fix(web): 自动刷新保留 K 线视窗；威科夫与图表增量更新
自动刷新改用 tail update 与 scrollToPosition 恢复视窗，避免 setData 后跳到最右；拆分 chart_tv 模块并扩展 analyze/recent API。同步威科夫分析、pipeline 增量构建及相关策略与配置。 Co-authored-by: Cursor <cursoragent@cursor.com>
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jackyu66git
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#!/usr/bin/env python3
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"""
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Wyckoff Phase 2：鲁棒性验证（固定当前参数，不再扫参）
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1) Walk-Forward：Train 2023-2024 / Validate 2025 / Test 2026
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2) 市场状态拆分：bull / bear / range（8h EMA200 语境）
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3) 成本压力：抬高手续费 + 滑点后是否仍 PF>1.3
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"""
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from __future__ import annotations
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import json
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import logging
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import re
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import sys
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from pathlib import Path
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from typing import Any, Optional
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ROOT = Path(__file__).resolve().parents[3]
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sys.path.insert(0, str(ROOT))
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from user_data.Chan.scripts.wyckoff_tf_grid import ( # noqa: E402
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CONFIG_PATH,
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STRAT_PATH,
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install_offline_markets,
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patch_strategy,
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)
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OUT = ROOT / "user_data/Chan/scripts/wyckoff_phase2_result.json"
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WFO = [
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("train", "20230101-20250101"),
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("validate", "20250101-20260101"),
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("test", "20260101-"),
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("full", "20230101-"),
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]
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def set_regime(mode: str) -> None:
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text = STRAT_PATH.read_text()
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text2, n = re.subn(
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r'^(\tregime_mode: str = )".*"',
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rf'\g<1>"{mode}"',
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text,
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count=1,
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flags=re.M,
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)
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if n == 0:
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raise RuntimeError("regime_mode not found in strategy")
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STRAT_PATH.write_text(text2)
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# 清掉 bytecode，避免连续切换时读到旧 class 属性
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pycache = STRAT_PATH.parent / "__pycache__"
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if pycache.is_dir():
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for p in pycache.glob("Wyckoff_BTC*.pyc"):
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p.unlink(missing_ok=True)
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def run_bt(
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timerange: str,
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*,
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fee: Optional[float] = None,
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extra_cost: float = 0.0,
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regime: Optional[str] = None,
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) -> dict[str, Any]:
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from freqtrade.configuration import Configuration
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from freqtrade.enums import RunMode
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from freqtrade.optimize.backtesting import Backtesting
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import freqtrade.optimize.optimize_reports.bt_output as bt_output
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bt_output.show_backtest_results = lambda *a, **k: None # type: ignore
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if regime is not None:
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set_regime(regime)
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for mod in list(sys.modules):
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if "Wyckoff_BTC" in mod:
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del sys.modules[mod]
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config = Configuration.from_files([str(CONFIG_PATH)])
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config.update(
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{
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"strategy": "Wyckoff_BTC",
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"strategy_path": str(ROOT / "user_data/Chan/strategies"),
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"timerange": timerange,
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"timeframe": "1h",
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"export": "none",
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"runmode": RunMode.BACKTEST,
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"datadir": ROOT / "user_data/data/binance",
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"user_data_dir": ROOT / "user_data",
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"enable_protections": False,
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}
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)
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base_fee = 0.0005 if fee is None else fee
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config["fee"] = base_fee + extra_cost
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bt = Backtesting(config)
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loaded_regime = getattr(bt.strategylist[0], "regime_mode", None)
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bt.start()
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st = bt.results["strategy"].get("Wyckoff_BTC") or list(bt.results["strategy"].values())[0]
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profit = st.get("profit_total_pct")
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if profit is None:
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profit = float(st.get("profit_total") or 0) * 100
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return {
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"profit_pct": float(profit),
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"trades": int(st.get("total_trades") or 0),
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"dd_pct": float(st.get("max_drawdown_account") or 0) * 100,
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"pf": float(st.get("profit_factor") or 0),
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"winrate": float(st.get("winrate") or 0) * 100,
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"final": float(st.get("final_balance") or 0),
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"fee_used": config["fee"],
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"regime_loaded": loaded_regime,
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}
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def main() -> None:
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logging.getLogger("freqtrade").setLevel(logging.ERROR)
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install_offline_markets()
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orig = STRAT_PATH.read_text()
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results: dict[str, Any] = {"wfo": {}, "regimes": {}, "cost_stress": {}}
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try:
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patch_strategy("1h", "4h", "8h")
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set_regime("all")
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print("===== 1) Walk-Forward (fixed params, no re-opt) =====")
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for name, tr in WFO:
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r = run_bt(tr)
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results["wfo"][name] = {"timerange": tr, **r}
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print(
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f" {name:<8} {tr:<22} profit={r['profit_pct']:>7.2f}% "
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f"n={r['trades']:<3} dd={r['dd_pct']:.1f}% pf={r['pf']:.2f} wr={r['winrate']:.1f}%",
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flush=True,
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)
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print("\n===== 2) Regime split (20230101-) =====")
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for mode in ["all", "bull", "bear", "range"]:
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r = run_bt("20230101-", regime=mode)
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results["regimes"][mode] = r
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print(
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f" {mode:<6} profit={r['profit_pct']:>7.2f}% n={r['trades']:<3} "
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f"dd={r['dd_pct']:.1f}% pf={r['pf']:.2f} wr={r['winrate']:.1f}% "
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f"(loaded={r.get('regime_loaded')})",
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flush=True,
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)
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set_regime("all")
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print("\n===== 3) Cost stress (20230101-) =====")
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for label, fee, extra in [
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("fee_5bps", 0.0005, 0.0),
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("fee_10bps", 0.0010, 0.0),
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("fee_5bps+slip_5bps", 0.0005, 0.0005),
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("fee_10bps+slip_10bps", 0.0010, 0.0010),
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]:
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r = run_bt("20230101-", fee=fee, extra_cost=extra)
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results["cost_stress"][label] = r
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flag = "OK" if r["pf"] >= 1.3 else ("WEAK" if r["pf"] >= 1.0 else "FAIL")
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print(
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f" {label:<22} profit={r['profit_pct']:>7.2f}% n={r['trades']:<3} "
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f"pf={r['pf']:.2f} [{flag}]",
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flush=True,
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)
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wfo = results["wfo"]
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results["verdict"] = {
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"validate_profit_ok": wfo["validate"]["profit_pct"] > 0,
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"validate_pf_ge_1": wfo["validate"]["pf"] >= 1.0,
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"test_pf_ge_1": wfo["test"]["pf"] >= 1.0,
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"cost_mid_pf_ge_1_3": results["cost_stress"]["fee_5bps+slip_5bps"]["pf"] >= 1.3,
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"next": [
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"若 validate/test 稳定 → paper / 小资金",
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"若仅 train 好 → 参数过拟合，冻结开发",
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"可并行加 SOS/LPS 趋势跟随以提高频率",
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],
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}
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print("\n===== Verdict =====")
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print(json.dumps(results["verdict"], ensure_ascii=False, indent=2))
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finally:
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STRAT_PATH.write_text(orig)
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print("\nRestored strategy file", flush=True)
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OUT.write_text(json.dumps(results, indent=2, ensure_ascii=False))
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print(f"Saved {OUT}")
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if __name__ == "__main__":
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main()
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