jackyu66git
3c72aa1310
chan_integration: auto-detect BSP signals from daily+4h Chan pipeline
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- ChanSignalDetector: runs TF_DF pipeline on historical OHLCV
- Extracts B1/B2/B3/S1/S2/S3 with entry price, date, signal grade
- Populates signal_features via SignalTracker with forward outcomes
- CLI: python main.py detect --from 2024-01-01
- 15 signals detected (5 daily + 10 4h), all directionally correct
- Expectancy API now returns real conditional probabilities
2026-06-24 19:19:11 +08:00
jackyu66git and Claude
71951019fb
chanmacro: Signal Expectancy Engine V1 — Market Memory System
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Phase A-C complete: 4 core factors, regime detection, signal tracking, Bayesian expectancy.
chanmacro/ (32 files, ~4000 lines):
- models: 12 enums + 15 Pydantic v2 models (DateAwareModel, MarketStateVector, etc.)
- fetchers: OHLCV + Breadth (from data_provider) + Derivatives (new endpoint)
- scoring: Price Structure / Breadth (quantile buckets) / OI Matrix (5 discrete states) / Volatility Regime
- regime_detector: 3-state (TREND/RANGE/PANIC), factor-locked (Price+Breadth+Vol), versioned, 2-day confirmation
- expectancy: SignalTracker (record+outcomes), TimeDecay (half-life=180d), BayesianExpectancyEngine (Empirical Bayes, Leveled, SufficiencyGuard)
- validation: FactorValidator (IC/ICIR/Hit Ratio), RegimeValidator (MI/KL/ANOVA), TransitionValidator (stability)
- CLI: fetch|score|regime|track|backfill|expectancy|validate|serve
- tests: 52 passing (models, scoring, regime, expectancy)
data_provider:
- /api/derivatives endpoint: funding rate, OI, OI change, basis
- _derivatives storage: same persist pattern as K-line (merge→lock→snapshot→atomic write)
- background refresh every 60s
Co-Authored-By: Claude <noreply@anthropic.com >
2026-06-24 17:44:55 +08:00
jackyu66git