Add perpetual-options hedge overlay to amp-stats with hit rates and daily PnL.

Co-authored-by: Cursor <cursoragent@cursor.com>

lib/hub/amp_stats_lib.py

@@ -249,10 +249,12 @@ def enrich_rows_pnl(
     *,
     straddle_premium: Optional[float] = None,
     take_profit: Optional[float] = None,
+    perp_hedge: Any = None,
 ) -> list[dict[str, Any]]:
-    """为日表附加有效波动 / 是否触达止盈 / 收益(有权利金时)."""
+    """为日表附加有效波动 / 是否触达止盈 / 收益(有权利金时) / 永期盈亏."""
     prem = normalize_straddle_premium(straddle_premium)
     tp = normalize_take_profit(take_profit)
+    hedge = normalize_perp_hedge_params(perp_hedge)
     out: list[dict[str, Any]] = []
     for r in rows or []:
         item = dict(r)
@@ -272,10 +274,200 @@ def enrich_rows_pnl(
         item["effective_move"] = round(move, 4)
         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),
+                premium_total=float(hedge["premium_total"]),
+                opt_coins=float(hedge["opt_coins"]),
+            )
+        else:
+            item["perp_hedge_pnl"] = None
         out.append(item)
     return out
 
 
+def normalize_perp_hedge_params(raw: Any) -> Optional[dict[str, float]]:
+    """永期对冲对照参数.缺必填则返回 None(不做对照).
+
+    接受 dict 或带 spot/target_profit_u/perp_leverage/option_leverage 的对象字段.
+    """
+    if raw is None or raw == "":
+        return None
+    if not isinstance(raw, dict):
+        return None
+    spot = _safe_float(raw.get("spot"))
+    target = _safe_float(raw.get("target_profit_u") if "target_profit_u" in raw else raw.get("target"))
+    p_lev = _safe_float(raw.get("perp_leverage"))
+    o_lev = _safe_float(raw.get("option_leverage"))
+    rp = _safe_float(raw.get("ratio_perp"))
+    ro = _safe_float(raw.get("ratio_opt"))
+    ct = _safe_float(raw.get("ct_mult"))
+    if spot is None or target is None or p_lev is None or o_lev is None:
+        return None
+    if spot <= 0 or target < 0 or p_lev <= 0 or o_lev <= 0:
+        return None
+    if rp is None or rp <= 0:
+        rp = 1.0
+    if ro is None or ro <= 0:
+        ro = 2.0
+    if ct is None or ct <= 0:
+        ct = 0.01
+    prem_per_coin = spot / o_lev
+    opt_coins = 1.0 * (ro / rp)
+    premium_total = opt_coins * prem_per_coin
+    return {
+        "spot": spot,
+        "target_profit_u": target,
+        "perp_leverage": p_lev,
+        "option_leverage": o_lev,
+        "ratio_perp": rp,
+        "ratio_opt": ro,
+        "ct_mult": ct,
+        "prem_per_coin": prem_per_coin,
+        "opt_coins": opt_coins,
+        "opt_sheets": opt_coins / ct,
+        "premium_total": premium_total,
+    }
+
+
+def perp_hedge_day_pnl(
+    *,
+    change: float,
+    open_px: float,
+    close_px: float,
+    premium_total: float,
+    opt_coins: float,
+) -> float:
+    """单日组合净利(永续多1币 + 买期权).
+
+    上涨: change − 权利金 − 永续开平手续费
+    下跌: |change|×(opt_coins−1) − 权利金
+    """
+    from lib.trade.trade_fee_lib import estimate_roundtrip_fee_usdt
+
+    chg = float(change or 0)
+    prem = float(premium_total or 0)
+    coins = float(opt_coins or 0)
+    if chg >= 0:
+        fee = 0.0
+        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_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."""
+    from lib.hub.hub_perp_options_calc_lib import calc_perp_options_points
+
+    points_data, points_err = calc_perp_options_points(
+        base="ETH",
+        spot=hedge["spot"],
+        capital_usdt=max(hedge["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"],
+    )
+    move_a = None
+    move_b = None
+    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
+
+    # 使用已 enrich 的 perp_hedge_pnl;若无则当场补算
+    work: list[dict[str, Any]] = []
+    for r in rows or []:
+        item = dict(r)
+        if item.get("perp_hedge_pnl") is 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),
+                premium_total=float(hedge["premium_total"]),
+                opt_coins=float(hedge["opt_coins"]),
+            )
+        work.append(item)
+    n = len(work)
+    empty = {
+        "enabled": True,
+        "spot": round(hedge["spot"], 4),
+        "target_profit_u": round(hedge["target_profit_u"], 4),
+        "perp_leverage": round(hedge["perp_leverage"], 4),
+        "option_leverage": round(hedge["option_leverage"], 4),
+        "ratio_perp": round(hedge["ratio_perp"], 4),
+        "ratio_opt": round(hedge["ratio_opt"], 4),
+        "ratio_label": f"{hedge['ratio_perp']:g}:{hedge['ratio_opt']:g}",
+        "prem_per_coin": round(hedge["prem_per_coin"], 4),
+        "opt_coins": round(hedge["opt_coins"], 4),
+        "opt_sheets": round(hedge["opt_sheets"], 4),
+        "premium_total": round(hedge["premium_total"], 4),
+        "move_a": None if move_a is None else round(move_a, 4),
+        "move_b": None if move_b is None else round(move_b, 4),
+        "points_error": points_err,
+        "sample_count": n,
+        "hit_a_days": 0,
+        "hit_a_ratio": None,
+        "hit_b_days": 0,
+        "hit_b_ratio": None,
+        "pnl_total": None,
+        "pnl_avg": None,
+        "win_days": 0,
+        "win_ratio": None,
+        "pnl_max": None,
+        "pnl_min": None,
+        "up_days": 0,
+        "down_days": 0,
+        "up_pnl_total": None,
+        "down_pnl_total": None,
+    }
+    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)
+
+    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)
+    up_rows = [r for r in work if float(r.get("change") or 0) >= 0]
+    down_rows = [r for r in work if float(r.get("change") or 0) < 0]
+    up_pnls = [float(r["perp_hedge_pnl"]) for r in up_rows if r.get("perp_hedge_pnl") is not None]
+    down_pnls = [float(r["perp_hedge_pnl"]) for r in down_rows if r.get("perp_hedge_pnl") is not None]
+
+    empty.update(
+        {
+            "hit_a_days": hit_a,
+            "hit_a_ratio": round(hit_a / n, 4) if move_a else None,
+            "hit_b_days": hit_b,
+            "hit_b_ratio": round(hit_b / n, 4) if move_b else None,
+            "pnl_total": round(sum(pnls), 4) if pnls else None,
+            "pnl_avg": round(statistics.fmean(pnls), 4) if pnls else None,
+            "win_days": win,
+            "win_ratio": round(win / n, 4),
+            "pnl_max": round(max(pnls), 4) if pnls else None,
+            "pnl_min": round(min(pnls), 4) if pnls else None,
+            "up_days": len(up_rows),
+            "down_days": len(down_rows),
+            "up_pnl_total": round(sum(up_pnls), 4) if up_pnls else None,
+            "down_pnl_total": round(sum(down_pnls), 4) if down_pnls else None,
+        }
+    )
+    return empty
+
+
 def straddle_long_stats(
     rows: list[dict[str, Any]],
     premium: float,
@@ -343,7 +535,9 @@ def summarize_rows(
     *,
     straddle_premium: Any = None,
     take_profit: Any = None,
+    perp_hedge: Any = None,
 ) -> dict[str, Any]:
+    hedge = normalize_perp_hedge_params(perp_hedge)
     if not rows:
         out = {
             "sample_count": 0,
@@ -358,10 +552,13 @@ def summarize_rows(
             "up_day_ratio": None,
             "down_day_ratio": None,
             "straddle": None,
+            "perp_hedge": None,
         }
         prem = normalize_straddle_premium(straddle_premium)
         if prem is not None:
             out["straddle"] = straddle_long_stats([], prem, take_profit=take_profit)
+        if hedge is not None:
+            out["perp_hedge"] = perp_hedge_stats([], hedge)
         return out
     amps = [float(r["amplitude"]) for r in rows]
     ups = [float(r["up_points"]) for r in rows]
@@ -384,10 +581,13 @@ def summarize_rows(
         "up_day_ratio": round(up_days / n, 4),
         "down_day_ratio": round(down_days / n, 4),
         "straddle": None,
+        "perp_hedge": None,
     }
     prem = normalize_straddle_premium(straddle_premium)
     if prem is not None:
         out["straddle"] = straddle_long_stats(rows, prem, take_profit=take_profit)
+    if hedge is not None:
+        out["perp_hedge"] = perp_hedge_stats(rows, hedge)
     return out
 
 
@@ -594,6 +794,7 @@ def compute_amp_stats(
     straddle_premium: Any = None,
     take_profit: Any = None,
     weekend_filter: Any = "all",
+    perp_hedge: Any = None,
     now: Optional[datetime] = None,
     fetch_fn: Optional[Callable[..., list[dict[str, Any]]]] = None,
 ) -> dict[str, Any]:
@@ -604,6 +805,7 @@ def compute_amp_stats(
     prem = normalize_straddle_premium(straddle_premium)
     tp = normalize_take_profit(take_profit)
     we_mode = normalize_weekend_filter(weekend_filter)
+    hedge = normalize_perp_hedge_params(perp_hedge)
     sample_days = resolve_sample_days(period, custom_days)
     settlements = list_settlement_dates(sample_days=sample_days, now=now)
     if not settlements:
@@ -636,6 +838,7 @@ def compute_amp_stats(
         straddle_premium=prem,
         take_profit=tp,
         weekend_filter=we_mode,
+        perp_hedge=hedge,
         price_source=price_source,
         inst_id=inst_id,
         missing=missing,
@@ -652,6 +855,7 @@ def build_amp_result(
     straddle_premium: Any = None,
     take_profit: Any = None,
     weekend_filter: Any = "all",
+    perp_hedge: Any = None,
     price_source: str = "",
     inst_id: str = "",
     missing: Optional[list[str]] = None,
@@ -659,9 +863,10 @@ def build_amp_result(
     prem = normalize_straddle_premium(straddle_premium)
     tp = normalize_take_profit(take_profit)
     we_mode = normalize_weekend_filter(weekend_filter)
+    hedge = normalize_perp_hedge_params(perp_hedge)
     filtered = filter_weekend_rows(rows_all, we_mode)
-    rows = enrich_rows_pnl(filtered, straddle_premium=prem, take_profit=tp)
-    summary = summarize_rows(rows, straddle_premium=prem, take_profit=tp)
+    rows = enrich_rows_pnl(filtered, straddle_premium=prem, take_profit=tp, perp_hedge=hedge)
+    summary = summarize_rows(rows, straddle_premium=prem, take_profit=tp, perp_hedge=hedge)
     if period == "custom" or str(period).startswith("custom:"):
         period_label = period if str(period).startswith("custom:") else f"custom:{sample_days}"
     else:
@@ -679,6 +884,7 @@ def build_amp_result(
         "straddle_premium": prem,
         "take_profit": tp,
         "weekend_filter": we_mode,
+        "perp_hedge": hedge,
         "timeframe": TIMEFRAME,
         "price_source": price_source,
         "inst_id": inst_id,
@@ -701,11 +907,12 @@ def reframe_amp_stats(
     straddle_premium: Any = None,
     take_profit: Any = None,
     weekend_filter: Any = "all",
+    perp_hedge: Any = None,
     price_source: str = "",
     inst_id: str = "",
     missing: Optional[list[str]] = None,
 ) -> dict[str, Any]:
-    """已有日表上改周末/权利金/止盈,不拉 K 线."""
+    """已有日表上改周末/权利金/止盈/永期参数,不拉 K 线."""
     key = normalize_symbol(symbol)
     return build_amp_result(
         rows_all=list(rows_all or []),
@@ -716,6 +923,7 @@ def reframe_amp_stats(
         straddle_premium=straddle_premium,
         take_profit=take_profit,
         weekend_filter=weekend_filter,
+        perp_hedge=perp_hedge,
         price_source=price_source,
         inst_id=inst_id,
         missing=missing,
@@ -779,6 +987,70 @@ def build_export_csv(payload: dict[str, Any]) -> str:
             ]
         )
         w.writerow(["单日最大赚", st.get("pnl_max"), "单日最大亏", st.get("pnl_min")])
+    ph = s.get("perp_hedge") or {}
+    if ph:
+        w.writerow([])
+        w.writerow(
+            [
+                "【永期对冲对照】",
+                "比例",
+                ph.get("ratio_label"),
+                "现价",
+                ph.get("spot"),
+                "目标",
+                ph.get("target_profit_u"),
+            ]
+        )
+        w.writerow(
+            [
+                "单币权利金",
+                ph.get("prem_per_coin"),
+                "权利金总额",
+                ph.get("premium_total"),
+                "期权币数",
+                ph.get("opt_coins"),
+            ]
+        )
+        w.writerow(
+            [
+                "A所需点数",
+                ph.get("move_a"),
+                "A达标天",
+                ph.get("hit_a_days"),
+                "占比",
+                ph.get("hit_a_ratio"),
+            ]
+        )
+        w.writerow(
+            [
+                "B所需点数(组合)",
+                ph.get("move_b"),
+                "B达标天",
+                ph.get("hit_b_days"),
+                "占比",
+                ph.get("hit_b_ratio"),
+            ]
+        )
+        w.writerow(
+            [
+                "组合盈亏合计",
+                ph.get("pnl_total"),
+                "日均",
+                ph.get("pnl_avg"),
+                "胜率",
+                ph.get("win_ratio"),
+            ]
+        )
+        w.writerow(
+            [
+                "上涨日盈亏",
+                ph.get("up_pnl_total"),
+                "下跌日盈亏",
+                ph.get("down_pnl_total"),
+                "最大赚/亏",
+                f"{ph.get('pnl_max')} / {ph.get('pnl_min')}",
+            ]
+        )
     w.writerow([])
     w.writerow(["【日表明细】"])
     w.writerow(
@@ -799,6 +1071,7 @@ def build_export_csv(payload: dict[str, Any]) -> str:
             "有效波动",
             "触达止盈",
             "收益",
+            "永期盈亏",
         ]
     )
     for r in payload.get("rows") or []:
@@ -820,6 +1093,7 @@ def build_export_csv(payload: dict[str, Any]) -> str:
                 r.get("effective_move"),
                 "是" if r.get("take_profit_hit") else "否",
                 r.get("profit"),
+                r.get("perp_hedge_pnl"),
             ]
         )
     return buf.getvalue()