Improve nonlinear PM diagnostics

2026-06-28 09:59:36 +08:00
parent 6be4bb976a
commit 0fe3bd864e
4 changed files with 282 additions and 46 deletions
@@ -400,6 +400,8 @@ def _simulate_open_trades(
    trades["actual_edge_bps"] = np.where(is_long, trades["long_trade_net_edge_bps"], trades["short_trade_net_edge_bps"])
    trades["label_actual_plan_edge_bps"] = np.where(is_long, trades["actual_long_plan_edge_bps"], trades["actual_short_plan_edge_bps"])
    trades["entry_target"] = np.where(is_long, trades["long_entry_target"], trades["short_entry_target"])
+    trades["target_hit"] = np.where(is_long, trades["long_target_hit"], trades["short_target_hit"]).astype(int)
+    trades["stop_hit"] = np.where(is_long, trades["long_stop_hit"], trades["short_stop_hit"]).astype(int)
    effective_pm_config = pm_config or _pm_config_from_thresholds(thresholds)
    effective_price_plan = price_plan or DEFAULT_BACKTEST_PRICE_PLAN
    trades["time_to_exit_ms"] = _time_to_exit_ms(trades, is_long, effective_price_plan)
@@ -424,6 +426,8 @@ def _simulate_open_trades(
            "label_actual_plan_edge_bps",
            "actual_edge_bps",
            "entry_target",
+            "target_hit",
+            "stop_hit",
            "time_to_exit_ms",
            "planned_ratio",
            "weighted_edge_bps",
@@ -447,6 +451,8 @@ def _empty_trade_frame() -> pd.DataFrame:
            "label_actual_plan_edge_bps",
            "actual_edge_bps",
            "entry_target",
+            "target_hit",
+            "stop_hit",
            "time_to_exit_ms",
            "planned_ratio",
            "weighted_edge_bps",