Chan/scripts/wyckoff_tf_grid.py

#!/usr/bin/env python3
"""离线网格：对比 Wyckoff 多周期组合（不依赖 Binance API）。"""
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))

STRAT_PATH = ROOT / "user_data/Chan/strategies/Wyckoff_BTC.py"
CONFIG_PATH = ROOT / "user_data/Chan/config/Wyckoff_BTC.json"

COMBOS = [
	("1h_4h_noBias", "1h", "4h", None),
	("1h_4h_8h", "1h", "4h", "8h"),
	("1h_8h_noBias", "1h", "8h", None),
	("30m_4h_8h", "30m", "4h", "8h"),
	("30m_4h_noBias", "30m", "4h", None),
	("15m_1h_4h", "15m", "1h", "4h"),
	("15m_4h_8h", "15m", "4h", "8h"),
	("4h_8h_noBias", "4h", "8h", None),
]


def stub_market(symbol: str = "BTC/USDT:USDT") -> dict[str, Any]:
	base = symbol.split("/")[0]
	return {
		"id": symbol,
		"symbol": symbol,
		"base": base,
		"quote": "USDT",
		"settle": "USDT",
		"baseId": base,
		"quoteId": "USDT",
		"settleId": "USDT",
		"type": "swap",
		"spot": False,
		"swap": True,
		"future": False,
		"option": False,
		"active": True,
		"contract": True,
		"linear": True,
		"inverse": False,
		"contractSize": 1.0,
		"precision": {"amount": 0.001, "price": 0.1},
		"limits": {
			"amount": {"min": 0.001, "max": 1000.0},
			"price": {"min": 0.1, "max": None},
			"cost": {"min": 5.0, "max": None},
			"leverage": {"min": 1.0, "max": 125.0},
		},
		"percentage": True,
		"taker": 0.0005,
		"maker": 0.0002,
		"info": {},
	}


def install_offline_markets(pairs: Optional[list[str]] = None) -> None:
	import ccxt
	import freqtrade.exchange.exchange as exmod
	from freqtrade.util import dt_ts

	if pairs is None:
		pairs = ["BTC/USDT:USDT"]
	markets = {p: stub_market(p) for p in pairs}
	tiers = {
		p: [
			{
				"minNotional": 0,
				"maxNotional": 1e12,
				"maintenanceMarginRate": 0.005,
				"maxLeverage": 125,
				"info": {},
			}
		]
		for p in pairs
	}

	def fake_reload(self, force: bool = False, *, load_leverage_tiers: bool = True) -> None:
		self._markets = markets
		try:
			self._api.precisionMode = ccxt.TICK_SIZE
			self._api_async.precisionMode = ccxt.TICK_SIZE
		except Exception:
			pass
		try:
			self._api.set_markets(markets)
		except Exception:
			pass
		try:
			self._api_async.set_markets(markets)
		except Exception:
			pass
		self._last_markets_refresh = dt_ts()
		self._leverage_tiers = tiers
		self._trading_fees = {}

	exmod.Exchange.reload_markets = fake_reload  # type: ignore
	exmod.Exchange.fills_leverage_tiers = lambda self: setattr(self, "_leverage_tiers", tiers)  # type: ignore


def patch_strategy(exec_tf: str, structure_tf: str, bias_tf: Optional[str]) -> None:
	text = STRAT_PATH.read_text()
	bias_repr = "None" if bias_tf is None else f'"{bias_tf}"'
	text = re.sub(r'^(\ttimeframe = ).*$', rf'\g<1>"{exec_tf}"', text, count=1, flags=re.M)
	text = re.sub(
		r'^(\tstructure_timeframe = ).*$', rf'\g<1>"{structure_tf}"', text, count=1, flags=re.M
	)
	text = re.sub(
		r'^(\tbias_timeframe: Optional\[str\] = ).*$',
		rf'\g<1>{bias_repr}',
		text,
		count=1,
		flags=re.M,
	)
	startup = 220 if exec_tf in ("1h", "4h", "8h") else 400
	text = re.sub(
		r'^(\tstartup_candle_count = ).*$', rf'\g<1>{startup}', text, count=1, flags=re.M
	)
	STRAT_PATH.write_text(text)


def run_one(exec_tf: str, timerange: str) -> 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

	# 静默打印
	bt_output.show_backtest_results = lambda *a, **k: None  # type: ignore
	bt_output.show_backtest_result = lambda *a, **k: None  # type: ignore

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

	config = Configuration.from_files([str(CONFIG_PATH)])
	config["strategy"] = "Wyckoff_BTC"
	config["strategy_path"] = str(ROOT / "user_data/Chan/strategies")
	config["timerange"] = timerange
	config["timeframe"] = exec_tf
	config["export"] = "none"
	config["runmode"] = RunMode.BACKTEST
	config["datadir"] = ROOT / "user_data/data/binance"
	config["user_data_dir"] = ROOT / "user_data"
	config["enable_protections"] = False

	bt = Backtesting(config)
	bt.start()
	stats = bt.results
	strat_stats = stats["strategy"].get("Wyckoff_BTC") or list(stats["strategy"].values())[0]
	trades = int(strat_stats.get("total_trades") or 0)
	profit_pct = strat_stats.get("profit_total_pct")
	if profit_pct is None:
		profit_pct = float(strat_stats.get("profit_total") or 0) * 100
	dd = float(strat_stats.get("max_drawdown_account") or 0) * 100
	wr = float(strat_stats.get("winrate") or 0) * 100
	return {
		"ok": True,
		"profit_pct": float(profit_pct),
		"trades": trades,
		"dd_pct": dd,
		"pf": float(strat_stats.get("profit_factor") or 0),
		"winrate": wr,
		"rejected": int(strat_stats.get("rejected_signals") or 0),
		"timeframe_used": config.get("timeframe"),
	}


def main() -> None:
	logging.getLogger("freqtrade").setLevel(logging.ERROR)
	timerange = sys.argv[1] if len(sys.argv) > 1 else "20240101-"
	install_offline_markets()
	orig = STRAT_PATH.read_text()
	rows: list[dict[str, Any]] = []
	try:
		for label, exec_tf, stf, btf in COMBOS:
			print(f"=== {label} ===", flush=True)
			patch_strategy(exec_tf, stf, btf)
			try:
				res = run_one(exec_tf, timerange)
			except Exception as e:
				res = {"ok": False, "error": f"{type(e).__name__}: {e}"}
			res["label"] = label
			res["exec"] = exec_tf
			res["struct"] = stf
			res["bias"] = btf or "-"
			rows.append(res)
			if res.get("ok"):
				print(
					f"  profit={res['profit_pct']:.2f}% trades={res['trades']} "
					f"dd={res['dd_pct']:.2f}% pf={res['pf']:.2f} wr={res['winrate']:.1f}% "
					f"rej={res['rejected']}",
					flush=True,
				)
			else:
				print(f"  FAILED: {res.get('error')}", flush=True)
	finally:
		STRAT_PATH.write_text(orig)

	ok = [r for r in rows if r.get("ok")]
	ok.sort(key=lambda r: (r["profit_pct"], r["pf"]), reverse=True)
	print("\n========== RANKING ==========")
	print(f"{'label':<16} {'E':<5} {'S':<5} {'B':<5} {'profit%':>8} {'trades':>7} {'dd%':>7} {'pf':>6} {'wr%':>6}")
	for r in ok:
		print(
			f"{r['label']:<16} {r['exec']:<5} {r['struct']:<5} {r['bias']:<5} "
			f"{r['profit_pct']:>8.2f} {r['trades']:>7} {r['dd_pct']:>7.2f} {r['pf']:>6.2f} {r['winrate']:>6.1f}"
		)
	out = ROOT / "user_data/Chan/scripts/wyckoff_tf_grid_result.txt"
	out.write_text(json.dumps({"timerange": timerange, "rows": rows}, indent=2))
	print(f"\nSaved {out}")
	if ok:
		best = ok[0]
		print(f"BEST: {best['label']}  -> 将写入策略默认周期")


if __name__ == "__main__":
	main()