Fix amp-stats perp PnL to exit at daily profit target.

Hit A/B via open-to-high/low; day PnL equals target when touched, otherwise settle at close. Co-authored-by: Cursor <cursoragent@cursor.com>
2026-07-28 14:41:29 +08:00
parent 2ce67da8e8
commit 90be23e845
5 changed files with 222 additions and 76 deletions
@@ -111,23 +111,26 @@ K 线粒度：**1H**（与整点对齐）；价源优先 OKX 指数（ETH-USD /

 ### ① 所需点数达标

-复用计算器「由比例推点数」：
+复用计算器「由比例推点数」（按**当日开盘**推 A/B；汇总展示用样本开盘中位）：

 | 指标 | 规则 |
 |------|------|
 | A 所需点数 | 永续方向对、净利=目标 |
-| A 达标 | 日 `涨跌 ≥ A点数` 的天数与占比 |
+| A 达标 | 日 `开→高 ≥ A点数` 的天数与占比 |
 | B 所需点数 | 期权方向对、**组合净利**=目标 |
-| B 达标 | 日 `涨跌 ≤ −B点数` 的天数与占比 |
+| B 达标 | 日 `开→低 ≥ B点数` 的天数与占比 |

-### ② 按日组合盈亏
+### ② 按日组合盈亏（目标出场）

-| 日向 | 组合净利 |
-|------|----------|
-| 上涨 `涨跌≥0` | `涨跌 − 当日权利金 − 永续开平手续费(开→收)` |
-| 下跌 `涨跌<0` | `\|涨跌\|×(期权币数−1) − 当日权利金` |
+日盈利目标（如 **15U**）用于出场：

-汇总：合计、日均、胜率、上涨日/下跌日盈亏小计、单日最大赚亏；日表 **永期盈亏** 列。  
+| 情形 | 日盈亏 |
+|------|--------|
+| 开→高触达 A，或 开→低触达 B | **= 目标盈利**（出场） |
+| 两边都触达 | 仍按目标盈利（OHLC 未知先后） |
+| 均未触达 | 收盘结算：上涨 `涨跌−权利金−手续费`；下跌 `\|涨跌\|×(期权币数−1)−权利金` |
+
+汇总：目标出场天数 / 收盘结算天数、合计、日均、胜率、上涨日/下跌日盈亏小计、单日最大赚亏；日表 **永期盈亏** 列。  
 改永期参数 / 周末筛选会**本地重算**（不重拉 K 线）。

 ---
@@ -162,3 +165,4 @@ K 线粒度：**1H**（与整点对齐）；价源优先 OKX 指数（ETH-USD /
 | 2026-07-23 | 长周期续拉 history K 线；收益列红绿着色 |
 | 2026-07-28 | 永期对冲对照：所需点数达标 + 按日组合盈亏 |
 | 2026-07-28 | 永期入场改按日开盘；买跨/永期对照模式二选一 |
+| 2026-07-28 | 永期日盈亏按目标盈利出场(开→高/低触达),未触达才收盘结算 |
@@ -275,15 +275,16 @@ def enrich_rows_pnl(
        item["take_profit_hit"] = hit
        item["profit"] = round(move - prem, 4) if prem is not None else None
        if hedge is not None:
-            item["perp_hedge_pnl"] = perp_hedge_day_pnl(
-                change=float(item.get("change") or 0),
-                open_px=float(item.get("open") or 0),
-                close_px=float(item.get("close") or 0),
-                option_leverage=float(hedge["option_leverage"]),
-                opt_coins=float(hedge["opt_coins"]),
-            )
+            day = perp_hedge_day_result(item, hedge)
+            item["perp_hedge_pnl"] = day["pnl"]
+            item["perp_hedge_exit"] = day["exit"]
+            item["perp_hedge_hit_a"] = day["hit_a"]
+            item["perp_hedge_hit_b"] = day["hit_b"]
        else:
            item["perp_hedge_pnl"] = None
+            item["perp_hedge_exit"] = None
+            item["perp_hedge_hit_a"] = False
+            item["perp_hedge_hit_b"] = False
        out.append(item)
    return out

@@ -336,7 +337,37 @@ def perp_hedge_day_premium(*, open_px: float, option_leverage: float, opt_coins:
    return coins * (o / lev)


-def perp_hedge_day_pnl(
+def perp_hedge_required_moves(
+    *,
+    open_px: float,
+    hedge: dict[str, float],
+) -> tuple[Optional[float], Optional[float], Optional[str]]:
+    """按当日开盘推 A/B 达目标盈利所需点数."""
+    from lib.hub.hub_perp_options_calc_lib import calc_perp_options_points
+
+    spot = float(open_px or 0)
+    if spot <= 0:
+        return None, None, "开盘价无效"
+    points_data, points_err = calc_perp_options_points(
+        base="ETH",
+        spot=spot,
+        capital_usdt=max(spot / hedge["perp_leverage"] * 2, 1000.0),
+        target_profit_u=hedge["target_profit_u"],
+        perp_leverage=hedge["perp_leverage"],
+        option_leverage=hedge["option_leverage"],
+        ratio_perp=hedge["ratio_perp"],
+        ratio_opt=hedge["ratio_opt"],
+        ct_mult=hedge["ct_mult"],
+    )
+    if not points_data:
+        return None, None, points_err
+    move_a = float((points_data.get("case_a") or {}).get("move_points") or 0) or None
+    mb = (points_data.get("case_b") or {}).get("move_points_portfolio")
+    move_b = float(mb) if mb is not None else None
+    return move_a, move_b, points_err
+
+
+def perp_hedge_day_pnl_eod(
    *,
    change: float,
    open_px: float,
@@ -344,7 +375,7 @@ def perp_hedge_day_pnl(
    option_leverage: float,
    opt_coins: float,
 ) -> float:
-    """单日组合净利(永续多1币 + 买期权);入场/权利金按当日开盘.
+    """未触达目标时按收盘结算的组合净利.

    上涨: change − 权利金 − 永续开平手续费
    下跌: |change|×(opt_coins−1) − 权利金
@@ -361,20 +392,114 @@ def perp_hedge_day_pnl(
        if open_px and close_px and open_px > 0 and close_px > 0:
            fee = estimate_roundtrip_fee_usdt(open_px, close_px, qty=1.0, contract_size=1.0)
        return round(chg - prem - fee, 4)
-    # 下跌: 永续亏 chg(负), 期权内在 |chg|*coins
    return round(abs(chg) * (coins - 1.0) - prem, 4)


+def perp_hedge_day_result(row: dict[str, Any], hedge: dict[str, float]) -> dict[str, Any]:
+    """单日永期结果:触达目标点数则按目标盈利出场,否则收盘结算.
+
+    A: 开→高 ≥ move_a → 出场净利 = 目标盈利
+    B: 开→低 ≥ move_b → 出场净利 = 目标盈利
+    两边都触达时仍按目标盈利(路径未知,任一边出场均约为目标).
+    """
+    open_px = float(row.get("open") or 0)
+    close_px = float(row.get("close") or 0)
+    change = float(row.get("change") or 0)
+    up_pts = float(row.get("up_points") or 0)
+    down_pts = float(row.get("down_points") or 0)
+    target = float(hedge["target_profit_u"])
+    move_a, move_b, _err = perp_hedge_required_moves(open_px=open_px, hedge=hedge)
+    hit_a = bool(move_a is not None and move_a > 0 and up_pts >= move_a)
+    hit_b = bool(move_b is not None and move_b > 0 and down_pts >= move_b)
+    if hit_a or hit_b:
+        if hit_a and hit_b:
+            exit_tag = "target_both"
+        elif hit_a:
+            exit_tag = "target_a"
+        else:
+            exit_tag = "target_b"
+        return {
+            "pnl": round(target, 4),
+            "exit": exit_tag,
+            "hit_a": hit_a,
+            "hit_b": hit_b,
+            "move_a": move_a,
+            "move_b": move_b,
+        }
+    return {
+        "pnl": perp_hedge_day_pnl_eod(
+            change=change,
+            open_px=open_px,
+            close_px=close_px,
+            option_leverage=float(hedge["option_leverage"]),
+            opt_coins=float(hedge["opt_coins"]),
+        ),
+        "exit": "eod",
+        "hit_a": False,
+        "hit_b": False,
+        "move_a": move_a,
+        "move_b": move_b,
+    }
+
+
+# 兼容旧名:默认按「目标出场」完整日结果取 pnl
+def perp_hedge_day_pnl(
+    *,
+    change: float,
+    open_px: float,
+    close_px: float,
+    option_leverage: float,
+    opt_coins: float,
+    up_points: Optional[float] = None,
+    down_points: Optional[float] = None,
+    target_profit_u: Optional[float] = None,
+    perp_leverage: float = 10.0,
+    ratio_perp: float = 1.0,
+    ratio_opt: float = 2.0,
+    ct_mult: float = 0.01,
+) -> float:
+    """单日盈亏.若给了目标与开→高/低,触达则按目标出场;否则收盘结算."""
+    if target_profit_u is None or up_points is None or down_points is None:
+        return perp_hedge_day_pnl_eod(
+            change=change,
+            open_px=open_px,
+            close_px=close_px,
+            option_leverage=option_leverage,
+            opt_coins=opt_coins,
+        )
+    hedge = {
+        "target_profit_u": float(target_profit_u),
+        "perp_leverage": float(perp_leverage),
+        "option_leverage": float(option_leverage),
+        "ratio_perp": float(ratio_perp),
+        "ratio_opt": float(ratio_opt),
+        "ct_mult": float(ct_mult),
+        "opt_coins": float(opt_coins),
+        "opt_sheets": float(opt_coins) / float(ct_mult),
+    }
+    return float(
+        perp_hedge_day_result(
+            {
+                "open": open_px,
+                "close": close_px,
+                "change": change,
+                "up_points": up_points,
+                "down_points": down_points,
+            },
+            hedge,
+        )["pnl"]
+    )
+
+
 def perp_hedge_stats(
    rows: list[dict[str, Any]],
    hedge: dict[str, float],
 ) -> dict[str, Any]:
    """永期对冲:所需点数达标 + 按日组合盈亏汇总.

-    日盈亏权利金按当日开盘;推所需点数用样本开盘中位数作入场参照.
+    达标看开→高/开→低是否触达当日入场推得的 A/B 点数;
+    触达则日盈亏=目标盈利,否则收盘结算.汇总展示点数用样本开盘中位.
    """
-    from lib.hub.hub_perp_options_calc_lib import calc_perp_options_points
-
    opens = [float(r.get("open") or 0) for r in (rows or []) if float(r.get("open") or 0) > 0]
    spot_ref = statistics.median(opens) if opens else None
    prem_ref = (
@@ -392,40 +517,24 @@ def perp_hedge_stats(
    move_b = None
    points_err = None
    if spot_ref is not None and spot_ref > 0:
-        points_data, points_err = calc_perp_options_points(
-            base="ETH",
-            spot=spot_ref,
-            capital_usdt=max(spot_ref / hedge["perp_leverage"] * 2, 1000.0),
-            target_profit_u=hedge["target_profit_u"],
-            perp_leverage=hedge["perp_leverage"],
-            option_leverage=hedge["option_leverage"],
-            ratio_perp=hedge["ratio_perp"],
-            ratio_opt=hedge["ratio_opt"],
-            ct_mult=hedge["ct_mult"],
-        )
-        if points_data:
-            move_a = float((points_data.get("case_a") or {}).get("move_points") or 0) or None
-            mb = (points_data.get("case_b") or {}).get("move_points_portfolio")
-            move_b = float(mb) if mb is not None else None
+        move_a, move_b, points_err = perp_hedge_required_moves(open_px=spot_ref, hedge=hedge)
    else:
        points_err = "样本无有效开盘价,无法推所需点数"

-    # 按日开盘重算盈亏(不沿用固定权利金)
    work: list[dict[str, Any]] = []
    for r in rows or []:
        item = dict(r)
-        item["perp_hedge_pnl"] = perp_hedge_day_pnl(
-            change=float(item.get("change") or 0),
-            open_px=float(item.get("open") or 0),
-            close_px=float(item.get("close") or 0),
-            option_leverage=float(hedge["option_leverage"]),
-            opt_coins=float(hedge["opt_coins"]),
-        )
+        day = perp_hedge_day_result(item, hedge)
+        item["perp_hedge_pnl"] = day["pnl"]
+        item["perp_hedge_exit"] = day["exit"]
+        item["perp_hedge_hit_a"] = day["hit_a"]
+        item["perp_hedge_hit_b"] = day["hit_b"]
        work.append(item)
    n = len(work)
    empty = {
        "enabled": True,
        "entry": "open",
+        "exit": "target_or_eod",
        "spot": None if spot_ref is None else round(spot_ref, 4),
        "target_profit_u": round(hedge["target_profit_u"], 4),
        "perp_leverage": round(hedge["perp_leverage"], 4),
@@ -445,6 +554,9 @@ def perp_hedge_stats(
        "hit_a_ratio": None,
        "hit_b_days": 0,
        "hit_b_ratio": None,
+        "target_exit_days": 0,
+        "target_exit_ratio": None,
+        "eod_days": 0,
        "pnl_total": None,
        "pnl_avg": None,
        "win_days": 0,
@@ -459,12 +571,10 @@ def perp_hedge_stats(
    if n <= 0:
        return empty

-    hit_a = 0
-    hit_b = 0
-    if move_a is not None and move_a > 0:
-        hit_a = sum(1 for r in work if float(r.get("change") or 0) >= move_a)
-    if move_b is not None and move_b > 0:
-        hit_b = sum(1 for r in work if float(r.get("change") or 0) <= -move_b)
+    hit_a = sum(1 for r in work if r.get("perp_hedge_hit_a"))
+    hit_b = sum(1 for r in work if r.get("perp_hedge_hit_b"))
+    target_exits = sum(1 for r in work if str(r.get("perp_hedge_exit") or "").startswith("target"))
+    eod_days = sum(1 for r in work if r.get("perp_hedge_exit") == "eod")

    pnls = [float(r["perp_hedge_pnl"]) for r in work if r.get("perp_hedge_pnl") is not None]
    win = sum(1 for p in pnls if p > 0)
@@ -476,9 +586,12 @@ def perp_hedge_stats(
    empty.update(
        {
            "hit_a_days": hit_a,
-            "hit_a_ratio": round(hit_a / n, 4) if move_a else None,
+            "hit_a_ratio": round(hit_a / n, 4),
            "hit_b_days": hit_b,
-            "hit_b_ratio": round(hit_b / n, 4) if move_b else None,
+            "hit_b_ratio": round(hit_b / n, 4),
+            "target_exit_days": target_exits,
+            "target_exit_ratio": round(target_exits / n, 4),
+            "eod_days": eod_days,
            "pnl_total": round(sum(pnls), 4) if pnls else None,
            "pnl_avg": round(statistics.fmean(pnls), 4) if pnls else None,
            "win_days": win,
@@ -1043,7 +1156,7 @@ def build_export_csv(payload: dict[str, Any]) -> str:
            [
                "A所需点数",
                ph.get("move_a"),
-                "A达标天",
+                "A达标天(开→高)",
                ph.get("hit_a_days"),
                "占比",
                ph.get("hit_a_ratio"),
@@ -1053,12 +1166,22 @@ def build_export_csv(payload: dict[str, Any]) -> str:
            [
                "B所需点数(组合)",
                ph.get("move_b"),
-                "B达标天",
+                "B达标天(开→低)",
                ph.get("hit_b_days"),
                "占比",
                ph.get("hit_b_ratio"),
            ]
        )
+        w.writerow(
+            [
+                "目标出场天",
+                ph.get("target_exit_days"),
+                "收盘结算天",
+                ph.get("eod_days"),
+                "目标盈利",
+                ph.get("target_profit_u"),
+            ]
+        )
        w.writerow(
            [
                "组合盈亏合计",
@@ -210,7 +210,7 @@
    if (!box) return;
    if (!ph) {
      box.innerHTML =
-        '<p class="amp-empty">填写「目标 / 杠杆」后计算；入场按日开盘；对照所需点数达标与组合盈亏（永续多1币+买期权）</p>';
+        '<p class="amp-empty">填写「目标 / 杠杆」后计算；入场按日开盘；触达目标点数按目标盈利出场，否则收盘结算</p>';
      return;
    }
    const err =
@@ -219,13 +219,14 @@
        : "";
    box.innerHTML =
      `<div class="amp-sum-grid">` +
-      `<div><span class="amp-sum-k">入场</span><span class="amp-sum-v">按日开盘 · 推点数中位 ${esc(ph.spot)}</span></div>` +
+      `<div><span class="amp-sum-k">入场 / 出场</span><span class="amp-sum-v">开盘 · 目标 ${esc(ph.target_profit_u)}U 或收盘</span></div>` +
      `<div><span class="amp-sum-k">比例 / 期权仓</span><span class="amp-sum-v">${esc(ph.ratio_label)} · ${esc(ph.opt_coins)} 币</span></div>` +
      `<div><span class="amp-sum-k">单币/总权利金(中位)</span><span class="amp-sum-v">${esc(ph.prem_per_coin)} / ${esc(ph.premium_total)}</span></div>` +
      `<div><span class="amp-sum-k">A所需点数(永续对)</span><span class="amp-sum-v">${esc(ph.move_a)}</span></div>` +
-      `<div><span class="amp-sum-k">A达标</span><span class="amp-sum-v">${esc(ph.hit_a_days)} 天 · ${esc(pct(ph.hit_a_ratio))}</span></div>` +
+      `<div><span class="amp-sum-k">A达标(开→高)</span><span class="amp-sum-v">${esc(ph.hit_a_days)} 天 · ${esc(pct(ph.hit_a_ratio))}</span></div>` +
      `<div><span class="amp-sum-k">B所需点数(组合)</span><span class="amp-sum-v">${esc(ph.move_b)}</span></div>` +
-      `<div><span class="amp-sum-k">B达标</span><span class="amp-sum-v">${esc(ph.hit_b_days)} 天 · ${esc(pct(ph.hit_b_ratio))}</span></div>` +
+      `<div><span class="amp-sum-k">B达标(开→低)</span><span class="amp-sum-v">${esc(ph.hit_b_days)} 天 · ${esc(pct(ph.hit_b_ratio))}</span></div>` +
+      `<div><span class="amp-sum-k">目标出场 / 收盘结算</span><span class="amp-sum-v">${esc(ph.target_exit_days)} / ${esc(ph.eod_days)} 天</span></div>` +
      `<div><span class="amp-sum-k">组合盈亏合计</span><span class="amp-sum-v ${pnlClass(ph.pnl_total)}">${esc(ph.pnl_total)}</span></div>` +
      `<div><span class="amp-sum-k">日均 / 胜率</span><span class="amp-sum-v ${pnlClass(ph.pnl_avg)}">${esc(ph.pnl_avg)} · ${esc(pct(ph.win_ratio))}</span></div>` +
      `<div><span class="amp-sum-k">上涨日盈亏</span><span class="amp-sum-v ${pnlClass(ph.up_pnl_total)}">${esc(ph.up_pnl_total)} <small>(${esc(ph.up_days)}天)</small></span></div>` +
@@ -1306,7 +1306,7 @@
          </div>
        </div>
        <p id="amp-status" class="toolbar-meta amp-status"></p>
-        <p class="amp-hint">口径:开→高=最高−开盘;开→低=开盘−最低;振幅=最高−最低.对照模式二选一:买跨收益=有效波动−权利金;永期对冲=永续多1币+买期权(默认1:2),入场/权利金按日开盘.周末按结算日标注/筛选.</p>
+        <p class="amp-hint">口径:开→高=最高−开盘;开→低=开盘−最低;振幅=最高−最低.对照模式二选一:买跨收益=有效波动−权利金;永期对冲=永续多1币+买期权(默认1:2),入场按日开盘,触达目标点数按目标盈利出场否则收盘结算.周末按结算日标注/筛选.</p>
        <h3 class="amp-block-title">汇总</h3>
        <div id="amp-summary" class="amp-summary"></div>
        <div id="amp-overlay-straddle-block">
@@ -93,10 +93,10 @@ class AmpStatsLibTests(unittest.TestCase):
        self.assertIsNone(s["perp_hedge"])

    def test_perp_hedge_hit_and_pnl(self):
-        from lib.hub.amp_stats_lib import perp_hedge_day_pnl
+        from lib.hub.amp_stats_lib import perp_hedge_day_pnl, perp_hedge_day_pnl_eod

-        # 开盘=1800 optLev=100 → prem/coin=18; 1:2 → premium=36
-        # A move ≈ 52.83; B portfolio move = 51
+        # 开盘=1800 optLev=100 → prem=36; A≈52.83; B=51
+        # 触达目标出场 → 日盈亏=15, 不再按收盘涨跌算满仓
        rows = [
            {"open": 1800, "close": 1860, "change": 60, "up_points": 60, "down_points": 0, "amplitude": 60, "settlement_day": "2026-07-01"},
            {"open": 1800, "close": 1740, "change": -60, "up_points": 0, "down_points": 60, "amplitude": 60, "settlement_day": "2026-07-02"},
@@ -114,30 +114,48 @@ class AmpStatsLibTests(unittest.TestCase):
        ph = s["perp_hedge"]
        self.assertIsNotNone(ph)
        self.assertEqual(ph["entry"], "open")
+        self.assertEqual(ph["exit"], "target_or_eod")
        self.assertEqual(ph["spot"], 1800.0)
        self.assertEqual(ph["opt_coins"], 2.0)
        self.assertEqual(ph["premium_total"], 36.0)
        self.assertAlmostEqual(ph["move_b"], 51.0, places=4)
-        self.assertEqual(ph["hit_a_days"], 1)  # only +60
-        self.assertEqual(ph["hit_b_days"], 1)  # only -60
+        self.assertEqual(ph["hit_a_days"], 1)  # up 60 >= A
+        self.assertEqual(ph["hit_b_days"], 1)  # down 60 >= B
+        self.assertEqual(ph["target_exit_days"], 2)
+        self.assertEqual(ph["eod_days"], 1)
+        # 触达目标 → 15U
+        self.assertAlmostEqual(ph["pnl_max"], 15.0, places=4)
        up_pnl = perp_hedge_day_pnl(
-            change=60, open_px=1800, close_px=1860, option_leverage=100, opt_coins=2
+            change=60,
+            open_px=1800,
+            close_px=1860,
+            option_leverage=100,
+            opt_coins=2,
+            up_points=60,
+            down_points=0,
+            target_profit_u=15,
        )
        down_pnl = perp_hedge_day_pnl(
-            change=-60, open_px=1800, close_px=1740, option_leverage=100, opt_coins=2
+            change=-60,
+            open_px=1800,
+            close_px=1740,
+            option_leverage=100,
+            opt_coins=2,
+            up_points=0,
+            down_points=60,
+            target_profit_u=15,
        )
-        self.assertAlmostEqual(down_pnl, 60 * (2 - 1) - 36, places=4)  # 24
-        self.assertAlmostEqual(ph["down_pnl_total"], down_pnl, places=4)
-        self.assertGreater(up_pnl, 0)
+        self.assertAlmostEqual(up_pnl, 15.0, places=4)
+        self.assertAlmostEqual(down_pnl, 15.0, places=4)
+        self.assertAlmostEqual(ph["down_pnl_total"], 15.0, places=4)
+        # 未触达:收盘结算
+        eod = perp_hedge_day_pnl_eod(
+            change=20, open_px=1800, close_px=1820, option_leverage=100, opt_coins=2
+        )
+        self.assertLess(eod, 0)
        self.assertEqual(ph["up_days"], 2)
        self.assertEqual(ph["down_days"], 1)

-        # 不同开盘 → 不同权利金
-        hi_open_pnl = perp_hedge_day_pnl(
-            change=-60, open_px=2000, close_px=1940, option_leverage=100, opt_coins=2
-        )
-        self.assertAlmostEqual(hi_open_pnl, 60 - 40, places=4)  # prem=40
-
        csv_text = build_export_csv(
            {
                "exchange": "okx",