refactor: 精简仓库为 chanlun 核心与 web 分析，移除威科夫与遗留模块
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
@@ -0,0 +1,186 @@
|
||||
"""Step 17：快速三买的多品种验证与参数敏感性。
|
||||
|
||||
Step 16 在 BTC 15m 上把三买 PF 从 0.50 提到 1.40，但只有 138 笔，t=1.77 不够。
|
||||
本步扩样本、查参数，回答它是不是真信号。
|
||||
|
||||
关一 多品种 BTC / ETH / SOL
|
||||
关二 参数面 回抽窗口 × 容差
|
||||
关三 组合 浅回抽 + 大级别同向 是否叠加增益
|
||||
关四 分年 是否依赖某段行情
|
||||
"""
|
||||
from __future__ import annotations
|
||||
|
||||
import argparse
|
||||
import sys
|
||||
import warnings
|
||||
from pathlib import Path
|
||||
|
||||
import numpy as np
|
||||
import pandas as pd
|
||||
|
||||
warnings.filterwarnings("ignore")
|
||||
sys.path.insert(0, str(Path(__file__).resolve().parent))
|
||||
|
||||
from lib.breakout import run_trades, summarize_trades
|
||||
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
|
||||
|
||||
sys.path.insert(0, str(Path(__file__).resolve().parents[1]))
|
||||
from chanlun import TF_DF
|
||||
|
||||
pd.set_option("display.width", 260)
|
||||
|
||||
SYMBOLS = ["BTC/USDT:USDT", "ETH/USDT:USDT", "SOL/USDT:USDT"]
|
||||
SL, TP, MAXB = 1.5, 3.0, 48
|
||||
|
||||
_cache: dict = {}
|
||||
|
||||
|
||||
def prep(symbol: str, ltf: str, htf1: str, htf2: str):
|
||||
"""小级别引擎 + 大级别分型时间线，缓存复用。"""
|
||||
key = (symbol, ltf)
|
||||
if key in _cache:
|
||||
return _cache[key]
|
||||
df_l = fetch_ohlcv(symbol, ltf, 10**9)
|
||||
if df_l is None or len(df_l) < 3000:
|
||||
_cache[key] = None
|
||||
return None
|
||||
chan_l = TF_DF(df_l, 1, ltf)
|
||||
cdf_l = chan_l.dataframe
|
||||
zones = build_htf_zones(df_l, ltf)
|
||||
tls = {}
|
||||
for tf, pref in ((htf1, "h1"), (htf2, "h2")):
|
||||
try:
|
||||
df_h = fetch_ohlcv(symbol, tf, 10**9)
|
||||
except Exception:
|
||||
continue
|
||||
if df_h is None or len(df_h) < 500:
|
||||
continue
|
||||
chan_h = TF_DF(df_h, 1, tf)
|
||||
s = signals_to_frame(extract_fx_signals(chan_h, chan_h.dataframe))
|
||||
tls[pref] = htf_fx_timeline(s, chan_h.dataframe)
|
||||
_cache[key] = (cdf_l, zones, tls)
|
||||
return _cache[key]
|
||||
|
||||
|
||||
def signals_for(symbol, ltf, htf1, htf2, pb_win=30, tol=0.003):
|
||||
got = prep(symbol, ltf, htf1, htf2)
|
||||
if got is None:
|
||||
return None, None
|
||||
cdf_l, zones, tls = got
|
||||
sig = find_fast_bsp3(cdf_l, zones, pullback_win=pb_win, tol=tol)
|
||||
if sig.empty:
|
||||
return cdf_l, None
|
||||
for pref, tl in tls.items():
|
||||
sig = attach_htf_context(sig, cdf_l, tl, pref)
|
||||
return cdf_l, sig
|
||||
|
||||
|
||||
def E(g):
|
||||
return list(zip(g["entry_idx"].astype(int), g["direction"].astype(int)))
|
||||
|
||||
|
||||
def main() -> None:
|
||||
ap = argparse.ArgumentParser()
|
||||
ap.add_argument("--ltf", default="15m")
|
||||
ap.add_argument("--htf1", default="1h")
|
||||
ap.add_argument("--htf2", default="4h")
|
||||
args = ap.parse_args()
|
||||
|
||||
print("########## 关一：多品种（快速三类，全部信号）##########")
|
||||
rows, pool = [], []
|
||||
for sym in SYMBOLS:
|
||||
cdf, sig = signals_for(sym, args.ltf, args.htf1, args.htf2)
|
||||
if sig is None or sig.empty:
|
||||
continue
|
||||
tr = run_trades(cdf, E(sig), SL, TP, MAXB)
|
||||
if tr.empty:
|
||||
continue
|
||||
s = summarize_trades(tr, f"{sym.split('/')[0]:>4} {args.ltf}")
|
||||
s["滞后中位"] = f"{sig['lag'].median():.0f}"
|
||||
rows.append(s)
|
||||
tr = tr.copy()
|
||||
tr["symbol"] = sym.split("/")[0]
|
||||
tr["date"] = cdf["date"].to_numpy()[tr["entry_idx"].to_numpy()]
|
||||
# 把过滤标记挂到交易上，供后续组合分析
|
||||
m = sig.set_index("entry_idx")
|
||||
tr["h1_agree"] = tr["entry_idx"].map(m["h1_agree"]) if "h1_agree" in m else np.nan
|
||||
tr["h2_agree"] = tr["entry_idx"].map(m["h2_agree"]) if "h2_agree" in m else np.nan
|
||||
tr["depth"] = tr["entry_idx"].map(m["depth"])
|
||||
pool.append(tr)
|
||||
print(pd.DataFrame(rows).to_string(index=False))
|
||||
|
||||
if not pool:
|
||||
print("无样本")
|
||||
return
|
||||
allt = pd.concat(pool, ignore_index=True)
|
||||
r = allt["ret"].to_numpy()
|
||||
win, loss = r[r > 0], r[r <= 0]
|
||||
sd = r.std(ddof=1)
|
||||
print(f"\n 合并 {len(r)} 笔：胜率 {(r > 0).mean() * 100:.1f}% "
|
||||
f"均收益 {r.mean() * 100:+.3f}% PF {win.sum() / abs(loss.sum()):.2f} "
|
||||
f"t值 {r.mean() / (sd / np.sqrt(len(r))):+.2f}")
|
||||
|
||||
print("\n########## 关三：过滤组合（合并全部品种）##########")
|
||||
a1 = allt["h1_agree"] == 1
|
||||
dq = allt["depth"].quantile(0.66)
|
||||
shallow = allt["depth"] >= dq
|
||||
rows = []
|
||||
for m, nm in [
|
||||
(pd.Series(True, index=allt.index), "全部"),
|
||||
(a1, f"+{args.htf1}同向"),
|
||||
(shallow, "+浅回抽"),
|
||||
(a1 & shallow, f"+{args.htf1}同向 且 浅回抽"),
|
||||
(~a1, f"{args.htf1}反向(对照)"),
|
||||
]:
|
||||
g = allt[m]
|
||||
if len(g) < 20:
|
||||
continue
|
||||
rows.append(summarize_trades(g, nm))
|
||||
print(pd.DataFrame(rows).to_string(index=False))
|
||||
|
||||
print("\n########## 关四：分年（合并全部品种）##########")
|
||||
allt["year"] = pd.to_datetime(allt["date"]).dt.year
|
||||
rows = [summarize_trades(g, str(y)) for y, g in allt.groupby("year") if len(g) >= 20]
|
||||
print(pd.DataFrame(rows).to_string(index=False))
|
||||
pos = sum(1 for _, g in allt.groupby("year") if len(g) >= 20 and g["ret"].mean() > 0)
|
||||
tot = sum(1 for _, g in allt.groupby("year") if len(g) >= 20)
|
||||
print(f"\n 盈利年份 {pos}/{tot}")
|
||||
|
||||
print("\n########## 关二：参数敏感性（回抽窗口 × 容差，合并全部品种）##########")
|
||||
rows = []
|
||||
for pb in (15, 30, 50):
|
||||
for tol in (0.001, 0.003, 0.006):
|
||||
sub = []
|
||||
for sym in SYMBOLS:
|
||||
cdf, sig = signals_for(sym, args.ltf, args.htf1, args.htf2, pb, tol)
|
||||
if sig is None or sig.empty:
|
||||
continue
|
||||
t = run_trades(cdf, E(sig), SL, TP, MAXB)
|
||||
if not t.empty:
|
||||
sub.append(t)
|
||||
if sub:
|
||||
rows.append(summarize_trades(pd.concat(sub, ignore_index=True),
|
||||
f"窗口{pb} 容差{tol}"))
|
||||
grid = pd.DataFrame(rows)
|
||||
print(grid.to_string(index=False))
|
||||
pos = sum(1 for v in grid["均收益"] if v.startswith("+"))
|
||||
print(f"\n 正收益参数点 {pos}/{len(grid)}")
|
||||
|
||||
print("\n########## 多空拆分（合并全部品种）##########")
|
||||
rows = [summarize_trades(allt[allt.direction == d], nm)
|
||||
for d, nm in ((1, "三买做多"), (-1, "三卖做空"))
|
||||
if len(allt[allt.direction == d]) >= 20]
|
||||
print(pd.DataFrame(rows).to_string(index=False))
|
||||
|
||||
out = Path(__file__).parent / "out" / "step17_fast_bsp3_trades.csv"
|
||||
out.parent.mkdir(exist_ok=True)
|
||||
allt.to_csv(out, index=False)
|
||||
print(f"\n明细已写入 {out}")
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
main()
|
||||
Reference in New Issue
Block a user