Chan/scripts/wyckoff_gate_oos.py

#!/usr/bin/env python3
"""
Market State Gate OOS — Baseline vs Gated（Spring 冻结）

比较:
  A) Wyckoff_BTC_V1_BASELINE  — Spring always (within trend regime)
  B) Wyckoff_BTC_GATED        — Spring only when causal state gate opens

阈值先验固定，不对 2023+ 做网格搜索。

指标: net PF / DD / n / worst year / max consecutive losses
"""
from __future__ import annotations

import json
import logging
import sys
from pathlib import Path
from typing import Any

import numpy as np

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

from user_data.Chan.scripts.wyckoff_tf_grid import install_offline_markets  # noqa: E402

OUT = ROOT / "user_data/Chan/scripts/wyckoff_gate_oos_result.json"
PAIR = "BTC/USDT:USDT"

WINDOWS = [
	("define_pre2023", "20190901-20230101"),  # 观察区（不调参）
	("oos_2023plus", "20230101-"),
	("full", "20190901-"),
	("y2020", "20200101-20210101"),
	("y2021", "20210101-20220101"),
	("y2022", "20220101-20230101"),
	("y2023", "20230101-20240101"),
	("y2024", "20240101-20250101"),
	("y2025", "20250101-20260101"),
]

STRATS = [
	{
		"name": "baseline",
		"strategy": "Wyckoff_BTC_V1_BASELINE",
		"config": ROOT / "user_data/Chan/config/Wyckoff_BTC_V1_BASELINE.json",
	},
	{
		"name": "gated",
		"strategy": "Wyckoff_BTC_GATED",
		"config": ROOT / "user_data/Chan/config/Wyckoff_BTC_GATED.json",
	},
]


def _max_consecutive_losses(profits: list[float]) -> int:
	best = cur = 0
	for p in profits:
		if p <= 0:
			cur += 1
			best = max(best, cur)
		else:
			cur = 0
	return best


def _worst_year(trades: list[dict]) -> dict[str, Any]:
	by_y: dict[str, float] = {}
	for t in trades:
		ed = t.get("open_date") or t.get("entry_date") or ""
		y = str(ed)[:4]
		if len(y) < 4:
			continue
		by_y[y] = by_y.get(y, 0.0) + float(t.get("profit_ratio") or 0.0) * 100
	if not by_y:
		return {"year": None, "sum_pct": 0.0}
	y, v = min(by_y.items(), key=lambda x: x[1])
	return {"year": y, "sum_pct": round(v, 2)}


def run_one(strategy: str, config_path: Path, timerange: str) -> dict[str, Any]:
	from freqtrade.configuration import Configuration
	from freqtrade.enums import RunMode
	from freqtrade.optimize.backtesting import Backtesting
	from freqtrade.persistence import LocalTrade
	import freqtrade.optimize.optimize_reports.bt_output as bt_output

	bt_output.show_backtest_results = lambda *a, **k: None  # type: ignore
	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": strategy,
			"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,
			"fee": 0.0010,  # 5bps fee + 5bps slip
			"exchange": {
				**config.get("exchange", {}),
				"name": "binance",
				"pair_whitelist": [PAIR],
			},
		}
	)
	bt = Backtesting(config)
	bt.start()
	st = bt.results["strategy"].get(strategy) 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

	trade_rows = []
	profits = []
	for t in LocalTrade.bt_trades:
		pr = float(t.close_profit or 0.0)
		profits.append(pr)
		trade_rows.append(
			{
				"open_date": t.open_date_utc.isoformat() if t.open_date_utc else "",
				"enter_tag": t.enter_tag or "",
				"profit_ratio": pr,
			}
		)

	return {
		"timerange": timerange,
		"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,
		"max_consec_loss": _max_consecutive_losses(profits),
		"worst_year": _worst_year(trade_rows),
	}


def main() -> None:
	logging.getLogger("freqtrade").setLevel(logging.ERROR)
	install_offline_markets([PAIR])

	results: dict[str, Any] = {
		"pair": PAIR,
		"fee_model": "fee 5bps + slip 5bps",
		"gate": {
			"version": "v1.1_state_set",
			"spring": "market_state ∈ {accumulation, markup}",
			"utad": "market_state ∈ {distribution, markdown}",
			"note": "Causal 8h EMA/slope rules (= attribution labels). Scores kept for observability. Not grid-searched on 2023+.",
			"v1_score_threshold": "FAILED OOS (destroyed 2023+ PF 1.45→0.67); archived as too misaligned",
		},
		"windows": {},
		"verdict": {},
	}

	print("===== Market State Gate OOS (BTC) =====", flush=True)
	for wname, tr in WINDOWS:
		print(f"\n--- {wname} {tr} ---", flush=True)
		block = {}
		for s in STRATS:
			r = run_one(s["strategy"], s["config"], tr)
			block[s["name"]] = r
			print(
				f"  {s['name']:<9} profit={r['profit_pct']:>7.2f}% n={r['trades']:<3} "
				f"dd={r['dd_pct']:.1f}% pf={r['pf']:.2f} "
				f"mcl={r['max_consec_loss']} worst={r['worst_year']}",
				flush=True,
			)
		# delta gated - baseline
		b, g = block["baseline"], block["gated"]
		block["delta_gated_minus_baseline"] = {
			"pf": round(g["pf"] - b["pf"], 3),
			"dd_pct": round(g["dd_pct"] - b["dd_pct"], 3),
			"trades": g["trades"] - b["trades"],
			"profit_pct": round(g["profit_pct"] - b["profit_pct"], 3),
			"max_consec_loss": g["max_consec_loss"] - b["max_consec_loss"],
		}
		results["windows"][wname] = block

	oos_b = results["windows"]["oos_2023plus"]["baseline"]
	oos_g = results["windows"]["oos_2023plus"]["gated"]
	full_b = results["windows"]["full"]["baseline"]
	full_g = results["windows"]["full"]["gated"]
	pre_b = results["windows"]["define_pre2023"]["baseline"]
	pre_g = results["windows"]["define_pre2023"]["gated"]

	results["verdict"] = {
		"oos_gated_pf_ge_baseline": oos_g["pf"] >= oos_b["pf"] - 1e-9,
		"oos_gated_pf_ge_1_2": oos_g["pf"] >= 1.2,
		"oos_gated_dd_le_baseline": oos_g["dd_pct"] <= oos_b["dd_pct"] + 1e-9,
		"full_gated_pf_gt_baseline": full_g["pf"] > full_b["pf"],
		"pre2023_not_catastrophically_worse": pre_g["pf"] >= pre_b["pf"] - 0.15,
		"status": (
			"PASS"
			if (
				oos_g["pf"] >= 1.2
				and oos_g["dd_pct"] <= oos_b["dd_pct"] + 0.5
				and full_g["pf"] > full_b["pf"]
			)
			else "PARTIAL"
			if (oos_g["pf"] >= oos_b["pf"] and full_g["pf"] >= full_b["pf"])
			else "FAIL"
		),
		"note": "Gate must not destroy 2023+ edge; should improve or stabilize full-sample robustness.",
	}
	print("\n===== Verdict =====")
	print(json.dumps(results["verdict"], indent=2, ensure_ascii=False))
	OUT.write_text(json.dumps(results, indent=2, ensure_ascii=False))
	print(f"Saved {OUT}")


if __name__ == "__main__":
	main()