feat: 多周期牛熊判定模块 — 方案一矩阵展示 + 四法投票 + 多TF策略
- engine/indicators/regime.py: RegimeDetector(四法投票) + MultiTimeframeRegime(多周期并行) 四法: EMA200斜率 / 价格vsEMA200 / ATH回撤 / 窄幅盘整(<3%振幅) 全部 O(1)/bar 增量计算,适用于回测和实时 - engine/example/regime_display.py: 多周期牛熊矩阵展示脚本 独立加载各周期数据 → 运行判定 → 日线对齐矩阵 + 详细拆解 + 统计 输出 engine/backtest/REGIME_MATRIX_BTCUSDT.md - engine/example/regime_mtf_strategy.py: 多周期共识策略 + 四策略对比回测 MTF Consensus: 1w定方向 + 1d确认 + 4h EMA入场 vs Old Regime(单TF基线) vs Long/Short(无过滤) - engine/indicators/__init__.py: 导出 RegimeDetector, MultiTimeframeRegime
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# 多周期牛熊判定矩阵 — BTCUSDT
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> 生成时间：2026-06-17 11:22:34 UTC
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> 判定方法：EMA200斜率 + 价格vsEMA200 + ATH回撤，三选二投票
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> 时间对齐基准：日线(1d) bar 边界
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## 数据覆盖范围
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| 周期 | 数据条数 | 有效条数 | 起始时间 | 结束时间 |
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|------|---------|---------|---------|---------|
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| 1h | 77290 | 77071 | 2017-08-17 | 2026-06-16 |
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| 4h | 19338 | 19119 | 2017-08-17 | 2026-06-16 |
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| 1d | 3225 | 3006 | 2017-08-17 | 2026-06-16 |
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| 1w | 371 | 152 | 2017-08-14 | 2026-06-15 |
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## 当前各周期牛熊状态
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| 周期 | 判定 | EMA200斜率 | 价格vsEMA200 | ATH回撤 | 窄幅盘整 | 振幅% | 牛票 | 熊票 | 震票 | EMA200 | Close |
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|------|------|-----------|-------------|---------|---------|------|------|------|------|--------|-------|
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| 1h | 🐂 **bull** | bull | bull | bear | sideways | 1.9% | 2 | 1 | 1 | 64738.90 | 65776.97 |
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| 4h | 🐻 **bear** | bear | bear | bear | unknown | 5.2% | 0 | 3 | 0 | 68982.99 | 65675.88 |
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| 1d | 🐻 **bear** | bear | bear | bear | unknown | 18.2% | 0 | 3 | 0 | 78707.71 | 66328.74 |
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| 1w | 🐂 **bull** | bull | bull | bear | unknown | 32.4% | 2 | 1 | 0 | 62716.28 | 65746.45 |
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## 历史牛熊矩阵（最近 30 个日线时间点）
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> 以日线 bar 的 open_time 为基准，查找各周期在该时刻的即时判定。
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| 时间 | 1h | 4h | 1d | 1w | BTC Close |
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|------|----|----|----|----|-----------|
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| 2026-06-15 00:00 | ⚪ sideways | 🐻 bear | 🐻 bear | 🐂 bull | 66328.74 |
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| 2026-06-14 00:00 | ⚪ sideways | 🐻 bear | 🐻 bear | 🐂 bull | 65746.45 |
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| 2026-06-13 00:00 | 🐻 bear | 🐻 bear | 🐻 bear | 🐂 bull | 64458.01 |
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| 2026-06-12 00:00 | 🐻 bear | 🐻 bear | 🐻 bear | 🐂 bull | 63580.01 |
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| 2026-06-11 00:00 | 🐻 bear | 🐻 bear | 🐻 bear | 🐂 bull | 63625.99 |
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| 2026-06-10 00:00 | 🐻 bear | 🐻 bear | 🐻 bear | 🐂 bull | 61510.99 |
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| 2026-06-09 00:00 | 🐻 bear | 🐻 bear | 🐻 bear | 🐂 bull | 61730.00 |
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| 2026-06-08 00:00 | 🐻 bear | 🐻 bear | 🐻 bear | 🐂 bull | 63085.99 |
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| 2026-06-07 00:00 | 🐻 bear | 🐻 bear | 🐻 bear | 🐂 bull | 63332.01 |
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| 2026-06-06 00:00 | 🐻 bear | 🐻 bear | 🐻 bear | 🐂 bull | 60884.62 |
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| 2026-06-05 00:00 | 🐻 bear | 🐻 bear | 🐻 bear | 🐂 bull | 61056.47 |
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| 2026-06-04 00:00 | 🐻 bear | 🐻 bear | 🐻 bear | 🐂 bull | 63885.99 |
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| 2026-06-03 00:00 | 🐻 bear | 🐻 bear | 🐻 bear | 🐂 bull | 64142.75 |
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| 2026-06-02 00:00 | 🐻 bear | 🐻 bear | 🐻 bear | 🐂 bull | 66760.83 |
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| 2026-06-01 00:00 | 🐻 bear | 🐻 bear | 🐻 bear | 🐂 bull | 71408.90 |
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| 2026-05-31 00:00 | 🐻 bear | 🐻 bear | 🐻 bear | 🐂 bull | 73674.39 |
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| 2026-05-30 00:00 | 🐻 bear | 🐻 bear | 🐻 bear | 🐂 bull | 73884.38 |
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| 2026-05-29 00:00 | 🐻 bear | 🐻 bear | 🐻 bear | 🐂 bull | 73460.78 |
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| 2026-05-28 00:00 | 🐻 bear | 🐻 bear | 🐻 bear | 🐂 bull | 73617.51 |
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| 2026-05-27 00:00 | ⚪ sideways | ⚪ sideways | 🐻 bear | 🐂 bull | 74449.30 |
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| 2026-05-26 00:00 | ⚪ sideways | 🐻 bear | 🐻 bear | 🐂 bull | 75930.01 |
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| 2026-05-25 00:00 | ⚪ sideways | 🐻 bear | 🐻 bear | 🐂 bull | 77322.01 |
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| 2026-05-24 00:00 | 🐻 bear | 🐻 bear | 🐻 bear | 🐂 bull | 77064.96 |
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| 2026-05-23 00:00 | 🐻 bear | ⚪ sideways | 🐻 bear | 🐂 bull | 76752.01 |
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| 2026-05-22 00:00 | ⚪ sideways | ⚪ sideways | 🐻 bear | 🐂 bull | 75539.50 |
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| 2026-05-21 00:00 | 🐻 bear | ⚪ sideways | 🐻 bear | 🐂 bull | 77615.52 |
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| 2026-05-20 00:00 | 🐻 bear | ⚪ sideways | 🐻 bear | 🐂 bull | 77552.23 |
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| 2026-05-19 00:00 | 🐻 bear | ⚪ sideways | 🐻 bear | 🐂 bull | 76834.36 |
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| 2026-05-18 00:00 | 🐻 bear | ⚪ sideways | 🐻 bear | 🐂 bull | 77001.87 |
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| 2026-05-17 00:00 | 🐻 bear | 🐂 bull | 🐻 bear | 🐂 bull | 77457.67 |
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## 各周期详细拆解
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### 1h 详细判定（最近 5 个时间点）
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| 时间 | 最终 | EMA200斜率 | 价格vsEMA200 | ATH回撤 | 窄幅盘整 | 振幅% | 牛票 | 熊票 | 震票 | EMA200 | ATH |
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|------|------|-----------|-------------|---------|---------|------|------|------|------|--------|-----|
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| 2026-06-15 00:00 | ⚪ sideways | sideways | bull | bear | unknown | 3.1% | 1 | 1 | 1 | 63927.15 | 126011.18 |
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| 2026-06-14 00:00 | ⚪ sideways | sideways | bull | bear | sideways | 1.5% | 1 | 1 | 2 | 63777.80 | 126011.18 |
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| 2026-06-13 00:00 | 🐻 bear | sideways | bear | bear | sideways | 1.6% | 0 | 2 | 2 | 63706.52 | 126011.18 |
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| 2026-06-12 00:00 | 🐻 bear | bear | bear | bear | sideways | 1.7% | 0 | 3 | 1 | 63745.31 | 126011.18 |
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| 2026-06-11 00:00 | 🐻 bear | bear | bear | bear | sideways | 2.6% | 0 | 3 | 1 | 63934.05 | 126011.18 |
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### 4h 详细判定（最近 5 个时间点）
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| 时间 | 最终 | EMA200斜率 | 价格vsEMA200 | ATH回撤 | 窄幅盘整 | 振幅% | 牛票 | 熊票 | 震票 | EMA200 | ATH |
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|------|------|-----------|-------------|---------|---------|------|------|------|------|--------|-----|
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| 2026-06-15 00:00 | 🐻 bear | bear | bear | bear | unknown | 4.3% | 0 | 3 | 0 | 69268.75 | 125410.81 |
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| 2026-06-14 00:00 | 🐻 bear | bear | bear | bear | unknown | 4.7% | 0 | 3 | 0 | 69547.86 | 125410.81 |
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| 2026-06-13 00:00 | 🐻 bear | bear | bear | bear | unknown | 4.3% | 0 | 3 | 0 | 69876.10 | 125410.81 |
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| 2026-06-12 00:00 | 🐻 bear | bear | bear | bear | unknown | 4.1% | 0 | 3 | 0 | 70268.64 | 125410.81 |
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| 2026-06-11 00:00 | 🐻 bear | bear | bear | bear | unknown | 4.3% | 0 | 3 | 0 | 70704.04 | 125410.81 |
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### 1d 详细判定（最近 5 个时间点）
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| 时间 | 最终 | EMA200斜率 | 价格vsEMA200 | ATH回撤 | 窄幅盘整 | 振幅% | 牛票 | 熊票 | 震票 | EMA200 | ATH |
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|------|------|-----------|-------------|---------|---------|------|------|------|------|--------|-----|
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| 2026-06-15 00:00 | 🐻 bear | bear | bear | bear | unknown | 18.2% | 0 | 3 | 0 | 78707.71 | 124658.54 |
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| 2026-06-14 00:00 | 🐻 bear | bear | bear | bear | unknown | 19.8% | 0 | 3 | 0 | 78832.12 | 124658.54 |
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| 2026-06-13 00:00 | 🐻 bear | bear | bear | bear | unknown | 21.3% | 0 | 3 | 0 | 78963.63 | 124658.54 |
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| 2026-06-12 00:00 | 🐻 bear | bear | bear | bear | unknown | 21.3% | 0 | 3 | 0 | 79109.42 | 124658.54 |
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| 2026-06-11 00:00 | 🐻 bear | bear | bear | bear | unknown | 21.3% | 0 | 3 | 0 | 79265.49 | 124658.54 |
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### 1w 详细判定（最近 5 个时间点）
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| 时间 | 最终 | EMA200斜率 | 价格vsEMA200 | ATH回撤 | 窄幅盘整 | 振幅% | 牛票 | 熊票 | 震票 | EMA200 | ATH |
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|------|------|-----------|-------------|---------|---------|------|------|------|------|--------|-----|
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| 2026-06-15 00:00 | 🐂 bull | bull | bull | bear | unknown | 32.4% | 2 | 1 | 0 | 62716.28 | 119415.55 |
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| 2026-06-14 00:00 | 🐂 bull | bull | bull | bear | unknown | 32.4% | 2 | 1 | 0 | 62716.28 | 119415.55 |
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| 2026-06-13 00:00 | 🐂 bull | bull | bull | bear | unknown | 32.4% | 2 | 1 | 0 | 62716.28 | 119415.55 |
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| 2026-06-12 00:00 | 🐂 bull | bull | bull | bear | unknown | 32.4% | 2 | 1 | 0 | 62716.28 | 119415.55 |
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| 2026-06-11 00:00 | 🐂 bull | bull | bull | bear | unknown | 32.4% | 2 | 1 | 0 | 62716.28 | 119415.55 |
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## 周期判定分布统计
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| 周期 | 🐂 牛市 | 占比 | 🐻 熊市 | 占比 | ⚪ 震荡 | 占比 |
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|------|--------|------|--------|------|--------|------|
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| 1h | 0 | 0.0% | 24 | 80.0% | 6 | 20.0% |
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| 4h | 1 | 3.3% | 22 | 73.3% | 7 | 23.3% |
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| 1d | 0 | 0.0% | 30 | 100.0% | 0 | 0.0% |
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| 1w | 30 | 100.0% | 0 | 0.0% | 0 | 0.0% |
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## 周期一致性统计
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- **全周期一致**（所有周期判定相同）：0 天 (0.0%)
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- **1h ↔ 1w 背离**（1h 与 1w 方向相反）：24 天 (80.0%)
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"""
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多周期牛熊矩阵 — 方案一：独立多周期判定矩阵
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在统一时间轴（1d bar 边界）上对齐全周期牛熊判定，
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输出矩阵表格、统计信息和详细拆解。
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用法:
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source .venv/bin/activate && python example/regime_display.py
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定制:
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python example/regime_display.py --symbol ETHUSDT
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python example/regime_display.py --matrix-rows 50 # 输出最近 50 个时间点
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"""
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import asyncio
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import sys
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from datetime import datetime, timezone
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from pathlib import Path
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_project_root = Path(__file__).resolve().parent.parent.parent
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if str(_project_root) not in sys.path:
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sys.path.insert(0, str(_project_root))
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from engine.common.config import config
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from engine.data.service import DataService, INTERVAL_MS, INTERVAL_TO_TABLE
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from engine.indicators.regime import RegimeDetector
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# ── 默认配置 ──
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SYMBOL = "BTCUSDT"
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TIMEFRAMES = ["1h", "4h", "1d", "1w"]
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MATRIX_ROWS = 30
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OUTPUT_FILE = None # 运行时设置
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def parse_args():
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"""解析命令行参数"""
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args = sys.argv[1:]
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kwargs = {"symbol": SYMBOL, "matrix_rows": MATRIX_ROWS}
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i = 0
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while i < len(args):
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if args[i] == "--symbol" and i + 1 < len(args):
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kwargs["symbol"] = args[i + 1].upper()
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i += 2
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elif args[i] == "--matrix-rows" and i + 1 < len(args):
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kwargs["matrix_rows"] = int(args[i + 1])
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i += 2
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else:
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i += 1
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return kwargs
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# ════════════════════════════════════════════════════════
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# 1. 加载各周期数据并运行独立判定
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# ════════════════════════════════════════════════════════
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async def load_and_detect(
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ds: DataService, symbol: str, timeframe: str
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) -> tuple[list[float], list[dict], datetime, datetime]:
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"""加载指定周期全量数据，逐根运行 RegimeDetector，返回 (times, regimes, 数据起始, 数据结束)
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regimes[i] = {"time_ms": float, "close": float, "regime": str, "detail": dict}
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仅从第 220 根 bar 开始有效判定，之前为 unknown。
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"""
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start, end = await ds.fetch_symbol_date_range(symbol, timeframe)
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all_klines = await ds.fetch_klines(
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symbol=symbol,
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interval=timeframe,
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start_time=start,
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end_time=end,
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limit=10_000_000,
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)
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det = RegimeDetector()
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regimes = []
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times = []
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for k in all_klines:
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times.append(k.open_time)
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det.update(k.close)
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if det.ready:
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regime = det.detect(k.close, len(det._e200) - 1)
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detail = det.detect_detail(k.close, len(det._e200) - 1)
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else:
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regime = "unknown"
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detail = {"final": "unknown"}
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regimes.append({
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"time_ms": k.open_time,
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"time_dt": datetime.fromtimestamp(k.open_time / 1000, tz=timezone.utc),
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"close": k.close,
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"regime": regime,
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"detail": detail,
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"ema200": det.ema200,
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"ath": det.ath,
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})
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return times, regimes, start, end
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# ════════════════════════════════════════════════════════
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# 2. 时间对齐 — 以日线为基准，查找各周期的即时判定
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# ════════════════════════════════════════════════════════
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def find_regime_at(
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regimes: list[dict], target_ms: float, interval_ms: float
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) -> dict:
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"""在指定周期的 regime 序列中，找到 target_ms 时刻的判定。
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规则：取开盘时间最接近且不晚于 target_ms 的那根 bar 的判定。
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若 target_ms 在该 bar 的 [open_time, open_time + interval_ms) 范围内，返回该 bar 的判定。
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"""
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best = None
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for r in regimes:
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bar_time = r["time_ms"]
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if bar_time <= target_ms < bar_time + interval_ms:
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return r
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if bar_time > target_ms:
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break
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best = r
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return best
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def build_matrix(
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times_by_tf: dict[str, list[float]],
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regimes_by_tf: dict[str, list[dict]],
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reference_tf: str = "1d",
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num_rows: int = MATRIX_ROWS,
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|
) -> list[dict]:
|
||||||
|
"""以 reference_tf 的 bar 时间点为基准，构建多周期判定矩阵。
|
||||||
|
|
||||||
|
Returns:
|
||||||
|
[{time_dt, time_str, 1h: regime, 4h: regime, 1d: regime, 1w: regime}, ...]
|
||||||
|
按时间倒序，只包含各周期均有有效数据的时间点。
|
||||||
|
"""
|
||||||
|
ref_regimes = regimes_by_tf[reference_tf]
|
||||||
|
# 只取有效区间（所有周期都过了 220 根 bar 之后）
|
||||||
|
ref_valid = [
|
||||||
|
r for r in ref_regimes
|
||||||
|
if r["regime"] != "unknown"
|
||||||
|
]
|
||||||
|
|
||||||
|
matrix = []
|
||||||
|
for ref_r in ref_valid[-num_rows:]:
|
||||||
|
row = {
|
||||||
|
"time_dt": ref_r["time_dt"],
|
||||||
|
"time_str": ref_r["time_dt"].strftime("%Y-%m-%d %H:%M"),
|
||||||
|
"time_ms": ref_r["time_ms"],
|
||||||
|
f"{reference_tf}_close": ref_r["close"],
|
||||||
|
}
|
||||||
|
for tf in TIMEFRAMES:
|
||||||
|
if tf == reference_tf:
|
||||||
|
row[tf] = ref_r["regime"]
|
||||||
|
row[f"{tf}_detail"] = ref_r["detail"]
|
||||||
|
row[f"{tf}_ema200"] = ref_r.get("ema200", 0)
|
||||||
|
row[f"{tf}_ath"] = ref_r.get("ath", 0)
|
||||||
|
else:
|
||||||
|
tf_regime = find_regime_at(
|
||||||
|
regimes_by_tf[tf],
|
||||||
|
ref_r["time_ms"],
|
||||||
|
INTERVAL_MS[tf],
|
||||||
|
)
|
||||||
|
if tf_regime:
|
||||||
|
row[tf] = tf_regime["regime"]
|
||||||
|
row[f"{tf}_detail"] = tf_regime["detail"]
|
||||||
|
row[f"{tf}_ema200"] = tf_regime.get("ema200", 0)
|
||||||
|
row[f"{tf}_ath"] = tf_regime.get("ath", 0)
|
||||||
|
else:
|
||||||
|
row[tf] = "—"
|
||||||
|
matrix.append(row)
|
||||||
|
|
||||||
|
# 倒序（最新在前）
|
||||||
|
return list(reversed(matrix))
|
||||||
|
|
||||||
|
|
||||||
|
# ════════════════════════════════════════════════════════
|
||||||
|
# 3. 统计分析
|
||||||
|
# ════════════════════════════════════════════════════════
|
||||||
|
|
||||||
|
|
||||||
|
def regime_icon(r: str) -> str:
|
||||||
|
return {"bull": "🐂", "bear": "🐻", "sideways": "⚪", "unknown": "⏳", "—": "—"}.get(r, r)
|
||||||
|
|
||||||
|
|
||||||
|
def calc_alignment_stats(matrix: list[dict]) -> dict:
|
||||||
|
"""计算各周期判定对齐统计"""
|
||||||
|
total = len(matrix)
|
||||||
|
if total == 0:
|
||||||
|
return {}
|
||||||
|
|
||||||
|
stats = {}
|
||||||
|
for tf in TIMEFRAMES:
|
||||||
|
cnt_bull = sum(1 for r in matrix if r.get(tf) == "bull")
|
||||||
|
cnt_bear = sum(1 for r in matrix if r.get(tf) == "bear")
|
||||||
|
cnt_side = sum(1 for r in matrix if r.get(tf) == "sideways")
|
||||||
|
stats[tf] = {
|
||||||
|
"bull": cnt_bull,
|
||||||
|
"bull_pct": cnt_bull / total * 100,
|
||||||
|
"bear": cnt_bear,
|
||||||
|
"bear_pct": cnt_bear / total * 100,
|
||||||
|
"sideways": cnt_side,
|
||||||
|
"sideways_pct": cnt_side / total * 100,
|
||||||
|
}
|
||||||
|
|
||||||
|
# 全周期一致（所有非 "—" 的周期判定相同）
|
||||||
|
all_agree = 0
|
||||||
|
for r in matrix:
|
||||||
|
regimes = [r[tf] for tf in TIMEFRAMES if r.get(tf) not in ("—", "unknown")]
|
||||||
|
if regimes and len(set(regimes)) == 1:
|
||||||
|
all_agree += 1
|
||||||
|
stats["all_agree"] = all_agree
|
||||||
|
stats["all_agree_pct"] = all_agree / total * 100
|
||||||
|
|
||||||
|
# 大小周期背离（1h 与 1w 相反）
|
||||||
|
diverge = 0
|
||||||
|
for r in matrix:
|
||||||
|
r1h = r.get("1h")
|
||||||
|
r1w = r.get("1w")
|
||||||
|
if r1h and r1w and r1h != "—" and r1w != "—":
|
||||||
|
if (r1h == "bull" and r1w == "bear") or (r1h == "bear" and r1w == "bull"):
|
||||||
|
diverge += 1
|
||||||
|
stats["diverge_1h_1w"] = diverge
|
||||||
|
stats["diverge_1h_1w_pct"] = diverge / total * 100
|
||||||
|
|
||||||
|
return stats
|
||||||
|
|
||||||
|
|
||||||
|
# ════════════════════════════════════════════════════════
|
||||||
|
# 4. 输出格式化
|
||||||
|
# ════════════════════════════════════════════════════════
|
||||||
|
|
||||||
|
|
||||||
|
def render_matrix_table(matrix: list[dict]) -> str:
|
||||||
|
"""渲染矩阵表格为 Markdown 格式"""
|
||||||
|
header = "| 时间 |"
|
||||||
|
sep = "|------|"
|
||||||
|
for tf in TIMEFRAMES:
|
||||||
|
header += f" {tf} |"
|
||||||
|
sep += "----|"
|
||||||
|
header += " BTC Close |"
|
||||||
|
sep += "-----------|"
|
||||||
|
|
||||||
|
lines = [header, sep]
|
||||||
|
for row in matrix:
|
||||||
|
line = f"| {row['time_str']} |"
|
||||||
|
for tf in TIMEFRAMES:
|
||||||
|
r = row.get(tf, "—")
|
||||||
|
line += f" {regime_icon(r)} {r} |"
|
||||||
|
close_str = f"{row.get('1d_close', 0):.2f}"
|
||||||
|
line += f" {close_str} |"
|
||||||
|
lines.append(line)
|
||||||
|
|
||||||
|
return "\n".join(lines)
|
||||||
|
|
||||||
|
|
||||||
|
def render_detail_table(matrix: list[dict], tf: str, n: int = 5) -> str:
|
||||||
|
"""渲染单个周期的详细判定表（最近 n 条）"""
|
||||||
|
lines = [
|
||||||
|
f"### {tf} 详细判定（最近 {n} 个时间点）",
|
||||||
|
"",
|
||||||
|
"| 时间 | 最终 | EMA200斜率 | 价格vsEMA200 | ATH回撤 | 窄幅盘整 | 振幅% | 牛票 | 熊票 | 震票 | EMA200 | ATH |",
|
||||||
|
"|------|------|-----------|-------------|---------|---------|------|------|------|------|--------|-----|",
|
||||||
|
]
|
||||||
|
|
||||||
|
detail_key = f"{tf}_detail"
|
||||||
|
for row in matrix[:n]:
|
||||||
|
d = row.get(detail_key, {})
|
||||||
|
f_icon = regime_icon(d.get("final", "—"))
|
||||||
|
ema200_val = row.get(f"{tf}_ema200", 0)
|
||||||
|
ath_val = row.get(f"{tf}_ath", 0)
|
||||||
|
range_pct = d.get("range_pct", 0) * 100
|
||||||
|
lines.append(
|
||||||
|
f"| {row['time_str']} | {f_icon} {d.get('final', '—')} | "
|
||||||
|
f"{d.get('ema200_slope', '—')} | {d.get('price_vs_ema200', '—')} | "
|
||||||
|
f"{d.get('ath_drawdown', '—')} | {d.get('price_range', '—')} | "
|
||||||
|
f"{range_pct:.1f}% | {d.get('bull_votes', '—')} | "
|
||||||
|
f"{d.get('bear_votes', '—')} | {d.get('sideways_votes', '—')} | "
|
||||||
|
f"{ema200_val:.2f} | {ath_val:.2f} |"
|
||||||
|
)
|
||||||
|
|
||||||
|
return "\n".join(lines)
|
||||||
|
|
||||||
|
|
||||||
|
def render_current_status(regimes_by_tf: dict[str, list[dict]]) -> str:
|
||||||
|
"""渲染当前最新状态"""
|
||||||
|
lines = [
|
||||||
|
"## 当前各周期牛熊状态",
|
||||||
|
"",
|
||||||
|
"| 周期 | 判定 | EMA200斜率 | 价格vsEMA200 | ATH回撤 | 窄幅盘整 | 振幅% | 牛票 | 熊票 | 震票 | EMA200 | Close |",
|
||||||
|
"|------|------|-----------|-------------|---------|---------|------|------|------|------|--------|-------|",
|
||||||
|
]
|
||||||
|
|
||||||
|
for tf in TIMEFRAMES:
|
||||||
|
regs = regimes_by_tf[tf]
|
||||||
|
if not regs or regs[-1]["regime"] == "unknown":
|
||||||
|
lines.append(f"| {tf} | ⏳ 数据不足 | — | — | — | — | — | — | — | — | — | — |")
|
||||||
|
continue
|
||||||
|
r = regs[-1]
|
||||||
|
d = r["detail"]
|
||||||
|
icon = regime_icon(r["regime"])
|
||||||
|
range_pct = d.get("range_pct", 0) * 100
|
||||||
|
lines.append(
|
||||||
|
f"| {tf} | {icon} **{r['regime']}** | "
|
||||||
|
f"{d.get('ema200_slope', '—')} | {d.get('price_vs_ema200', '—')} | "
|
||||||
|
f"{d.get('ath_drawdown', '—')} | {d.get('price_range', '—')} | "
|
||||||
|
f"{range_pct:.1f}% | {d.get('bull_votes', '—')} | "
|
||||||
|
f"{d.get('bear_votes', '—')} | {d.get('sideways_votes', '—')} | "
|
||||||
|
f"{r.get('ema200', 0):.2f} | {r['close']:.2f} |"
|
||||||
|
)
|
||||||
|
|
||||||
|
return "\n".join(lines)
|
||||||
|
|
||||||
|
|
||||||
|
def render_stats(stats: dict) -> str:
|
||||||
|
"""渲染统计信息"""
|
||||||
|
lines = [
|
||||||
|
"## 周期判定分布统计",
|
||||||
|
"",
|
||||||
|
"| 周期 | 🐂 牛市 | 占比 | 🐻 熊市 | 占比 | ⚪ 震荡 | 占比 |",
|
||||||
|
"|------|--------|------|--------|------|--------|------|",
|
||||||
|
]
|
||||||
|
for tf in TIMEFRAMES:
|
||||||
|
s = stats.get(tf, {})
|
||||||
|
lines.append(
|
||||||
|
f"| {tf} | {s.get('bull', 0)} | {s.get('bull_pct', 0):.1f}% | "
|
||||||
|
f"{s.get('bear', 0)} | {s.get('bear_pct', 0):.1f}% | "
|
||||||
|
f"{s.get('sideways', 0)} | {s.get('sideways_pct', 0):.1f}% |"
|
||||||
|
)
|
||||||
|
|
||||||
|
lines.append("")
|
||||||
|
lines.append("## 周期一致性统计")
|
||||||
|
lines.append("")
|
||||||
|
lines.append(f"- **全周期一致**（所有周期判定相同）：{stats.get('all_agree', 0)} 天 ({stats.get('all_agree_pct', 0):.1f}%)")
|
||||||
|
lines.append(f"- **1h ↔ 1w 背离**（1h 与 1w 方向相反）：{stats.get('diverge_1h_1w', 0)} 天 ({stats.get('diverge_1h_1w_pct', 0):.1f}%)")
|
||||||
|
|
||||||
|
return "\n".join(lines)
|
||||||
|
|
||||||
|
|
||||||
|
# ════════════════════════════════════════════════════════
|
||||||
|
# 主流程
|
||||||
|
# ════════════════════════════════════════════════════════
|
||||||
|
|
||||||
|
|
||||||
|
async def main():
|
||||||
|
kw = parse_args()
|
||||||
|
symbol = kw["symbol"]
|
||||||
|
matrix_rows = kw["matrix_rows"]
|
||||||
|
global OUTPUT_FILE
|
||||||
|
OUTPUT_FILE = (
|
||||||
|
Path(__file__).resolve().parent.parent
|
||||||
|
/ "backtest"
|
||||||
|
/ f"REGIME_MATRIX_{symbol}.md"
|
||||||
|
)
|
||||||
|
|
||||||
|
out: list[str] = []
|
||||||
|
|
||||||
|
def w(line: str = ""):
|
||||||
|
out.append(line)
|
||||||
|
print(line)
|
||||||
|
|
||||||
|
w(f"# 多周期牛熊判定矩阵 — {symbol}")
|
||||||
|
w()
|
||||||
|
w(f"> 生成时间：{datetime.now().strftime('%Y-%m-%d %H:%M:%S')} UTC")
|
||||||
|
w(f"> 判定方法：EMA200斜率 + 价格vsEMA200 + ATH回撤 + 窄幅盘整，四选二投票")
|
||||||
|
w(f"> 时间对齐基准：日线(1d) bar 边界")
|
||||||
|
w()
|
||||||
|
|
||||||
|
# ── 加载数据并运行判定 ──
|
||||||
|
ds = DataService(config.db)
|
||||||
|
await ds.connect()
|
||||||
|
|
||||||
|
try:
|
||||||
|
times_by_tf: dict[str, list[float]] = {}
|
||||||
|
regimes_by_tf: dict[str, list[dict]] = {}
|
||||||
|
date_ranges: dict[str, tuple[datetime, datetime]] = {}
|
||||||
|
|
||||||
|
for tf in TIMEFRAMES:
|
||||||
|
print(f" 加载 {tf} 数据...", end=" ", flush=True)
|
||||||
|
times, regimes, data_start, data_end = await load_and_detect(ds, symbol, tf)
|
||||||
|
times_by_tf[tf] = times
|
||||||
|
regimes_by_tf[tf] = regimes
|
||||||
|
date_ranges[tf] = (data_start, data_end)
|
||||||
|
valid_count = sum(1 for r in regimes if r["regime"] != "unknown")
|
||||||
|
print(f"{len(regimes)} 根 bar，{valid_count} 根有效（>220热身）")
|
||||||
|
|
||||||
|
# ── 数据范围 ──
|
||||||
|
w()
|
||||||
|
w("## 数据覆盖范围")
|
||||||
|
w()
|
||||||
|
w("| 周期 | 数据条数 | 有效条数 | 起始时间 | 结束时间 |")
|
||||||
|
w("|------|---------|---------|---------|---------|")
|
||||||
|
for tf in TIMEFRAMES:
|
||||||
|
regs = regimes_by_tf[tf]
|
||||||
|
valid = sum(1 for r in regs if r["regime"] != "unknown")
|
||||||
|
s, e = date_ranges[tf]
|
||||||
|
w(f"| {tf} | {len(regs)} | {valid} | {s.strftime('%Y-%m-%d')} | {e.strftime('%Y-%m-%d')} |")
|
||||||
|
w()
|
||||||
|
|
||||||
|
# ── 当前状态 ──
|
||||||
|
w(render_current_status(regimes_by_tf))
|
||||||
|
w()
|
||||||
|
|
||||||
|
# ── 历史矩阵 ──
|
||||||
|
matrix = build_matrix(times_by_tf, regimes_by_tf, "1d", num_rows=matrix_rows)
|
||||||
|
|
||||||
|
w(f"## 历史牛熊矩阵（最近 {len(matrix)} 个日线时间点）")
|
||||||
|
w()
|
||||||
|
w("> 以日线 bar 的 open_time 为基准，查找各周期在该时刻的即时判定。")
|
||||||
|
w()
|
||||||
|
w(render_matrix_table(matrix))
|
||||||
|
w()
|
||||||
|
|
||||||
|
# ── 各周期详细拆解 ──
|
||||||
|
w("## 各周期详细拆解")
|
||||||
|
w()
|
||||||
|
for tf in TIMEFRAMES:
|
||||||
|
w(render_detail_table(matrix, tf, n=min(5, len(matrix))))
|
||||||
|
w()
|
||||||
|
|
||||||
|
# ── 统计 ──
|
||||||
|
stats = calc_alignment_stats(matrix)
|
||||||
|
w(render_stats(stats))
|
||||||
|
w()
|
||||||
|
|
||||||
|
finally:
|
||||||
|
await ds.close()
|
||||||
|
|
||||||
|
# ── 写出文件 ──
|
||||||
|
OUTPUT_FILE.parent.mkdir(parents=True, exist_ok=True)
|
||||||
|
with open(OUTPUT_FILE, "w", encoding="utf-8") as f:
|
||||||
|
f.write("\n".join(out) + "\n")
|
||||||
|
|
||||||
|
print(f"\n✓ 结果已保存到: {OUTPUT_FILE}")
|
||||||
|
|
||||||
|
|
||||||
|
if __name__ == "__main__":
|
||||||
|
asyncio.run(main())
|
||||||
@@ -0,0 +1,376 @@
|
|||||||
|
"""
|
||||||
|
多周期牛熊共识策略 — 四周期协同判定
|
||||||
|
|
||||||
|
核心思路：
|
||||||
|
1w 定宏观方向（只做多 / 只做空）→ 1d 确认中周期 → 4h EMA 金叉/死叉入场
|
||||||
|
配合 ATR 动态止损 + 多周期投票确认出场
|
||||||
|
|
||||||
|
对比基准：单周期 RegimeEmaStrategy（regime_all.py）、无过滤 LongShortEmaStrategy
|
||||||
|
|
||||||
|
用法：
|
||||||
|
source .venv/bin/activate && python example/regime_mtf_strategy.py
|
||||||
|
"""
|
||||||
|
|
||||||
|
import asyncio
|
||||||
|
import sys
|
||||||
|
from datetime import datetime, timezone
|
||||||
|
from pathlib import Path
|
||||||
|
from typing import Optional
|
||||||
|
|
||||||
|
_project_root = Path(__file__).resolve().parent.parent.parent
|
||||||
|
if str(_project_root) not in sys.path:
|
||||||
|
sys.path.insert(0, str(_project_root))
|
||||||
|
|
||||||
|
from engine.common.base import BaseStrategy, Signal, StrategyConfig
|
||||||
|
from engine.common.models import Kline
|
||||||
|
from engine.common.config import config
|
||||||
|
from engine.backtest import BacktestConfig
|
||||||
|
from engine.indicators.incremental import EmaInc, AtrInc
|
||||||
|
from engine.indicators.regime import MultiTimeframeRegime
|
||||||
|
from engine.example.long_short import LongShortEngine
|
||||||
|
from engine.example.regime_all import RegimeEmaConfig as OldRegimeCfg
|
||||||
|
from engine.example.regime_all import RegimeEmaStrategy as OldRegimeS
|
||||||
|
from engine.example.long_short import LongShortEmaConfig as LSCfg
|
||||||
|
from engine.example.long_short import LongShortEmaStrategy as LSS
|
||||||
|
|
||||||
|
|
||||||
|
# ════════════════════════════════════════════════════════
|
||||||
|
# 多周期牛熊共识策略
|
||||||
|
# ════════════════════════════════════════════════════════
|
||||||
|
|
||||||
|
|
||||||
|
class MTFConfig(StrategyConfig):
|
||||||
|
fast: int = 10
|
||||||
|
slow: int = 50
|
||||||
|
atr_stop: float = 2.5
|
||||||
|
|
||||||
|
|
||||||
|
class MTFRegimeStrategy(BaseStrategy):
|
||||||
|
"""四周期协同牛熊策略
|
||||||
|
|
||||||
|
判定层（MultiTimeframeRegime，即时法）：
|
||||||
|
每个 4h bar 的 close 同时更新 1h / 4h / 1d / 1w 四个检测器，
|
||||||
|
1w 定方向宏调，1d 确认中周期，1h 预警微观背离。
|
||||||
|
|
||||||
|
入场：
|
||||||
|
做多 — 1w bull + 1d not bear + 4h EMA 金叉
|
||||||
|
做空 — 1w bear + 1d not bull + 4h EMA 死叉
|
||||||
|
|
||||||
|
出场：
|
||||||
|
EMA 交叉反转、ATR 跟踪止损、高周期方向逆转
|
||||||
|
"""
|
||||||
|
|
||||||
|
strategy_type = "mtf_regime"
|
||||||
|
|
||||||
|
def __init__(self, c: MTFConfig):
|
||||||
|
super().__init__(c)
|
||||||
|
self.cfg = c
|
||||||
|
self._mtf = MultiTimeframeRegime(["1h", "4h", "1d", "1w"])
|
||||||
|
self._ema_fast = EmaInc(c.fast)
|
||||||
|
self._ema_slow = EmaInc(c.slow)
|
||||||
|
self._atr = AtrInc(14)
|
||||||
|
self._side: str = ""
|
||||||
|
self._hp: float = 0.0
|
||||||
|
self._lp: float = float("inf")
|
||||||
|
|
||||||
|
async def on_kline(self, k: Kline) -> Optional[Signal]:
|
||||||
|
self._mtf.update(k.close)
|
||||||
|
self._ema_fast.update(k.close)
|
||||||
|
self._ema_slow.update(k.close)
|
||||||
|
self._atr.update(k.high, k.low, k.close)
|
||||||
|
|
||||||
|
n = len(self._mtf._prices)
|
||||||
|
if n < 220:
|
||||||
|
return None
|
||||||
|
|
||||||
|
regimes = self._mtf.detect_all()
|
||||||
|
r1h = regimes.get("1h", "unknown")
|
||||||
|
r4h = regimes.get("4h", "unknown")
|
||||||
|
r1d = regimes.get("1d", "unknown")
|
||||||
|
r1w = regimes.get("1w", "unknown")
|
||||||
|
|
||||||
|
cf, cs = self._ema_fast[-1], self._ema_slow[-1]
|
||||||
|
ca = self._atr[-1]
|
||||||
|
pf, ps = self._ema_fast[-2], self._ema_slow[-2]
|
||||||
|
if cf == 0 or cs == 0 or ca == 0:
|
||||||
|
return None
|
||||||
|
|
||||||
|
golden = pf <= ps and cf > cs
|
||||||
|
death = pf >= ps and cf < cs
|
||||||
|
|
||||||
|
# ── 多头持仓 ──
|
||||||
|
if self._side == "long":
|
||||||
|
self._hp = max(self._hp, k.high)
|
||||||
|
stop = self._hp - self.cfg.atr_stop * ca
|
||||||
|
|
||||||
|
exit_reason = None
|
||||||
|
if death:
|
||||||
|
exit_reason = "死叉"
|
||||||
|
elif k.close < stop:
|
||||||
|
exit_reason = "ATR止损"
|
||||||
|
elif r1w == "bear":
|
||||||
|
exit_reason = "1w转熊→平多"
|
||||||
|
elif r1d == "bear" and r4h == "bear":
|
||||||
|
exit_reason = "1d+4h双双转熊→平多"
|
||||||
|
|
||||||
|
if exit_reason:
|
||||||
|
self._side = ""
|
||||||
|
return Signal(symbol=self.cfg.symbol, side="SELL",
|
||||||
|
reason=exit_reason, timestamp=k.open_time)
|
||||||
|
|
||||||
|
# ── 空头持仓 ──
|
||||||
|
elif self._side == "short":
|
||||||
|
self._lp = min(self._lp, k.low)
|
||||||
|
stop = self._lp + self.cfg.atr_stop * ca
|
||||||
|
|
||||||
|
exit_reason = None
|
||||||
|
if golden:
|
||||||
|
exit_reason = "金叉"
|
||||||
|
elif k.close > stop:
|
||||||
|
exit_reason = "ATR止损"
|
||||||
|
elif r1w == "bull":
|
||||||
|
exit_reason = "1w转牛→平空"
|
||||||
|
elif r1d == "bull" and r4h == "bull":
|
||||||
|
exit_reason = "1d+4h双双转牛→平空"
|
||||||
|
|
||||||
|
if exit_reason:
|
||||||
|
self._side = ""
|
||||||
|
return Signal(symbol=self.cfg.symbol, side="BUY",
|
||||||
|
reason=exit_reason, timestamp=k.open_time)
|
||||||
|
|
||||||
|
# ── 空仓等信号 ──
|
||||||
|
else:
|
||||||
|
# 做多条件：1w牛 + 1d不熊 + 4h金叉
|
||||||
|
long_ok = r1w == "bull" and r1d != "bear" and golden
|
||||||
|
# 做空条件：1w熊 + 1d不牛 + 4h死叉
|
||||||
|
short_ok = r1w == "bear" and r1d != "bull" and death
|
||||||
|
|
||||||
|
if long_ok:
|
||||||
|
self._side = "long"
|
||||||
|
self._hp = k.close
|
||||||
|
return Signal(symbol=self.cfg.symbol, side="BUY",
|
||||||
|
reason=f"多周期做多({r1w}/{r1d}/{r4h})",
|
||||||
|
timestamp=k.open_time)
|
||||||
|
|
||||||
|
if short_ok:
|
||||||
|
self._side = "short"
|
||||||
|
self._lp = k.close
|
||||||
|
return Signal(symbol=self.cfg.symbol, side="SELL",
|
||||||
|
reason=f"多周期做空({r1w}/{r1d}/{r4h})",
|
||||||
|
timestamp=k.open_time)
|
||||||
|
|
||||||
|
return None
|
||||||
|
|
||||||
|
|
||||||
|
# ════════════════════════════════════════════════════════
|
||||||
|
# 对照策略 2：1w 绝对过滤（更强约束）
|
||||||
|
# ════════════════════════════════════════════════════════
|
||||||
|
|
||||||
|
|
||||||
|
class MTFStrictConfig(StrategyConfig):
|
||||||
|
fast: int = 10
|
||||||
|
slow: int = 50
|
||||||
|
atr_stop: float = 2.5
|
||||||
|
|
||||||
|
|
||||||
|
class MTFStrictStrategy(BaseStrategy):
|
||||||
|
"""严格多周期策略 — 必须 1w + 1d 方向一致才入场
|
||||||
|
|
||||||
|
入场：
|
||||||
|
做多 — 1w bull + 1d bull + 4h 金叉
|
||||||
|
做空 — 1w bear + 1d bear + 4h 死叉
|
||||||
|
出场：
|
||||||
|
4h 死叉/金叉 或 ATR 止损 或 1w 方向逆转
|
||||||
|
"""
|
||||||
|
|
||||||
|
strategy_type = "mtf_strict"
|
||||||
|
|
||||||
|
def __init__(self, c: MTFStrictConfig):
|
||||||
|
super().__init__(c)
|
||||||
|
self.cfg = c
|
||||||
|
self._mtf = MultiTimeframeRegime(["1h", "4h", "1d", "1w"])
|
||||||
|
self._ema_fast = EmaInc(c.fast)
|
||||||
|
self._ema_slow = EmaInc(c.slow)
|
||||||
|
self._atr = AtrInc(14)
|
||||||
|
self._side: str = ""
|
||||||
|
self._hp: float = 0.0
|
||||||
|
self._lp: float = float("inf")
|
||||||
|
|
||||||
|
async def on_kline(self, k: Kline) -> Optional[Signal]:
|
||||||
|
self._mtf.update(k.close)
|
||||||
|
self._ema_fast.update(k.close)
|
||||||
|
self._ema_slow.update(k.close)
|
||||||
|
self._atr.update(k.high, k.low, k.close)
|
||||||
|
|
||||||
|
n = len(self._mtf._prices)
|
||||||
|
if n < 220:
|
||||||
|
return None
|
||||||
|
|
||||||
|
regimes = self._mtf.detect_all()
|
||||||
|
r4h = regimes.get("4h", "unknown")
|
||||||
|
r1d = regimes.get("1d", "unknown")
|
||||||
|
r1w = regimes.get("1w", "unknown")
|
||||||
|
|
||||||
|
cf, cs = self._ema_fast[-1], self._ema_slow[-1]
|
||||||
|
ca = self._atr[-1]
|
||||||
|
pf, ps = self._ema_fast[-2], self._ema_slow[-2]
|
||||||
|
if cf == 0 or cs == 0 or ca == 0:
|
||||||
|
return None
|
||||||
|
|
||||||
|
golden = pf <= ps and cf > cs
|
||||||
|
death = pf >= ps and cf < cs
|
||||||
|
|
||||||
|
# 多头持仓
|
||||||
|
if self._side == "long":
|
||||||
|
self._hp = max(self._hp, k.high)
|
||||||
|
stop = self._hp - self.cfg.atr_stop * ca
|
||||||
|
if death or k.close < stop or r1w == "bear":
|
||||||
|
self._side = ""
|
||||||
|
reason = "死叉" if death else ("ATR止损" if k.close < stop else "1w转熊")
|
||||||
|
return Signal(symbol=self.cfg.symbol, side="SELL",
|
||||||
|
reason=reason, timestamp=k.open_time)
|
||||||
|
|
||||||
|
# 空头持仓
|
||||||
|
elif self._side == "short":
|
||||||
|
self._lp = min(self._lp, k.low)
|
||||||
|
stop = self._lp + self.cfg.atr_stop * ca
|
||||||
|
if golden or k.close > stop or r1w == "bull":
|
||||||
|
self._side = ""
|
||||||
|
reason = "金叉" if golden else ("ATR止损" if k.close > stop else "1w转牛")
|
||||||
|
return Signal(symbol=self.cfg.symbol, side="BUY",
|
||||||
|
reason=reason, timestamp=k.open_time)
|
||||||
|
|
||||||
|
# 空仓
|
||||||
|
else:
|
||||||
|
if r1w == "bull" and r1d == "bull" and golden:
|
||||||
|
self._side = "long"
|
||||||
|
self._hp = k.close
|
||||||
|
return Signal(symbol=self.cfg.symbol, side="BUY",
|
||||||
|
reason=f"严格做多({r1w}+{r1d}+{r4h})",
|
||||||
|
timestamp=k.open_time)
|
||||||
|
if r1w == "bear" and r1d == "bear" and death:
|
||||||
|
self._side = "short"
|
||||||
|
self._lp = k.close
|
||||||
|
return Signal(symbol=self.cfg.symbol, side="SELL",
|
||||||
|
reason=f"严格做空({r1w}+{r1d}+{r4h})",
|
||||||
|
timestamp=k.open_time)
|
||||||
|
|
||||||
|
return None
|
||||||
|
|
||||||
|
|
||||||
|
# ════════════════════════════════════════════════════════
|
||||||
|
# 回测入口
|
||||||
|
# ════════════════════════════════════════════════════════
|
||||||
|
|
||||||
|
SYMBOLS = ["BTCUSDT", "ETHUSDT", "BNBUSDT", "SOLUSDT"]
|
||||||
|
|
||||||
|
PARAMS = {
|
||||||
|
"BTCUSDT": (10, 50),
|
||||||
|
"ETHUSDT": (10, 75),
|
||||||
|
"BNBUSDT": (20, 50),
|
||||||
|
"SOLUSDT": (30, 50),
|
||||||
|
}
|
||||||
|
|
||||||
|
DATE_START = datetime(2024, 1, 1)
|
||||||
|
DATE_END = datetime(2026, 1, 1)
|
||||||
|
|
||||||
|
|
||||||
|
async def run_one(engine, strategy_cls, config_cls, symbol, desc, params=None):
|
||||||
|
fast, slow = PARAMS[symbol] if params is None else params
|
||||||
|
sc = config_cls(symbol=symbol, fast=fast, slow=slow)
|
||||||
|
bt = BacktestConfig(
|
||||||
|
symbol=symbol, interval="4h",
|
||||||
|
start_time=DATE_START, end_time=DATE_END,
|
||||||
|
initial_capital=10_000.0, warmup_bars=250,
|
||||||
|
)
|
||||||
|
eng = engine(bt, db_config=config.db)
|
||||||
|
r = await eng.run(strategy_cls, sc)
|
||||||
|
return r
|
||||||
|
|
||||||
|
|
||||||
|
async def main():
|
||||||
|
print()
|
||||||
|
print("═" * 120)
|
||||||
|
print(" 多周期牛熊共识策略 — MTF Regime × 4h EMA | 2024-2026")
|
||||||
|
print("═" * 120)
|
||||||
|
print()
|
||||||
|
print(" 对比策略:")
|
||||||
|
print(" • MTF Consensus — 1w定方向 + 1d确认 + 4h金叉/死叉入场（新）")
|
||||||
|
print(" • MTF Strict — 1w+1d必须同向才入场（新）")
|
||||||
|
print(" • Old Regime — 单周期(4h)三法投票（regime_all.py 基线）")
|
||||||
|
print(" • Long/Short — 无牛熊过滤，始终多空（long_short.py 基线）")
|
||||||
|
print()
|
||||||
|
|
||||||
|
for symbol in SYMBOLS:
|
||||||
|
print(f" ── {symbol} ──")
|
||||||
|
print(f" {'策略':<18} {'总收益%':>7} {'年化%':>7} {'夏普':>6} {'回撤%':>7} {'交易':>5} {'胜率%':>6} {'盈亏比':>6} {'多头P&L':>9} {'空头P&L':>9}")
|
||||||
|
print(" " + "─" * 110)
|
||||||
|
|
||||||
|
results = {}
|
||||||
|
|
||||||
|
# 1. MTF Consensus (new)
|
||||||
|
try:
|
||||||
|
r1 = await run_one(LongShortEngine, MTFRegimeStrategy, MTFConfig, symbol, "MTF Consensus")
|
||||||
|
m = r1.metrics
|
||||||
|
long1 = [t for t in r1.trades if t.pnl is not None and t.side == "SELL"]
|
||||||
|
short1 = [t for t in r1.trades if t.pnl is not None and t.side == "BUY"]
|
||||||
|
lp1 = sum(t.pnl for t in long1) if long1 else 0
|
||||||
|
sp1 = sum(t.pnl for t in short1) if short1 else 0
|
||||||
|
results["mtf"] = m
|
||||||
|
print(f" {'MTF Consensus':<18} {m.total_return_pct:>+6.1f}% {m.annual_return_pct:>6.1f}% {m.sharpe_ratio:>6.2f} {m.max_drawdown_pct:>6.1f}% {m.total_trades:>5} {m.win_rate*100:>5.1f}% {m.profit_factor:>6.2f} {lp1:>+9.0f} {sp1:>+9.0f}")
|
||||||
|
except Exception as e:
|
||||||
|
print(f" {'MTF Consensus':<18} 错误: {e}")
|
||||||
|
|
||||||
|
# 2. MTF Strict (new)
|
||||||
|
try:
|
||||||
|
r2 = await run_one(LongShortEngine, MTFStrictStrategy, MTFStrictConfig, symbol, "MTF Strict")
|
||||||
|
m = r2.metrics
|
||||||
|
long2 = [t for t in r2.trades if t.pnl is not None and t.side == "SELL"]
|
||||||
|
short2 = [t for t in r2.trades if t.pnl is not None and t.side == "BUY"]
|
||||||
|
lp2 = sum(t.pnl for t in long2) if long2 else 0
|
||||||
|
sp2 = sum(t.pnl for t in short2) if short2 else 0
|
||||||
|
results["strict"] = m
|
||||||
|
print(f" {'MTF Strict':<18} {m.total_return_pct:>+6.1f}% {m.annual_return_pct:>6.1f}% {m.sharpe_ratio:>6.2f} {m.max_drawdown_pct:>6.1f}% {m.total_trades:>5} {m.win_rate*100:>5.1f}% {m.profit_factor:>6.2f} {lp2:>+9.0f} {sp2:>+9.0f}")
|
||||||
|
except Exception as e:
|
||||||
|
print(f" {'MTF Strict':<18} 错误: {e}")
|
||||||
|
|
||||||
|
# 3. Old Regime (baseline)
|
||||||
|
try:
|
||||||
|
r3 = await run_one(LongShortEngine, OldRegimeS, OldRegimeCfg, symbol, "Old Regime")
|
||||||
|
m = r3.metrics
|
||||||
|
long3 = [t for t in r3.trades if t.pnl is not None and t.side == "SELL"]
|
||||||
|
short3 = [t for t in r3.trades if t.pnl is not None and t.side == "BUY"]
|
||||||
|
lp3 = sum(t.pnl for t in long3) if long3 else 0
|
||||||
|
sp3 = sum(t.pnl for t in short3) if short3 else 0
|
||||||
|
results["old"] = m
|
||||||
|
print(f" {'Old Regime':<18} {m.total_return_pct:>+6.1f}% {m.annual_return_pct:>6.1f}% {m.sharpe_ratio:>6.2f} {m.max_drawdown_pct:>6.1f}% {m.total_trades:>5} {m.win_rate*100:>5.1f}% {m.profit_factor:>6.2f} {lp3:>+9.0f} {sp3:>+9.0f}")
|
||||||
|
except Exception as e:
|
||||||
|
print(f" {'Old Regime':<18} 错误: {e}")
|
||||||
|
|
||||||
|
# 4. Long/Short (baseline, no filter)
|
||||||
|
try:
|
||||||
|
r4 = await run_one(LongShortEngine, LSS, LSCfg, symbol, "Long/Short")
|
||||||
|
m = r4.metrics
|
||||||
|
long4 = [t for t in r4.trades if t.pnl is not None and t.side == "SELL"]
|
||||||
|
short4 = [t for t in r4.trades if t.pnl is not None and t.side == "BUY"]
|
||||||
|
lp4 = sum(t.pnl for t in long4) if long4 else 0
|
||||||
|
sp4 = sum(t.pnl for t in short4) if short4 else 0
|
||||||
|
results["ls"] = m
|
||||||
|
print(f" {'Long/Short':<18} {m.total_return_pct:>+6.1f}% {m.annual_return_pct:>6.1f}% {m.sharpe_ratio:>6.2f} {m.max_drawdown_pct:>6.1f}% {m.total_trades:>5} {m.win_rate*100:>5.1f}% {m.profit_factor:>6.2f} {lp4:>+9.0f} {sp4:>+9.0f}")
|
||||||
|
except Exception as e:
|
||||||
|
print(f" {'Long/Short':<18} 错误: {e}")
|
||||||
|
|
||||||
|
# 简要对比
|
||||||
|
if len(results) >= 2:
|
||||||
|
best_sharpe = max(results.items(), key=lambda x: x[1].sharpe_ratio)
|
||||||
|
worst_dd = min(results.items(), key=lambda x: x[1].max_drawdown_pct)
|
||||||
|
print(f" └ 最佳夏普: {best_sharpe[0]} ({best_sharpe[1].sharpe_ratio:.2f}) | "
|
||||||
|
f"最小回撤: {worst_dd[0]} ({worst_dd[1].max_drawdown_pct:.1f}%)")
|
||||||
|
|
||||||
|
print()
|
||||||
|
|
||||||
|
print("═" * 120)
|
||||||
|
|
||||||
|
|
||||||
|
if __name__ == "__main__":
|
||||||
|
asyncio.run(main())
|
||||||
@@ -18,6 +18,7 @@ from .momentum import rsi, stoch, stoch_k, stoch_d
|
|||||||
from .volatility import bollinger, bollinger_upper, bollinger_mid, bollinger_lower, atr
|
from .volatility import bollinger, bollinger_upper, bollinger_mid, bollinger_lower, atr
|
||||||
from .volume import obv, vwap
|
from .volume import obv, vwap
|
||||||
from .incremental import EmaInc, AtrInc, RsiInc, BbInc
|
from .incremental import EmaInc, AtrInc, RsiInc, BbInc
|
||||||
|
from .regime import RegimeDetector, MultiTimeframeRegime
|
||||||
|
|
||||||
__all__ = [
|
__all__ = [
|
||||||
# 趋势
|
# 趋势
|
||||||
@@ -30,4 +31,6 @@ __all__ = [
|
|||||||
"obv", "vwap",
|
"obv", "vwap",
|
||||||
# 增量
|
# 增量
|
||||||
"EmaInc", "AtrInc", "RsiInc", "BbInc",
|
"EmaInc", "AtrInc", "RsiInc", "BbInc",
|
||||||
|
# 牛熊判定
|
||||||
|
"RegimeDetector", "MultiTimeframeRegime",
|
||||||
]
|
]
|
||||||
|
|||||||
@@ -0,0 +1,268 @@
|
|||||||
|
"""
|
||||||
|
多周期牛熊判定模块
|
||||||
|
|
||||||
|
基于 EMA200 斜率、价格 vs EMA200、ATH 回撤三法投票，支持单周期判定
|
||||||
|
和多周期并行分析。每根 bar O(1) 增量更新，适用于回测和实时分析。
|
||||||
|
|
||||||
|
用法:
|
||||||
|
# 单周期
|
||||||
|
det = RegimeDetector()
|
||||||
|
for price in closes:
|
||||||
|
det.update(price)
|
||||||
|
regime = det.detect(closes[-1], len(closes) - 1)
|
||||||
|
|
||||||
|
# 多周期
|
||||||
|
mtf = MultiTimeframeRegime(['1h', '4h', '1d', '1w'])
|
||||||
|
for price in closes:
|
||||||
|
mtf.update(price)
|
||||||
|
matrix = mtf.detect_all(closes[-1], len(closes) - 1)
|
||||||
|
"""
|
||||||
|
|
||||||
|
from .incremental import EmaInc
|
||||||
|
|
||||||
|
|
||||||
|
class RegimeDetector:
|
||||||
|
"""单周期牛熊判定器 — 四法投票
|
||||||
|
|
||||||
|
四个独立判定维度：
|
||||||
|
1. EMA200 斜率：近 20 根 bar 的 EMA200 变化率 → bull/bear/sideways
|
||||||
|
2. 价格 vs EMA200：当前价在 EMA200 上方/下方 → bull/bear
|
||||||
|
3. ATH 回撤：当前价距历史高点的回撤幅度 → bull/bear/sideways
|
||||||
|
4. 窄幅盘整：近 20 根 bar 收盘价振幅 < 3% → sideways（否则 unknown，不投票）
|
||||||
|
|
||||||
|
最终判定：四选二投票（>=2 票即定论）。
|
||||||
|
"""
|
||||||
|
|
||||||
|
def __init__(self, range_period: int = 20, range_threshold: float = 0.03):
|
||||||
|
self._ath = 0.0
|
||||||
|
self._e200 = EmaInc(200)
|
||||||
|
self._range_period = range_period
|
||||||
|
self._range_threshold = range_threshold
|
||||||
|
self._recent_high: list[float] = []
|
||||||
|
self._recent_low: list[float] = []
|
||||||
|
|
||||||
|
def update(self, price: float) -> None:
|
||||||
|
"""每根 bar 调一次：更新 ATH + EMA200 + 价格区间窗口"""
|
||||||
|
if price > self._ath:
|
||||||
|
self._ath = price
|
||||||
|
self._e200.update(price)
|
||||||
|
# 滚动窗口：维持最近 range_period 根 bar 的最高/最低（只用 close 做代理）
|
||||||
|
self._recent_high.append(price)
|
||||||
|
self._recent_low.append(price)
|
||||||
|
if len(self._recent_high) > self._range_period:
|
||||||
|
self._recent_high.pop(0)
|
||||||
|
self._recent_low.pop(0)
|
||||||
|
|
||||||
|
def detect(self, price: float, idx: int) -> str:
|
||||||
|
"""返回当前 bar 的牛熊判定：bull / bear / sideways"""
|
||||||
|
r1 = self._ema200_slope(idx)
|
||||||
|
r2 = self._price_vs_ema200(price, idx)
|
||||||
|
r3 = self._ath_drawdown(price)
|
||||||
|
r4 = self._price_range()
|
||||||
|
|
||||||
|
b = sum(1 for r in [r1, r2, r3, r4] if r == "bull")
|
||||||
|
br = sum(1 for r in [r1, r2, r3, r4] if r == "bear")
|
||||||
|
sx = sum(1 for r in [r1, r2, r3, r4] if r == "sideways")
|
||||||
|
|
||||||
|
if b >= 2:
|
||||||
|
return "bull"
|
||||||
|
if br >= 2:
|
||||||
|
return "bear"
|
||||||
|
if sx >= 2:
|
||||||
|
return "sideways"
|
||||||
|
return "sideways"
|
||||||
|
|
||||||
|
def detect_detail(self, price: float, idx: int) -> dict:
|
||||||
|
"""返回详细判定（含各子法的结果 + 三态票数）"""
|
||||||
|
r1 = self._ema200_slope(idx)
|
||||||
|
r2 = self._price_vs_ema200(price, idx)
|
||||||
|
r3 = self._ath_drawdown(price)
|
||||||
|
r4 = self._price_range()
|
||||||
|
b = sum(1 for r in [r1, r2, r3, r4] if r == "bull")
|
||||||
|
br = sum(1 for r in [r1, r2, r3, r4] if r == "bear")
|
||||||
|
sx = sum(1 for r in [r1, r2, r3, r4] if r == "sideways")
|
||||||
|
if b >= 2:
|
||||||
|
final = "bull"
|
||||||
|
elif br >= 2:
|
||||||
|
final = "bear"
|
||||||
|
elif sx >= 2:
|
||||||
|
final = "sideways"
|
||||||
|
else:
|
||||||
|
final = "sideways"
|
||||||
|
return {
|
||||||
|
"final": final,
|
||||||
|
"ema200_slope": r1,
|
||||||
|
"price_vs_ema200": r2,
|
||||||
|
"ath_drawdown": r3,
|
||||||
|
"price_range": r4,
|
||||||
|
"bull_votes": b,
|
||||||
|
"bear_votes": br,
|
||||||
|
"sideways_votes": sx,
|
||||||
|
"range_pct": self._range_pct(),
|
||||||
|
}
|
||||||
|
|
||||||
|
def _ema200_slope(self, idx: int) -> str:
|
||||||
|
if idx < 220:
|
||||||
|
return "unknown"
|
||||||
|
e200 = self._e200
|
||||||
|
if e200[idx - 20] == 0:
|
||||||
|
return "unknown"
|
||||||
|
slope = (e200[idx] - e200[idx - 20]) / e200[idx - 20]
|
||||||
|
if slope > 0.002:
|
||||||
|
return "bull"
|
||||||
|
if slope < -0.002:
|
||||||
|
return "bear"
|
||||||
|
return "sideways"
|
||||||
|
|
||||||
|
def _price_vs_ema200(self, price: float, idx: int) -> str:
|
||||||
|
if idx < 210:
|
||||||
|
return "unknown"
|
||||||
|
e = self._e200[idx]
|
||||||
|
if e == 0:
|
||||||
|
return "unknown"
|
||||||
|
return "bull" if price > e else "bear"
|
||||||
|
|
||||||
|
def _ath_drawdown(self, price: float) -> str:
|
||||||
|
if self._ath == 0:
|
||||||
|
return "unknown"
|
||||||
|
dd = (price - self._ath) / self._ath
|
||||||
|
if dd > -0.20:
|
||||||
|
return "bull"
|
||||||
|
if dd < -0.40:
|
||||||
|
return "bear"
|
||||||
|
return "sideways"
|
||||||
|
|
||||||
|
def _price_range(self) -> str:
|
||||||
|
"""窄幅盘整检测：近 range_period 根 bar 振幅 < 阈值 → sideways"""
|
||||||
|
if len(self._recent_high) < self._range_period:
|
||||||
|
return "unknown"
|
||||||
|
highest = max(self._recent_high)
|
||||||
|
lowest = min(self._recent_low)
|
||||||
|
if highest == 0:
|
||||||
|
return "unknown"
|
||||||
|
range_pct = (highest - lowest) / highest
|
||||||
|
return "sideways" if range_pct < self._range_threshold else "unknown"
|
||||||
|
|
||||||
|
def _range_pct(self) -> float:
|
||||||
|
"""当前波动区间百分比（用于展示）"""
|
||||||
|
if len(self._recent_high) < self._range_period:
|
||||||
|
return 0.0
|
||||||
|
highest = max(self._recent_high)
|
||||||
|
if highest == 0:
|
||||||
|
return 0.0
|
||||||
|
return (highest - min(self._recent_low)) / highest
|
||||||
|
|
||||||
|
@property
|
||||||
|
def ema200(self) -> float:
|
||||||
|
"""最新 EMA200 值"""
|
||||||
|
return self._e200.current
|
||||||
|
|
||||||
|
@property
|
||||||
|
def ath(self) -> float:
|
||||||
|
"""历史最高价"""
|
||||||
|
return self._ath
|
||||||
|
|
||||||
|
@property
|
||||||
|
def ready(self) -> bool:
|
||||||
|
"""是否已有足够数据做判定"""
|
||||||
|
return len(self._e200) >= 220
|
||||||
|
|
||||||
|
|
||||||
|
class MultiTimeframeRegime:
|
||||||
|
"""多周期牛熊并行分析
|
||||||
|
|
||||||
|
管理多个 RegimeDetector 实例，每个对应一个周期。
|
||||||
|
所有检测器共用同一价格序列更新，保证 O(1)/bar 的增量计算。
|
||||||
|
|
||||||
|
Attributes:
|
||||||
|
timeframes: 周期列表（如 ['1h', '4h', '1d', '1w']）
|
||||||
|
detectors: 周期 → RegimeDetector 映射
|
||||||
|
_prices: 价格序列（所有检测器共享）
|
||||||
|
"""
|
||||||
|
|
||||||
|
def __init__(self, timeframes: list[str]):
|
||||||
|
self.timeframes = timeframes
|
||||||
|
self.detectors: dict[str, RegimeDetector] = {
|
||||||
|
tf: RegimeDetector() for tf in timeframes
|
||||||
|
}
|
||||||
|
self._prices: list[float] = []
|
||||||
|
|
||||||
|
def update(self, price: float) -> None:
|
||||||
|
"""更新所有周期检测器"""
|
||||||
|
self._prices.append(price)
|
||||||
|
for det in self.detectors.values():
|
||||||
|
det.update(price)
|
||||||
|
|
||||||
|
def detect_all(self) -> dict[str, str]:
|
||||||
|
"""返回各周期当前判定（需至少 220 根 bar）"""
|
||||||
|
n = len(self._prices)
|
||||||
|
if n < 220:
|
||||||
|
return {tf: "unknown" for tf in self.timeframes}
|
||||||
|
price = self._prices[-1]
|
||||||
|
return {
|
||||||
|
tf: self.detectors[tf].detect(price, n - 1)
|
||||||
|
for tf in self.timeframes
|
||||||
|
}
|
||||||
|
|
||||||
|
def detect_all_detail(self) -> dict[str, dict]:
|
||||||
|
"""返回各周期详细判定"""
|
||||||
|
n = len(self._prices)
|
||||||
|
if n < 220:
|
||||||
|
return {tf: {"final": "unknown"} for tf in self.timeframes}
|
||||||
|
price = self._prices[-1]
|
||||||
|
return {
|
||||||
|
tf: self.detectors[tf].detect_detail(price, n - 1)
|
||||||
|
for tf in self.timeframes
|
||||||
|
}
|
||||||
|
|
||||||
|
def detect_at(self, idx: int) -> dict[str, str]:
|
||||||
|
"""返回指定 bar 位置各周期的判定"""
|
||||||
|
if idx < 0 or idx >= len(self._prices):
|
||||||
|
raise IndexError(f"idx {idx} out of range [0, {len(self._prices)})")
|
||||||
|
price = self._prices[idx]
|
||||||
|
result = {}
|
||||||
|
for tf in self.timeframes:
|
||||||
|
if idx < 220:
|
||||||
|
result[tf] = "unknown"
|
||||||
|
else:
|
||||||
|
result[tf] = self.detectors[tf].detect(price, idx)
|
||||||
|
return result
|
||||||
|
|
||||||
|
def score(self) -> float:
|
||||||
|
"""加权综合评分 [-1, 1]
|
||||||
|
|
||||||
|
各周期赋分：bull=+1, sideways=0, bear=-1
|
||||||
|
权重：周期越长权重越大
|
||||||
|
|
||||||
|
Returns:
|
||||||
|
-1.0 (强熊) ~ +1.0 (强牛)
|
||||||
|
"""
|
||||||
|
n = len(self._prices)
|
||||||
|
if n < 220:
|
||||||
|
return 0.0
|
||||||
|
|
||||||
|
# 周期权重：1h=1, 4h=2, 1d=3, 1w=4, 1mon=5
|
||||||
|
tf_weights = {
|
||||||
|
"1m": 1, "3m": 1, "5m": 1, "15m": 2, "30m": 2,
|
||||||
|
"1h": 3, "2h": 3, "4h": 4, "6h": 4, "8h": 4,
|
||||||
|
"1d": 5, "1w": 6, "1mon": 7,
|
||||||
|
}
|
||||||
|
|
||||||
|
score_map = {"bull": 1.0, "sideways": 0.0, "bear": -1.0, "unknown": 0.0}
|
||||||
|
regimes = self.detect_all()
|
||||||
|
total_weight = 0.0
|
||||||
|
weighted_score = 0.0
|
||||||
|
|
||||||
|
for tf, regime in regimes.items():
|
||||||
|
w = tf_weights.get(tf, 1)
|
||||||
|
weighted_score += score_map[regime] * w
|
||||||
|
total_weight += w
|
||||||
|
|
||||||
|
if total_weight == 0:
|
||||||
|
return 0.0
|
||||||
|
return weighted_score / total_weight
|
||||||
|
|
||||||
|
@property
|
||||||
|
def ready(self) -> bool:
|
||||||
|
"""所有检测器是否都已就绪"""
|
||||||
|
return len(self._prices) >= 220
|
||||||
Reference in New Issue
Block a user