Chan/research/step47_avail_bi_ab.py

"""Step 47：中枢可用时刻取 bis[-1] 还是 bis[2] —— 按收益判，不按重画率判。

§5.41 发现 available_ts 取「中枢最后一笔」是右边缘重画的根因，改取「第三笔」
（中枢成立即固定）能把重画率从 6.5% 压到 1.2%。但那只测了稳定性。

小样本预检（60k 根 × 5 个币/周期）显示这不是一次「稳定性修补」：
  信号数 +17% ~ +44%，而两组的**重合度只有约 30%**。
  即 bis[2] 丢掉了原信号的多数，又换进来一批新的。
换句话说它是另一个策略，不是同一个策略的低延迟版。所以判据必须是扣费后的
净 R / PF / 滑点预算，重画率只能作为次要参考。

口径与 step44 一致（当前 1m 最优）：
  出场   SL 2.0 / 3 ATR 减半 / runner 目标 8 ATR / runner 止损留原位 / 48 根超时
  成本   taker 2bp、maker 0.8bp，滑点只加在 taker 腿
  门控   ATR >= 8bp
  过滤   深色（同向 ∧ 阶梯）——实盘只做这一档，见 §3.38

两组共用同一个 TF_DF，只切 available_ts 的取法，确保差异只来自这一处。
"""
from __future__ import annotations

import argparse
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", 340)

LTF, HTF = "1m", "5m"
SL, SCALE_AT, RUNNER, RSTOP, MAXB = 2.0, 3.0, 8.0, 2.0, 48
GATE_BP = 8.0
VARIANTS = (("bis[-1] 现行", -1), ("bis[2] 中枢成立", 2))


def collect(sym: str, rows: int) -> pd.DataFrame | 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.analysis.fast_bsp import (
        add_zone_ladder, attach_htf_agree, attach_zone_ladder,
        build_htf_zones, find_fast_bsp3, htf_fx_timeline,
    )
    from lib.data import fetch_ohlcv
    from lib.exit_model import cfg_name, walk_exits

    try:
        df = fetch_ohlcv(f"{sym}/USDT:USDT", LTF, rows)
        if df is None or len(df) < 50_000:
            return None
        # lean：只需要笔/中枢/信号，跳过线段与 MACD 状态机（见 §5.6，已验证等价）
        chan = TF_DF(df, 1, LTF, lean=True)
        cdf = chan.dataframe

        df_h = fetch_ohlcv(f"{sym}/USDT:USDT", HTF, 10 ** 9)
        chan_h = TF_DF(df_h, 1, HTF, lean=True)
        tl = htf_fx_timeline(chan_h, chan_h.dataframe)

        idx_all, parts = None, []
        for label, avail_bi in VARIANTS:
            zones = build_htf_zones(cdf, LTF, chan=chan, avail_bi=avail_bi)
            if zones.empty:
                continue
            zl = add_zone_ladder(zones.reset_index(drop=True))
            sig = find_fast_bsp3(cdf, zl)
            if sig.empty:
                continue
            sig = attach_zone_ladder(attach_htf_agree(sig, cdf, tl), zl)

            res = walk_exits(cdf, sig, [SL], [RUNNER], [MAXB],
                             scale_at=SCALE_AT, runners=(RUNNER,), runner_stops=(RSTOP,))
            cfg = cfg_name(SL, RUNNER, MAXB, RSTOP)
            need = [f"{cfg}_g", f"{cfg}_r", f"{cfg}_c", f"{cfg}_b"]
            if any(c not in res.columns for c in need):
                continue

            idx = sig["entry_idx"].to_numpy().astype(int)
            atr = cdf["atr"].to_numpy(float)[idx]
            close = cdf["close"].to_numpy(float)[idx]
            out = res[need].copy()
            out.columns = ["g", "r", "c", "b"]
            out["sym"] = sym
            out["variant"] = label
            out["atr_pct"] = atr / close
            out["lag"] = sig["lag"].to_numpy()
            out["entry_idx"] = idx
            out["htf_agree"] = sig["htf_agree"].to_numpy()
            out["ladder_ok"] = sig["ladder_ok"].to_numpy()
            parts.append(out)
        return pd.concat(parts, ignore_index=True) if parts else None
    except Exception as e:
        print(f"  {sym} 失败: {e!r}", flush=True)
        return None


def describe(g: pd.DataFrame, label: str) -> dict:
    from lib.exit_model import fee_of, taker_notional

    if len(g) < 40:
        return {"口径": label, "笔数": len(g), "备注": "样本不足"}
    gross = g["g"].to_numpy()
    reason, scaled = g["r"].to_numpy(), g["c"].to_numpy()
    net = gross - fee_of(reason, scaled)     # 未扣滑点：剩下的就是滑点余量
    denom = SL * g["atr_pct"].to_numpy()
    R, gR = net / denom, gross / denom
    w, o = net[net > 0], -net[net <= 0].sum()
    q = np.quantile(net[net > 0], 0.90) if (net > 0).any() else 0.0
    t10 = net[(net > 0) & (net <= q)].sum()
    tn = taker_notional(reason, scaled)
    return {
        "口径": label, "笔数": len(g),
        "滞后": round(float(g["lag"].mean()), 2),
        "胜率": f"{(net > 0).mean() * 100:.1f}%",
        "毛R": round(gR.mean(), 3),
        "净均R": round(R.mean(), 3),
        "R夏普": round(R.mean() / R.std(ddof=1), 3),
        "PF": round(w.sum() / o, 2) if o > 0 else np.inf,
        "剔10%PF": round(t10 / o, 2) if o > 0 else np.inf,
        "滑点余量bp": round(net.mean() / tn.mean() * 1e4, 2),
    }


def main() -> None:
    ap = argparse.ArgumentParser()
    ap.add_argument("--symbols", default="BTC,ETH,SOL,XRP,DOGE,LINK,ADA,LTC")
    ap.add_argument("--rows", type=int, default=300_000)
    ap.add_argument("--workers", type=int, default=3)
    args = ap.parse_args()

    syms = [s.strip() for s in args.symbols.split(",")]
    print(f"[available_ts A/B] {len(syms)} 币 × {args.rows} 根 {LTF}\n"
          f"出场 SL{SL}/减半{SCALE_AT}/runner{RUNNER}/rstop{RSTOP}/{MAXB}根，"
          f"ATR 门控 {GATE_BP:g}bp\n", flush=True)

    parts = []
    with ProcessPoolExecutor(max_workers=args.workers) as ex:
        futs = {ex.submit(collect, s, args.rows): s for s in syms}
        for i, f in enumerate(as_completed(futs), 1):
            r = f.result()
            if r is None:
                print(f"  [{i}/{len(syms)}] {futs[f]} 跳过", flush=True)
                continue
            parts.append(r)
            n = r.groupby("variant").size().to_dict()
            print(f"  [{i}/{len(syms)}] {futs[f]} {n}", flush=True)
    if not parts:
        print("无结果")
        return

    d = pd.concat(parts, ignore_index=True)
    d["a_bp"] = d["atr_pct"] * 1e4
    d.to_feather(HERE / "out" / "step47_avail_bi.feather")

    dark = (d["htf_agree"] == 1.0) & d["ladder_ok"]
    for lab, dd in (("全部信号", d), ("深色（实盘口径）", d[dark])):
        for gate_lab, ddd in (("未门控", dd), (f"ATR>={GATE_BP:g}bp", dd[dd.a_bp >= GATE_BP])):
            print("\n" + "=" * 118)
            print(f"########## {lab} / {gate_lab} ##########")
            print(pd.DataFrame([describe(ddd[ddd.variant == v], v)
                                for v, _ in [(a, b) for a, b in VARIANTS]]).to_string(index=False))

    print("\n########## 逐币（深色 + 门控）##########")
    dd = d[dark & (d.a_bp >= GATE_BP)]
    rows = []
    for s, g in dd.groupby("sym"):
        r = {"币": s}
        for v, _ in VARIANTS:
            x = describe(g[g.variant == v], v)
            tag = "现行" if "-1" in v else "新"
            r[f"{tag}_笔数"] = x.get("笔数")
            r[f"{tag}_净均R"] = x.get("净均R")
            r[f"{tag}_余量bp"] = x.get("滑点余量bp")
        rows.append(r)
    print(pd.DataFrame(rows).to_string(index=False))

    print("\n判据：净均R 与滑点余量bp 同时不劣于现行，才值得换。"
          "\n信号数变多本身不是好处——重合度只有约 30%，换的是另一批交易。")


if __name__ == "__main__":
    main()