fix: 普适指标真实化——trades月份去重/温区总月份(原信号÷3估算使s2_panic虚高100分)

This commit is contained in:
xxm
2026-08-17 00:47:45 +08:00
parent fb498319ee
commit 9c6ce43476
2 changed files with 22 additions and 7 deletions
@@ -56,6 +56,8 @@ def create_table(conn):
positions_taken INTEGER,
sharpe_ratio REAL,
profit_factor REAL,
universality_months INTEGER,
universality_score REAL,
updated_at TIMESTAMP DEFAULT CURRENT_TIMESTAMP,
PRIMARY KEY (strategy, market, regime, period_tag)
)
@@ -158,17 +160,24 @@ def process_period(conn, market, period_tag):
cagr = round(((1 + ret / 100) ** (365 / span_days) - 1) * 100, 1)
else:
cagr = None
# 普适:该温区 trades 的 entry_date 去重月份数 / 该温区总月份数(2026-08-16 修复:
# 原 server 端信号数÷3估算 → s2_panic 2255信号估算751月=100分,实际只2个月)
_uniq_months = len({t.get("entry_date", "")[:7] for t in reg_trades if t.get("entry_date")})
_regime_months_all = {d[:7] for d, r in rmap.items() if r == reg}
_regime_total_months = len(_regime_months_all)
_univ_score = round(min(_uniq_months / max(_regime_total_months, 1) * 100, 100)) if _uniq_months else 0
conn.execute(
"""INSERT OR REPLACE INTO strategy_regime_perf_by_period
(strategy, market, regime, period_tag, trades, win_rate, avg_pnl, avg_hold_days,
total_return_pct, cagr_pct, portfolio_max_dd_pct, capital_final,
positions_taken, sharpe_ratio, profit_factor, updated_at)
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
positions_taken, sharpe_ratio, profit_factor, universality_months, universality_score, updated_at)
VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
(v, market, reg, period_tag, len(reg_trades),
extra.get("win_rate"), extra.get("avg_pnl"), extra.get("avg_hold_days"),
ret, cagr, sim.get("portfolio_max_dd_pct"),
sim.get("capital_final"), sim.get("positions_taken"),
extra.get("sharpe_ratio"), extra.get("profit_factor"), now))
extra.get("sharpe_ratio"), extra.get("profit_factor"),
_uniq_months, _univ_score, now))
written += 1
return written