Chan/research/step11_breakout_follow.py

"""Step 11：突破跟随（分型失败 / 中枢突破），叠加已验证的波动率信号。

前十步确立：方向不可预测（AUC 0.52），但大波动可预测（AUC 0.689）。
反转逻辑已被否定，本步测其镜像——分型转折失败即为趋势延续，
以及缠论正统的「离开中枢做趋势」。
"""
from __future__ import annotations

import argparse
import sys
import warnings
from pathlib import Path

import numpy as np
import pandas as pd

warnings.filterwarnings("ignore")
sys.path.insert(0, str(Path(__file__).resolve().parent))

from lib.breakout import find_breakout_entries, run_trades, summarize_trades
from lib.data import fetch_ohlcv
from lib.fx_signal import add_forward_returns, extract_fx_signals, signals_to_frame
from lib.nested_level import annotate_position, build_htf_zones
from step9_endpoint_predictability import build_features
from step10_direct_return_label import ALL_FEATS, walk_forward

sys.path.insert(0, str(Path(__file__).resolve().parents[1]))
from chanlun import TF_DF

pd.set_option("display.width", 260)
HORIZONS = (3, 5, 10, 20)


def zs_breakout_entries(df: pd.DataFrame, zones: pd.DataFrame, window: int = 200):
    """中枢突破：价格自内部向外突破 zg/zd 的第一根。"""
    if zones.empty:
        return []
    ts = df["timestamp"].to_numpy()
    close = df["close"].to_numpy(dtype=float)
    n = len(df)
    entries = []
    for _, z in zones.iterrows():
        start = int(np.searchsorted(ts, z["available_ts"], side="left"))
        was_inside = False
        for j in range(start, min(start + window, n)):
            c = close[j]
            if z["zd"] <= c <= z["zg"]:
                was_inside = True
                continue
            if not was_inside:
                continue
            entries.append((j, 1 if c > z["zg"] else -1))
            break
    return entries


def main() -> None:
    ap = argparse.ArgumentParser()
    ap.add_argument("--symbol", default="BTC/USDT:USDT")
    ap.add_argument("--tf", default="1h")
    ap.add_argument("--htf", default="4h")
    ap.add_argument("--window", type=int, default=10, help="分型后等待突破的K线数")
    args = ap.parse_args()

    df = fetch_ohlcv(args.symbol, args.tf, 10**9)
    chan = TF_DF(df, 1, args.tf)
    cdf = chan.dataframe
    sig = signals_to_frame(extract_fx_signals(chan, cdf))
    sig = add_forward_returns(sig, cdf, HORIZONS)
    zones = build_htf_zones(fetch_ohlcv(args.symbol, args.htf, 10**9), args.htf)
    sig = annotate_position(sig, cdf, zones, tol=0.015)
    print(f"[样本] {len(cdf)} 根K线  {cdf['date'].iloc[0]} -> {cdf['date'].iloc[-1]}")
    print(f"[分型] {len(sig)}  [大级别中枢] {len(zones)}\n")

    bo = find_breakout_entries(sig, cdf, window=args.window, mode="fail")
    rev = find_breakout_entries(sig, cdf, window=args.window, mode="reverse")
    zsb = zs_breakout_entries(cdf, zones)
    print(f"[入场点] 分型失败突破 {len(bo)}  反转对照 {len(rev)}  中枢突破 {len(zsb)}\n")

    print("########## 1. 突破跟随 vs 反转对照（sl=1.5ATR tp=3ATR max=48）##########")
    rows = [
        summarize_trades(run_trades(cdf, bo, 1.5, 3.0, 48), "分型失败突破"),
        summarize_trades(run_trades(cdf, rev, 1.5, 3.0, 48), "分型反转(对照)"),
    ]
    if zsb:
        rows.append(summarize_trades(run_trades(cdf, zsb, 1.5, 3.0, 48), "中枢突破"))
    print(pd.DataFrame(rows).to_string(index=False))

    print("\n########## 2. 止损止盈网格（分型失败突破）##########")
    rows = []
    for sl in (1.0, 1.5, 2.0):
        for tp in (2.0, 3.0, 5.0):
            rows.append(summarize_trades(
                run_trades(cdf, bo, sl, tp, 48), f"sl{sl} tp{tp}"))
    print(pd.DataFrame(rows).to_string(index=False))

    print("\n########## 3. 移动止损（trailing）##########")
    rows = []
    for sl in (1.0, 1.5, 2.0, 3.0):
        rows.append(summarize_trades(
            run_trades(cdf, bo, sl, 99.0, 96, trail=True), f"trail {sl}ATR"))
    print(pd.DataFrame(rows).to_string(index=False))

    # ---- 叠加波动率模型：只在预测到大波动时才跟随突破 ----
    print("\n########## 4. 叠加波动率过滤（标签C：3根内 >1% 波动，AUC~0.69）##########")
    f = build_features(sig, cdf)
    for c in ("near_support", "near_resistance", "inside_zone"):
        f[c] = f[c].astype(float)
    f = f.dropna(subset=[f"ret_{h}" for h in HORIZONS]).reset_index(drop=True)
    y = (f["ret_3"].to_numpy() > 0.01).astype(int)
    X = f[ALL_FEATS].to_numpy(dtype=float)
    oof = walk_forward(X, y, folds=5, purge=60)
    f["volp"] = oof
    ev = f.dropna(subset=["volp"])
    print(f"  样本外 {len(ev)} 个分型带波动率预测")

    # 把预测概率挂回突破入场点（按其来源分型）
    prob_by_confirm = dict(zip(ev["confirm_idx"].astype(int), ev["volp"]))
    bo_with_p = []
    for _, r in sig.iterrows():
        c0 = int(r["confirm_idx"])
        if c0 not in prob_by_confirm:
            continue
        sub = find_breakout_entries(pd.DataFrame([r]), cdf, args.window, "fail")
        for e, d in sub:
            bo_with_p.append((e, d, prob_by_confirm[c0]))

    rows = []
    if bo_with_p:
        probs = np.array([p for _, _, p in bo_with_p])
        for q, name in [(0.0, "全部"), (0.5, "top50%"), (0.7, "top30%"), (0.9, "top10%")]:
            thr = np.quantile(probs, q)
            sel = [(e, d) for e, d, p in bo_with_p if p >= thr]
            if len(sel) < 30:
                continue
            rows.append(summarize_trades(run_trades(cdf, sel, 1.5, 3.0, 48), f"波动率{name}"))
        print(pd.DataFrame(rows).to_string(index=False))

    print("\n########## 5. 多空拆分（分型失败突破，sl1.5 tp3）##########")
    rows = []
    for d, name in [(1, "做多"), (-1, "做空")]:
        sel = [(e, dd) for e, dd in bo if dd == d]
        if sel:
            rows.append(summarize_trades(run_trades(cdf, sel, 1.5, 3.0, 48), name))
    print(pd.DataFrame(rows).to_string(index=False))


if __name__ == "__main__":
    main()