hmo
b9c68a83a7
- 新增 strategy_research_methodology.md（由果及因/12维/铁律/支撑压力规范） - 新增 predictive_oversold_strategy.md（v5定稿，年化18.57%） - 新增 deployment-plan-predictive-oversold.md（整合部署计划） - 归档 docs/research/（63份研究过程文档）+ scripts/research/（19个研究脚本） - 更新 docs/README.md 文档中心（策略研究章节）
53 lines
2.1 KiB
Python
53 lines
2.1 KiB
Python
#!/usr/bin/env python3
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# step48_predict_dd.py - 阴跌中段判定测试
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import numpy as np
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import pandas as pd
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print("=== 加载 ===", flush=True)
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tr = pd.read_csv("/tmp/step43_trades.csv")
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print("交易:", len(tr), flush=True)
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print("全量: avg={:.2f}% wr={:.1f}% 大亏率={:.1f}%".format(
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tr["ret"].mean(), (tr["ret"]>0).mean()*100, (tr["ret"]<-10).mean()*100), flush=True)
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def evaluate(cond, label):
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sub = tr[cond]
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if len(sub) < 50:
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print("{}: n={} 不足".format(label, len(sub)), flush=True)
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return
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avg = sub["ret"].mean()
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wr = (sub["ret"]>0).mean()*100
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big_loss = (sub["ret"]<-10).mean()*100
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print("{}: n={} avg={:.2f}% wr={:.1f}% 大亏率={:.1f}%".format(
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label, len(sub), avg, wr, big_loss), flush=True)
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print("\n=== 单特征阈值扫描 ===", flush=True)
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print("\n-- mkt_down_days >= N --", flush=True)
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for t in [2, 3, 4]:
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evaluate(tr["mkt_down_days"] >= t, "连跌>={}（阴跌）".format(t))
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print("\n-- sig_mkt_adx <= N --", flush=True)
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for t in [40, 45, 50, 55]:
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evaluate(tr["sig_mkt_adx"] <= t, "adx<={}（弱趋势）".format(t))
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print("\n-- mkt_news5 <= N --", flush=True)
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for t in [1000, 1500, 2000]:
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evaluate(tr["mkt_news5"] <= t, "news<={}（冷清）".format(t))
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print("\n=== 组合：阴跌中段判定 ===", flush=True)
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yin_die = (tr["mkt_down_days"] >= 2) & (tr["sig_mkt_adx"] <= 50)
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print("阴跌判定(连跌>=2+adx<=50) 命中:", yin_die.sum(), flush=True)
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evaluate(~yin_die, "保留（非阴跌）")
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evaluate(yin_die, "跳过（阴跌）")
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yin_die2 = (tr["mkt_down_days"] >= 2) & (tr["sig_mkt_adx"] <= 50) & (tr["mkt_news5"] <= 2000)
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print("阴跌判定2(+news<=2000) 命中:", yin_die2.sum(), flush=True)
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evaluate(~yin_die2, "保留（非阴跌2）")
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evaluate(yin_die2, "跳过（阴跌2）")
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yin_die3 = (tr["mkt_down_days"] >= 2) & (tr["sig_mkt_adx"] <= 55) & (tr["sig_mkt_rsi"] >= 33)
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print("阴跌判定3(连跌>=2+adx<=55+rsi>=33) 命中:", yin_die3.sum(), flush=True)
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evaluate(~yin_die3, "保留（非阴跌3）")
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evaluate(yin_die3, "跳过（阴跌3）")
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print("\n=== 完成 ===", flush=True)
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