2b0eb4449f
feat: 添加 K 线数据一键下载脚本
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- 新增 download_data.py，从 Binance API 自动下载全部 15 个粒度 K 线数据
- 支持断点续传、限频重试、Ctrl+C 安全中断
- 更新 README 数据获取说明和项目结构
- requirements.txt 添加 requests 依赖
Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com >
2026-02-04 01:20:55 +08:00
345ca44fa0
chore: 排除 data/ 目录，添加 Binance 数据下载说明
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data/ 目录含超大 CSV 文件（最大 634MB），超出 GitHub 100MB 限制。
改为在 README 中提供 Binance 官方下载链接，用户自行获取数据。
Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com >
2026-02-04 01:15:06 +08:00
7c538ec95c
docs: README.md 改为简体中文
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Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com >
2026-02-04 01:09:33 +08:00
d480712b40
fix: 全面修复代码质量和报告准确性问题
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代码修复 (16 个模块):
- GARCH 模型统一改用 t 分布 + 收敛检查 (returns/volatility/anomaly)
- KS 检验替换为 Lilliefors 检验 (returns)
- 修复数据泄漏: StratifiedKFold→TimeSeriesSplit, scaler 逐折 fit (anomaly)
- 前兆标签 shift(-1) 预测次日异常 (anomaly)
- PSD 归一化加入采样频率和单边谱×2 (fft)
- AR(1) 红噪声基线经验缩放 (fft)
- 盒计数法独立 x/y 归一化, MF-DFA q=0 (fractal)
- ADF 平稳性检验 + 移除双重 Bonferroni (causality)
- R/S Hurst 添加 R² 拟合优度 (hurst)
- Prophet 递推预测避免信息泄露 (time_series)
- IC 计算过滤零信号, 中性形态 hit_rate=NaN (indicators/patterns)
- 聚类阈值自适应化 (clustering)
- 日历效应前后半段稳健性检查 (calendar)
- 证据评分标准文本与代码对齐 (visualization)
- 核心管道 NaN/空值防护 (data_loader/preprocessing/main)
报告修复 (docs/REPORT.md, 15 处):
- 标度指数 H_scaling 与 Hurst 指数消歧
- GBM 6 个月概率锥数值重算
- CLT 限定、减半措辞弱化、情景概率逻辑修正
- GPD 形状参数解读修正、异常 AUC 证据降级
Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com >
2026-02-04 01:07:50 +08:00
79ff6dcccb
refactor: 开源化项目重构
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- 删除无用文件: PYEOF, PLAN.md, HURST_ENHANCEMENT_SUMMARY.md
- 移动 REPORT.md → docs/REPORT.md，更新 53 处图片路径
- 移动 test_hurst_15scales.py → tests/，修复路径引用
- 清理 output/ 中未被报告引用的 60 个文件
- 重写 README.md 为开源标准格式（Badge、结构树、模块表等）
- 添加 MIT LICENSE
- 更新 .gitignore 排除运行时生成文件
Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com >
2026-02-04 01:07:28 +08:00
24d14a0b44
feat: 添加8个多尺度分析模块并完善研究报告
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新增分析模块:
- microstructure: 市场微观结构分析 (Roll价差, VPIN, Kyle's Lambda)
- intraday_patterns: 日内模式分析 (U型曲线, 三时区对比)
- scaling_laws: 统计标度律 (15尺度波动率标度, R²=0.9996)
- multi_scale_vol: 多尺度已实现波动率 (HAR-RV模型)
- entropy_analysis: 信息熵分析
- extreme_value: 极端值与尾部风险 (GEV/GPD, VaR回测)
- cross_timeframe: 跨时间尺度关联分析
- momentum_reversion: 动量与均值回归检验
现有模块增强:
- hurst_analysis: 扩展至15个时间尺度，新增Hurst vs log(Δt)标度图
- fft_analysis: 扩展至15个粒度，支持瀑布图
- returns/acf/volatility/patterns/anomaly/fractal: 多尺度增强
研究报告更新:
- 新增第16章: 基于全量数据的深度规律挖掘 (15尺度综合)
- 完善第17章: 价格推演添加实际案例 (2020-2021牛市, 2022熊市等)
- 新增16.10节: 可监控的实证指标与预警信号
- 添加VPIN/波动率/Hurst等指标的实时监控阈值和案例
数据覆盖: 全部15个K线粒度 (1m~1mo), 440万条记录
关键发现: Hurst随尺度单调递增 (1m:0.53→1mo:0.72), 极端风险不对称
Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com >
2026-02-03 16:35:08 +08:00
704cc2267d
Fix Chinese font rendering in all chart outputs
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- Add src/font_config.py: centralized font detection that auto-selects
from Noto Sans SC > Hiragino Sans GB > STHeiti > Arial Unicode MS
- Replace hardcoded font lists in all 18 modules with unified config
- Add .gitignore for __pycache__, .DS_Store, venv, etc.
- Regenerate all 70 charts with correct Chinese rendering
Previously, 7 modules (fft, wavelet, acf, fractal, hurst, indicators,
patterns) had no Chinese font config at all, causing □□□ rendering.
The remaining 11 modules used a hardcoded fallback list that didn't
prioritize the best available system font.
Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com >
2026-02-03 11:21:01 +08:00
f4c4408708
Add comprehensive BTC/USDT price analysis framework with 17 modules
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Complete statistical analysis pipeline covering:
- FFT spectral analysis, wavelet CWT, ACF/PACF autocorrelation
- Returns distribution (fat tails, kurtosis=15.65), GARCH volatility modeling
- Hurst exponent (H=0.593), fractal dimension, power law corridor
- Volume-price causality (Granger), calendar effects, halving cycle analysis
- Technical indicator validation (0/21 pass FDR), candlestick pattern testing
- Market state clustering (K-Means/GMM), Markov chain transitions
- Time series forecasting (ARIMA/Prophet/LSTM benchmarks)
- Anomaly detection ensemble (IF+LOF+COPOD, AUC=0.9935)
Key finding: volatility is predictable (GARCH persistence=0.973),
but price direction is statistically indistinguishable from random walk.
Includes REPORT.md with 16-section analysis report and future projections,
70+ charts in output/, and all source modules in src/.
Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com >
2026-02-03 10:29:54 +08:00
3ab7ba6c7f
Initial commit
2026-02-03 02:27:32 +08:00
