}
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def report(d: pd.DataFrame) -> None:
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print("\n" + "=" * 92)
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print("【一】判据：额外信号是不是集中在「末笔未确认」那一组")
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print("=" * 92)
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rows = []
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for k, g in d.groupby(d.z_sure):
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rows.append({"中枢末笔": "已确认" if k else "未确认", "信号数": len(g),
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"额外(全量没有)": int((~g.in_full).sum()),
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"额外率": f"{(~g.in_full).mean()*100:.1f}%"})
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print(pd.DataFrame(rows).to_string(index=False))
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print("""
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用户的判断：「没确认的会出现然后消失，确认的不会」。
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若已确认组额外率接近 0 -> 判断成立，之前 74% 是把两种混在一起统计的结果。""")
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print("\n" + "=" * 92)
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print("【二】亏损是不是也集中在未确认组")
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print("=" * 92)
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rows = []
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for k, g in d.groupby(d.z_sure):
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nm = "已确认" if k else "未确认"
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for lab, x in [("全部", g), ("三道滤网后", g[g.pass_all == 1])]:
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s = perf(x)
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if s:
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rows.append({"中枢末笔": nm, "口径": lab, **s})
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print(pd.DataFrame(rows).to_string(index=False))
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print("\n" + "=" * 92)
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print("【三】若补一道 is_sure 门，实盘口径会变成什么样")
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print("=" * 92)
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rows = []
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for nm, x in [
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("现状：三道滤网", d[d.pass_all == 1]),
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("**加 is_sure 门**", d[(d.pass_all == 1) & d.z_sure]),
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(" 对照：仅未确认", d[(d.pass_all == 1) & ~d.z_sure]),
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]:
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s = perf(x)
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if s:
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rows.append({"口径": nm, **s})
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print(pd.DataFrame(rows).to_string(index=False))
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print("""
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⚠️ `shadow_signal.py` 的三道滤网是同向 + 阶梯 + ATR 门控，**没有 is_sure**。
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若加上这道门 PF 明显回升，那它就是要补进信号路径的东西。""")
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def main() -> None:
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ap = argparse.ArgumentParser()
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ap.add_argument("--symbols", default="BTC,ETH,SOL,LINK,DOGE")
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ap.add_argument("--ltf", default="5m")
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ap.add_argument("--htf", default="30m")
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ap.add_argument("--rows", type=int, default=45_000)
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ap.add_argument("--steps", type=int, default=20_000)
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ap.add_argument("--workers", type=int, default=5)
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ap.add_argument("--reuse", action="store_true")
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args = ap.parse_args()
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if args.reuse and OUT.exists():
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report(pd.read_feather(OUT))
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return
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syms = [s.strip() for s in args.symbols.split(",")]
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print(f"[确认态拆分] {len(syms)} 币 × {args.steps} 根 · {args.ltf}\n",
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flush=True)
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parts = []
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with ProcessPoolExecutor(max_workers=args.workers) as ex:
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fut = {ex.submit(replay, s, args.ltf, args.htf, args.rows,
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args.steps): s for s in syms}
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for i, f in enumerate(as_completed(fut), 1):
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r = f.result()
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print(f" [{i}/{len(syms)}] {fut[f]} "
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f"{0 if r is None else len(r)}", flush=True)
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if r is not None:
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parts.append(r)
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if not parts:
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print("无结果")
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return
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d = pd.concat(parts, ignore_index=True)
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OUT.parent.mkdir(exist_ok=True)
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d.to_feather(OUT)
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report(d)
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if __name__ == "__main__":
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main()
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Reference in New Issue
Block a user