Chan/scripts/wyckoff_phase2_lps_v2.py

#!/usr/bin/env python3
"""
LPS V2 单独 Phase2（不改 Spring、不合并组合）

同一 WFO / Regime / 成本模型。
目标: net PF > 1.2；频率约 5-15/year。
"""
from __future__ import annotations

import json
import logging
import sys
from pathlib import Path

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

from user_data.Chan.scripts.wyckoff_phase2_compare import (  # noqa: E402
	BRANCHES,
	WFO,
	install_offline_markets,
	run_bt,
)

OUT = ROOT / "user_data/Chan/scripts/wyckoff_lps_v2_phase2_result.json"
COMPARE = ROOT / "user_data/Chan/scripts/wyckoff_phase2_compare_result.json"


def main() -> None:
	logging.getLogger("freqtrade").setLevel(logging.ERROR)
	install_offline_markets()
	br = next(b for b in BRANCHES if b["name"] == "LPS_V2")
	print(f"===== {br['name']} ({br['strategy']}) — LPS-only Phase2 =====", flush=True)
	block = {"version": "LPS_V2", "wfo": {}, "regimes": {}, "cost_stress": {}, "target": br["target"]}

	print("--- WFO ---", flush=True)
	for wname, tr in WFO:
		r = run_bt(br["strategy"], br["config"], tr)
		block["wfo"][wname] = {"timerange": tr, **r}
		print(
			f"  {wname:<8} profit={r['profit_pct']:>7.2f}% n={r['trades']:<3} "
			f"dd={r['dd_pct']:.1f}% pf={r['pf']:.2f} wr={r['winrate']:.1f}%",
			flush=True,
		)

	print("--- Regime ---", flush=True)
	for mode in ["trend", "bull", "bear", "range", "all"]:
		r = run_bt(br["strategy"], br["config"], "20230101-", regime=mode)
		block["regimes"][mode] = r
		print(
			f"  {mode:<6} profit={r['profit_pct']:>7.2f}% n={r['trades']:<3} "
			f"pf={r['pf']:.2f} (loaded={r['regime_loaded']})",
			flush=True,
		)

	print("--- Cost (net PF) ---", flush=True)
	for label, fee, extra in [
		("fee_5bps", 0.0005, 0.0),
		("fee_5bps+slip_5bps", 0.0005, 0.0005),
		("fee_10bps+slip_10bps", 0.0010, 0.0010),
	]:
		r = run_bt(br["strategy"], br["config"], "20230101-", fee=fee, extra_cost=extra)
		block["cost_stress"][label] = r
		flag = "OK" if r["pf"] >= br["target"]["pf"] 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,
		)

	full = block["wfo"]["full"]
	mid = block["cost_stress"]["fee_5bps+slip_5bps"]
	tpy = full["trades"] / 3.6
	trend_pf = block["regimes"]["trend"]["pf"]
	range_pf = block["regimes"]["range"]["pf"]
	block["verdict"] = {
		"full_pf": full["pf"],
		"full_dd": full["dd_pct"],
		"trades_per_year": tpy,
		"net_mid_pf": mid["pf"],
		"target_pf_ok": mid["pf"] >= br["target"]["pf"],
		"target_dd_ok": full["dd_pct"] <= br["target"]["dd"],
		"freq_ok": 5.0 <= tpy <= 15.0,
		"regime_logic_ok": trend_pf >= range_pf,  # 趋势应不差于横盘
		"status": "PASS" if (mid["pf"] >= br["target"]["pf"] and full["dd_pct"] <= br["target"]["dd"]) else "FAIL",
		"hypothesis": "4h native SOS → 1h LPS",
	}
	print("\n===== Verdict =====")
	print(json.dumps(block["verdict"], ensure_ascii=False, indent=2))

	OUT.write_text(json.dumps(block, indent=2, ensure_ascii=False))
	# 合并进 compare 结果（保留 Spring，覆盖 LPS）
	if COMPARE.exists():
		prev = json.loads(COMPARE.read_text())
	else:
		prev = {"branches": {}}
	prev.setdefault("branches", {})["LPS_V2"] = block
	# 清理旧 LPS_V1 key 的活跃地位，保留作历史可手动看
	spring = prev["branches"].get("Spring_V1", {}).get("verdict", {})
	prev["system_status"] = {
		"spring": "BASELINE FROZEN / PASS + Limited Evidence",
		"lps": block["verdict"]["status"],
		"spring_tpy": spring.get("trades_per_year"),
		"lps_tpy": tpy,
		"next": "若 LPS PASS → 组合层；否则 Spring-only",
	}
	COMPARE.write_text(json.dumps(prev, indent=2, ensure_ascii=False))
	print(f"\nSaved {OUT}")
	print("system_status:", json.dumps(prev["system_status"], ensure_ascii=False))


if __name__ == "__main__":
	main()