jack/Chan
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

refactor: 精简仓库为 chanlun 核心与 web 分析，移除威科夫与遗留模块

Browse Source 
删除根目录旧 Chan 模块、策略、配置、文档及 wyckoff 相关代码；更新缠论 pipeline 与笔中枢计算；补充 research 研究与 web 测试。

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
jackyu66git
2026-08-27 01:05:12 +08:00
co-authored by Cursor
parent 5c10e35b76
commit 7f393b93ed
360 changed files with 140008 additions and 41167 deletions
Download Patch File Download Diff File Expand all files Collapse all files
research/out/step1_summary.csv
+55
View File
@@ -0,0 +1,55 @@
group,horizon,n,mean,median,winrate,excess,tstat,mfe,mae
ALL,1,203,-0.0021236365549800835,-0.00132326778077769,0.24630541871921183,-0.002123442086338205,-7.877371433862206,0.0016110083387067017,-0.004519826162126181
ALL,3,203,-0.0021953294533631285,-0.0017408667068975856,0.3399014778325123,-0.0021947492199650316,-4.228525034647697,0.003513839108175097,-0.0071547527041845626
ALL,5,203,-0.000978445933708817,-0.0014267438715096935,0.39408866995073893,-0.000977478634346284,-1.4418184983070745,0.00593898321251341,-0.008967770012803508
ALL,10,203,-0.0006059395661796422,-0.0010919908466819489,0.45320197044334976,-0.0006040071867119446,-0.6146557824200425,0.009490613947475116,-0.01170061592571211
ALL,20,202,-0.0015514242809740743,-0.0009690502791082503,0.43564356435643564,-0.0015514242809740743,-1.0499663276585984,0.013995676284657092,-0.016847200769581648
ALL,40,202,0.0008253921286729651,0.0012793740790605396,0.5247524752475248,0.0008253921286729651,0.41509091836696477,0.021146852970844253,-0.023181176281251163
ALL_LONG,1,101,-0.0023073836895074963,-0.0013294301498910804,0.24752475247524752,-0.002346860823808852,-5.208051058087319,0.0014128237438958062,-0.004470615648714599
ALL_LONG,3,101,-0.002442866562656746,-0.0015546030923489823,0.32673267326732675,-0.002560653942470415,-2.9823876279495622,0.0031625968573422616,-0.007391554228674599
ALL_LONG,5,101,-0.0007232983471750494,-0.0008089444186822866,0.44554455445544555,-0.0009196601177692531,-0.7556961010798738,0.005732975538084319,-0.008773559073301743
ALL_LONG,10,101,0.0002629842362288189,-0.00026866079746157604,0.4752475247524752,-0.00012928879571380152,0.17590738963018906,0.009755520682484106,-0.01141585778500244
ALL_LONG,20,101,0.001590935438542239,-0.001034919285536034,0.45544554455445546,0.000805806170512495,0.7081316524129802,0.015325409303319855,-0.015946658506413337
ALL_LONG,40,101,0.003201676790157725,0.0031966548972989883,0.5544554455445545,0.0017120826837018403,1.2182672419736218,0.021440191751652914,-0.022177493254263214
ALL_SHORT,1,102,-0.0019416908629480373,-0.0013171194188277792,0.24509803921568626,-0.0019022137286466814,-6.260669483012237,0.0018072499472939613,-0.004568554219523924
ALL_SHORT,3,102,-0.0019502191784743497,-0.0019581727459482374,0.35294117647058826,-0.0018324317986606808,-3.0313117596321377,0.003861637807529178,-0.0069202727632679565
ALL_SHORT,5,102,-0.001231092073315783,-0.0022300417936755726,0.3431372549019608,-0.0010347303027215793,-1.2740754874618336,0.006142971203859859,-0.00916007692348663
ALL_SHORT,10,102,-0.0014663445077801778,-0.00188546884849591,0.43137254901960786,-0.0010740714758375573,-1.137307603077761,0.009228304337319157,-0.011982582319944235
ALL_SHORT,20,101,-0.004693784000490388,-0.0009146094538616651,0.4158415841584158,-0.0039086547324606435,-2.4976095621524683,0.012665943265994328,-0.01774774303274996
ALL_SHORT,40,101,-0.001550892532811794,-0.0007482798220286934,0.49504950495049505,-6.129842635590934e-05,-0.5205812922568879,0.020853514190035595,-0.02418485930823911
B1,1,35,-0.0028237718150321447,-0.0008252250006676318,0.3142857142857143,-0.0028632489493335004,-3.2721300910328837,0.0018017122028088017,-0.005236452244615651
B1,3,35,-0.0013596028655088429,-0.0005928800975671069,0.4,-0.0014773902453225117,-1.0551434181325963,0.004010425153623689,-0.0070231548714579425
B1,5,35,0.0026250027138637407,0.0007472465757698895,0.5714285714285714,0.002428640943269537,1.9161406506175305,0.008057085881813362,-0.007658701679731569
B1,10,35,0.0025914534514903946,6.498256049405421e-05,0.5142857142857142,0.0021991804195477744,0.9122977764103373,0.012449350370835784,-0.01107299793151307
B1,20,35,0.0037290686810686996,0.0024162635417650656,0.5714285714285714,0.002943939413038956,0.9614632213291404,0.017543507702612517,-0.016116918292353646
B1,40,35,0.007510237086745946,0.0058524851362996445,0.6285714285714286,0.0060206429802900615,1.6362844611997802,0.02291597603819218,-0.020930455610265353
B2,1,28,-0.0016697849949384367,-0.0014942903810434087,0.25,-0.0017092621292397925,-3.248764849064481,0.0011291933610078947,-0.003559105140030987
B2,3,28,-0.0028465391682097226,-0.0013200290776567082,0.35714285714285715,-0.0029643265480233916,-2.1394938972687454,0.002820600563708391,-0.007035225134008442
B2,5,28,-0.002846545666315544,-0.0008426744384638222,0.39285714285714285,-0.003042907436909748,-1.3658711138353692,0.004612556547739213,-0.008975909882581646
B2,10,28,-0.0006205614179550504,0.0007048468307990128,0.5357142857142857,-0.0010128344498976708,-0.22351877223742594,0.008046376469183393,-0.011777606435226792
B2,20,28,0.0031112163862593405,-0.001118921099184904,0.42857142857142855,0.0023260871182295964,0.6311458307321253,0.015893238765981615,-0.01544003842905078
B2,40,28,0.005226457159055209,0.0032790973876980867,0.5714285714285714,0.003736863052599325,1.2600997467108481,0.023304069649709425,-0.019493707669286146
B3,1,38,-0.002301572611996205,-0.0011767389997988861,0.18421052631578946,-0.0023410497462975606,-2.9161327051403894,0.0012636278138670341,-0.004436879158888396
B3,3,38,-0.0031431664690960434,-0.0024366138444792927,0.23684210526315788,-0.0032609538489097125,-2.0218568835621693,0.002633699642918537,-0.007993427706391321
B3,5,38,-0.0022427618261335706,-0.0016489559401721592,0.3684210526315789,-0.0024391235967277745,-1.503305110583028,0.004417919477535545,-0.009651300813173294
B3,10,38,-0.0012306248221134652,-0.003306043385039234,0.39473684210526316,-0.0016228978540560857,-0.5575931263338145,0.008533731179329138,-0.01146509811831418
B3,20,38,-0.0014986048252605252,-0.0038215341606174266,0.3684210526315789,-0.002283734093290269,-0.47288225558813535,0.012864023278852157,-0.016163139286893356
B3,40,38,-0.0022586774390453627,-0.0011397961109894522,0.47368421052631576,-0.0037482715455012475,-0.4907314731618489,0.018707533036535624,-0.025303606778454883
S1,1,41,-0.0018157806597278012,-0.0014532760224835193,0.17073170731707318,-0.0017763035254264453,-4.8482884239356485,0.001543997740582688,-0.004010342857783084
S1,3,41,-0.0020654524090824,-0.001974325428882721,0.34146341463414637,-0.0019476650292687312,-2.4097074685365416,0.003466749677765922,-0.0067618194922689
S1,5,41,-0.0010367029486337126,-0.0021554343396793982,0.34146341463414637,-0.0008403411780395089,-0.8466693831925184,0.005081992296089234,-0.008212596278333742
S1,10,41,-0.0018476630489159204,-0.0002698108349055499,0.4634146341463415,-0.0014553900169733,-0.9494072080548653,0.008272885837112434,-0.011434242142518177
S1,20,40,-0.0034690279309439395,-0.00041949111062271875,0.45,-0.0026838986629141954,-1.090125085547318,0.011509739787981723,-0.018115268761179214
S1,40,40,0.004178873408246526,0.004173439629337873,0.6,0.00566846751470241,1.0615735995125652,0.020288122678240934,-0.02055082563903906
S2,1,29,-0.0011878001505587128,-0.0005263042819616171,0.3793103448275862,-0.001148323016257357,-2.230736189349769,0.0017724953506634135,-0.0038059881716991273
S2,3,29,-0.0017009428769838764,-0.0017408667068975856,0.3448275862068966,-0.0015831554971702075,-2.070245069784016,0.0034544232467848277,-0.00528864000445273
S2,5,29,-0.0012712878354241746,-0.0011873506082900798,0.3103448275862069,-0.0010749260648299707,-0.961351019394897,0.005490871178525909,-0.007298908568684415
S2,10,29,-0.0010654660820333093,-0.002521504815043239,0.41379310344827586,-0.0006731930500906889,-0.7118753008022581,0.0074735763206866665,-0.009668010682070814
S2,20,29,-0.004452004543089681,-0.004427684587475809,0.3103448275862069,-0.0036668752750599366,-1.892634950438198,0.010016427308864073,-0.013925179972011106
S2,40,29,-0.006353824132676504,-0.005895544998235241,0.3793103448275862,-0.004864230026220619,-1.4034358959592357,0.015520209866248304,-0.02205018465529869
S3,1,32,-0.00278622676892679,-0.0021207944233334825,0.21875,-0.0027467496346254344,-3.961497401961191,0.002176038190339215,-0.005974838007595594
S3,3,32,-0.002028483249983529,-0.002397105721004599,0.375,-0.00191069587016986,-1.2756091022578546,0.004736626419462916,-0.008601958204411796
S3,5,32,-0.0014437257299039557,-0.0028991919946145367,0.375,-0.001247363959309752,-0.6003523729253476,0.00809331607739987,-0.012060720321628277
S3,10,32,-0.0013410762002831079,-0.0020305026078761682,0.40625,-0.0009488031683404874,-0.44317398950274134,0.01204265655578222,-0.014782723719094164
S3,20,32,-0.006443841720692841,-0.0003583914523264443,0.46875,-0.005658712452663097,-1.6450435335076343,0.01651232144965938,-0.02075253364600797
S3,40,32,-0.004360443196757302,-0.0024779356187764594,0.46875,-0.0028708490903014174,-0.6362723456249845,0.026393560623211167,-0.03066195029896642
1 group horizon n mean median winrate excess tstat mfe mae
2 ALL 1 203 -0.0021236365549800835 -0.00132326778077769 0.24630541871921183 -0.002123442086338205 -7.877371433862206 0.0016110083387067017 -0.004519826162126181
3 ALL 3 203 -0.0021953294533631285 -0.0017408667068975856 0.3399014778325123 -0.0021947492199650316 -4.228525034647697 0.003513839108175097 -0.0071547527041845626
4 ALL 5 203 -0.000978445933708817 -0.0014267438715096935 0.39408866995073893 -0.000977478634346284 -1.4418184983070745 0.00593898321251341 -0.008967770012803508
5 ALL 10 203 -0.0006059395661796422 -0.0010919908466819489 0.45320197044334976 -0.0006040071867119446 -0.6146557824200425 0.009490613947475116 -0.01170061592571211
6 ALL 20 202 -0.0015514242809740743 -0.0009690502791082503 0.43564356435643564 -0.0015514242809740743 -1.0499663276585984 0.013995676284657092 -0.016847200769581648
7 ALL 40 202 0.0008253921286729651 0.0012793740790605396 0.5247524752475248 0.0008253921286729651 0.41509091836696477 0.021146852970844253 -0.023181176281251163
8 ALL_LONG 1 101 -0.0023073836895074963 -0.0013294301498910804 0.24752475247524752 -0.002346860823808852 -5.208051058087319 0.0014128237438958062 -0.004470615648714599
9 ALL_LONG 3 101 -0.002442866562656746 -0.0015546030923489823 0.32673267326732675 -0.002560653942470415 -2.9823876279495622 0.0031625968573422616 -0.007391554228674599
10 ALL_LONG 5 101 -0.0007232983471750494 -0.0008089444186822866 0.44554455445544555 -0.0009196601177692531 -0.7556961010798738 0.005732975538084319 -0.008773559073301743
11 ALL_LONG 10 101 0.0002629842362288189 -0.00026866079746157604 0.4752475247524752 -0.00012928879571380152 0.17590738963018906 0.009755520682484106 -0.01141585778500244
12 ALL_LONG 20 101 0.001590935438542239 -0.001034919285536034 0.45544554455445546 0.000805806170512495 0.7081316524129802 0.015325409303319855 -0.015946658506413337
13 ALL_LONG 40 101 0.003201676790157725 0.0031966548972989883 0.5544554455445545 0.0017120826837018403 1.2182672419736218 0.021440191751652914 -0.022177493254263214
14 ALL_SHORT 1 102 -0.0019416908629480373 -0.0013171194188277792 0.24509803921568626 -0.0019022137286466814 -6.260669483012237 0.0018072499472939613 -0.004568554219523924
15 ALL_SHORT 3 102 -0.0019502191784743497 -0.0019581727459482374 0.35294117647058826 -0.0018324317986606808 -3.0313117596321377 0.003861637807529178 -0.0069202727632679565
16 ALL_SHORT 5 102 -0.001231092073315783 -0.0022300417936755726 0.3431372549019608 -0.0010347303027215793 -1.2740754874618336 0.006142971203859859 -0.00916007692348663
17 ALL_SHORT 10 102 -0.0014663445077801778 -0.00188546884849591 0.43137254901960786 -0.0010740714758375573 -1.137307603077761 0.009228304337319157 -0.011982582319944235
18 ALL_SHORT 20 101 -0.004693784000490388 -0.0009146094538616651 0.4158415841584158 -0.0039086547324606435 -2.4976095621524683 0.012665943265994328 -0.01774774303274996
19 ALL_SHORT 40 101 -0.001550892532811794 -0.0007482798220286934 0.49504950495049505 -6.129842635590934e-05 -0.5205812922568879 0.020853514190035595 -0.02418485930823911
20 B1 1 35 -0.0028237718150321447 -0.0008252250006676318 0.3142857142857143 -0.0028632489493335004 -3.2721300910328837 0.0018017122028088017 -0.005236452244615651
21 B1 3 35 -0.0013596028655088429 -0.0005928800975671069 0.4 -0.0014773902453225117 -1.0551434181325963 0.004010425153623689 -0.0070231548714579425
22 B1 5 35 0.0026250027138637407 0.0007472465757698895 0.5714285714285714 0.002428640943269537 1.9161406506175305 0.008057085881813362 -0.007658701679731569
23 B1 10 35 0.0025914534514903946 6.498256049405421e-05 0.5142857142857142 0.0021991804195477744 0.9122977764103373 0.012449350370835784 -0.01107299793151307
24 B1 20 35 0.0037290686810686996 0.0024162635417650656 0.5714285714285714 0.002943939413038956 0.9614632213291404 0.017543507702612517 -0.016116918292353646
25 B1 40 35 0.007510237086745946 0.0058524851362996445 0.6285714285714286 0.0060206429802900615 1.6362844611997802 0.02291597603819218 -0.020930455610265353
26 B2 1 28 -0.0016697849949384367 -0.0014942903810434087 0.25 -0.0017092621292397925 -3.248764849064481 0.0011291933610078947 -0.003559105140030987
27 B2 3 28 -0.0028465391682097226 -0.0013200290776567082 0.35714285714285715 -0.0029643265480233916 -2.1394938972687454 0.002820600563708391 -0.007035225134008442
28 B2 5 28 -0.002846545666315544 -0.0008426744384638222 0.39285714285714285 -0.003042907436909748 -1.3658711138353692 0.004612556547739213 -0.008975909882581646
29 B2 10 28 -0.0006205614179550504 0.0007048468307990128 0.5357142857142857 -0.0010128344498976708 -0.22351877223742594 0.008046376469183393 -0.011777606435226792
30 B2 20 28 0.0031112163862593405 -0.001118921099184904 0.42857142857142855 0.0023260871182295964 0.6311458307321253 0.015893238765981615 -0.01544003842905078
31 B2 40 28 0.005226457159055209 0.0032790973876980867 0.5714285714285714 0.003736863052599325 1.2600997467108481 0.023304069649709425 -0.019493707669286146
32 B3 1 38 -0.002301572611996205 -0.0011767389997988861 0.18421052631578946 -0.0023410497462975606 -2.9161327051403894 0.0012636278138670341 -0.004436879158888396
33 B3 3 38 -0.0031431664690960434 -0.0024366138444792927 0.23684210526315788 -0.0032609538489097125 -2.0218568835621693 0.002633699642918537 -0.007993427706391321
34 B3 5 38 -0.0022427618261335706 -0.0016489559401721592 0.3684210526315789 -0.0024391235967277745 -1.503305110583028 0.004417919477535545 -0.009651300813173294
35 B3 10 38 -0.0012306248221134652 -0.003306043385039234 0.39473684210526316 -0.0016228978540560857 -0.5575931263338145 0.008533731179329138 -0.01146509811831418
36 B3 20 38 -0.0014986048252605252 -0.0038215341606174266 0.3684210526315789 -0.002283734093290269 -0.47288225558813535 0.012864023278852157 -0.016163139286893356
37 B3 40 38 -0.0022586774390453627 -0.0011397961109894522 0.47368421052631576 -0.0037482715455012475 -0.4907314731618489 0.018707533036535624 -0.025303606778454883
38 S1 1 41 -0.0018157806597278012 -0.0014532760224835193 0.17073170731707318 -0.0017763035254264453 -4.8482884239356485 0.001543997740582688 -0.004010342857783084
39 S1 3 41 -0.0020654524090824 -0.001974325428882721 0.34146341463414637 -0.0019476650292687312 -2.4097074685365416 0.003466749677765922 -0.0067618194922689
40 S1 5 41 -0.0010367029486337126 -0.0021554343396793982 0.34146341463414637 -0.0008403411780395089 -0.8466693831925184 0.005081992296089234 -0.008212596278333742
41 S1 10 41 -0.0018476630489159204 -0.0002698108349055499 0.4634146341463415 -0.0014553900169733 -0.9494072080548653 0.008272885837112434 -0.011434242142518177
42 S1 20 40 -0.0034690279309439395 -0.00041949111062271875 0.45 -0.0026838986629141954 -1.090125085547318 0.011509739787981723 -0.018115268761179214
43 S1 40 40 0.004178873408246526 0.004173439629337873 0.6 0.00566846751470241 1.0615735995125652 0.020288122678240934 -0.02055082563903906
44 S2 1 29 -0.0011878001505587128 -0.0005263042819616171 0.3793103448275862 -0.001148323016257357 -2.230736189349769 0.0017724953506634135 -0.0038059881716991273
45 S2 3 29 -0.0017009428769838764 -0.0017408667068975856 0.3448275862068966 -0.0015831554971702075 -2.070245069784016 0.0034544232467848277 -0.00528864000445273
46 S2 5 29 -0.0012712878354241746 -0.0011873506082900798 0.3103448275862069 -0.0010749260648299707 -0.961351019394897 0.005490871178525909 -0.007298908568684415
47 S2 10 29 -0.0010654660820333093 -0.002521504815043239 0.41379310344827586 -0.0006731930500906889 -0.7118753008022581 0.0074735763206866665 -0.009668010682070814
48 S2 20 29 -0.004452004543089681 -0.004427684587475809 0.3103448275862069 -0.0036668752750599366 -1.892634950438198 0.010016427308864073 -0.013925179972011106
49 S2 40 29 -0.006353824132676504 -0.005895544998235241 0.3793103448275862 -0.004864230026220619 -1.4034358959592357 0.015520209866248304 -0.02205018465529869
50 S3 1 32 -0.00278622676892679 -0.0021207944233334825 0.21875 -0.0027467496346254344 -3.961497401961191 0.002176038190339215 -0.005974838007595594
51 S3 3 32 -0.002028483249983529 -0.002397105721004599 0.375 -0.00191069587016986 -1.2756091022578546 0.004736626419462916 -0.008601958204411796
52 S3 5 32 -0.0014437257299039557 -0.0028991919946145367 0.375 -0.001247363959309752 -0.6003523729253476 0.00809331607739987 -0.012060720321628277
53 S3 10 32 -0.0013410762002831079 -0.0020305026078761682 0.40625 -0.0009488031683404874 -0.44317398950274134 0.01204265655578222 -0.014782723719094164
54 S3 20 32 -0.006443841720692841 -0.0003583914523264443 0.46875 -0.005658712452663097 -1.6450435335076343 0.01651232144965938 -0.02075253364600797
55 S3 40 32 -0.004360443196757302 -0.0024779356187764594 0.46875 -0.0028708490903014174 -0.6362723456249845 0.026393560623211167 -0.03066195029896642