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156 lines
5.2 KiB
Markdown
156 lines
5.2 KiB
Markdown
# Dry-Run Decision Checklist — GATED_V1_1_LOCKED
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```text
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Purpose: 上线前不改规则，只验执行链
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Stack: Market State → Decision → Frozen Signal
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Version: GATED_V1_1_LOCKED
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Mode: dry-run / monitoring only
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```
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研究线已收手。本清单是 **operational acceptance**，不是新实验。
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---
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## Locked defaults（不可在 dry-run 中改动）
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| Item | Value |
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|------|--------|
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| Strategy | `Wyckoff_BTC_GATED` |
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| Spring | `V1_BASELINE` FROZEN |
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| Gate | `market_state in {accumulation, markup}` → allow Spring |
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| Soft-score | rejected |
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| Range | observe only（非交易规则） |
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| gate_version | `GATED_V1_1_LOCKED` |
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---
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## 1. 信号一致性
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上线前逐项勾选：
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- [ ] 同一根 entry candle 上，`market_state` **只使用已收盘 8h** 数据（无 lookahead；merge 后读的是上一根已完成 bias bar）
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- [ ] `allow_spring == True` **仅当** `market_state ∈ {accumulation, markup}`
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- [ ] `allow_spring == False` 当 `market_state ∈ {distribution, markdown, range}` 或缺失
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- [ ] Baseline 产生 `SPRING_LONG` 且 Gate block 时：**不下单**
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- [ ] 同上 blocked 事件：**写入决策日志**（见 §2），与 kept 同 schema
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- [ ] UTAD（若启用）镜像：`allow_utad` 仅 `{distribution, markdown}`；本清单以 Spring 为主
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快速自检（可在 dry-run 启动后抽查最近 N 条日志）：
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```text
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assert gate_version == "GATED_V1_1_LOCKED"
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assert allow ⇒ market_state in {accumulation, markup}
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assert market_state == "distribution" ⇒ allow == false
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assert block ⇒ order_not_sent
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```
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---
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## 2. 日志字段（每条候选信号一行）
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必需字段：
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| Field | Example / notes |
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|-------|-----------------|
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| `timestamp` | entry candle open/close time（UTC） |
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| `pair` | e.g. `BTC/USDT:USDT` |
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| `signal_type` | `SPRING_LONG` / `UTAD_SHORT` |
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| `market_state` | accumulation \| markup \| distribution \| markdown \| range \| missing |
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| `allow` | `true` / `false` |
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| `gate_version` | `GATED_V1_1_LOCKED` |
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| `baseline_signal` | `SPRING_LONG`（Gate 前 Baseline 标签） |
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| `block_reason` | `not_in_allow_set` \| `state_missing` \| `state_lag` \| `""` if allow |
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推荐附加（便于监控，非规则）：
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| Field | Notes |
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|-------|--------|
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| `bias_bar_time` | 决策所用已收盘 8h bar 时间 |
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| `accumulation_score` … `range_score` | 诊断用，**不参与默认 Gate** |
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| `would_enter` | Baseline 是否曾置 `enter_long=1` |
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| `order_sent` | dry-run 下应为 `allow` 的结果 |
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Blocked 必须落盘；禁止静默丢弃。
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---
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## 3. Dry-run 监控指标
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周期性汇总（建议日 / 周）：
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| Metric | 关注点 |
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|--------|--------|
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| `kept_n` / `blocked_n` | 量级是否合理，非零且非异常尖刺 |
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| blocked domain 分布 | **尤其 `distribution` 应仍为主要 block 源** |
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| kept trade PF / expectancy | 参考，不强求 > ungated baseline |
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| max DD（kept / 账户） | 应相对 ungated 历史继续偏低 |
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| range share among blocked | 仅观察；上升不自动改规则 |
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### 2023+ OOS 参考阈值（研究窗，非调参目标）
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| | Gated（研究） | 解读 |
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|--|---------------|------|
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| PF | ~1.34（baseline ~1.45） | **不强求超过 baseline** |
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| DD | ~3.4%（baseline ~7.9%） | **DD 应继续低** |
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| full DD | ~9.6% vs ~26% | 结构性降 DD 仍是成功标准 |
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Dry-run 短期 PF 波动 **不触发规则变更**。
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---
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## 4. 报警条件
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| Severity | Condition | Action |
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|----------|-----------|--------|
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| P0 | `market_state` 缺失或滞后（bias bar 过旧 / merge 失败） | 停新开仓，查数据链 |
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| P0 | Gate 放行且 `market_state ∉ {accumulation, markup}` | 立即停机排查；视为执行链 bug |
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| P0 | `distribution` 被放行 Spring | 同上 |
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| P1 | blocked 样本中 `range` **长期主导** 且 kept PF/expectancy 同步恶化 | 记观察票；**不改规则**，升级人工 review |
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| P2 | kept/blocked 比为 0 或异常尖刺（数据空洞） | 查 feed / 时区 / 8h 对齐 |
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报警只服务执行完整性，不服务「再优化一次 Gate」。
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---
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## 5. 不允许事项（硬禁）
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- 不调 Spring（TF / ATR / stoploss / entry 形态）
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- 不调 soft-score，不把 soft-score 接回默认路径
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- 不全样本扫 Gate 阈值 / 状态集合
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- 不因短期 dry-run PF 调规则
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- 不因 `range` 小样本表现把 range 升格为交易域
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- 不默认合并 ETH/SOL 进生产路径
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- 不复活 LPS 分支
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违反任一条 = 退出 dry-run，回到研究流程（需新证据包）。
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---
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## 6. Go / No-Go（dry-run → 有限实盘）
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**Go**（全部满足）：
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- [ ] §1 信号一致性全部勾选
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- [ ] §2 日志字段齐全，blocked 可见
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- [ ] §4 无未关闭的 P0
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- [ ] 监控窗内 blocked 仍以坏域为主（distribution 不消失为噪音）
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- [ ] 规则文件与运行配置仍为 `GATED_V1_1_LOCKED` / `state_set`
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**No-Go**：
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- 任一 P0
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- 日志无法区分 kept vs blocked
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- 发现非因果 8h 状态
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- 有人为改动 Spring / Gate 默认值
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---
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## Related
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- Status: `research/SYSTEM_STATUS.md`
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- Boundary: `research/VALIDITY_BOUNDARY.md`
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- Strategy: `strategies/Wyckoff_BTC_GATED.py`
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- State engine: `engine/market_state.py`
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- Audit evidence: `scripts/wyckoff_negative_domain_audit_result.json`
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- Robustness: `scripts/wyckoff_gate_robustness_slices_result.json`
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