245 lines
9.3 KiB
Python
245 lines
9.3 KiB
Python
#!/usr/bin/env python3
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"""
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bootstrap_eth_xrp_sol_strategies.py
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基于 v5.3 Optuna 结果 + v53.json 的 symbol_gates，为策略工厂批量创建
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ETH/XRP/SOL 的 54 条单币种策略配置。
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约定：
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- 仍沿用 BTC 工厂当前的 CVD 组合与 TP 档位：
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* CVD 窗口: (5m,30m), (5m,1h), (15m,1h), (15m,4h), (30m,1h), (30m,4h)
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* TP 档位: 保守 / 平衡 / 激进（sl=2ATR，TP=0.75/1.0/1.5R 与 1.5/2.0/2.5R）
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- 每个 symbol 的门控阈值复刻 v53.json 的 symbol_gates：
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* ETHUSDT: min_vol=0.003, whale_usd=50000, obi=0.35, spd=0.005
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* XRPUSDT: min_vol=0.0025, whale_usd=30000, obi=0.40, spd=0.006
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* SOLUSDT: min_vol=0.004, whale_usd=20000, obi=0.45, spd=0.008
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- 五门开关与 BTC 工厂当前配置保持一致：
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* 波动率门 / CVD 门 / 巨鲸门 / OBI 门：启用
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* 期现门：关闭（仅写入阈值，保留以后启用的空间）
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- 权重与开仓阈值取自 optuna_results_v3_cn.xlsx 中各 symbol 的 v53/v53_fast Top1：
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* ETHUSDT (v53): dir=51, env=18, aux=28, mom=3, threshold=75
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* XRPUSDT (v53): dir=58, env=8, aux=32, mom=2, threshold=80
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* SOLUSDT (v53_fast): dir=38, env=42, aux=8, mom=12, threshold=65
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注意：
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- 如果某个 display_name 已存在于 strategies 表，将跳过，不会重复插入。
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- 连接参数走 backend.db.get_sync_conn()，运行脚本时请设置：
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PG_HOST=127.0.0.1 PG_PORT=9470 PG_DB=arb_engine PG_USER=arb PG_PASS=...
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或在服务器上直接使用 Cloud SQL 内网地址。
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"""
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from __future__ import annotations
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import os
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import sys
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from dataclasses import dataclass
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# 确保可以从 backend 导入 db.get_sync_conn
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sys.path.insert(0, os.path.join(os.path.dirname(__file__), "..", "backend"))
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from db import get_sync_conn # type: ignore
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@dataclass
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class SymbolProfile:
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symbol: str
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weight_direction: int
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weight_env: int
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weight_aux: int
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weight_momentum: int
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entry_score: int
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min_vol: float
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whale_usd_threshold: float
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whale_flow_pct: float
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obi_threshold: float
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spot_perp_threshold: float
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# 基于 optuna_results_v3_cn.xlsx Top1 Summary + v53.json symbol_gates
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SYMBOL_PROFILES: list[SymbolProfile] = [
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SymbolProfile(
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symbol="ETHUSDT",
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weight_direction=51,
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weight_env=18,
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weight_aux=28,
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weight_momentum=3,
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entry_score=75,
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min_vol=0.003,
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whale_usd_threshold=50_000,
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whale_flow_pct=0.5, # ALT 分支主要用 whale_usd_threshold，此处保持默认
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obi_threshold=0.35,
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spot_perp_threshold=0.005,
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),
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SymbolProfile(
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symbol="XRPUSDT",
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weight_direction=58,
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weight_env=8,
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weight_aux=32,
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weight_momentum=2,
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entry_score=80,
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min_vol=0.0025,
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whale_usd_threshold=30_000,
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whale_flow_pct=0.5,
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obi_threshold=0.40,
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spot_perp_threshold=0.006,
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),
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SymbolProfile(
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symbol="SOLUSDT",
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weight_direction=38,
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weight_env=42,
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weight_aux=8,
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weight_momentum=12,
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entry_score=65,
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min_vol=0.004,
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whale_usd_threshold=20_000,
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whale_flow_pct=0.5,
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obi_threshold=0.45,
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spot_perp_threshold=0.008,
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),
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]
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# 与 BTC 工厂一致的 CVD 组合
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CVD_COMBOS: list[tuple[str, str]] = [
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("5m", "30m"),
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("5m", "1h"),
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("15m", "1h"),
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("15m", "4h"),
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("30m", "1h"),
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("30m", "4h"),
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]
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# TP 档位：保守 / 平衡 / 激进（统一 sl_multiplier=2.0）
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TP_PROFILES: dict[str, dict[str, float]] = {
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"保守": {"sl_atr_multiplier": 2.0, "tp1_ratio": 0.75, "tp2_ratio": 1.5},
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"平衡": {"sl_atr_multiplier": 2.0, "tp1_ratio": 1.0, "tp2_ratio": 2.0},
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"激进": {"sl_atr_multiplier": 2.0, "tp1_ratio": 1.5, "tp2_ratio": 2.5},
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}
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def build_display_name(symbol: str, fast_win: str, slow_win: str, tp_label: str) -> str:
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"""
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生成与 BTC 工厂一致的 display_name，例如：
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BTC_CVD5x30m_TP保守 → ETH_CVD5x30m_TP保守
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"""
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base = symbol.replace("USDT", "")
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fast_label = fast_win.replace("m", "") # "5m" → "5"
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return f"{base}_CVD{fast_label}x{slow_win}_TP{tp_label}"
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def main() -> None:
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created = 0
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skipped = 0
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with get_sync_conn() as conn:
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with conn.cursor() as cur:
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for profile in SYMBOL_PROFILES:
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sym = profile.symbol
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for fast_win, slow_win in CVD_COMBOS:
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for tp_label, tp_cfg in TP_PROFILES.items():
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display_name = build_display_name(sym, fast_win, slow_win, tp_label)
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# 避免重复插入：按 display_name 检查
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cur.execute(
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"SELECT 1 FROM strategies WHERE display_name=%s",
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(display_name,),
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)
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if cur.fetchone():
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skipped += 1
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continue
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cur.execute(
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"""
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INSERT INTO strategies (
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display_name,
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symbol,
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direction,
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cvd_fast_window,
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cvd_slow_window,
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weight_direction,
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weight_env,
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weight_aux,
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weight_momentum,
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entry_score,
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gate_vol_enabled,
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vol_atr_pct_min,
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gate_cvd_enabled,
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gate_whale_enabled,
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whale_usd_threshold,
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whale_flow_pct,
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gate_obi_enabled,
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obi_threshold,
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gate_spot_perp_enabled,
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spot_perp_threshold,
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sl_atr_multiplier,
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tp1_ratio,
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tp2_ratio,
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timeout_minutes,
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flip_threshold
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)
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VALUES (
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%s, -- display_name
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%s, -- symbol
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%s, -- direction
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%s, -- cvd_fast_window
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%s, -- cvd_slow_window
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%s, -- weight_direction
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%s, -- weight_env
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%s, -- weight_aux
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%s, -- weight_momentum
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%s, -- entry_score
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%s, -- gate_vol_enabled
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%s, -- vol_atr_pct_min
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%s, -- gate_cvd_enabled
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%s, -- gate_whale_enabled
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%s, -- whale_usd_threshold
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%s, -- whale_flow_pct
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%s, -- gate_obi_enabled
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%s, -- obi_threshold
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%s, -- gate_spot_perp_enabled
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%s, -- spot_perp_threshold
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%s, -- sl_atr_multiplier
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%s, -- tp1_ratio
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%s, -- tp2_ratio
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%s, -- timeout_minutes
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%s -- flip_threshold
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)
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""",
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(
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display_name,
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sym,
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"both", # 方向：多空双向
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fast_win,
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slow_win,
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profile.weight_direction,
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profile.weight_env,
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profile.weight_aux,
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profile.weight_momentum,
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profile.entry_score,
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True, # gate_vol_enabled
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profile.min_vol,
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True, # gate_cvd_enabled
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True, # gate_whale_enabled
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profile.whale_usd_threshold,
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profile.whale_flow_pct,
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True, # gate_obi_enabled
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profile.obi_threshold,
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False, # gate_spot_perp_enabled（与当前 BTC 工厂一致，先关闭）
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profile.spot_perp_threshold,
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tp_cfg["sl_atr_multiplier"],
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tp_cfg["tp1_ratio"],
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tp_cfg["tp2_ratio"],
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240, # timeout_minutes，沿用 BTC 工厂
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80, # flip_threshold，沿用 v5.4 设计
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),
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)
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created += 1
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conn.commit()
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print(f"[bootstrap] created={created}, skipped={skipped}")
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if __name__ == "__main__":
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main()
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