182 lines
7.4 KiB
Python
182 lines
7.4 KiB
Python
#!/usr/bin/env python3
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"""
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Demonstrate Signal Generation Difference
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========================================
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This script creates a clear visual demonstration of why the original strategy
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generates so many more exit signals than the incremental strategy.
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"""
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import pandas as pd
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import matplotlib.pyplot as plt
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import numpy as np
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def demonstrate_signal_difference():
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"""Create a visual demonstration of the signal generation difference."""
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print("🎯 DEMONSTRATING THE SIGNAL GENERATION DIFFERENCE")
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print("=" * 80)
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# Create a simple example scenario
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print("\n📊 EXAMPLE SCENARIO:")
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print("Meta-trend sequence: [0, -1, -1, -1, -1, 0, 1, 1, 0, -1, -1]")
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print("Time periods: [T1, T2, T3, T4, T5, T6, T7, T8, T9, T10, T11]")
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meta_trends = [0, -1, -1, -1, -1, 0, 1, 1, 0, -1, -1]
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time_periods = [f"T{i+1}" for i in range(len(meta_trends))]
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print("\n🔍 ORIGINAL STRATEGY BEHAVIOR:")
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print("-" * 50)
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print("Checks exit condition: prev_trend != 1 AND curr_trend == -1")
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print("Evaluates at EVERY time period:")
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original_exits = []
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for i in range(1, len(meta_trends)):
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prev_trend = meta_trends[i-1]
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curr_trend = meta_trends[i]
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# Original strategy exit condition
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if prev_trend != 1 and curr_trend == -1:
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original_exits.append(time_periods[i])
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print(f" {time_periods[i]}: {prev_trend} → {curr_trend} = EXIT SIGNAL ✅")
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else:
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print(f" {time_periods[i]}: {prev_trend} → {curr_trend} = no signal")
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print(f"\n📈 Original strategy generates {len(original_exits)} exit signals: {original_exits}")
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print("\n🔍 INCREMENTAL STRATEGY BEHAVIOR:")
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print("-" * 50)
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print("Checks exit condition: prev_trend != -1 AND curr_trend == -1")
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print("Only signals on STATE CHANGES:")
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incremental_exits = []
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last_signal_state = None
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for i in range(1, len(meta_trends)):
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prev_trend = meta_trends[i-1]
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curr_trend = meta_trends[i]
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# Incremental strategy exit condition
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if prev_trend != -1 and curr_trend == -1:
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# Only signal if we haven't already signaled this state change
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if last_signal_state != 'exit':
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incremental_exits.append(time_periods[i])
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last_signal_state = 'exit'
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print(f" {time_periods[i]}: {prev_trend} → {curr_trend} = EXIT SIGNAL ✅ (state change)")
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else:
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print(f" {time_periods[i]}: {prev_trend} → {curr_trend} = no signal (already signaled)")
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else:
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if curr_trend != -1:
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last_signal_state = None # Reset when not in exit state
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print(f" {time_periods[i]}: {prev_trend} → {curr_trend} = no signal")
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print(f"\n📈 Incremental strategy generates {len(incremental_exits)} exit signals: {incremental_exits}")
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print("\n🎯 KEY INSIGHT:")
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print("-" * 50)
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print(f"Original: {len(original_exits)} exit signals")
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print(f"Incremental: {len(incremental_exits)} exit signals")
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print(f"Difference: {len(original_exits) - len(incremental_exits)} more signals from original")
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print("\nThe original strategy generates exit signals at T2 AND T10")
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print("The incremental strategy only generates exit signals at T2 and T10")
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print("But wait... let me check the actual conditions...")
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# Let me re-examine the actual conditions
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print("\n🔍 RE-EXAMINING ACTUAL CONDITIONS:")
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print("-" * 50)
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print("ORIGINAL: prev_trend != 1 AND curr_trend == -1")
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print("INCREMENTAL: prev_trend != -1 AND curr_trend == -1")
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print("\nThese are DIFFERENT conditions!")
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print("\n📊 ORIGINAL STRATEGY DETAILED:")
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original_exits_detailed = []
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for i in range(1, len(meta_trends)):
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prev_trend = meta_trends[i-1]
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curr_trend = meta_trends[i]
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if prev_trend != 1 and curr_trend == -1:
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original_exits_detailed.append(time_periods[i])
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print(f" {time_periods[i]}: prev({prev_trend}) != 1 AND curr({curr_trend}) == -1 → TRUE ✅")
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print("\n📊 INCREMENTAL STRATEGY DETAILED:")
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incremental_exits_detailed = []
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for i in range(1, len(meta_trends)):
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prev_trend = meta_trends[i-1]
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curr_trend = meta_trends[i]
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if prev_trend != -1 and curr_trend == -1:
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incremental_exits_detailed.append(time_periods[i])
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print(f" {time_periods[i]}: prev({prev_trend}) != -1 AND curr({curr_trend}) == -1 → TRUE ✅")
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print(f"\n🎯 CORRECTED ANALYSIS:")
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print("-" * 50)
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print(f"Original exits: {original_exits_detailed}")
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print(f"Incremental exits: {incremental_exits_detailed}")
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print("\nBoth should generate the same exit signals!")
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print("The difference must be elsewhere...")
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return True
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def analyze_real_difference():
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"""Analyze the real difference based on our test results."""
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print("\n\n🔍 ANALYZING THE REAL DIFFERENCE")
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print("=" * 80)
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print("From our test results:")
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print("• Original: 37 exit signals in 3 days")
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print("• Incremental: 5 exit signals in 3 days")
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print("• Both had 36 meta-trend changes")
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print("\n🤔 THE MYSTERY:")
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print("If both strategies have the same exit conditions,")
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print("why does the original generate 7x more exit signals?")
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print("\n💡 THE ANSWER:")
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print("Looking at the original exit signals:")
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print(" 1. 2025-01-01 00:15:00")
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print(" 2. 2025-01-01 08:15:00")
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print(" 3. 2025-01-01 08:30:00 ← CONSECUTIVE!")
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print(" 4. 2025-01-01 08:45:00 ← CONSECUTIVE!")
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print(" 5. 2025-01-01 09:00:00 ← CONSECUTIVE!")
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print("\nThe original strategy generates exit signals at")
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print("CONSECUTIVE time periods when meta-trend stays at -1!")
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print("\n🎯 ROOT CAUSE IDENTIFIED:")
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print("-" * 50)
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print("ORIGINAL STRATEGY:")
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print("• Checks: prev_trend != 1 AND curr_trend == -1")
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print("• When meta-trend is -1 for multiple periods:")
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print(" - T1: 0 → -1 (prev != 1 ✅, curr == -1 ✅) → EXIT")
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print(" - T2: -1 → -1 (prev != 1 ✅, curr == -1 ✅) → EXIT")
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print(" - T3: -1 → -1 (prev != 1 ✅, curr == -1 ✅) → EXIT")
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print("• Generates exit signal at EVERY bar where curr_trend == -1")
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print("\nINCREMENTAL STRATEGY:")
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print("• Checks: prev_trend != -1 AND curr_trend == -1")
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print("• When meta-trend is -1 for multiple periods:")
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print(" - T1: 0 → -1 (prev != -1 ✅, curr == -1 ✅) → EXIT")
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print(" - T2: -1 → -1 (prev != -1 ❌, curr == -1 ✅) → NO EXIT")
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print(" - T3: -1 → -1 (prev != -1 ❌, curr == -1 ✅) → NO EXIT")
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print("• Only generates exit signal on TRANSITION to -1")
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print("\n🏆 FINAL ANSWER:")
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print("=" * 80)
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print("The original strategy has a LOGICAL ERROR!")
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print("It should check 'prev_trend != -1' like the incremental strategy.")
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print("The current condition 'prev_trend != 1' means it exits")
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print("whenever curr_trend == -1, regardless of previous state.")
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print("This causes it to generate exit signals at every bar")
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print("when the meta-trend is in a downward state (-1).")
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def main():
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"""Main demonstration function."""
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demonstrate_signal_difference()
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analyze_real_difference()
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return True
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if __name__ == "__main__":
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success = main()
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exit(0 if success else 1) |