Rank32c BTCUSDT 实盘看板

systemd 定时任务

原理概述

每月回顾过去 60 个自然日 的 BTCUSDT 15 分钟 K 线，按 (weekday, hour UTC) 分组统计未来 16 根 bar 的 long 收益率。 选取均值最低（最弱）的 cell，在当月该 weekday/hour 对应时刻 做空 BTCUSDT，持仓 4 小时（16 根 15m bar），到期时间止损出场。

策略仅做空、不选币、无前瞻 — universe 固定 BTCUSDT，cell 选择严格使用历史数据。

核心参数

Kill Switch

放行决策: launch_tiny_live — All release blockers cleared; next action is tiny-live falsification.

暂无对照数据 — 首笔实盘交易完成后自动生成。

from __future__ import annotations

import io
import zipfile
from dataclasses import dataclass
from pathlib import Path

import pandas as pd


STRATEGY_ID = "rank32c_btc_utc_weak_cell_v1"
SYMBOL = "BTCUSDT"
ONBOARD_UTC = "2019-09-25T08:00:00Z"
BAR_MINUTES = 15
TRAIN_DAYS = 60
HOLD_BARS = 16
BOTTOM_K = 1
ROUND_TRIP_COST_BPS = 8.0
EXECUTION_REALISTIC_COST_BPS = 12.0
EXECUTION_REALISTIC_ENTRY_DELAY_BARS = 1
VETO_LOOKBACK_DAYS = 180
VETO_SIGMA = 2.0
GATE_EDGE_MULT = 1.0
TINY_LIVE_NOTIONAL_USDC = 100.0
MAX_SINGLE_TRADE_LOSS_PCT = 1.2


@dataclass(frozen=True)
class StrategySpec:
    strategy_id: str = STRATEGY_ID
    symbol: str = SYMBOL
    train_days: int = TRAIN_DAYS
    hold_bars: int = HOLD_BARS
    bottom_k: int = BOTTOM_K
    round_trip_cost_bps: float = ROUND_TRIP_COST_BPS
    use_veto: bool = True
    use_gate: bool = True
    entry_delay_bars: int = 0

# Completion Audit: first_money_btc_utc_weak_cell_v1

## Objective

Deliver a binary final pre-live release gate for `first_money_btc_utc_weak_cell_v1`: either `launch_tiny_live` or `reject_before_live`, with no further tuning, research expansion, or discretionary promotion.

## Requirement Checklist

| Requirement | Evidence | Status |
| --- | --- | --- |
| Freeze one unique strategy spec | `src/momentum/strategies/first_money_btc_utc_weak_cell.py`; `config/strategies/first_money_btc_utc_weak_cell_v1_live.yaml` | pass |
| Use a unified signal path for replay and order planning | `run_replay()` and `build_order_plan()` in `src/momentum/strategies/first_money_btc_utc_weak_cell.py`; `scripts/build_first_money_pre_live_release_gate.py` imports both | pass |
| Produce current-month order plan | `reports/artifacts/first_money_pre_live_gate/order_plan.json` | pass_with_blocker |
| Reject if current plan cannot identify next trade and exit | `order_plan.json` has `selected_cell=null`, `next_entry_ts=null`, `exit_ts=null`; `release_decision.json` is `reject_before_live` | pass |
| Honesty audit against leakage and live-readiness rules | `reports/artifacts/first_money_pre_live_gate/release_gate_audit.md` | pass |
| Startup package exists | live config, guarded runner, state/status files, ledgers, runtime order-plan guard | pass |
| Live orders blocked when release decision rejects | `allow_live_orders: false`; runner exits with `reason=allow_live_orders_false` | pass |
| Machine-readable final decision | `reports/artifacts/first_money_pre_live_gate/release_decision.json` | pass |

## Hard Blockers

- `stale_bar_cache_for_current_month_selection`
- `cannot_predict_next_entry_exit`

Local BTCUSDT 15m cache ends at `2026-04-11T23:45:00Z`; the May 2026 as-of monthly selection requires the completed bar through `2026-04-30T23:45:00Z`.

## Verification

- `python3 -m py_compile src/momentum/strategies/first_money_btc_utc_weak_cell.py scripts/build_first_money_pre_live_release_gate.py scripts/run_first_money_btc_utc_weak_cell_tiny_live.py`
- `python3 scripts/build_first_money_pre_live_release_gate.py`
- `python3 -m json.tool reports/artifacts/first_money_pre_live_gate/release_decision.json`
- `python3 -m json.tool reports/artifacts/first_money_pre_live_gate/order_plan.json`
- `python3 scripts/run_first_money_btc_utc_weak_cell_tiny_live.py --config config/strategies/first_money_btc_utc_weak_cell_v1_live.yaml`

## Final Decision

`reject_before_live`