feat: Phase 1 - V5.3 dual-track signal engine (ALT 55/25/15/5, BTC gate-control)
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@ -1,6 +1,6 @@
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{
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"enabled": true,
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"enabled_strategies": ["v52_8signals"],
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"enabled_strategies": ["v51_baseline", "v52_8signals", "v53_alt", "v53_btc"],
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"initial_balance": 10000,
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"risk_per_trade": 0.02,
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"max_positions": 4,
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@ -10,3 +10,4 @@
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"heavy": 1.5
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}
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}
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@ -38,7 +38,7 @@ logger = logging.getLogger("signal-engine")
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SYMBOLS = ["BTCUSDT", "ETHUSDT", "XRPUSDT", "SOLUSDT"]
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LOOP_INTERVAL = 15 # 秒（从5改15，CPU降60%，信号质量无影响）
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STRATEGY_DIR = os.path.join(os.path.dirname(__file__), "strategies")
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DEFAULT_STRATEGY_FILES = ["v51_baseline.json", "v52_8signals.json"]
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DEFAULT_STRATEGY_FILES = ["v51_baseline.json", "v52_8signals.json", "v53_alt.json", "v53_btc.json"]
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def load_strategy_configs() -> list[dict]:
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@ -409,6 +409,29 @@ class SymbolState:
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return None
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def evaluate_signal(self, now_ms: int, strategy_cfg: Optional[dict] = None, snapshot: Optional[dict] = None) -> dict:
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strategy_cfg = strategy_cfg or {}
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strategy_name = strategy_cfg.get("name", "v51_baseline")
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track = strategy_cfg.get("track", "ALT")
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# ─── Track Router ───────────────────────────────────────────
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# V5.3策略按track路由到专属评分逻辑
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# v53_alt → ALT轨（ETH/XRP/SOL），55/25/15/5，删确认层
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# v53_btc → BTC轨，gate-control逻辑
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# v51/v52 → 原有代码路径（兼容，不修改）
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if track == "ALT" and strategy_name.startswith("v53"):
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# 检查symbol限制（v53_alt只跑ALT，不跑BTC）
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allowed_symbols = strategy_cfg.get("symbols", [])
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if allowed_symbols and self.symbol not in allowed_symbols:
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snap = snapshot or self.build_evaluation_snapshot(now_ms)
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return self._empty_result(strategy_name, snap)
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return self._evaluate_v53_alt(now_ms, strategy_cfg, snapshot)
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if track == "BTC" and strategy_name.startswith("v53"):
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# v53_btc只跑BTC
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if self.symbol != "BTCUSDT":
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snap = snapshot or self.build_evaluation_snapshot(now_ms)
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return self._empty_result(strategy_name, snap)
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return self._evaluate_v53_btc(now_ms, strategy_cfg, snapshot)
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# ─── 原有V5.1/V5.2评分逻辑（保持不变）────────────────────────
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strategy_cfg = strategy_cfg or {}
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strategy_name = strategy_cfg.get("name", "v51_baseline")
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strategy_threshold = int(strategy_cfg.get("threshold", 75))
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@ -651,6 +674,256 @@ class SymbolState:
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self.last_signal_dir[strategy_name] = direction
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return result
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def _empty_result(self, strategy_name: str, snap: dict) -> dict:
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"""返回空评分结果（symbol不匹配track时使用）"""
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return {
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"strategy": strategy_name,
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"cvd_fast": snap["cvd_fast"], "cvd_mid": snap["cvd_mid"],
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"cvd_day": snap["cvd_day"], "cvd_fast_slope": snap["cvd_fast_slope"],
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"atr": snap["atr"], "atr_value": snap.get("atr_value", snap["atr"]),
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"atr_pct": snap["atr_pct"], "vwap": snap["vwap"], "price": snap["price"],
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"p95": snap["p95"], "p99": snap["p99"],
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"signal": None, "direction": None, "score": 0, "tier": None, "factors": {},
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}
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def _evaluate_v53_alt(self, now_ms: int, strategy_cfg: dict, snapshot: Optional[dict] = None) -> dict:
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"""
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V5.3 ALT轨评分（ETH/XRP/SOL）
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权重：Direction 55 | Crowding 25 | Environment 15 | Auxiliary 5
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删除独立确认层，解决CVD双重计分问题
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"""
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strategy_name = strategy_cfg.get("name", "v53_alt")
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strategy_threshold = int(strategy_cfg.get("threshold", 75))
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flip_threshold = int(strategy_cfg.get("flip_threshold", 85))
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snap = snapshot or self.build_evaluation_snapshot(now_ms)
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cvd_fast = snap["cvd_fast"]
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cvd_mid = snap["cvd_mid"]
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price = snap["price"]
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atr = snap["atr"]
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atr_value = snap.get("atr_value", atr)
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atr_pct = snap["atr_pct"]
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cvd_fast_accel = snap["cvd_fast_accel"]
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environment_score_raw = snap["environment_score"]
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result = self._empty_result(strategy_name, snap)
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if self.warmup or price == 0 or atr == 0:
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return result
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last_signal_ts = self.last_signal_ts.get(strategy_name, 0)
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in_cooldown = now_ms - last_signal_ts < COOLDOWN_MS
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# ── Direction Layer（55分）──────────────────────────────────
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# cvd_resonance（30分）：fast+mid同向 = 有效方向
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if cvd_fast > 0 and cvd_mid > 0:
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direction = "LONG"
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cvd_resonance = 30
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no_direction = False
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elif cvd_fast < 0 and cvd_mid < 0:
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direction = "SHORT"
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cvd_resonance = 30
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no_direction = False
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else:
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direction = "LONG" if cvd_fast > 0 else "SHORT"
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cvd_resonance = 0
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no_direction = True # gate: 方向不一致 → 直接不开仓
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# p99_flow_alignment（0/10/20分）
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has_adverse_p99 = any(
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(direction == "LONG" and lt[2] == 1) or (direction == "SHORT" and lt[2] == 0)
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for lt in self.recent_large_trades
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)
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has_aligned_p99 = any(
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(direction == "LONG" and lt[2] == 0) or (direction == "SHORT" and lt[2] == 1)
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for lt in self.recent_large_trades
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)
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if has_aligned_p99:
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p99_flow = 20
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elif not has_adverse_p99:
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p99_flow = 10
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else:
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p99_flow = 0
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# cvd_accel_bonus（0/5分）
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accel_bonus = 5 if (
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(direction == "LONG" and cvd_fast_accel > 0) or
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(direction == "SHORT" and cvd_fast_accel < 0)
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) else 0
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direction_score = min(cvd_resonance + p99_flow + accel_bonus, 55)
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# ── Crowding Layer（25分）──────────────────────────────────
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long_short_ratio = to_float(self.market_indicators.get("long_short_ratio"))
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if long_short_ratio is None:
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ls_score = 7 # 缺失给中间分
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elif (direction == "SHORT" and long_short_ratio > 2.0) or (direction == "LONG" and long_short_ratio < 0.5):
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ls_score = 15
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elif (direction == "SHORT" and long_short_ratio > 1.5) or (direction == "LONG" and long_short_ratio < 0.7):
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ls_score = 10
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elif (direction == "SHORT" and long_short_ratio > 1.0) or (direction == "LONG" and long_short_ratio < 1.0):
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ls_score = 7
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else:
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ls_score = 0
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top_trader_position = to_float(self.market_indicators.get("top_trader_position"))
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if top_trader_position is None:
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top_trader_score = 5
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else:
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if direction == "LONG":
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top_trader_score = 10 if top_trader_position >= 0.55 else (0 if top_trader_position <= 0.45 else 5)
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else:
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top_trader_score = 10 if top_trader_position <= 0.45 else (0 if top_trader_position >= 0.55 else 5)
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crowding_score = min(ls_score + top_trader_score, 25)
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# ── Environment Layer（15分）────────────────────────────────
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environment_score = round(environment_score_raw / 15 * 15) # 已是0~15
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# ── Auxiliary Layer（5分）──────────────────────────────────
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coinbase_premium = to_float(self.market_indicators.get("coinbase_premium"))
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if coinbase_premium is None:
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aux_score = 2
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elif (direction == "LONG" and coinbase_premium > 0.0005) or (direction == "SHORT" and coinbase_premium < -0.0005):
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aux_score = 5
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elif abs(coinbase_premium) <= 0.0005:
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aux_score = 2
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else:
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aux_score = 0
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total_score = min(direction_score + crowding_score + environment_score + aux_score, 100)
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total_score = max(0, round(total_score, 1))
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result.update({
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"score": total_score,
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"direction": direction if not no_direction else None,
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"atr_value": atr_value,
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"factors": {
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"track": "ALT",
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"direction": {
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"score": direction_score, "max": 55,
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"cvd_resonance": cvd_resonance, "p99_flow": p99_flow, "accel_bonus": accel_bonus,
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},
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"crowding": {
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"score": crowding_score, "max": 25,
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"lsr_contrarian": ls_score, "top_trader_position": top_trader_score,
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},
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"environment": {"score": environment_score, "max": 15},
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"auxiliary": {"score": aux_score, "max": 5, "coinbase_premium": coinbase_premium},
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},
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})
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if not no_direction and not in_cooldown:
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if total_score >= flip_threshold:
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result["signal"] = direction
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result["tier"] = "heavy"
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elif total_score >= strategy_threshold:
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result["signal"] = direction
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result["tier"] = "standard"
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if result["signal"]:
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self.last_signal_ts[strategy_name] = now_ms
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self.last_signal_dir[strategy_name] = direction
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return result
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def _evaluate_v53_btc(self, now_ms: int, strategy_cfg: dict, snapshot: Optional[dict] = None) -> dict:
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"""
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V5.3 BTC轨评分（gate-control逻辑）
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不用线性总分，用条件门控+否决条件决定是否开仓
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新特征（Phase 2采集后启用）：tiered_cvd_whale, obi_depth_10, spot_perp_divergence
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当前Phase1版本：用已有特征填充，为数据接入预留扩展点
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"""
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strategy_name = strategy_cfg.get("name", "v53_btc")
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btc_gate = strategy_cfg.get("btc_gate", {})
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min_vol = btc_gate.get("min_vol_threshold", 0.002)
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obi_veto = btc_gate.get("obi_veto_threshold", 0.30)
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spot_perp_veto = btc_gate.get("spot_perp_divergence_veto", 0.003)
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snap = snapshot or self.build_evaluation_snapshot(now_ms)
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cvd_fast = snap["cvd_fast"]
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cvd_mid = snap["cvd_mid"]
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price = snap["price"]
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atr = snap["atr"]
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atr_value = snap.get("atr_value", atr)
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atr_pct = snap["atr_pct"]
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result = self._empty_result(strategy_name, snap)
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if self.warmup or price == 0 or atr == 0:
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return result
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last_signal_ts = self.last_signal_ts.get(strategy_name, 0)
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in_cooldown = now_ms - last_signal_ts < COOLDOWN_MS
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block_reason = None
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# Gate 1: 波动率门控（atr_percent_1h = atr/price）
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atr_pct_price = atr / price if price > 0 else 0
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if atr_pct_price < min_vol:
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block_reason = f"low_vol_regime({atr_pct_price:.4f}<{min_vol})"
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# Gate 2: 方向门控（CVD共振，BTC需要更严格）
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if not block_reason:
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if cvd_fast > 0 and cvd_mid > 0:
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direction = "LONG"
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elif cvd_fast < 0 and cvd_mid < 0:
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direction = "SHORT"
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else:
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block_reason = "no_direction_consensus"
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direction = "LONG" if cvd_fast > 0 else "SHORT"
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else:
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direction = "LONG" if cvd_fast > 0 else "SHORT"
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# Gate 3: OBI否决（Phase2接入obi_depth_10后生效）
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obi_raw = to_float(self.market_indicators.get("obi_depth_10"))
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if not block_reason and obi_raw is not None:
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# obi_raw: 正值=买单占优，负值=卖单占优，[-1,1]
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if direction == "LONG" and obi_raw < -obi_veto:
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block_reason = f"obi_imbalance_veto(obi={obi_raw:.3f})"
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elif direction == "SHORT" and obi_raw > obi_veto:
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block_reason = f"obi_imbalance_veto(obi={obi_raw:.3f})"
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# Gate 4: 期现背离否决（Phase2接入spot_perp_divergence后生效）
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spot_perp_div = to_float(self.market_indicators.get("spot_perp_divergence"))
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if not block_reason and spot_perp_div is not None:
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# spot_perp_div: 绝对背离率，如0.005=0.5%
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if abs(spot_perp_div) > spot_perp_veto:
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# 背离方向与信号方向相反时否决
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if (direction == "LONG" and spot_perp_div < -spot_perp_veto) or \
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(direction == "SHORT" and spot_perp_div > spot_perp_veto):
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block_reason = f"spot_perp_divergence_veto({spot_perp_div:.4f})"
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# 所有门控通过后，用ALT评分作为BTC综合评分（暂用，待Phase2换专属特征）
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gate_passed = block_reason is None
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# 复用ALT评分作为参考分（不影响门控决策，仅供记录）
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alt_result = self._evaluate_v53_alt(now_ms, strategy_cfg, snap)
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total_score = alt_result["score"] if gate_passed else 0
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result.update({
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"score": total_score,
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"direction": direction if gate_passed else None,
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"atr_value": atr_value,
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"factors": {
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"track": "BTC",
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"gate_passed": gate_passed,
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"block_reason": block_reason,
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"atr_pct_price": round(atr_pct_price, 5),
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"obi_raw": obi_raw,
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"spot_perp_div": spot_perp_div,
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"alt_score_ref": alt_result["score"],
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},
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})
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strategy_threshold = int(strategy_cfg.get("threshold", 75))
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if gate_passed and not in_cooldown and total_score >= strategy_threshold:
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result["signal"] = direction
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result["tier"] = "standard"
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if result["signal"]:
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self.last_signal_ts[strategy_name] = now_ms
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self.last_signal_dir[strategy_name] = direction
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return result
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# ─── PG DB操作 ───────────────────────────────────────────────────
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32
backend/strategies/v53_alt.json
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32
backend/strategies/v53_alt.json
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{
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"name": "v53_alt",
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"version": "5.3",
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"track": "ALT",
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"description": "V5.3 ALT轨（ETH/XRP/SOL）: 55/25/15/5权重，删除确认层（解决CVD双重计分），独立BTC走gate-control",
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"threshold": 75,
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"flip_threshold": 85,
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"weights": {
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"direction": 55,
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"crowding": 25,
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"environment": 15,
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"auxiliary": 5
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},
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"direction_sub": {
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"cvd_resonance": 30,
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"p99_flow_alignment": 20,
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"cvd_accel_bonus": 5
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},
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"crowding_sub": {
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"lsr_contrarian": 15,
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"top_trader_position": 10
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},
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"accel_bonus": 5,
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"tp_sl": {
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"sl_multiplier": 2.0,
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"tp1_multiplier": 1.5,
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"tp2_multiplier": 3.0,
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"tp_maker": true
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},
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"symbols": ["ETHUSDT", "XRPUSDT", "SOLUSDT"],
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"signals": ["cvd", "p99", "accel", "ls_ratio", "top_trader", "oi", "coinbase_premium"]
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}
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29
backend/strategies/v53_btc.json
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29
backend/strategies/v53_btc.json
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{
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"name": "v53_btc",
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"version": "5.3",
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"track": "BTC",
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"description": "V5.3 BTC轨: gate-control逻辑（不用线性加分），核心特征=tiered_cvd_whale+obi_depth_10+spot_perp_divergence+atr_percent_1h",
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"threshold": 75,
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"flip_threshold": 85,
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"btc_gate": {
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"min_vol_threshold": 0.002,
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"obi_veto_threshold": 0.30,
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"whale_flow_threshold_pct": 0.5,
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"spot_perp_divergence_veto": 0.003
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},
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"weights": {
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"direction": 55,
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"crowding": 25,
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"environment": 15,
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"auxiliary": 5
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},
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"accel_bonus": 5,
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"tp_sl": {
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"sl_multiplier": 2.0,
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"tp1_multiplier": 1.5,
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"tp2_multiplier": 3.0,
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"tp_maker": true
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},
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"symbols": ["BTCUSDT"],
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"signals": ["cvd", "p99", "accel", "ls_ratio", "top_trader", "oi", "coinbase_premium"]
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}
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