313 lines
14 KiB
Python
313 lines
14 KiB
Python
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# -*- coding: utf-8 -*-
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"""AUDIT LIQUIDITY SWEEP — uji semantik kode existing (TANPA modifikasi production).
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Menguji 3 primitif sweep FEATURE_CONTRACT v1.0:
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f7 (DetectLiquidityGrabs), f10/f11 (DetectEQ)
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A. DEFINISI AKTUAL KODE (ekstraksi otomatis, bukan asumsi)
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B. EVENT VS STATE TEST (section 17):
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- onset transition vs total active bars (satu onset = SATU event)
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- run-length distribusi state f7/f10/f11
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- state age f7 (berapa lama state bertahan setelah grab)
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C. REPEATED-EVENT CHECK utk stream f9-confirm (E_BUY/E_SELL P3.2.2)
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D. WINDOWED vs FULL-FEED divergence f7 (EA 700-bar window vs training full feed)
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E. SEMANTIC CHECKLIST (reference, rejection, ATR, threshold, timeframe, emission)
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F. REGRESSION TEST SPECS (Given/When/Expected/Current) — spek SAJA, TIDAK fix
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Usage: python audit_liquidity_sweep.py
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"""
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import os
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import sys
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import json
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import datetime as dt
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import numpy as np
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HERE = os.path.dirname(os.path.abspath(__file__))
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sys.path.insert(0, HERE)
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import smc_semantic_common as SC
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def run_stats(mask):
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rr = []
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cur = mask[0]
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ln = 1
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for i in range(1, len(mask)):
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if mask[i] == cur:
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ln += 1
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else:
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if cur:
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rr.append(ln)
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cur = mask[i]
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ln = 1
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if cur:
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rr.append(ln)
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return np.array(rr)
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def main():
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t, o, h, l, c, v, htf = SC.load_data()
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F = SC.load_F()
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A = SC.atr_series(h, l, c)
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n = len(c)
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sw_full, inn_full = SC.build_structures(o, h, l, c)
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pairs_h, pairs_l = SC.eq_pairs(h, l, sw_full["pivots"])
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sweep_dir, sweep_bar = SC.sweep_state(h, l, c, inn_full["pivots"])
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f7 = F[:, 7].astype(int)
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f10 = F[:, 10].astype(int)
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f11 = F[:, 11].astype(int)
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f9 = F[:, 9].astype(int)
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report = {}
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# ================= A. DEFINISI AKTUAL KODE =================
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report["definition_f7_grab"] = {
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"reference": "internal pivot (fractal len=5) — ProcessStructure(INTERNAL_LEN=5, internal=true)",
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"condition_bearish": "isHigh && high[b] > lvl && close[b] < lvl (buy-side swept -> dir=-1)",
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"condition_bullish": "!isHigh && low[b] < lvl && close[b] > lvl (sell-side swept -> dir=+1)",
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"lookback_window": f"{SC.GRAB_WINDOW} bar setelah pivot (b in (p, p+8])",
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"atr_usage": "TIDAK dipakai",
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"minimum_excess": "0 (semua wick > lvl sudah dihitung, tanpa ambang)",
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"close_requirement": "YA (close kembali di bawah/atas level)",
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"reference_liquidity": "single internal swing high/low (bukan EQ pair)",
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"timeframe": "M15 (hanya chart TF; fitur f7 dihitung pada bar M15 tertutup)",
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"event_emission": "STATE: g_swpDir/g_swpBar disimpan dan persist sampai grab lebih baru "
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"(state age tidak dibatasi)",
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"multiple_per_bar": "v4.4/v4.5 menggambar 1 arrow per (pivot, bar pertama match); "
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"beberapa pivot dpt menghasilkan beberapa arrow pd bar sama",
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}
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report["definition_f10_f11_eq"] = {
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"reference": "pasangan SWING pivot berurutan (fractal len=50), same-type (HH atau LL)",
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"pair_requirement": f"|bar(p2)-bar(p1)| >= {SC.EQ_BARS} ; |price(p2)-price(p1)| <= "
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f"{SC.EQ_TOL_ATR}*ATR(row)",
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"swept_condition": "EQH: ada bar b in (p2, r] dgn high[b] > pr2 ; "
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"EQL: ada bar b in (p2, r] dgn low[b] < pr2",
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"lookback_window": f"p1 >= r-{SC.W_LO} DAN p2 <= r-{SC.W_HI} (pivot valid absolut)",
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"atr_usage": f"YA — tolerance = {SC.EQ_TOL_ATR} * ATR(bar row r) (bukan ATR pivot)",
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"minimum_excess": "0 (tembus wick berapa pun dihitung)",
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"close_requirement": "TIDAK ADA (close-back DITARIK karena uji AUC — DESAIN_MTF_v45.md)",
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"reference_liquidity": "equal highs (EQH) / equal lows (EQL)",
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"timeframe": "M15",
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"event_emission": "STATE monotonic: eqh_swept/eql_swept = 1 utk semua r >= first_cross "
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"sampai pair keluar window [r-649, r-50] (~649 bar)",
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}
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# ================= B. EVENT VS STATE TEST =================
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sb_events = np.unique(sweep_bar[sweep_bar >= 0])
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f7_active_bars = int((f7 != 0).sum())
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f7_onset = len(sb_events)
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# run "aktif" (f7 != 0): apakah state pernah kembali ke 0 setelah grab pertama?
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runs_any = run_stats((f7 != 0).astype(int))
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# run arah (f7 == nilai yg sama): berapa lama SATU grab mendominasi state
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runs_dir = []
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cur, ln = f7[0], 1
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for i in range(1, n):
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if f7[i] == cur:
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ln += 1
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else:
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if cur != 0:
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runs_dir.append(ln)
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cur, ln = f7[i], 1
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if cur != 0:
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runs_dir.append(ln)
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runs_dir = np.array(runs_dir)
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report["event_state_f7"] = {
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"active_bars": f7_active_bars,
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"onset_events": f7_onset,
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"repetition_ratio": round(f7_active_bars / max(1, f7_onset), 1),
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"any_active_runs_n": int(len(runs_any)),
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"any_active_run_len": int(runs_any.sum()) if len(runs_any) else None,
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"never_returns_to_zero": bool(len(runs_any) == 1 and runs_any[0] >= n - 200),
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"dir_run_median": int(np.median(runs_dir)) if len(runs_dir) else None,
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"dir_run_max": int(runs_dir.max()) if len(runs_dir) else None,
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"dir_run_n": int(len(runs_dir)),
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"note": "f7 TIDAK pernah reset ke 0 setelah grab pertama (state permanen); "
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"satu grab mendominasi state selama median dir_run bar",
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"verdict": "STATE PERMANEN (bukan event) — hipotesis D terkonfirmasi di level populasi",
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}
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def onset_offset(x):
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tr = np.diff(np.concatenate(([0], x.astype(int))))
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return int((tr == 1).sum()), int((tr == -1).sum())
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for name, arr in (("f10_eqh", f10), ("f11_eql", f11)):
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on, off = onset_offset(arr)
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true_bars = int((arr == 1).sum())
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rr = run_stats(arr.astype(int))
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report[f"event_state_{name}"] = {
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"true_bars": true_bars,
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"onsets": on,
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"offsets": off,
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"repetition_ratio": round(true_bars / max(1, on), 1),
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"state_run_median": int(np.median(rr)) if len(rr) else None,
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"state_run_max": int(rr.max()) if len(rr) else None,
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"state_run_n": int(len(rr)),
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"note": "onset 1x -> state bertahan ~r sampai pair keluar window (max ~649 bar)",
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"verdict": "STATE MONOTONIC (event hanya pada onset)",
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}
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age = np.full(n, -1)
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for i in range(n):
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if sweep_bar[i] >= 0:
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age[i] = i - sweep_bar[i]
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age_pos = age[age >= 0]
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report["f7_state_age_bars"] = {
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"median": int(np.median(age_pos)) if len(age_pos) else None,
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"p90": int(np.percentile(age_pos, 90)) if len(age_pos) else None,
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"max": int(age_pos.max()) if len(age_pos) else None,
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"frac_age_lt_8": round(float((age_pos < 8).mean()), 4),
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"frac_age_ge_16": round(float((age_pos >= 16).mean()), 4),
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"frac_age_ge_40": round(float((age_pos >= 40).mean()), 4),
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}
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# ================= C. REPEATED-EVENT f9-confirm =================
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e_buy = (f9 == 1) & (f7 > 0)
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e_sell = (f9 == 1) & (f7 < 0)
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report["repeated_event_f9confirm"] = {}
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for name, mask in (("E_BUY", e_buy), ("E_SELL", e_sell)):
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rr = run_stats(mask.astype(int))
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tot = int(mask.sum())
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report["repeated_event_f9confirm"][name] = {
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"event_bars": tot,
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"runs": int(len(rr)),
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"run_median": int(np.median(rr)) if len(rr) else None,
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"run_max": int(rr.max()) if len(rr) else None,
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"repetition_ratio": round(tot / max(1, len(rr)), 1),
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}
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# ================= D. WINDOWED vs FULL-FEED (f7) =================
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rnd = np.random.RandomState(7)
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probe = np.sort(rnd.choice(np.arange(700, n), size=min(1500, n - 700), replace=False))
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div = 0
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n_probe = len(probe)
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for r in probe:
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s = r - 699
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o_w, h_w, l_w, c_w = o[s:r + 1], h[s:r + 1], l[s:r + 1], c[s:r + 1]
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sw_at_w = np.zeros(len(c_w), dtype=int)
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sw_w = SC.TM.build_structure(o_w, h_w, l_w, c_w, SC.SWING_LEN, False,
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sw_at_w, begin=100)
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inn_w = SC.TM.build_structure(o_w, h_w, l_w, c_w, SC.INTERNAL_LEN, True,
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sw_w["trend"].copy(), begin=100)
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cur_sd, cur_sb = 0, -1
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for (p, lvl, is_high) in inn_w["pivots"]:
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pa = p + s
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last = min(r, pa + SC.GRAB_WINDOW)
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for b in range(pa + 1, last + 1):
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if is_high and h[b] > lvl and c[b] < lvl:
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if b > cur_sb:
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cur_sd, cur_sb = -1, b
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break
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if (not is_high) and l[b] < lvl and c[b] > lvl:
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if b > cur_sb:
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cur_sd, cur_sb = 1, b
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break
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if cur_sb >= 0 and cur_sd != f7[r]:
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div += 1
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report["f7_windowed_vs_fullfeed"] = {
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"probed_bars": n_probe,
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"divergent_bars": div,
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"divergence_rate": round(div / max(1, n_probe), 6),
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"note": "EA memakai window 700 bar; training (parity-verified) memakai full feed. "
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"Divergensi teoretis bila grab terakhir berasal dr pivot < r-699.",
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}
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# ================= E. SEMANTIC CHECKLIST =================
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report["semantic_checklist"] = {
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"reference": {
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"f7": "internal swing (len=5) single level",
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"f10/f11": "EQ pair swing (len=50)",
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},
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"rejection": {
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"f7": "ADA (close-back)",
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"f10/f11": "TIDAK ADA (ditarik via uji AUC — definisi dipilih berdasarkan backtest, "
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"bukan semantik SMC)",
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},
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"atr": {"f7": "TIDAK", "f10/f11": "YA (tol 0.10*ATR row)"},
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"threshold": {"f7": "TIDAK (excess>=0)", "f10/f11": "hanya utk |dp| EQ, bukan excess sweep"},
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"timeframe": {"f7": "M15", "f10/f11": "M15"},
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"emission": {"f7": "state persist tanpa batas umur", "f10/f11": "state monotonic ~649 bar"},
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"per_bar_multiple": "f7 dapat mengaktifkan beberapa arrow (beberapa pivot) pd bar yg sama; "
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"state hanya menyimpan yg paling baru",
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}
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# ================= F. REGRESSION TEST SPECS (spek SAJA) =================
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report["regression_test_specs"] = [
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{
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"id": "R1_EVENT_VS_STATE_F10",
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"given": "EQH pair valid (p1,p2,fc) dgn fc <= r. Kondisi terpenuhi mulai r=fc.",
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"when": "r berjalan fc, fc+1, ..., fc+649",
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"expected": "SATU event di onset (r=fc); state boleh bertahan utk fitur kontinu",
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"current": "f10==1 utk SEMUA r in [fc, fc+~649] — stream event menghitung ~649 event "
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"utk satu sweep (lihat P3.2.2 E_EQH retention 2.05%)",
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"severity": "SEMANTIC STATE/EVENT BUG (hipotesis D)",
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},
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{
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"id": "R2_NO_REJECTION_EQ",
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"given": "EQH pair valid; bar fc dgn high[fc] > pr2 namun close[fc] < pr2 "
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"(wick sweeps, close kembali)",
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"when": "machine mengevaluasi f10 di bar fc",
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"expected": "Sweep memerlukan rejection/close-back utk konsisten dgn definisi SMC "
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"(sweep = grab + rejection)",
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"current": "f10=1 tanpa syarat close — wick break saja sudah 'swept' (definisi "
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"dipilih via AUC, DESAIN_MTF_v45.md)",
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"severity": "DEFINITION AMBIGUITY (hipotesis B) — wajib adjudikasi dgn human",
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},
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{
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"id": "R3_F7_STATE_AGE",
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"given": "Grab f7 terjadi di bar b (sweep_dir=-1)",
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"when": "r = b+40 (melewati InpSeqWindow=40 dan umur setup P3.2.2 8-16 bar)",
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"expected": "Event sweep dianggap basi; fitur tidak lagi menyatakan 'sweep aktif' "
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"tanpa konteks waktu",
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"current": "f7 tetap -1 tanpa batas umur sampai ada grab baru — state basi tetap "
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"dihitung sbg sinyal (f18 +15, f9-confirm tetap 1)",
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"severity": "EVENT/STATE SEMANTIC ISSUE (hipotesis D) — umur setup tidak dimodelkan",
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},
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{
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"id": "R4_F7_WINDOWED_VS_FULLFEED",
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"given": "Grab terakhir terjadi di bar b dari pivot p < r-699",
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"when": "EA (window 700) vs training (full feed) mengevaluasi f7 di bar r",
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"expected": "f7 runtime == f7 training (parity)",
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"current": "divergence diukur (lihat f7_windowed_vs_fullfeed) — kecil secara empiris, "
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"tapi secara semantik ada window mismatch",
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"severity": "LOW (parity empiris hampir sempurna); dokumentasikan sbg risiko",
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},
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{
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"id": "R5_NO_EXCESS_THRESHOLD",
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"given": "Bar dgn wick menembus level 0.001 ATR di atas reference",
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"when": "f10/f11 dievaluasi",
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"expected": "Sweep bermakna memerlukan excess signifikan (>= ambang) utk mencegah noise",
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"current": "excess minimum = 0 — tembus wick sekecil apa pun = swept",
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"severity": "DEFINITION SIMPLIFICATION (hipotesis B)",
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},
|
||
|
|
{
|
||
|
|
"id": "R6_REFERENCE_TIMEFRAME_M15_ONLY",
|
||
|
|
"given": "Human melihat sweep pada M30/H4 (level likuiditas HTF)",
|
||
|
|
"when": "machine mengevaluasi sweep pd bar M15",
|
||
|
|
"expected": "Deteksi sweep pada timeframe yg sama dgn referensi likuiditas",
|
||
|
|
"current": "f7/f10/f11 hanya dihitung pada M15; HTF hanya dipakai sbg bias arah "
|
||
|
|
"(f0-f2) — referensi likuiditas HTF TIDAK ada di fitur sweep",
|
||
|
|
"severity": "TIMEFRAME SEMANTIC GAP (hipotesis C) — wajib diuji dgn golden cases",
|
||
|
|
},
|
||
|
|
]
|
||
|
|
|
||
|
|
report["verdict_draft"] = {
|
||
|
|
"event_vs_state": "KONFIRMASI BUG STATE/EVENT (D): f7 persist tanpa batas umur "
|
||
|
|
"(99.95% bar aktif); f10/f11 state monotonic ~649 bar; stream "
|
||
|
|
"f9-confirm berulang dgn run median > 1",
|
||
|
|
"rejection_semantics": "f10/f11 TANPA rejection (definisi dipilih via AUC) — "
|
||
|
|
"konflik dgn definisi SMC manusia; wajib golden-test",
|
||
|
|
"timeframe": "Hanya M15 — referensi likuiditas HTF tidak direpresentasikan",
|
||
|
|
}
|
||
|
|
|
||
|
|
SC.save_json("audit_liquidity_sweep.json", report)
|
||
|
|
|
||
|
|
print(json.dumps({k: report[k] for k in
|
||
|
|
("event_state_f7", "event_state_f10_eqh", "event_state_f11_eql",
|
||
|
|
"repeated_event_f9confirm", "f7_windowed_vs_fullfeed")},
|
||
|
|
indent=2, default=str))
|
||
|
|
|
||
|
|
|
||
|
|
if __name__ == "__main__":
|
||
|
|
main()
|