Chan/scripts/wyckoff_phase2_robustness.py

#!/usr/bin/env python3
"""
Wyckoff Phase 2：鲁棒性验证（固定当前参数，不再扫参）

1) Walk-Forward：Train 2023-2024 / Validate 2025 / Test 2026
2) 市场状态拆分：bull / bear / range（8h EMA200 语境）
3) 成本压力：抬高手续费 + 滑点后是否仍 PF>1.3
"""
from __future__ import annotations

import json
import logging
import re
import sys
from pathlib import Path
from typing import Any, Optional

ROOT = Path(__file__).resolve().parents[3]
sys.path.insert(0, str(ROOT))

from user_data.Chan.scripts.wyckoff_tf_grid import (  # noqa: E402
	CONFIG_PATH,
	STRAT_PATH,
	install_offline_markets,
	patch_strategy,
)

OUT = ROOT / "user_data/Chan/scripts/wyckoff_phase2_result.json"

WFO = [
	("train", "20230101-20250101"),
	("validate", "20250101-20260101"),
	("test", "20260101-"),
	("full", "20230101-"),
]


def set_regime(mode: str) -> None:
	text = STRAT_PATH.read_text()
	text2, n = re.subn(
		r'^(\tregime_mode: str = )".*"',
		rf'\g<1>"{mode}"',
		text,
		count=1,
		flags=re.M,
	)
	if n == 0:
		raise RuntimeError("regime_mode not found in strategy")
	STRAT_PATH.write_text(text2)
	# 清掉 bytecode，避免连续切换时读到旧 class 属性
	pycache = STRAT_PATH.parent / "__pycache__"
	if pycache.is_dir():
		for p in pycache.glob("Wyckoff_BTC*.pyc"):
			p.unlink(missing_ok=True)


def run_bt(
	timerange: str,
	*,
	fee: Optional[float] = None,
	extra_cost: float = 0.0,
	regime: Optional[str] = None,
) -> dict[str, Any]:
	from freqtrade.configuration import Configuration
	from freqtrade.enums import RunMode
	from freqtrade.optimize.backtesting import Backtesting
	import freqtrade.optimize.optimize_reports.bt_output as bt_output

	bt_output.show_backtest_results = lambda *a, **k: None  # type: ignore

	if regime is not None:
		set_regime(regime)

	for mod in list(sys.modules):
		if "Wyckoff_BTC" in mod:
			del sys.modules[mod]

	config = Configuration.from_files([str(CONFIG_PATH)])
	config.update(
		{
			"strategy": "Wyckoff_BTC",
			"strategy_path": str(ROOT / "user_data/Chan/strategies"),
			"timerange": timerange,
			"timeframe": "1h",
			"export": "none",
			"runmode": RunMode.BACKTEST,
			"datadir": ROOT / "user_data/data/binance",
			"user_data_dir": ROOT / "user_data",
			"enable_protections": False,
		}
	)
	base_fee = 0.0005 if fee is None else fee
	config["fee"] = base_fee + extra_cost

	bt = Backtesting(config)
	loaded_regime = getattr(bt.strategylist[0], "regime_mode", None)
	bt.start()
	st = bt.results["strategy"].get("Wyckoff_BTC") or list(bt.results["strategy"].values())[0]
	profit = st.get("profit_total_pct")
	if profit is None:
		profit = float(st.get("profit_total") or 0) * 100
	return {
		"profit_pct": float(profit),
		"trades": int(st.get("total_trades") or 0),
		"dd_pct": float(st.get("max_drawdown_account") or 0) * 100,
		"pf": float(st.get("profit_factor") or 0),
		"winrate": float(st.get("winrate") or 0) * 100,
		"final": float(st.get("final_balance") or 0),
		"fee_used": config["fee"],
		"regime_loaded": loaded_regime,
	}


def main() -> None:
	logging.getLogger("freqtrade").setLevel(logging.ERROR)
	install_offline_markets()
	orig = STRAT_PATH.read_text()
	results: dict[str, Any] = {"wfo": {}, "regimes": {}, "cost_stress": {}}

	try:
		patch_strategy("1h", "4h", "8h")
		set_regime("all")

		print("===== 1) Walk-Forward (fixed params, no re-opt) =====")
		for name, tr in WFO:
			r = run_bt(tr)
			results["wfo"][name] = {"timerange": tr, **r}
			print(
				f"  {name:<8} {tr:<22} profit={r['profit_pct']:>7.2f}%  "
				f"n={r['trades']:<3} dd={r['dd_pct']:.1f}% pf={r['pf']:.2f} wr={r['winrate']:.1f}%",
				flush=True,
			)

		print("\n===== 2) Regime split (20230101-) =====")
		for mode in ["all", "bull", "bear", "range"]:
			r = run_bt("20230101-", regime=mode)
			results["regimes"][mode] = r
			print(
				f"  {mode:<6} profit={r['profit_pct']:>7.2f}%  n={r['trades']:<3} "
				f"dd={r['dd_pct']:.1f}% pf={r['pf']:.2f} wr={r['winrate']:.1f}% "
				f"(loaded={r.get('regime_loaded')})",
				flush=True,
			)
		set_regime("all")

		print("\n===== 3) Cost stress (20230101-) =====")
		for label, fee, extra in [
			("fee_5bps", 0.0005, 0.0),
			("fee_10bps", 0.0010, 0.0),
			("fee_5bps+slip_5bps", 0.0005, 0.0005),
			("fee_10bps+slip_10bps", 0.0010, 0.0010),
		]:
			r = run_bt("20230101-", fee=fee, extra_cost=extra)
			results["cost_stress"][label] = r
			flag = "OK" if r["pf"] >= 1.3 else ("WEAK" if r["pf"] >= 1.0 else "FAIL")
			print(
				f"  {label:<22} profit={r['profit_pct']:>7.2f}% n={r['trades']:<3} "
				f"pf={r['pf']:.2f} [{flag}]",
				flush=True,
			)

		wfo = results["wfo"]
		results["verdict"] = {
			"validate_profit_ok": wfo["validate"]["profit_pct"] > 0,
			"validate_pf_ge_1": wfo["validate"]["pf"] >= 1.0,
			"test_pf_ge_1": wfo["test"]["pf"] >= 1.0,
			"cost_mid_pf_ge_1_3": results["cost_stress"]["fee_5bps+slip_5bps"]["pf"] >= 1.3,
			"next": [
				"若 validate/test 稳定 → paper / 小资金",
				"若仅 train 好 → 参数过拟合，冻结开发",
				"可并行加 SOS/LPS 趋势跟随以提高频率",
			],
		}
		print("\n===== Verdict =====")
		print(json.dumps(results["verdict"], ensure_ascii=False, indent=2))
	finally:
		STRAT_PATH.write_text(orig)
		print("\nRestored strategy file", flush=True)

	OUT.write_text(json.dumps(results, indent=2, ensure_ascii=False))
	print(f"Saved {OUT}")


if __name__ == "__main__":
	main()