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crpto_predictor/test_dlinear_jan_2026_create_labels.py
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crypto_predictorandClaude Opus 4.6 e78836bf42 fix: 修复 auto_trade 推理预处理逻辑,新增 create_labels 版对比测试脚本
auto_trade_polymarket.py: 新增 preprocess_for_inference 方法,推理时不调用
create_labels(避免 df[:-1] 砍掉输入K线),与 test 脚本逻辑一致。
test_dlinear_jan_2026_create_labels.py: 使用 create_labels 方式的 DLinear 测试
脚本,用于对比两种预处理方式的准确率差异。

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
2026-02-10 23:05:17 +08:00

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"""2026年1月BTC数据 - DLinear 准确率测试 (create_labels版)
与test_dlinear_jan_2026.py对比:
- 本脚本使用create_labels预处理方式(auto_trade旧逻辑)
- 每个目标K线截取到input_idx的df,调用create_labels后取X[-1]预测
- 用于验证create_labels对预测结果的影响
输入数据:预测K线的前一根(即用截止到t的数据预测t+1)
价格对比:预测结果与预测K线(t+1)的收盘价做对比
时间:币安数据UTC,输出转为北京时间(UTC+8),按北京时间分天
"""
import sys
import os
sys.path.insert(0, os.path.dirname(os.path.abspath(__file__)))
import torch
import numpy as np
import pandas as pd
import pickle
import pandas_ta as ta
from datetime import timedelta
from sklearn.preprocessing import StandardScaler
from data.fetcher import BinanceDataFetcher
# ==================== 时区与美股判断 ====================
def utc_to_beijing(ts):
"""UTC时间转北京时间(UTC+8)"""
return ts + timedelta(hours=8)
def is_us_stock_open_by_utc(utc_ts):
"""根据UTC时间判断美股当天是否开盘
美股交易日基于美东时间(ET),UTC-5(冬令时)
2026年1月在冬令时范围内(夏令时3月第二个周日开始)
所以美东 = UTC - 5h
"""
et_ts = utc_ts - timedelta(hours=5)
et_date = pd.Timestamp(et_ts.date())
us_holidays_jan_2026 = {
pd.Timestamp('2026-01-01'), # 元旦 New Year's Day
pd.Timestamp('2026-01-19'), # 马丁·路德·金日 MLK Day
}
if et_date.weekday() >= 5:
return False
if et_date in us_holidays_jan_2026:
return False
return True
# ==================== pickle反序列化占位类 ====================
class ClassificationPreprocessor:
"""pickle.load时需要能找到这个类名"""
def __init__(self, lookback=168, forecast_horizon=1):
self.lookback = lookback
self.forecast_horizon = forecast_horizon
self.scaler = StandardScaler()
self.is_fitted = False
# ==================== create_labels预处理 ====================
def preprocess_with_create_labels(df, scaler, lookback=168, forecast_horizon=1):
"""使用create_labels方式预处理(auto_trade旧逻辑)
步骤:加特征 -> create_labels(shift + 砍尾) -> dropna -> scaler.transform -> 构建窗口
"""
df = df.copy()
# 加特征
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]
# create_labels: shift + 砍最后一行
df['future_price'] = df['close'].shift(-forecast_horizon)
df['future_return'] = (df['future_price'] - df['close']) / df['close']
df['label'] = (df['future_return'] > 0).astype(int)
df = df[:-forecast_horizon]
df = df.dropna().reset_index(drop=True)
feature_cols = ['open', 'high', 'low', 'close', 'volume',
'rsi', 'macd', 'macd_hist', 'macd_signal']
scaled_features = scaler.transform(df[feature_cols])
X = []
for i in range(len(scaled_features) - lookback):
X.append(scaled_features[i:i + lookback])
return np.array(X), df
# ==================== 工具函数 ====================
def fmt_pred(val):
"""格式化预测结果"""
if val is None or (isinstance(val, float) and np.isnan(val)):
return "N/A"
return "涨" if int(val) == 1 else "跌"
def fmt_result(pred, actual):
"""格式化对错"""
if pred is None or (isinstance(pred, float) and np.isnan(pred)):
return " "
return "✓" if int(pred) == int(actual) else "✗"
def main():
print("=" * 90)
print("2026年1月 BTC 1h 涨跌预测准确率测试 (DLinear - create_labels版)")
print("输入:预测K线的前一根 | 对比:预测结果 vs 预测K线收盘价 | 时间:北京时间(UTC+8)")
print("预处理:截取到input的df,调用create_labels后取X[-1]")
print("=" * 90)
device = torch.device('mps' if torch.backends.mps.is_available() else 'cpu')
print(f"使用设备: {device}")
# ========== 步骤1: 加载模型 ==========
print("\n[1/4] 加载模型...")
from models.dlinear.model import DLinear
checkpoint = torch.load('./models/checkpoints/dlinear_classification_2026/best_model.pt',
map_location=device, weights_only=False)
model = DLinear(checkpoint['config'])
model.load_state_dict(checkpoint['model_state_dict'])
model = model.to(device).eval()
with open('./models/checkpoints/dlinear_classification_2026/preprocessor.pkl', 'rb') as f:
preprocessor = pickle.load(f)
print(" ✓ DLinear已加载")
# ========== 步骤2: 获取测试数据 ==========
print("\n[2/4] 获取数据...")
fetcher = BinanceDataFetcher()
df = fetcher.fetch_ohlcv('BTC', '1h', start_date='2025-10-01', end_date='2026-02-01', use_cache=False)
print(f"数据范围(UTC): {df['timestamp'].min()} -> {df['timestamp'].max()}")
print(f"总行数: {len(df)}")
# ========== 步骤3: 预处理与预测 ==========
print("\n[3/4] 运行预测...")
lookback = preprocessor.lookback
scaler = preprocessor.scaler
# 找出1月(北京时间)的所有预测目标K线索引
jan_targets = []
for target_idx in range(1, len(df)):
target_time_utc = df.iloc[target_idx]['timestamp']
target_time_bj = utc_to_beijing(target_time_utc)
if target_time_bj.year == 2026 and target_time_bj.month == 1:
jan_targets.append(target_idx)
print(f"1月(北京时间)目标K线数: {len(jan_targets)}")
results = []
for target_idx in jan_targets:
target_time_utc = df.iloc[target_idx]['timestamp']
target_time_bj = utc_to_beijing(target_time_utc)
# 输入K线索引(前一根)
input_idx = target_idx - 1
current_close = df.iloc[input_idx]['close']
target_close = df.iloc[target_idx]['close']
actual_label = 1 if target_close > current_close else 0
# --- DLinear 预测(create_labels方式:截取到input_idx,取X[-1]) ---
dl_pred = None
dl_prob = None
df_up_to_input = df.iloc[:input_idx + 1]
X, _ = preprocess_with_create_labels(df_up_to_input, scaler, lookback)
if len(X) > 0:
x_tensor = torch.FloatTensor(X[-1:]).to(device)
with torch.no_grad():
logits = model(x_tensor).cpu().numpy()
prob = 1 / (1 + np.exp(-logits))
dl_pred = int(prob.item() > 0.5)
dl_prob = float(prob.item())
results.append({
'time_utc': target_time_utc,
'time_bj': target_time_bj,
'current_close': current_close,
'target_close': target_close,
'actual': actual_label,
'dlinear': dl_pred,
'dl_prob': dl_prob,
})
# ========== 步骤4: 输出结果 ==========
if not results:
print("没有找到符合条件的测试样本")
return
df_res = pd.DataFrame(results)
df_res['date_bj'] = df_res['time_bj'].dt.date
df_res['us_open'] = df_res['time_utc'].apply(is_us_stock_open_by_utc)
total_samples = len(df_res)
print(f"\n[4/4] 准确率统计 (2026年1月,北京时间)")
print(f"总样本数: {total_samples}")
# ========== 每小时详细数据 ==========
print("\n" + "=" * 90)
print("每小时详细数据")
print("=" * 90)
hourly_header = (
f"{'北京时间':<18} {'前收盘':>10} {'现收盘':>10} {'实际':>4} "
f"{'DL':>3} {'':>1} {'概率':>6}"
)
for date_bj, day_group in df_res.groupby('date_bj'):
us_open = day_group['us_open'].iloc[0]
us_str = "美股开盘" if us_open else "美股休市"
dl_day_correct = (day_group['dlinear'] == day_group['actual']).sum()
dl_day_total = day_group['dlinear'].notna().sum()
dl_day_acc = dl_day_correct / dl_day_total if dl_day_total > 0 else 0
print(f"\n--- {date_bj} ({us_str}) --- DL准确率:{dl_day_acc:.1%} ({dl_day_correct}/{dl_day_total})")
print(hourly_header)
print("-" * 90)
for _, row in day_group.iterrows():
time_str = row['time_bj'].strftime('%m-%d %H:%M')
actual_str = fmt_pred(row['actual'])
dl_str = fmt_pred(row['dlinear'])
dl_r = fmt_result(row['dlinear'], row['actual'])
prob_str = f"{row['dl_prob']:.3f}" if row['dl_prob'] is not None else " N/A"
print(
f"{time_str:<18} {row['current_close']:>10.2f} {row['target_close']:>10.2f} {actual_str:>4} "
f"{dl_str:>3} {dl_r:>1} {prob_str:>6}"
)
# ========== 每日准确率汇总表 ==========
print("\n\n" + "=" * 90)
print("每日准确率汇总 (北京时间)")
print("=" * 90)
header = f"{'日期':<14} {'样本':>4} {'美股':>6} {'DLinear':>8}"
print(header)
print("-" * 90)
for date_bj, group in df_res.groupby('date_bj'):
total = len(group)
us_open = group['us_open'].iloc[0]
us_str = "开盘" if us_open else "休市"
dl_valid = group.dropna(subset=['dlinear'])
dl_acc = (dl_valid['dlinear'] == dl_valid['actual']).mean() if len(dl_valid) > 0 else 0
dl_str = f"{dl_acc:.1%}"
print(f"{str(date_bj):<14} {total:>4} {us_str:>6} {dl_str:>8}")
print("-" * 90)
# --- 总准确率 ---
dl_valid_all = df_res.dropna(subset=['dlinear'])
dl_total = (dl_valid_all['dlinear'] == dl_valid_all['actual']).mean() if len(dl_valid_all) > 0 else 0
print(f"{'总计':<14} {total_samples:>4} {'':>6} {dl_total:.2%}")
print("=" * 90)
# --- 美股开盘日 vs 休市日对比 ---
print("\n[美股开盘日 vs 休市日 准确率对比]")
print("-" * 60)
for label, flag in [("开盘日", True), ("休市日", False)]:
subset = df_res[df_res['us_open'] == flag]
if len(subset) == 0:
continue
n = len(subset)
dl_s = subset.dropna(subset=['dlinear'])
dl_a = (dl_s['dlinear'] == dl_s['actual']).mean() if len(dl_s) > 0 else 0
print(f" {label} ({n}样本): DLinear={dl_a:.2%}")
print("-" * 60)
# --- 预测分布统计 ---
print("\n[预测分布统计]")
print("-" * 60)
actual_up = (df_res['actual'] == 1).sum()
actual_down = (df_res['actual'] == 0).sum()
print(f" 实际: 上涨={actual_up} ({actual_up/total_samples:.1%}) 下跌={actual_down} ({actual_down/total_samples:.1%})")
dl_valid = df_res['dlinear'].dropna()
if len(dl_valid) > 0:
up = (dl_valid == 1).sum()
down = (dl_valid == 0).sum()
print(f" DLinear: 预测上涨={up} ({up/len(dl_valid):.1%}) 预测下跌={down} ({down/len(dl_valid):.1%})")
print("=" * 90)
if __name__ == "__main__":
main()