0.94

2026-07-08 08:59:05 +08:00
parent 3436401af6
commit 76f554af4f
8 changed files with 254 additions and 0 deletions
@@ -0,0 +1,3 @@
+@echo off
+cd /d D:\cl\MT5_AlphaGPT
+"C:\Program Files\Python313\python.exe" train_single.py JP225.cash --offline > jp225_train.log 2>&1
@@ -0,0 +1,3 @@
+@echo off
+cd /d D:\cl\MT5_AlphaGPT
+"C:\Program Files\Python313\python.exe" train_single.py US2000.cash --offline > us2000_train.log 2>&1
@@ -0,0 +1,3 @@
+@echo off
+cd /d D:\cl\MT5_AlphaGPT
+"C:\Program Files\Python313\python.exe" train_single.py US30.cash --offline > us30_train.log 2>&1
@@ -0,0 +1,15 @@
+{
+  "vocab_version": "v9217a2c0d91a",
+  "symbol": "JP225.cash",
+  "formula": [
+    44,
+    22,
+    66,
+    89,
+    118,
+    45,
+    66,
+    71
+  ],
+  "best_score": 1.1126550436019897
+}
@@ -0,0 +1,18 @@
+{
+  "vocab_version": "v9217a2c0d91a",
+  "symbol": "US2000.cash",
+  "mode": "single",
+  "formula": [
+    24,
+    114,
+    74,
+    91,
+    22,
+    114,
+    67,
+    123
+  ],
+  "formula_decoded": "OBV_SLOPE -> TS_SUM_20 -> DECAY -> WMA -> BOLL_WIDTH -> TS_SUM_20 -> MUL -> CLIP",
+  "best_score": 1.2308598756790161,
+  "train_steps": 5000
+}
@@ -0,0 +1,15 @@
+{
+  "vocab_version": "v9217a2c0d91a",
+  "symbol": "US30.cash",
+  "formula": [
+    12,
+    100,
+    50,
+    86,
+    120,
+    13,
+    86,
+    98
+  ],
+  "best_score": 1.1718814373016357
+}
@@ -0,0 +1,101 @@
+{
+  "name": "us2000_v1",
+  "version": "2026-07-08",
+  "vocab_version": "v9217a2c0d91a",
+  "status": "verified",
+  "symbol": "US2000.cash (Russell 2000)",
+  "mode": "single",
+  "formula_tokens": [
+    24,
+    114,
+    74,
+    91,
+    22,
+    114,
+    67,
+    123
+  ],
+  "formula_readable": "OBV_SLOPE -> TS_SUM_20 -> DECAY -> WMA -> BOLL_WIDTH -> TS_SUM_20 -> MUL -> CLIP",
+  "formula_operators": [
+    "OBV_SLOPE",
+    "TS_SUM_20",
+    "DECAY",
+    "WMA",
+    "BOLL_WIDTH",
+    "TS_SUM_20",
+    "MUL",
+    "CLIP"
+  ],
+  "train_best_score": 1.2308598756790161,
+  "train_step": 5000,
+  "train_restarts": 25,
+  "train_duration": "8.87 hours",
+  "backtest": {
+    "annual_return": "+21.2%",
+    "sharpe": 1.13,
+    "ic": "+0.015",
+    "win_rate": "52.5%",
+    "turnover": "241 trades/year",
+    "position_bias": "50% long / 50% short (perfectly balanced)",
+    "data": "8.0 years, 49,961 H1 bars",
+    "note": "4/4 WF全过，OOS第二高(+1.98)。唯一风险：前两年亏损(Year1 Sharpe-1.38)",
+    "walk_forward": {
+      "fold1": {
+        "oos": "+0.80",
+        "sharpe": 1.97
+      },
+      "fold2": {
+        "oos": "+0.64",
+        "sharpe": 2.09
+      },
+      "fold3": {
+        "oos": "+0.49",
+        "sharpe": 1.9
+      },
+      "fold4": {
+        "oos": "+0.06",
+        "sharpe": 0.19
+      },
+      "total_oos": "+1.98",
+      "verdict": "PASS — ALL 4 folds profitable (4/4)"
+    },
+    "yearly": {
+      "year1": {
+        "pnl": "-0.18",
+        "sharpe": -1.38
+      },
+      "year2": {
+        "pnl": "-0.01",
+        "sharpe": -0.09
+      },
+      "year3": {
+        "pnl": "+0.79",
+        "sharpe": 2.72
+      },
+      "year4": {
+        "pnl": "+0.09",
+        "sharpe": 0.51
+      },
+      "year5": {
+        "pnl": "+0.47",
+        "sharpe": 2.45
+      },
+      "year6": {
+        "pnl": "+0.16",
+        "sharpe": 1.04
+      },
+      "year7": {
+        "pnl": "+0.29",
+        "sharpe": 1.34
+      },
+      "year8": {
+        "pnl": "+0.08",
+        "sharpe": 0.49
+      }
+    }
+  },
+  "logic": {
+    "summary": "OBV斜率+布林带宽+衰减动量",
+    "detail": "OBV_SLOPE量价斜率经TS_SUM_20累积，DECAY衰减平滑后WMA加权，与BOLL_WIDTH波动通道经TS_SUM_20平滑后MUL相乘，CLIP截断"
+  }
+}
@@ -0,0 +1,96 @@
+{
+  "name": "us30_v1",
+  "version": "2026-07-07",
+  "vocab_version": "v9217a2c0d91a",
+  "status": "verified",
+  "symbol": "US30.cash (Dow Jones)",
+  "mode": "single",
+  "formula_tokens": [
+    12,
+    100,
+    50,
+    86,
+    120,
+    13,
+    86,
+    98
+  ],
+  "formula_readable": "PRESSURE -> TS_ARG_MAX_5 -> TRIX_SIGNAL -> TS_CORR_10 -> TS_ZSCORE_10 -> AC1 -> TS_CORR_10 -> TS_MAX_20",
+  "formula_operators": [
+    "PRESSURE",
+    "TS_ARG_MAX_5",
+    "TRIX_SIGNAL",
+    "TS_CORR_10",
+    "TS_ZSCORE_10",
+    "AC1",
+    "TS_CORR_10",
+    "TS_MAX_20"
+  ],
+  "train_best_score": 1.1718814373016357,
+  "train_step": 920,
+  "train_restarts": 9,
+  "backtest": {
+    "annual_return": "+16.8%",
+    "sharpe": 1.56,
+    "ic": "+0.017",
+    "win_rate": "53.0%",
+    "turnover": "153 trades/year",
+    "position_bias": "57% long / 39% short",
+    "data": "6.9 years, 42,973 H1 bars",
+    "note": "三指数中最稳健(7年全盈利)，但收益最低。换手三指数最低(153/yr)",
+    "walk_forward": {
+      "fold1": {
+        "oos": "+0.16",
+        "sharpe": 1.26
+      },
+      "fold2": {
+        "oos": "+0.35",
+        "sharpe": 2.33
+      },
+      "fold3": {
+        "oos": "+0.08",
+        "sharpe": 0.87
+      },
+      "fold4": {
+        "oos": "+0.23",
+        "sharpe": 1.61
+      },
+      "total_oos": "+0.82",
+      "verdict": "PASS — ALL 4 folds profitable (4/4)"
+    },
+    "yearly": {
+      "year1": {
+        "pnl": "+0.27",
+        "sharpe": 1.78
+      },
+      "year2": {
+        "pnl": "+0.15",
+        "sharpe": 1.18
+      },
+      "year3": {
+        "pnl": "+0.14",
+        "sharpe": 1.46
+      },
+      "year4": {
+        "pnl": "+0.25",
+        "sharpe": 2.38
+      },
+      "year5": {
+        "pnl": "+0.06",
+        "sharpe": 0.92
+      },
+      "year6": {
+        "pnl": "+0.09",
+        "sharpe": 0.91
+      },
+      "year7": {
+        "pnl": "+0.19",
+        "sharpe": 2.65
+      }
+    }
+  },
+  "logic": {
+    "summary": "买卖压力+三重指数均线+TRIX信号",
+    "detail": "PRESSURE算买卖压力，TS_ARG_MAX_5找极值点，TRIX_SIGNAL捕捉三重指数均线交叉，经TS_CORR_10+TS_ZSCORE_10标准化后，AC1自相关降噪，再次TS_CORR_10确认方向，TS_MAX_20最终平滑"
+  }
+}