cyb50-quant/cat-fly/t1/check_2026.py

#!/usr/bin/env python3
# -*- coding: utf-8 -*-
import sys, io
if sys.platform == 'win32':
    sys.stdout = io.TextIOWrapper(sys.stdout.buffer, encoding='utf-8')
    sys.stderr = io.TextIOWrapper(sys.stderr.buffer, encoding='utf-8')

import pandas as pd
import warnings
warnings.filterwarnings('ignore')

df = pd.read_csv(
    'D:/work/project/cyb50-quant/cat-fly/t1/t1_trades_with_environment_20260327_141655.csv',
    encoding='utf-8-sig'
)
cols = [
    '交易方向','开仓时间','平仓时间','开仓价格','平仓价格','仓位',
    '盈亏金额','盈亏百分比','退出原因','持仓周期数','持仓小时数',
    'T1调整','原平仓时间','原平仓价格','原盈亏','盈亏变化',
    '入场信号','开仓市值','平仓时资金','市场状态',
    '趋势短期','趋势中期','趋势强度','波动率分位','波动率水平',
    '成交量分位','布林带位置','布林带区域','RSI分位','RSI区域',
    '1日动量','入场价格'
]
df.columns = cols
df['开仓时间'] = pd.to_datetime(df['开仓时间'])
df['年份'] = df['开仓时间'].dt.year
df['盈利'] = df['盈亏金额'] > 0

y26 = df[df['年份'] == 2026].copy()
print(f'2026年交易: {len(y26)}笔, 胜率{y26["盈利"].mean():.1%}')
print()

# 各类别分布
for col in ['市场状态', '波动率水平', 'RSI区域', '趋势中期', '布林带区域', 'T1调整']:
    print(f'[{col}]')
    vc = y26[col].value_counts()
    for v, cnt in vc.items():
        sub = y26[y26[col] == v]
        wr = sub['盈利'].mean()
        print(f'  {v}: {cnt}笔, 胜率{wr:.1%}')
    print()

# 连续指标
for col in ['波动率分位', 'RSI分位', '趋势强度', '1日动量']:
    vals = y26[col].dropna()
    print(f'[{col}] min={vals.min():.3f}, max={vals.max():.3f}, mean={vals.mean():.3f}, median={vals.median():.3f}')
print()

# 逐笔明细
print('2026年逐笔明细:')
print('-' * 100)
for _, r in y26.iterrows():
    win = 'WIN' if r['盈利'] else 'LOSS'
    date = str(r['开仓时间'])[:10]
    ms = str(r['市场状态'])
    vl = str(r['波动率水平'])
    rsi = str(r['RSI区域'])
    vq = r['波动率分位']
    rq = r['RSI分位']
    ts = r['趋势强度']
    mom = r['1日动量']
    t1 = str(r['T1调整'])
    pnl = r['盈亏金额']
    print(f'{date} {win:4s} | 市场:{ms:<12} 波动:{vl:<5} 波动分位:{vq:.2f} RSI区:{rsi:<8} RSI分位:{rq:.3f} 趋强:{ts:.2f} 动量:{mom:.4f} T1:{t1[:6]} | {pnl:>+9,.0f}元')
print()

# 检查 "禁止条件" 在2026年会误杀多少笔
print('=' * 60)
print('禁止条件在2026年的命中情况:')
print()

# 条件1: 市场状态 == 下跌趋势低波
c1 = y26['市场状态'] == '下跌趋势低波'
print(f'条件1 [市场状态=下跌趋势低波]: {c1.sum()}笔被过滤')
if c1.sum() > 0:
    sub = y26[c1]
    print(f'  其中胜率: {sub["盈利"].mean():.1%}, 盈亏: {sub["盈亏金额"].sum():+,.0f}元')

# 条件2: 波动率水平 == 极高
c2 = y26['波动率水平'] == '极高'
print(f'条件2 [波动率水平=极高]: {c2.sum()}笔被过滤')
if c2.sum() > 0:
    sub = y26[c2]
    print(f'  其中胜率: {sub["盈利"].mean():.1%}, 盈亏: {sub["盈亏金额"].sum():+,.0f}元')

# 条件3: 波动率分位 > 0.7
c3 = y26['波动率分位'] > 0.7
print(f'条件3 [波动率分位>0.7]: {c3.sum()}笔被过滤')
if c3.sum() > 0:
    sub = y26[c3]
    print(f'  其中胜率: {sub["盈利"].mean():.1%}, 盈亏: {sub["盈亏金额"].sum():+,.0f}元')

# 条件4: RSI区域 == 超卖
c4 = y26['RSI区域'] == '超卖'
print(f'条件4 [RSI区域=超卖]: {c4.sum()}笔被过滤')
if c4.sum() > 0:
    sub = y26[c4]
    print(f'  其中胜率: {sub["盈利"].mean():.1%}, 盈亏: {sub["盈亏金额"].sum():+,.0f}元')

# 条件5: T+1调整
c5 = y26['T1调整'].str.contains('T0', na=False)
print(f'条件5 [T1调整=T0→T1]: {c5.sum()}笔被过滤')
if c5.sum() > 0:
    sub = y26[c5]
    print(f'  其中胜率: {sub["盈利"].mean():.1%}, 盈亏: {sub["盈亏金额"].sum():+,.0f}元')

print()
# 综合: 任意条件触发则过滤
any_filter = c1 | c2 | c3 | c4 | c5
print(f'任意禁止条件触发: {any_filter.sum()}笔被过滤 (共{len(y26)}笔)')
kept = y26[~any_filter]
filtered = y26[any_filter]
print(f'  被过滤: {len(filtered)}笔, 胜率{filtered["盈利"].mean():.1%}, 盈亏{filtered["盈亏金额"].sum():+,.0f}元')
print(f'  保留:   {len(kept)}笔, 胜率{kept["盈利"].mean():.1%}, 盈亏{kept["盈亏金额"].sum():+,.0f}元')