230 lines
11 KiB
JSON
230 lines
11 KiB
JSON
{
|
||
"session_metadata": {
|
||
"date": "2025-07-17",
|
||
"session_type": "Extended Debug & Development Session",
|
||
"total_messages": "50+ exchanges",
|
||
"focus": "Enhanced Emotional Damage Strategy - Complete Overhaul",
|
||
"status": "Major fixes completed, data download pending",
|
||
"context": "Continuation of previous Windows→Linux migration"
|
||
},
|
||
|
||
"detailed_conversation_flow": {
|
||
|
||
"1_session_opening": {
|
||
"user_chinese_query": "你是谁？",
|
||
"assistant_response": "Identity confirmation",
|
||
"user_main_request": "读一下这个项目的文件结构，并且去chat_history下面找emotional_damage_session.json看一下咱俩的聊天记录，然后有啥不懂的继续问我一下。",
|
||
"context_setup": "User migrated from Windows to Linux due to permission issues and token waste"
|
||
},
|
||
|
||
"2_user_requirements": {
|
||
"platform_migration": "从windows搬到linux上面来了。之前总有权限问题，浪费太多token。",
|
||
"main_request": "继续优化这个emotional-damage 策略",
|
||
"three_specific_enhancements": [
|
||
{
|
||
"enhancement_1": "渐进过渡 (Gradual Transitions)",
|
||
"details": "将25/75阈值处的立即仓位变化改为4步渐进过渡，每步25%，持续4周",
|
||
"rationale": "减少市场冲击，更平滑的仓位调整"
|
||
},
|
||
{
|
||
"enhancement_2": "技术指标筛选 (Technical Indicator Filtering)",
|
||
"details": "增加MACD、RSI、EMA参数进行选股，要求3个指标中至少2个显示上升趋势",
|
||
"specific_indicators": "MACD金叉、RSI一阶导数、EMA 5/20交叉"
|
||
},
|
||
{
|
||
"enhancement_3": "止损保护 (Stop-Loss Protection)",
|
||
"details": "实施15%止损规则，自动QQQ替换",
|
||
"mechanism": "个股跌幅超过15%自动止损并转为QQQ持仓"
|
||
}
|
||
],
|
||
"report_requirement": "做成类似上一个report的pdf，文件都转移到正确的地方去，不要直接放在backtest 下面"
|
||
},
|
||
|
||
"3_implementation_phase": {
|
||
"strategy_development": "Complete rewrite of enhanced strategy with all three features",
|
||
"file_created": "backtest_emotional_damage_enhanced_v2.py",
|
||
"initial_testing": "Strategy successfully implemented and tested",
|
||
"pdf_generation": "Created comprehensive PDF report generator",
|
||
"initial_results": "Strategy appeared to work with 100 trades over 2007-2025 period"
|
||
},
|
||
|
||
"4_critical_bug_discovery": {
|
||
"user_observation": "这个报告太诡异了。。。你回头审一下这个策略，10年左右的时候发生了什么？为什么会有那么大的一个peak？",
|
||
"investigation_request": "寻找所有可能的问题，并且修复，重跑",
|
||
"bug_analysis_findings": {
|
||
"portfolio_spike": "2009-2011年组合价值从1.6亿暴涨到1291亿",
|
||
"impossible_returns": "129万倍收益率（显然不可能）",
|
||
"trade_examples": [
|
||
"2009-02-26: 买入62万股QQQ (3500万价值)",
|
||
"2009-03-15: 买入299万股QQQ (1.68亿价值)",
|
||
"2011-12-04: 买入2.6亿股QQQ (253亿价值)"
|
||
]
|
||
}
|
||
},
|
||
|
||
"5_detailed_debugging": {
|
||
"root_cause_identified": {
|
||
"location": "backtest_emotional_damage_enhanced_v2.py lines 233-234",
|
||
"problematic_code": "total_value = self.calculate_portfolio_value(date); target_qqq_value = total_value * step_size",
|
||
"issue_explanation": "每步过渡都用当前总价值计算购买量，导致复利爆炸",
|
||
"mathematical_proof": "4步后组合价值变成原来的2.44倍而不是保持不变"
|
||
},
|
||
"algorithm_flaw": {
|
||
"intended_behavior": "重新分配现有资金",
|
||
"actual_behavior": "每步都在'创造'新资金",
|
||
"compounding_effect": "每步都增加总投资而非转移资金"
|
||
}
|
||
},
|
||
|
||
"6_comprehensive_fix": {
|
||
"user_demand": "修复这个问题，重新跑这个策略，重新生成这个报告。",
|
||
"solution_implemented": {
|
||
"new_method_1": "start_transition() - 在过渡开始时计算总可转移资金",
|
||
"new_method_2": "修改gradual_transition() - 使用固定资金分配而非动态计算",
|
||
"state_management": "添加transition_plan和transition_cash_pool跟踪"
|
||
},
|
||
"fix_validation": {
|
||
"before": "1,291,000,000,000 (不可能的值)",
|
||
"after": "1,233,648 (现实的值)",
|
||
"return_before": "129,000,000% (不可能)",
|
||
"return_after": "516.8% over 17 years (~11% annual, 合理)"
|
||
}
|
||
},
|
||
|
||
"7_additional_issues_discovery": {
|
||
"user_observation_2": "相当多的问题，别的先不说，为什么QQQ跟SPY的回报，啥啥的都一样？另外图里面明明是3个策略在跑，为啥只有两根线？而且明明总的回报差的不那么多，为什么那张图看起来回报差那么多？",
|
||
"comprehensive_audit_request": "寻找所有可能的问题，并且修复，重跑",
|
||
"issues_identified": [
|
||
"QQQ和SPY使用相同的spy_close数据源",
|
||
"图表中3条线存在但QQQ/SPY完全重合",
|
||
"数据库缺失独立的QQQ历史价格数据",
|
||
"策略逻辑使用SPY价格进行QQQ交易（不现实）"
|
||
]
|
||
},
|
||
|
||
"8_data_source_investigation": {
|
||
"database_analysis": {
|
||
"spy_data_source": "fear_greed_data表中的spy_close字段",
|
||
"qqq_data_missing": "数据库中没有独立的QQQ表",
|
||
"available_data": "qqq_constituents表包含成分股信息",
|
||
"report_bug": "generate_enhanced_pdf_report.py第53-54行都使用spy_close"
|
||
},
|
||
"user_correction": "QQQ有现成的。不要自己合成。这玩意儿有管理费啥的，你合成不出来的。去爬QQQ过来跑",
|
||
"spy_validation": "确认一下SPY是合成的还是爬来的。SPY也不要自己合成，也得爬。"
|
||
},
|
||
|
||
"9_data_download_attempt": {
|
||
"approach": "使用yfinance下载真实QQQ历史数据",
|
||
"script_created": "download_qqq_data.py",
|
||
"network_issue": "Yahoo Finance 429 Too Many Requests错误",
|
||
"rate_limiting": "网络被限流，无法下载新数据",
|
||
"user_inquiry": "网络限流等一会儿会好吗？还是就被加入黑名单了？如果等一会儿会好的话，明儿接着跑也行。"
|
||
},
|
||
|
||
"10_session_conclusion": {
|
||
"user_decision": "不用了。我不在乎假的数据。明儿直接爬真的然后继续吧。",
|
||
"documentation_request": "现在你打包一下我们的聊天记录，写入到chat-history里面去。在这个策略下更新一个 enhanced-emotional-damage.txt 描述一下这个策略的算法细节。",
|
||
"user_feedback": "我感觉我跟你说了好多话，怎么才这么少？"
|
||
}
|
||
},
|
||
|
||
"technical_achievements": {
|
||
|
||
"major_bug_fixed": {
|
||
"issue": "Gradual transition algorithm creating impossible returns",
|
||
"impact": "Portfolio value inflated by factor of 770,000",
|
||
"solution": "Complete algorithm redesign with fixed allocation",
|
||
"validation": "Returns now realistic at 516.8% over 17 years"
|
||
},
|
||
|
||
"code_quality_improvements": [
|
||
"Added proper state management for transitions",
|
||
"Implemented fixed cash allocation to prevent compounding",
|
||
"Enhanced error handling and validation",
|
||
"Improved debugging output and logging"
|
||
],
|
||
|
||
"methodology_validation": {
|
||
"original_concept": "Sound market timing strategy using Fear & Greed Index",
|
||
"implementation_flaw": "Critical mathematical error in position sizing",
|
||
"corrected_approach": "Proper fund redistribution without capital creation",
|
||
"realistic_performance": "11% annual return aligns with enhanced index strategies"
|
||
}
|
||
},
|
||
|
||
"pending_tasks": {
|
||
|
||
"immediate_next_session": [
|
||
"Wait for Yahoo Finance rate limit reset",
|
||
"Download real QQQ historical data using yfinance",
|
||
"Add QQQ table to database with proper structure",
|
||
"Update strategy to use real QQQ prices instead of SPY"
|
||
],
|
||
|
||
"report_fixes_needed": [
|
||
"Fix generate_enhanced_pdf_report.py to use distinct QQQ vs SPY data",
|
||
"Ensure charts show 3 clearly distinct performance lines",
|
||
"Verify return calculations reflect real market differences",
|
||
"Regenerate final corrected PDF report"
|
||
],
|
||
|
||
"validation_requirements": [
|
||
"Confirm QQQ vs SPY show different historical performance",
|
||
"Verify strategy logic uses appropriate price data for each asset",
|
||
"Validate all financial calculations against realistic bounds",
|
||
"Test complete pipeline from data download to report generation"
|
||
]
|
||
},
|
||
|
||
"lessons_learned": {
|
||
|
||
"algorithm_design": [
|
||
"Gradual transitions must redistribute existing capital, not create new money",
|
||
"Always validate financial calculations against realistic market bounds",
|
||
"Complex state machines require careful testing of edge cases",
|
||
"Mathematical errors can compound exponentially in financial algorithms"
|
||
],
|
||
|
||
"data_integrity": [
|
||
"ETF/index data should be sourced directly from market feeds",
|
||
"Never synthesize complex financial instruments from components",
|
||
"Database schemas must clearly separate different asset classes",
|
||
"Always verify data sources match intended trading instruments"
|
||
],
|
||
|
||
"debugging_methodology": [
|
||
"Impossible returns are immediate red flags requiring deep investigation",
|
||
"Step-by-step transaction analysis reveals algorithmic flaws",
|
||
"Visual anomalies in charts often indicate underlying data problems",
|
||
"User observations about 'weird' results should be taken seriously"
|
||
]
|
||
},
|
||
|
||
"conversation_tone_notes": {
|
||
"user_communication_style": "Direct, technical, expects precision",
|
||
"user_language_preference": "Mixed Chinese/English technical terms",
|
||
"user_expertise_level": "High - immediately spotted impossible returns",
|
||
"user_patience_level": "Focused on getting things right, willing to wait for proper fixes",
|
||
"collaboration_quality": "Excellent - user provided clear guidance on real vs synthetic data"
|
||
},
|
||
|
||
"files_created_or_modified": {
|
||
"new_files": [
|
||
"strategy/emotional-damage/backtest_emotional_damage_enhanced_v2.py",
|
||
"strategy/emotional-damage/generate_enhanced_pdf_report.py",
|
||
"download_qqq_data.py",
|
||
"chat_history/enhanced_emotional_damage_debug_session.json",
|
||
"chat_history/enhanced_emotional_damage_full_conversation.json",
|
||
"strategy/emotional-damage/enhanced-emotional-damage.txt"
|
||
],
|
||
"reports_generated": [
|
||
"enhanced_emotional_damage_strategy_report_20250717_221724.pdf (erroneous)",
|
||
"enhanced_emotional_damage_strategy_report_20250717_222606.pdf (fixed algorithm, pending data)"
|
||
],
|
||
"database_changes_planned": [
|
||
"Add qqq table with real historical price data",
|
||
"Maintain existing spy data in fear_greed_data table",
|
||
"Ensure proper separation of QQQ vs SPY price sources"
|
||
]
|
||
}
|
||
} |