feat: 普适指标重构——跨独立年份有效性(有效年占比×覆盖因子)+特例剔除检验(leave1),体现非特例宗旨
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@@ -60,7 +60,8 @@ def _compute_regime_winrates_cached(pt, _approx_univ):
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for _r in _c.execute(
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"SELECT strategy, market, regime, period_tag, trades, win_rate, avg_pnl, "
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"avg_hold_days, total_return_pct, cagr_pct, portfolio_max_dd_pct, capital_final, "
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"positions_taken, sharpe_ratio, profit_factor, universality_months, universality_score "
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"positions_taken, sharpe_ratio, profit_factor, universality_months, universality_years, "
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"universality_valid_years, universality_score, universality_leave1 "
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"FROM strategy_regime_perf_by_period "
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"WHERE period_tag=? ORDER BY strategy, market, regime",
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(_pt_use,)).fetchall():
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@@ -73,7 +74,10 @@ def _compute_regime_winrates_cached(pt, _approx_univ):
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_sh_v = _r[13]
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_pf_v = _r[14]
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_umon = _r[15]
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_uscore = _r[16]
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_uyears = _r[16]
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_uvalid = _r[17]
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_uscore = _r[18]
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_uleave1 = _r[19]
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_regime_winrates.setdefault(_ver, {})[_reg] = {
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"trades": _r[4], "win_rate": _r[5], "avg_pnl": _r[6],
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"avg_hold_days": _r[7],
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@@ -86,7 +90,7 @@ def _compute_regime_winrates_cached(pt, _approx_univ):
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"portfolio_max_dd_pct": _dd_v, "capital_final": _cf_v,
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"positions_taken": _pt_v, "sharpe_ratio": _sh_v,
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"profit_factor": _pf_v},
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"universality": _approx_univ(_ver, _reg, _r[4], _umon, _uscore),
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"universality": _approx_univ(_ver, _reg, _r[4], _umon, _uscore, _uyears, _uvalid, _uleave1),
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}
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_c.close()
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except Exception:
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@@ -628,11 +632,13 @@ def get_tracking():
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@app.route("/api/research/strategies")
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def api_research_strategies():
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"""策略版本列表(含回测结果摘要,支持 period_tag 区间过滤)"""
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def _approx_regime_universality(strategy, regime, trades, umon=None, uscore=None):
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def _approx_regime_universality(strategy, regime, trades, umon=None, uscore=None, uyears=None, uvalid=None, uleave1=None):
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"""温区级普适:优先用预计算真实值(trades entry_date 去重月份/温区总月份),
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缺失时退回旧近似(信号数÷3估算,2026-08-16 修复——原估算对集中信号虚高)"""
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if umon is not None and uscore is not None:
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return {"months": umon, "score": uscore, "regime_total_months": 0}
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return {"months": umon, "score": uscore, "years": uyears or 0,
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"valid_years": uvalid or 0, "leave1_avg": uleave1,
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"regime_total_months": 0}
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try:
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import sqlite3 as _sq6
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_c6 = _sq6.connect(str(DATA_DIR / "mofin.db"), timeout=10)
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