Chan/research/step31_bsp_direction.py

"""Step 31：引擎 B3/S3 的方向是不是反的。

引擎原版在完全相同条件下跑出 27.4% 胜率、t=-18.76，这不是滞后能解释的幅度，
稳定做反才会有这种数字。本步只做一件事：把引擎信号的方向翻转再跑一遍。

若翻转后由显著负转为显著正，说明 Chan_BSP_DIR 与实际交易方向的映射存在问题，
而不是三类买卖点本身无效——这会影响引擎所有下游使用者，不只是本次研究。
同时打印几个样本的价格上下文，用价格自己来判定哪个方向才是对的。
"""
from __future__ import annotations

import os
import sys
import warnings
from concurrent.futures import ProcessPoolExecutor, as_completed
from pathlib import Path

import numpy as np
import pandas as pd

warnings.filterwarnings("ignore")
for v in ("OMP_NUM_THREADS", "OPENBLAS_NUM_THREADS", "MKL_NUM_THREADS"):
    os.environ.setdefault(v, "1")

HERE = Path(__file__).resolve().parent
sys.path.insert(0, str(HERE))
sys.path.insert(0, str(HERE.parent))
pd.set_option("display.width", 320)

SL, TP, MAXB = 1.5, 3.0, 48
FEE, SLIP = 0.0004, 0.0001


def run_one(sym: str) -> dict | None:
    import warnings as _w
    _w.filterwarnings("ignore")
    sys.path.insert(0, str(HERE))
    sys.path.insert(0, str(HERE.parent))

    from chanlun import TF_DF
    from chanlun.core.ChanEnum import Chan_BSP_DIR
    from lib.breakout import run_trades
    from lib.data import fetch_ohlcv

    ltf = "30m"
    try:
        df_l = fetch_ohlcv(f"{sym}/USDT:USDT", ltf, 10**9)
        if df_l is None:
            return None
        chan = TF_DF(df_l, 1, ltf)
        cdf = chan.dataframe
        zs_list = chan.cal_bi_zs_list_pure(chan.bi_list)
        if not zs_list:
            return None
        bsp_list = chan.find_all_bsp(chan.bi_list, zs_list) or []
        idx_map = {k: i for i, k in
                   enumerate(cdf["date"].dt.strftime("%Y-%m-%d %H:%M:%S"))}
        close = cdf["close"].to_numpy(dtype=float)
        n = len(cdf)

        rows = []
        for b in bsp_list:
            t = str(b.type).replace("Chan_BSP_TYPE.", "")
            if t not in ("B3", "S3") or not b.is_sure or b.sure_time is None:
                continue
            ek = str(b.sure_time)
            if ek not in idx_map:
                continue
            i = idx_map[ek]
            zs = getattr(b, "zs", None)
            rows.append({
                "entry_idx": i,
                "type": t,
                "dir_enum": "BUY" if b.dir == Chan_BSP_DIR.BUY else "SELL",
                "dir_mapped": 1 if b.dir == Chan_BSP_DIR.BUY else -1,
                "zg": float(zs.zg) if zs is not None else np.nan,
                "zd": float(zs.zd) if zs is not None else np.nan,
                "entry_px": close[i],
                # 入场后 12 根的实际涨跌，让价格自己说话
                "fwd12": (close[min(i + 12, n - 1)] - close[i]) / close[i],
            })
        sig = pd.DataFrame(rows).drop_duplicates("entry_idx")
        if len(sig) < 30:
            return None

        out = []
        for name, flip in (("原方向", 1), ("反方向", -1)):
            entries = [(int(i), int(d) * flip)
                       for i, d in zip(sig["entry_idx"], sig["dir_mapped"])]
            tr = run_trades(cdf, entries, SL, TP, MAXB, fee=0.0, entry_delay=1)
            if tr.empty:
                continue
            tr["mode"], tr["symbol"] = name, sym
            m = sig.set_index("entry_idx")
            for c in ("type", "dir_enum", "fwd12", "zg", "zd", "entry_px"):
                tr[c] = tr["entry_idx"].map(m[c])
            out.append(tr)
        return {"sym": sym, "trades": pd.concat(out, ignore_index=True),
                "sig": sig.assign(symbol=sym)}
    except Exception as e:
        return {"sym": sym, "error": repr(e)[:250]}


def stat(g: pd.DataFrame, label: str) -> dict:
    r = g["gross"].to_numpy() - FEE - SLIP
    if len(r) < 15:
        return {}
    w, o = r[r > 0], r[r <= 0]
    sd = r.std(ddof=1)
    return {"口径": label, "笔数": len(r),
            "胜率": f"{(r > 0).mean() * 100:.1f}%",
            "均收益": f"{r.mean() * 100:+.3f}%",
            "中位": f"{np.median(r) * 100:+.3f}%",
            "PF": f"{w.sum() / abs(o.sum()):.2f}" if len(o) else "inf",
            "t值": f"{r.mean() / (sd / np.sqrt(len(r))):+.2f}"}


def main() -> None:
    syms = ["BTC", "ETH", "SOL"]
    res = []
    with ProcessPoolExecutor(max_workers=3) as ex:
        futs = {ex.submit(run_one, s): s for s in syms}
        for f in as_completed(futs):
            r = f.result()
            if r is None or "error" in (r or {}):
                print(f"  {futs[f]} 跳过 {(r or {}).get('error', '')}", flush=True)
                continue
            res.append(r)
            print(f"  {r['sym']} ok", flush=True)
    if not res:
        return
    allt = pd.concat([r["trades"] for r in res], ignore_index=True)
    sig = pd.concat([r["sig"] for r in res], ignore_index=True)

    print("\n" + "=" * 100)
    print("########## 1. 原方向 vs 反方向（30m，引擎 B3/S3）##########")
    print(pd.DataFrame([r for r in
                        [stat(g, m) for m, g in allt.groupby("mode")] if r]
                       ).to_string(index=False))

    print("\n########## 2. 分类型看 ##########")
    rows = []
    for (m, t), g in allt.groupby(["mode", "type"]):
        rows.append(stat(g, f"{m} {t}"))
    print(pd.DataFrame([r for r in rows if r]).to_string(index=False))

    print("\n########## 3. 让价格自己说话：入场后12根的实际涨跌 ##########")
    print("  B3 若真是买点，其后价格应偏涨（fwd12 均值>0）")
    rows = []
    for t, g in sig.groupby("type"):
        f = g["fwd12"].to_numpy()
        sd = f.std(ddof=1)
        rows.append({"类型": t, "枚举方向": g["dir_enum"].iloc[0], "笔数": len(f),
                     "后12根均涨跌": f"{f.mean() * 100:+.3f}%",
                     "上涨占比": f"{(f > 0).mean() * 100:.1f}%",
                     "t值": f"{f.mean() / (sd / np.sqrt(len(f))):+.2f}"})
    print(pd.DataFrame(rows).to_string(index=False))

    print("\n########## 4. 入场价相对中枢的位置（B3 应在中枢上方）##########")
    rows = []
    for t, g in sig.groupby("type"):
        above = (g["entry_px"] > g["zg"]).mean() * 100
        below = (g["entry_px"] < g["zd"]).mean() * 100
        rows.append({"类型": t, "笔数": len(g),
                     "入场价>中枢上沿zg": f"{above:.1f}%",
                     "入场价<中枢下沿zd": f"{below:.1f}%",
                     "在中枢内": f"{100 - above - below:.1f}%"})
    print(pd.DataFrame(rows).to_string(index=False))
    print("\n  若 B3 大量落在中枢下方、S3 落在上方，则标签与几何位置矛盾。")


if __name__ == "__main__":
    main()