cyb50-quant/cat-fly/t1/comfort_zones.json

{
  "_comment": "舒适区规则 v2 — 基于2023-2026全量282笔T+1回测数据量化得出",
  "_data_range": "2023-03-27 ~ 2026-03-25, 282笔T+1交易",
  "_research_script": "comfort_zone_research.py / check_market_regime.py / check_second_layer.py",

  "hard_exclusions": [
    {
      "name": "死亡区：持续低波下跌",
      "field": "market_regime",
      "values": ["下跌趋势低波"],
      "stats": {"trades": 73, "win_rate": 0.356, "total_pnl": -157735, "avg_pnl": -2161},
      "impact_on_2026": "0笔，安全排除",
      "reason": "慢速磨底行情，T+1限制下策略无法及时止损，超卖后继续下跌。2023年占比51%，是差年份的主要原因。"
    },
    {
      "name": "震荡低波",
      "field": "market_regime",
      "values": ["震荡低波"],
      "stats": {"trades": 14, "win_rate": 0.286, "total_pnl": -18341, "avg_pnl": -1310},
      "impact_on_2026": "0笔，安全排除",
      "reason": "低波动震荡环境，做多信号质量差，假突破多。"
    }
  ],

  "caution_conditions": [
    {
      "name": "高波动下跌叠加T+1",
      "description": "下跌趋势高波+极高波动率+T+1调整 三者同时出现时，历史胜率极低",
      "note": "单独任一条件在好年份(2025-2026)下仍然有效，不能单独作为排除条件",
      "stats_bad_years": {"combo": "下跌趋势高波×极高", "trades": 39, "win_rate": 0.231, "total_pnl": -159581},
      "stats_good_years": {"combo": "下跌趋势高波×极高", "trades": 3, "win_rate": 0.667, "total_pnl": 37610},
      "conclusion": "此组合为时变信号，好年份有效，差年份失效。根本原因是市场处于下跌中期vs下跌末期，入场时无法通过技术指标区分。"
    }
  ],

  "positive_signals": [
    {
      "name": "最优组合：下跌高波+极低波动率",
      "conditions": {"market_regime": "下跌趋势高波", "volatility_level": "极低"},
      "stats": {"trades": 20, "win_rate": 0.55, "avg_pnl": 4360},
      "note": "下跌趋势但波动率已收窄，暗示下跌动能衰竭，反弹质量高"
    },
    {
      "name": "RSI轻度超卖区（非极端）",
      "conditions": {"rsi_quantile_range": [0.05, 0.10]},
      "stats": {"trades": 22, "win_rate": 0.545, "avg_pnl": 5475},
      "note": "刚脱离极端超卖区，RSI分位数在0.05-0.10之间，反弹概率最高"
    },
    {
      "name": "中性偏弱RSI + 低中波动率",
      "conditions": {"rsi_zone": "中性偏弱", "volatility_level": ["极低", "低", "中等"]},
      "stats_non_death_zone": {"trades": "37(非死亡区)", "win_rate": 0.486, "avg_pnl": 1634},
      "note": "RSI未过热、未深度超卖，波动率适中，是最稳定的入场区间"
    },
    {
      "name": "极度超卖+中高波动",
      "conditions": {"rsi_zone": "极度超卖", "volatility_level": ["中等", "高", "极低"]},
      "stats": {"win_rate": 0.571, "avg_pnl_range": "2691~10135"},
      "note": "极度超卖叠加有波动的市场，反弹幅度大。避免极度超卖+极高波动组合（该组合在死亡区环境中胜率极低）"
    },
    {
      "name": "趋势强度适中",
      "conditions": {"trend_strength_range": [1.5, 4.0]},
      "stats_non_death_zone": {"win_rate": "50.9%(1.5-2.5) / 44.6%(2.5-4.0)"},
      "note": "趋势强度过低(<1.0)或过高(>4.0)均不利。过低=无趋势，过高=追高入场"
    },
    {
      "name": "低波动率分位",
      "conditions": {"volatility_quantile_max": 0.30},
      "stats_non_death_zone": {"trades": 47, "win_rate": 0.511, "avg_pnl": 2449},
      "note": "波动率分位<0.30时，非死亡区内胜率最高。注意：不是越低越好，极低波动率也不如中低波动"
    }
  ],

  "scoring_model": {
    "description": "在通过hard_exclusions筛选后，用加分模型评估交易质量",
    "rules": [
      {"condition": "市场状态 = 下跌趋势高波 AND 波动率水平 = 极低", "score": 3, "reason": "最优组合，55%胜率+4360均盈亏"},
      {"condition": "RSI分位 ∈ [0.05, 0.10)", "score": 3, "reason": "最优RSI区间，54.5%胜率+5475均盈亏"},
      {"condition": "波动率分位 < 0.30", "score": 2, "reason": "非死亡区内胜率51.1%"},
      {"condition": "趋势强度 ∈ [1.5, 4.0)", "score": 2, "reason": "适中趋势强度，50.9%/44.6%胜率"},
      {"condition": "RSI区域 = 中性偏弱", "score": 2, "reason": "非死亡区内最稳定RSI区间，48.6%胜率"},
      {"condition": "T+1调整 = 否（非T+1延期单）", "score": 2, "reason": "非T+1胜率45.2% vs T+1胜率36.5%"},
      {"condition": "波动率水平 ∈ [极低, 低, 中等]", "score": 1, "reason": "低中波动率优于高极高"},
      {"condition": "RSI分位 ≥ 0.60（RSI回升阶段）", "score": 1, "reason": "非死亡区内该区间胜率52.6%"}
    ],
    "thresholds": {
      "high_confidence": {"min_score": 5, "description": "舒适区，正常仓位"},
      "medium_confidence": {"min_score": 3, "description": "半舒适区，半仓或减仓"},
      "low_confidence": {"min_score": 0, "description": "观望或跳过"}
    }
  },

  "key_insights": {
    "root_cause_of_2023_2024_failure": "2023年51%的交易、2024年20%的交易处于死亡区(下跌趋势低波)；加上非死亡区内'下跌趋势高波×极高波动率'组合在差年份胜率仅23.1%，两者叠加导致整体亏损",
    "root_cause_of_2026_success": "2026年市场完全没有死亡区环境（0笔下跌趋势低波），全部为'下跌趋势高波'或'震荡高波'，这类环境下策略的入场点质量更高",
    "unstable_signal_warning": "下跌趋势高波×极高波动率 是时变信号，差年份胜率23%，好年份胜率67%，根本区别在于市场是否处于下跌末期，入场时无法通过单一技术指标判断",
    "t1_drag": "T+1调整单整体拖累胜率（非死亡区：45.2% vs 36.5%），但在好年份T+1单仍有66.7%胜率，不能作为硬性排除条件",
    "market_regime_primacy": "市场状态(market_regime)是最重要的一级指标，其余所有指标均在市场状态分层后才有意义"
  }
}