riba2534
0569e2abbc
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>
76 lines
2.4 KiB
Python
76 lines
2.4 KiB
Python
#!/usr/bin/env python3
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"""
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测试脚本：验证Hurst分析增强功能
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- 15个时间粒度的多尺度分析
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- Hurst vs log(Δt) 标度关系图
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"""
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import sys
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from pathlib import Path
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# 添加项目路径
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sys.path.insert(0, str(Path(__file__).parent.parent))
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from src.hurst_analysis import multi_timeframe_hurst, plot_multi_timeframe, plot_hurst_vs_scale
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def test_15_scales():
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"""测试15个时间尺度的Hurst分析"""
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print("=" * 70)
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print("测试15个时间尺度Hurst分析")
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print("=" * 70)
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# 定义全部15个粒度
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ALL_INTERVALS = ['1m', '3m', '5m', '15m', '30m', '1h', '2h', '4h', '6h', '8h', '12h', '1d', '3d', '1w', '1mo']
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print(f"\n将测试以下 {len(ALL_INTERVALS)} 个时间粒度：")
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print(f" {', '.join(ALL_INTERVALS)}")
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# 执行多时间框架分析
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print("\n开始计算Hurst指数...")
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mt_results = multi_timeframe_hurst(ALL_INTERVALS)
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# 输出结果统计
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print("\n" + "=" * 70)
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print(f"分析完成：成功分析 {len(mt_results)}/{len(ALL_INTERVALS)} 个粒度")
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print("=" * 70)
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if mt_results:
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print("\n各粒度Hurst指数汇总：")
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print("-" * 70)
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for interval, data in mt_results.items():
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print(f" {interval:5s} | R/S: {data['R/S Hurst']:.4f} | DFA: {data['DFA Hurst']:.4f} | "
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f"平均: {data['平均Hurst']:.4f} | 数据量: {data['数据量']:>7}")
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# 生成可视化
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output_dir = Path(__file__).parent.parent / "output" / "hurst_test"
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output_dir.mkdir(parents=True, exist_ok=True)
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print("\n" + "=" * 70)
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print("生成可视化图表...")
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print("=" * 70)
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# 1. 多时间框架对比图
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plot_multi_timeframe(mt_results, output_dir, "test_15scales_comparison.png")
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# 2. Hurst vs 时间尺度标度关系图
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plot_hurst_vs_scale(mt_results, output_dir, "test_hurst_vs_scale.png")
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print(f"\n图表已保存至: {output_dir.resolve()}")
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print(" - test_15scales_comparison.png (15尺度对比柱状图)")
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print(" - test_hurst_vs_scale.png (标度关系图)")
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else:
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print("\n⚠ 警告：没有成功分析任何粒度")
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print("\n" + "=" * 70)
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print("测试完成")
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print("=" * 70)
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if __name__ == "__main__":
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try:
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test_15_scales()
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except Exception as e:
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print(f"\n❌ 测试失败: {e}")
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import traceback
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traceback.print_exc()
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sys.exit(1)
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