refactor: 清理测试文件和2019相关代码

- 删除测试脚本: test_2026_classification.py, test_lagllama.py, test_timesfm.py, test_ttm.py
- 删除2019相关文件: analyze_2019_*, apply_2019_*, dlinear_2019_*, three_models_2019_*
- 添加集成模型相关代码和分析脚本
- 添加N-BEATS模型和CatBoost分类模型
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crypto_predictor committed 2026-02-03 20:40:32 +08:00
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"""保存所有测试结果到项目 - 生成完整报告"""
import sys
import os
sys.path.insert(0, os.path.dirname(os.path.abspath(__file__)))
import torch
import pickle
import numpy as np
import pandas as pd
import pandas_ta as ta
from sklearn.preprocessing import StandardScaler
from sklearn.metrics import confusion_matrix
from data.fetcher import BinanceDataFetcher
import json
from datetime import datetime
# ==================== 预处理器定义 ====================
class ClassificationPreprocessor:
"""DLinear分类预处理器"""
def __init__(self, lookback=168, forecast_horizon=1):
self.lookback = lookback
self.forecast_horizon = forecast_horizon
self.scaler = StandardScaler()
self.is_fitted = False
def add_features(self, df):
df = df.copy()
df['rsi'] = ta.rsi(df['close'], length=14)
macd = ta.macd(df['close'])
if macd is not None and not macd.empty:
df['macd'] = macd.iloc[:, 0]
df['macd_hist'] = macd.iloc[:, 1]
df['macd_signal'] = macd.iloc[:, 2]
return df
def create_labels(self, df):
df = df.copy()
df['future_price'] = df['close'].shift(-self.forecast_horizon)
df['future_return'] = (df['future_price'] - df['close']) / df['close']
df['label'] = (df['future_return'] > 0).astype(int)
return df[:-self.forecast_horizon]
def preprocess(self, df, fit=True):
df = self.add_features(df)
df = self.create_labels(df)
df = df.dropna().reset_index(drop=True)
feature_cols = ['open', 'high', 'low', 'close', 'volume',
'rsi', 'macd', 'macd_hist', 'macd_signal']
if fit:
scaled_features = self.scaler.fit_transform(df[feature_cols])
self.is_fitted = True
self.feature_columns = feature_cols
else:
scaled_features = self.scaler.transform(df[feature_cols])
X, y = [], []
for i in range(len(scaled_features) - self.lookback):
X.append(scaled_features[i:i + self.lookback])
y.append(df['label'].iloc[i + self.lookback])
return np.array(X), np.array(y), df
class NBeatsPreprocessor:
"""N-BEATS预处理器"""
def __init__(self, lookback=168, forecast_horizon=1):
self.lookback = lookback
self.forecast_horizon = forecast_horizon
self.price_scaler = StandardScaler()
self.is_fitted = False
def preprocess(self, df, fit=True):
df = df.copy()
df['future_price'] = df['close'].shift(-self.forecast_horizon)
df = df[:-self.forecast_horizon].reset_index(drop=True)
prices = df['close'].values.reshape(-1, 1)
future_prices = df['future_price'].values.reshape(-1, 1)
if fit:
scaled_prices = self.price_scaler.fit_transform(prices)
scaled_future = self.price_scaler.transform(future_prices)
self.is_fitted = True
else:
scaled_prices = self.price_scaler.transform(prices)
scaled_future = self.price_scaler.transform(future_prices)
X, y = [], []
for i in range(len(scaled_prices) - self.lookback):
X.append(scaled_prices[i:i + self.lookback, 0])
y.append(scaled_future[i + self.lookback, 0])
return np.array(X), np.array(y), df
def inverse_transform_price(self, scaled_price):
return self.price_scaler.inverse_transform(scaled_price.reshape(-1, 1)).flatten()
def main():
print("="*80)
print("保存完整测试结果到项目")
print("="*80)
# 创建结果目录
results_dir = "./results"
os.makedirs(results_dir, exist_ok=True)
timestamp = datetime.now().strftime("%Y%m%d_%H%M%S")
# ========== 加载模型 ==========
print("\n[1/5] 加载模型...")
device = torch.device('mps' if torch.backends.mps.is_available() else 'cpu')
from models.dlinear.model import DLinear
dlinear_checkpoint = torch.load(
'./models/checkpoints/dlinear_classification_2026/best_model.pt',
map_location=device
)
dlinear_model = DLinear(dlinear_checkpoint['config'])
dlinear_model.load_state_dict(dlinear_checkpoint['model_state_dict'])
dlinear_model = dlinear_model.to(device)
dlinear_model.eval()
with open('./models/checkpoints/dlinear_classification_2026/preprocessor.pkl', 'rb') as f:
dlinear_preprocessor = pickle.load(f)
from models.nbeats.model import NBeats
nbeats_checkpoint = torch.load(
'./models/checkpoints/nbeats_btc_1h/best_model.pt',
map_location=device
)
nbeats_model = NBeats(nbeats_checkpoint['config'])
nbeats_model.load_state_dict(nbeats_checkpoint['model_state_dict'])
nbeats_model = nbeats_model.to(device)
nbeats_model.eval()
with open('./models/checkpoints/nbeats_btc_1h/preprocessor.pkl', 'rb') as f:
nbeats_preprocessor = pickle.load(f)
from tsfm_public.models.tinytimemixer import TinyTimeMixerForPrediction
ttm_model = TinyTimeMixerForPrediction.from_pretrained(
"ibm-granite/granite-timeseries-ttm-r2",
trust_remote_code=True
)
ttm_model = ttm_model.to(device)
ttm_model.eval()
print("✓ 三个模型已加载")
# ========== 获取数据 ==========
print("\n[2/5] 获取2026年1月测试数据...")
fetcher = BinanceDataFetcher()
df_2026 = fetcher.fetch_ohlcv('BTC', '1h', start_date='2026-01-01',
end_date='2026-01-30', use_cache=False)
print(f"✓ 数据: {len(df_2026)} 行, {df_2026['timestamp'].min()} 至 {df_2026['timestamp'].max()}")
# ========== 预处理和预测 ==========
print("\n[3/5] 预处理和预测...")
X_dlinear, y_dlinear, df_dlinear = dlinear_preprocessor.preprocess(df_2026, fit=False)
X_nbeats, y_nbeats, df_nbeats = nbeats_preprocessor.preprocess(df_2026, fit=False)
min_samples = min(len(X_dlinear), len(X_nbeats))
X_dlinear = X_dlinear[:min_samples]
y_dlinear = y_dlinear[:min_samples]
X_nbeats = X_nbeats[:min_samples]
# DLinear预测
X_dlinear_tensor = torch.FloatTensor(X_dlinear).to(device)
with torch.no_grad():
dlinear_logits = dlinear_model(X_dlinear_tensor).cpu().numpy()
dlinear_probs = 1 / (1 + np.exp(-dlinear_logits.flatten()))
dlinear_preds = (dlinear_probs > 0.5).astype(int)
# N-BEATS预测
X_nbeats_tensor = torch.FloatTensor(X_nbeats).to(device)
with torch.no_grad():
nbeats_pred_scaled = nbeats_model(X_nbeats_tensor).cpu().numpy()
nbeats_pred_prices = nbeats_preprocessor.inverse_transform_price(nbeats_pred_scaled)
current_open_prices = df_nbeats['open'].iloc[168:168+len(nbeats_pred_prices)].values
nbeats_preds = (nbeats_pred_prices > current_open_prices).astype(int)
# TTM-R2预测
context_length = 512
ttm_preds_list = []
all_prices = df_2026['close'].values
all_open_prices = df_2026['open'].values
for i in range(min_samples):
start_idx = i
end_idx = start_idx + context_length
if end_idx > len(all_prices):
context_data = all_prices[-context_length:].reshape(1, -1, 1)
current_open_price = all_open_prices[min(168 + i, len(all_open_prices) - 1)]
else:
context_data = all_prices[start_idx:end_idx].reshape(1, -1, 1)
current_open_price = all_open_prices[end_idx] if end_idx < len(all_open_prices) else all_open_prices[-1]
context_tensor = torch.FloatTensor(context_data).to(device)
with torch.no_grad():
output = ttm_model(context_tensor)
pred_price = output.prediction_outputs.cpu().numpy()[0, 0, 0]
ttm_preds_list.append(1 if pred_price > current_open_price else 0)
ttm_preds = np.array(ttm_preds_list)
# 双模型交集
two_model_agree_up = (dlinear_preds == 1) & (nbeats_preds == 1)
two_model_agree_down = (dlinear_preds == 0) & (nbeats_preds == 0)
two_model_preds = np.full(len(dlinear_preds), -1)
two_model_preds[two_model_agree_up] = 1
two_model_preds[two_model_agree_down] = 0
# 三模型投票
vote_sum = dlinear_preds + nbeats_preds + ttm_preds
three_model_preds = np.where(vote_sum >= 2, 1, 0)
true_labels = y_dlinear
print(f"✓ 预测完成,样本数: {min_samples}")
# ========== 生成详细结果 ==========
print("\n[4/5] 生成详细结果...")
# 时间戳和日期
timestamps = df_2026['timestamp'].iloc[168:168+min_samples].values
timestamps_utc = pd.to_datetime(timestamps)
timestamps_et = timestamps_utc.tz_localize('UTC').tz_convert('America/New_York')
dates = timestamps_et.date
# 创建详细结果DataFrame
results_df = pd.DataFrame({
'timestamp_utc': timestamps_utc,
'timestamp_et': timestamps_et,
'date': dates,
'true_label': true_labels,
'dlinear_prob': dlinear_probs,
'dlinear_pred': dlinear_preds,
'nbeats_pred': nbeats_preds,
'ttm_pred': ttm_preds,
'two_model_pred': two_model_preds,
'three_model_pred': three_model_preds,
'dlinear_correct': dlinear_preds == true_labels,
'two_model_correct': (two_model_preds == true_labels) & (two_model_preds != -1),
'three_model_correct': three_model_preds == true_labels
})
# 按天统计
daily_stats = results_df.groupby('date').agg({
'true_label': 'count',
'two_model_pred': lambda x: (x != -1).sum(),
'two_model_correct': 'sum',
'three_model_correct': 'sum',
'dlinear_correct': 'sum'
})
daily_stats.columns = ['total_samples', 'two_model_valid', 'two_model_correct',
'three_model_correct', 'dlinear_correct']
daily_stats['dlinear_accuracy'] = daily_stats['dlinear_correct'] / daily_stats['total_samples'] * 100
daily_stats['two_model_accuracy'] = daily_stats['two_model_correct'] / daily_stats['two_model_valid'] * 100
daily_stats['three_model_accuracy'] = daily_stats['three_model_correct'] / daily_stats['total_samples'] * 100
daily_stats['two_model_coverage'] = daily_stats['two_model_valid'] / daily_stats['total_samples'] * 100
daily_stats['two_model_accuracy'] = daily_stats['two_model_accuracy'].fillna(0)
# ========== 保存结果 ==========
print("\n[5/5] 保存结果文件...")
# 1. 保存逐小时详细结果
hourly_file = f"{results_dir}/hourly_predictions_2026_01.csv"
results_df.to_csv(hourly_file, index=False)
print(f"✓ 保存逐小时预测: {hourly_file}")
# 2. 保存每日统计
daily_file = f"{results_dir}/daily_statistics_2026_01.csv"
daily_stats.to_csv(daily_file)
print(f"✓ 保存每日统计: {daily_file}")
# 3. 生成总结报告
summary = {
"测试期间": {
"开始日期": str(df_2026['timestamp'].min()),
"结束日期": str(df_2026['timestamp'].max()),
"总天数": len(daily_stats),
"总样本数": int(min_samples)
},
"单模型性能": {
"DLinear": {
"准确率": f"{(dlinear_preds == true_labels).mean() * 100:.2f}%",
"预测上涨比例": f"{(dlinear_preds == 1).mean() * 100:.1f}%"
},
"N-BEATS": {
"准确率": f"{(nbeats_preds == true_labels).mean() * 100:.2f}%",
"预测上涨比例": f"{(nbeats_preds == 1).mean() * 100:.1f}%"
},
"TTM-R2": {
"准确率": f"{(ttm_preds == true_labels).mean() * 100:.2f}%",
"预测上涨比例": f"{(ttm_preds == 1).mean() * 100:.1f}%"
}
},
"集成策略性能": {
"双模型交集": {
"准确率": f"{((two_model_preds == true_labels) & (two_model_preds != -1)).sum() / (two_model_preds != -1).sum() * 100:.2f}%",
"覆盖率": f"{(two_model_preds != -1).mean() * 100:.2f}%",
"有效预测数": int((two_model_preds != -1).sum())
},
"三模型投票": {
"准确率": f"{(three_model_preds == true_labels).mean() * 100:.2f}%",
"覆盖率": "100.00%",
"有效预测数": int(len(three_model_preds))
}
},
"DLinear概率分布": {
"0.4-0.5区间": f"{((dlinear_probs >= 0.4) & (dlinear_probs < 0.5)).sum()}个 ({((dlinear_probs >= 0.4) & (dlinear_probs < 0.5)).mean() * 100:.1f}%)",
"0.5-0.6区间": f"{((dlinear_probs >= 0.5) & (dlinear_probs < 0.6)).sum()}个 ({((dlinear_probs >= 0.5) & (dlinear_probs < 0.6)).mean() * 100:.1f}%)",
"0.6-0.7区间": f"{((dlinear_probs >= 0.6) & (dlinear_probs < 0.7)).sum()}个 ({((dlinear_probs >= 0.6) & (dlinear_probs < 0.7)).mean() * 100:.1f}%)",
"平均概率": f"{dlinear_probs.mean():.3f}"
},
"最佳/最差交易日": {
"双模型最佳日": {
"日期": str(daily_stats['two_model_accuracy'].idxmax()),
"准确率": f"{daily_stats['two_model_accuracy'].max():.1f}%"
},
"双模型最差日": {
"日期": str(daily_stats[daily_stats['two_model_accuracy'] > 0]['two_model_accuracy'].idxmin()),
"准确率": f"{daily_stats[daily_stats['two_model_accuracy'] > 0]['two_model_accuracy'].min():.1f}%"
},
"三模型最佳日": {
"日期": str(daily_stats['three_model_accuracy'].idxmax()),
"准确率": f"{daily_stats['three_model_accuracy'].max():.1f}%"
},
"三模型最差日": {
"日期": str(daily_stats['three_model_accuracy'].idxmin()),
"准确率": f"{daily_stats['three_model_accuracy'].min():.1f}%"
}
}
}
summary_file = f"{results_dir}/summary_report_2026_01.json"
with open(summary_file, 'w', encoding='utf-8') as f:
json.dump(summary, f, indent=2, ensure_ascii=False)
print(f"✓ 保存总结报告: {summary_file}")
# 4. 生成Markdown报告
markdown_report = f"""# 加密货币价格预测模型测试报告
## 测试概况
- **测试期间**: 2026年1月1日 - 2026年1月30日
- **总天数**: {len(daily_stats)}天
- **总样本数**: {min_samples}个小时
- **生成时间**: {datetime.now().strftime('%Y-%m-%d %H:%M:%S')}
---
## 单模型性能
### DLinear分类模型
- **准确率**: {(dlinear_preds == true_labels).mean() * 100:.2f}%
- **预测上涨比例**: {(dlinear_preds == 1).mean() * 100:.1f}%
- **预测下跌比例**: {(dlinear_preds == 0).mean() * 100:.1f}%
### N-BEATS回归模型
- **准确率**: {(nbeats_preds == true_labels).mean() * 100:.2f}%
- **预测上涨比例**: {(nbeats_preds == 1).mean() * 100:.1f}%
- **预测下跌比例**: {(nbeats_preds == 0).mean() * 100:.1f}%
### TTM-R2零样本模型
- **准确率**: {(ttm_preds == true_labels).mean() * 100:.2f}%
- **预测上涨比例**: {(ttm_preds == 1).mean() * 100:.1f}%
- **预测下跌比例**: {(ttm_preds == 0).mean() * 100:.1f}%
---
## 集成策略性能
### 双模型交集(DLinear + N-BEATS)
- **准确率**: {((two_model_preds == true_labels) & (two_model_preds != -1)).sum() / (two_model_preds != -1).sum() * 100:.2f}%
- **覆盖率**: {(two_model_preds != -1).mean() * 100:.2f}%
- **有效预测数**: {(two_model_preds != -1).sum()}次
### 三模型多数投票(DLinear + N-BEATS + TTM-R2)
- **准确率**: {(three_model_preds == true_labels).mean() * 100:.2f}%
- **覆盖率**: 100.00%
- **有效预测数**: {len(three_model_preds)}次
---
## DLinear概率分布分析
| 概率区间 | 样本数 | 占比 |
|---------|--------|------|
| 0.4-0.5 | {((dlinear_probs >= 0.4) & (dlinear_probs < 0.5)).sum()} | {((dlinear_probs >= 0.4) & (dlinear_probs < 0.5)).mean() * 100:.1f}% |
| 0.5-0.6 | {((dlinear_probs >= 0.5) & (dlinear_probs < 0.6)).sum()} | {((dlinear_probs >= 0.5) & (dlinear_probs < 0.6)).mean() * 100:.1f}% |
| 0.6-0.7 | {((dlinear_probs >= 0.6) & (dlinear_probs < 0.7)).sum()} | {((dlinear_probs >= 0.6) & (dlinear_probs < 0.7)).mean() * 100:.1f}% |
**平均概率**: {dlinear_probs.mean():.3f}
---
## 最佳/最差交易日
### 双模型交集
- **最佳日**: {daily_stats['two_model_accuracy'].idxmax()} ({daily_stats['two_model_accuracy'].max():.1f}%)
- **最差日**: {daily_stats[daily_stats['two_model_accuracy'] > 0]['two_model_accuracy'].idxmin()} ({daily_stats[daily_stats['two_model_accuracy'] > 0]['two_model_accuracy'].min():.1f}%)
### 三模型投票
- **最佳日**: {daily_stats['three_model_accuracy'].idxmax()} ({daily_stats['three_model_accuracy'].max():.1f}%)
- **最差日**: {daily_stats['three_model_accuracy'].idxmin()} ({daily_stats['three_model_accuracy'].min():.1f}%)
---
## 结论
1. **最佳单模型**: DLinear ({(dlinear_preds == true_labels).mean() * 100:.2f}%)
2. **最佳集成策略**: 双模型交集 ({((two_model_preds == true_labels) & (two_model_preds != -1)).sum() / (two_model_preds != -1).sum() * 100:.2f}%)
3. **DLinear置信度**: 99.2%的预测集中在0.45-0.55区间,缺乏高置信度预测
## 数据文件
- 逐小时预测结果: `hourly_predictions_2026_01.csv`
- 每日统计数据: `daily_statistics_2026_01.csv`
- 总结报告: `summary_report_2026_01.json`
---
生成时间: {datetime.now().strftime('%Y-%m-%d %H:%M:%S')}
"""
markdown_file = f"{results_dir}/README_2026_01.md"
with open(markdown_file, 'w', encoding='utf-8') as f:
f.write(markdown_report)
print(f"✓ 保存Markdown报告: {markdown_file}")
print("\n" + "="*80)
print("✓ 所有结果已保存到 ./results/ 目录")
print("="*80)
print(f"\n保存的文件:")
print(f" 1. {hourly_file}")
print(f" 2. {daily_file}")
print(f" 3. {summary_file}")
print(f" 4. {markdown_file}")
print("\n" + "="*80)
if __name__ == "__main__":
main()