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/step2_rt_summary_BTC_1h.csv
+55
View File
@@ -0,0 +1,55 @@
group,horizon,n,mean,winrate,excess,tstat
ALL,1,325,8.754213707142772e-05,0.49230769230769234,8.742066896588509e-05,0.37514022105106054
ALL,3,325,-0.0007316040286940588,0.4676923076923077,-0.0007319664514011777,-1.6596507035194012
ALL,5,325,-0.0005376526174451504,0.4676923076923077,-0.0005382568075085172,-1.0361267557460474
ALL,10,324,-0.0010523205118557666,0.45987654320987653,-0.001054741950324548,-1.234008234966247
ALL,20,324,-0.0021856743034440666,0.44753086419753085,-0.0021905207804072133,-1.8391850526269409
ALL,40,324,-0.0025878876495350994,0.47530864197530864,-0.0025970826748835927,-1.5328694071498117
ALL_LONG,1,163,0.0005323860625769297,0.5214723926380368,0.0004929089282755738,1.5455916044553644
ALL_LONG,3,163,0.00038926071171992296,0.5276073619631901,0.00027147333190625405,0.6118580971833651
ALL_LONG,5,163,0.0006146792053781288,0.5153374233128835,0.0004183174347839251,0.840200925278258
ALL_LONG,10,163,0.00021944059041015962,0.48466257668711654,-0.0001728324415324608,0.1662635000487765
ALL_LONG,20,163,-0.0006152184219781399,0.4662576687116564,-0.0014003476900078839,-0.3400812063633535
ALL_LONG,40,163,-0.0009626118230966189,0.5153374233128835,-0.0024522059295525034,-0.40940934044918814
ALL_SHORT,1,162,-0.00036004773859151564,0.46296296296296297,-0.00032057060429015985,-1.1545554898442367
ALL_SHORT,3,162,-0.0018593876872587442,0.4074074074074074,-0.0017416003074450753,-3.1032867204101784
ALL_SHORT,5,162,-0.0016970975996685727,0.41975308641975306,-0.001500735829074369,-2.334284514422687
ALL_SHORT,10,161,-0.0023398798886840023,0.43478260869565216,-0.0019476068567413818,-2.1837537024732696
ALL_SHORT,20,161,-0.0037756389536238557,0.42857142857142855,-0.0029905096855941116,-2.4622176599846486
ALL_SHORT,40,161,-0.004233353237792692,0.43478260869565216,-0.002743759131336808,-1.7459858446540082
B1,1,72,0.0012166191977792092,0.5972222222222222,0.0011771420634778533,1.914500738510701
B1,3,72,0.0014441764766805483,0.5416666666666666,0.0013263890968668794,1.4462809307161153
B1,5,72,0.002284255290531135,0.6111111111111112,0.002087893519936931,1.8899691258809437
B1,10,72,0.0022057466689669875,0.5138888888888888,0.001813473637024367,1.0326498687728751
B1,20,72,0.000997174223529997,0.4861111111111111,0.00021204495550025313,0.36836960292916815
B1,40,72,0.0007495934943399604,0.5,-0.0007400006121159242,0.1928699315451493
B2,1,33,0.000833882539073644,0.5151515151515151,0.0007944054047722882,1.2224663775515405
B2,3,33,-0.0006085002045673141,0.5757575757575758,-0.000726287584380983,-0.3752723454326955
B2,5,33,-0.00035375242409393893,0.5151515151515151,-0.0005501141946881427,-0.2364796711660595
B2,10,33,-0.0031109603619750323,0.5454545454545454,-0.0035032333939176525,-1.0072396484885806
B2,20,33,-0.004992950660720169,0.45454545454545453,-0.005778079928749913,-1.1440377787269074
B2,40,33,-0.003269049347069976,0.5454545454545454,-0.004758643453525861,-0.675955521065834
B3,1,58,-0.000488547893611962,0.43103448275862066,-0.0005280250279133178,-1.2819546490134563
B3,3,58,-0.0003525983372401836,0.4827586206896552,-0.0004703857170538525,-0.3924142284456519
B3,5,58,-0.0009068938008018406,0.39655172413793105,-0.0011032555713960442,-0.8310932497384856
B3,10,58,-0.0003514353790274335,0.41379310344827586,-0.0007437084109700539,-0.18498561775881325
B3,20,58,-0.0001260306047039825,0.4482758620689655,-0.0009111598727337264,-0.043298988787423186
B3,40,58,-0.0017758246604123581,0.5172413793103449,-0.0032654187668682425,-0.48878562702339623
S1,1,85,0.00011588464235797029,0.49411764705882355,0.00015536177665932612,0.30476592238842815
S1,3,85,-0.0015606849276286652,0.4117647058823529,-0.0014428975478149963,-2.2887270289648667
S1,5,85,-0.0005711095007446416,0.47058823529411764,-0.00037474773015043787,-0.6716809422878562
S1,10,84,-0.0007865215615461117,0.4523809523809524,-0.00039424852960349125,-0.5917284188262926
S1,20,84,-0.0020173559126054753,0.47619047619047616,-0.0012322266445757314,-1.097655536311974
S1,40,84,-0.002711572959369005,0.47619047619047616,-0.0012219788529131204,-0.8323339333839601
S2,1,31,-0.0014464521239628296,0.41935483870967744,-0.0014069749896614737,-1.5077966907255955
S2,3,31,-0.0019544426343244613,0.45161290322580644,-0.0018366552545107924,-1.1905249532652935
S2,5,31,-0.0031042577625129105,0.41935483870967744,-0.0029078959919187066,-1.4200556893864156
S2,10,31,-0.005180016485873119,0.45161290322580644,-0.004787743453930498,-1.6524801275417493
S2,20,31,-0.002969035829831899,0.41935483870967744,-0.0021839065618021554,-0.824348116900328
S2,40,31,-0.006328766070832596,0.3870967741935484,-0.004839171964376712,-1.2091828206094495
S3,1,46,-0.0005073459219435931,0.43478260869565216,-0.0004678687876422372,-0.9491419065687386
S3,3,46,-0.002347279670074385,0.3695652173913043,-0.002229492290260716,-1.8004779180879142
S3,5,46,-0.0028294241944590015,0.32608695652173914,-0.0026330624238647977,-2.047716590150218
S3,10,46,-0.0032624421705692236,0.391304347826087,-0.0028701691386266034,-1.699628807573874
S3,20,46,-0.007529997046734611,0.34782608695652173,-0.006744867778704867,-2.2100533449905306
S3,40,46,-0.005600130315256879,0.391304347826087,-0.004110536208800994,-1.1222056076686535
1 group horizon n mean winrate excess tstat
2 ALL 1 325 8.754213707142772e-05 0.49230769230769234 8.742066896588509e-05 0.37514022105106054
3 ALL 3 325 -0.0007316040286940588 0.4676923076923077 -0.0007319664514011777 -1.6596507035194012
4 ALL 5 325 -0.0005376526174451504 0.4676923076923077 -0.0005382568075085172 -1.0361267557460474
5 ALL 10 324 -0.0010523205118557666 0.45987654320987653 -0.001054741950324548 -1.234008234966247
6 ALL 20 324 -0.0021856743034440666 0.44753086419753085 -0.0021905207804072133 -1.8391850526269409
7 ALL 40 324 -0.0025878876495350994 0.47530864197530864 -0.0025970826748835927 -1.5328694071498117
8 ALL_LONG 1 163 0.0005323860625769297 0.5214723926380368 0.0004929089282755738 1.5455916044553644
9 ALL_LONG 3 163 0.00038926071171992296 0.5276073619631901 0.00027147333190625405 0.6118580971833651
10 ALL_LONG 5 163 0.0006146792053781288 0.5153374233128835 0.0004183174347839251 0.840200925278258
11 ALL_LONG 10 163 0.00021944059041015962 0.48466257668711654 -0.0001728324415324608 0.1662635000487765
12 ALL_LONG 20 163 -0.0006152184219781399 0.4662576687116564 -0.0014003476900078839 -0.3400812063633535
13 ALL_LONG 40 163 -0.0009626118230966189 0.5153374233128835 -0.0024522059295525034 -0.40940934044918814
14 ALL_SHORT 1 162 -0.00036004773859151564 0.46296296296296297 -0.00032057060429015985 -1.1545554898442367
15 ALL_SHORT 3 162 -0.0018593876872587442 0.4074074074074074 -0.0017416003074450753 -3.1032867204101784
16 ALL_SHORT 5 162 -0.0016970975996685727 0.41975308641975306 -0.001500735829074369 -2.334284514422687
17 ALL_SHORT 10 161 -0.0023398798886840023 0.43478260869565216 -0.0019476068567413818 -2.1837537024732696
18 ALL_SHORT 20 161 -0.0037756389536238557 0.42857142857142855 -0.0029905096855941116 -2.4622176599846486
19 ALL_SHORT 40 161 -0.004233353237792692 0.43478260869565216 -0.002743759131336808 -1.7459858446540082
20 B1 1 72 0.0012166191977792092 0.5972222222222222 0.0011771420634778533 1.914500738510701
21 B1 3 72 0.0014441764766805483 0.5416666666666666 0.0013263890968668794 1.4462809307161153
22 B1 5 72 0.002284255290531135 0.6111111111111112 0.002087893519936931 1.8899691258809437
23 B1 10 72 0.0022057466689669875 0.5138888888888888 0.001813473637024367 1.0326498687728751
24 B1 20 72 0.000997174223529997 0.4861111111111111 0.00021204495550025313 0.36836960292916815
25 B1 40 72 0.0007495934943399604 0.5 -0.0007400006121159242 0.1928699315451493
26 B2 1 33 0.000833882539073644 0.5151515151515151 0.0007944054047722882 1.2224663775515405
27 B2 3 33 -0.0006085002045673141 0.5757575757575758 -0.000726287584380983 -0.3752723454326955
28 B2 5 33 -0.00035375242409393893 0.5151515151515151 -0.0005501141946881427 -0.2364796711660595
29 B2 10 33 -0.0031109603619750323 0.5454545454545454 -0.0035032333939176525 -1.0072396484885806
30 B2 20 33 -0.004992950660720169 0.45454545454545453 -0.005778079928749913 -1.1440377787269074
31 B2 40 33 -0.003269049347069976 0.5454545454545454 -0.004758643453525861 -0.675955521065834
32 B3 1 58 -0.000488547893611962 0.43103448275862066 -0.0005280250279133178 -1.2819546490134563
33 B3 3 58 -0.0003525983372401836 0.4827586206896552 -0.0004703857170538525 -0.3924142284456519
34 B3 5 58 -0.0009068938008018406 0.39655172413793105 -0.0011032555713960442 -0.8310932497384856
35 B3 10 58 -0.0003514353790274335 0.41379310344827586 -0.0007437084109700539 -0.18498561775881325
36 B3 20 58 -0.0001260306047039825 0.4482758620689655 -0.0009111598727337264 -0.043298988787423186
37 B3 40 58 -0.0017758246604123581 0.5172413793103449 -0.0032654187668682425 -0.48878562702339623
38 S1 1 85 0.00011588464235797029 0.49411764705882355 0.00015536177665932612 0.30476592238842815
39 S1 3 85 -0.0015606849276286652 0.4117647058823529 -0.0014428975478149963 -2.2887270289648667
40 S1 5 85 -0.0005711095007446416 0.47058823529411764 -0.00037474773015043787 -0.6716809422878562
41 S1 10 84 -0.0007865215615461117 0.4523809523809524 -0.00039424852960349125 -0.5917284188262926
42 S1 20 84 -0.0020173559126054753 0.47619047619047616 -0.0012322266445757314 -1.097655536311974
43 S1 40 84 -0.002711572959369005 0.47619047619047616 -0.0012219788529131204 -0.8323339333839601
44 S2 1 31 -0.0014464521239628296 0.41935483870967744 -0.0014069749896614737 -1.5077966907255955
45 S2 3 31 -0.0019544426343244613 0.45161290322580644 -0.0018366552545107924 -1.1905249532652935
46 S2 5 31 -0.0031042577625129105 0.41935483870967744 -0.0029078959919187066 -1.4200556893864156
47 S2 10 31 -0.005180016485873119 0.45161290322580644 -0.004787743453930498 -1.6524801275417493
48 S2 20 31 -0.002969035829831899 0.41935483870967744 -0.0021839065618021554 -0.824348116900328
49 S2 40 31 -0.006328766070832596 0.3870967741935484 -0.004839171964376712 -1.2091828206094495
50 S3 1 46 -0.0005073459219435931 0.43478260869565216 -0.0004678687876422372 -0.9491419065687386
51 S3 3 46 -0.002347279670074385 0.3695652173913043 -0.002229492290260716 -1.8004779180879142
52 S3 5 46 -0.0028294241944590015 0.32608695652173914 -0.0026330624238647977 -2.047716590150218
53 S3 10 46 -0.0032624421705692236 0.391304347826087 -0.0028701691386266034 -1.699628807573874
54 S3 20 46 -0.007529997046734611 0.34782608695652173 -0.006744867778704867 -2.2100533449905306
55 S3 40 46 -0.005600130315256879 0.391304347826087 -0.004110536208800994 -1.1222056076686535