update

backend/app/api/system.py

@@ -91,6 +91,9 @@ def _normalize_platform_position(platform: str, position: Dict[str, Any]) -> Dic
         "take_profit": position.get("take_profit"),
         "stop_loss": position.get("stop_loss"),
         "liquidation_price": position.get("liquidation_price"),
+        "setup_type": position.get("setup_type"),
+        "setup_basis": position.get("setup_basis"),
+        "entry_basis": position.get("entry_basis"),
         "opened_at": position.get("opened_at") or position.get("created_at"),
     }
 
@@ -128,6 +131,9 @@ def _normalize_platform_order(platform: str, order: Dict[str, Any]) -> Dict[str,
         "take_profit": order.get("take_profit"),
         "signal_grade": order.get("signal_grade"),
         "signal_type": order.get("signal_type"),
+        "setup_type": order.get("setup_type"),
+        "setup_basis": order.get("setup_basis"),
+        "entry_basis": order.get("entry_basis"),
         "confidence": _safe_float(order.get("confidence")),
         "created_at": order.get("created_at") or order.get("timestamp"),
     }

backend/app/crypto_agent/crypto_agent.py

@@ -126,6 +126,69 @@ class CryptoAgent:
         },
     }
 
+    SETUP_EXECUTION_PROFILES = {
+        'breakout_confirmation': {
+            'margin_multiplier': 0.75,
+            'max_margin_pct_cap': 0.12,
+            'same_direction_position_policy': 'no_add',
+            'same_direction_pending_policy': 'no_replace',
+            'max_same_side_pending': 1,
+            'opposite_flip_confidence_delta': 3,
+            'allow_close_opposite_on_small_loss': False,
+        },
+        'breakout_pullback': {
+            'margin_multiplier': 0.95,
+            'max_margin_pct_cap': 0.18,
+            'same_direction_position_policy': 'hold',
+            'same_direction_pending_policy': 'replace_better',
+            'max_same_side_pending': 1,
+            'opposite_flip_confidence_delta': 2,
+        },
+        'trend_continuation_pullback': {
+            'margin_multiplier': 1.0,
+            'max_margin_pct_cap': 0.18,
+            'same_direction_position_policy': 'scale_in',
+            'same_direction_pending_policy': 'replace_better',
+            'max_same_side_pending': 2,
+            'opposite_flip_confidence_delta': 2,
+        },
+        'deep_pullback_continuation': {
+            'margin_multiplier': 0.8,
+            'max_margin_pct_cap': 0.12,
+            'same_direction_position_policy': 'scale_in_only_if_deep_edge',
+            'same_direction_pending_policy': 'replace_better',
+            'max_same_side_pending': 1,
+            'opposite_flip_confidence_delta': 4,
+        },
+        'range_reversal': {
+            'margin_multiplier': 0.7,
+            'max_margin_pct_cap': 0.10,
+            'same_direction_position_policy': 'no_add',
+            'same_direction_pending_policy': 'single_order_only',
+            'max_same_side_pending': 1,
+            'opposite_flip_confidence_delta': 5,
+            'allow_close_opposite_on_small_loss': False,
+        },
+        'trend_reversal': {
+            'margin_multiplier': 0.55,
+            'max_margin_pct_cap': 0.08,
+            'same_direction_position_policy': 'no_add',
+            'same_direction_pending_policy': 'single_order_only',
+            'max_same_side_pending': 1,
+            'opposite_flip_confidence_delta': 8,
+            'allow_close_opposite_on_small_loss': False,
+        },
+        'default': {
+            'margin_multiplier': 1.0,
+            'max_margin_pct_cap': 0.18,
+            'same_direction_position_policy': 'scale_in',
+            'same_direction_pending_policy': 'replace_better',
+            'max_same_side_pending': 2,
+            'opposite_flip_confidence_delta': 0,
+            'allow_close_opposite_on_small_loss': True,
+        },
+    }
+
     TP_SL_RETRY_ALERT_THRESHOLD = 3
     TP_SL_MAX_RETRY_BEFORE_ERROR = 6
     TP_SL_ALERT_COOLDOWN_MINUTES = 15
@@ -196,6 +259,7 @@ class CryptoAgent:
         self.last_signals: Dict[str, Dict[str, Any]] = {}
         self.last_execution_preview: Dict[str, Dict[str, Any]] = {}
         self.signal_cooldown: Dict[str, datetime] = {}
+        self.symbol_trade_cooldown: Dict[str, Dict[str, Any]] = {}
 
         # 账户初始余额持久化（用于计算回撤）
         self._initial_balances: Dict[str, float] = {}
@@ -288,6 +352,9 @@ class CryptoAgent:
             "symbol": symbol or (decision or {}).get("symbol", ""),
             "decision": (decision or {}).get("decision"),
             "action": (decision or {}).get("action"),
+            "setup_type": (decision or {}).get("setup_type"),
+            "setup_basis": (decision or {}).get("setup_basis"),
+            "entry_basis": (decision or {}).get("entry_basis"),
             "reason": reason or (decision or {}).get("reason") or (decision or {}).get("reasoning", ""),
         }
         if extra:
@@ -1234,6 +1301,25 @@ class CryptoAgent:
             price_change_24h = self._calculate_price_change(data['1h'])
             logger.info(f"💰 当前价格: ${current_price:,.2f} ({price_change_24h})")
 
+            paper_symbol_cooldown = None
+            if self.settings.paper_trading_enabled:
+                paper_symbol_cooldown = self._refresh_symbol_trade_cooldown('PaperTrading', symbol)
+                if paper_symbol_cooldown.get('should_cool_down'):
+                    cooldown_until = paper_symbol_cooldown.get('cooldown_until')
+                    cooldown_text = cooldown_until.isoformat() if cooldown_until else ''
+                    self._record_analysis_event(
+                        "symbol_trade_cooldown",
+                        symbol=symbol,
+                        status="warning",
+                        detail=paper_symbol_cooldown.get('reason', '交易对处于冷却中'),
+                        extra={
+                            "platform": "PaperTrading",
+                            "losing_streak": paper_symbol_cooldown.get('losing_streak', 0),
+                            "cooldown_until": cooldown_text,
+                        },
+                    )
+                    logger.info(f"⏸️  模拟盘交易对冷却: {paper_symbol_cooldown.get('reason')} | until={cooldown_text}")
+
             # 1.5. 波动率检查（节省 LLM 调用）
             should_analyze, volatility_reason, volatility = self._check_volatility(symbol, data)
             if not should_analyze:
@@ -1299,6 +1385,8 @@ class CryptoAgent:
                 'current_price': current_price
             }
 
+            regime_profile = market_signal.get('regime_profile') or {}
+
             # 过滤掉 wait 信号，只保留 buy/sell 信号
             signals = market_signal.get('signals', [])
             trade_signals = [s for s in signals if s.get('action') in ['buy', 'sell']]
@@ -1314,7 +1402,11 @@ class CryptoAgent:
                     detail="完成分析，无交易信号",
                     extra={"trade_signals": 0, "valid_signals": 0},
                 )
-                logger.info(f"\n⏸️  结论: 无交易信号（仅有观望建议），继续观望")
+                blocked_reasons = market_signal.get('blocked_reasons') or []
+                if blocked_reasons:
+                    logger.info(f"\n⏸️  结论: 当前市场状态不允许交易 | {'；'.join(blocked_reasons[:2])}")
+                else:
+                    logger.info(f"\n⏸️  结论: 无交易信号（仅有观望建议），继续观望")
                 return
 
             # 检查是否有达到阈值的交易信号
@@ -1356,7 +1448,13 @@ class CryptoAgent:
             if self.settings.paper_trading_enabled:
                 logger.info(f"\n📊 【模拟盘】")
                 paper_positions, paper_account, paper_pending = self._get_paper_trading_state()
-                paper_signal = self._select_signal_for_platform(valid_signals, 'PaperTrading', market_state=market_signal.get('market_state', '中性'), trend_direction=market_signal.get('trend_direction', 'neutral'))
+                paper_signal = self._select_signal_for_platform(
+                    valid_signals,
+                    'PaperTrading',
+                    market_state=market_signal.get('market_state', '中性'),
+                    trend_direction=market_signal.get('trend_direction', 'neutral'),
+                    regime_profile=regime_profile,
+                )
                 if paper_signal:
                     logger.info(
                         f"   采用信号: {paper_signal.get('timeframe', 'unknown')} | "
@@ -1383,7 +1481,8 @@ class CryptoAgent:
                     valid_signals,
                     'Bitget',
                     market_state=market_signal.get('market_state', '中性'),
-                    trend_direction=market_signal.get('trend_direction', 'neutral')
+                    trend_direction=market_signal.get('trend_direction', 'neutral'),
+                    regime_profile=regime_profile,
                 )
                 for account_id in self._iter_bitget_accounts():
                     logger.info(f"\n🔥 【Bitget:{account_id}】")
@@ -1698,6 +1797,13 @@ class CryptoAgent:
         fallback['reasoning'] = fallback.get('reasoning', fallback.get('reason', f'未支持的决策类型: {decision_type}'))
         return fallback
 
+    def _get_setup_execution_profile(self, signal: Dict[str, Any]) -> Dict[str, Any]:
+        setup_type = signal.get('setup_type') or 'default'
+        profile = dict(self.SETUP_EXECUTION_PROFILES['default'])
+        profile.update(self.SETUP_EXECUTION_PROFILES.get(setup_type, {}))
+        profile['setup_type'] = setup_type
+        return profile
+
     async def _execute_decisions(self, paper_decision: Dict[str, Any],
                                  bitget_decisions: Dict[str, Dict[str, Any]],
                                  market_signal: Dict[str, Any], current_price: float):
@@ -1974,11 +2080,22 @@ class CryptoAgent:
     def _select_signal_for_platform(self, signals: List[Dict[str, Any]],
                                       platform_name: str,
                                       market_state: str = '中性',
-                                      trend_direction: str = 'neutral') -> Optional[Dict[str, Any]]:
+                                      trend_direction: str = 'neutral',
+                                      regime_profile: Optional[Dict[str, Any]] = None) -> Optional[Dict[str, Any]]:
         """根据平台偏好和市场状态选择最适合执行的信号"""
         if not signals:
             return None
 
+        regime_profile = regime_profile or {}
+        allowed_lanes = set(regime_profile.get('allowed_lanes') or [])
+        if allowed_lanes:
+            signals = [
+                signal for signal in signals
+                if (signal.get('timeframe') or signal.get('type') or 'unknown') in allowed_lanes
+            ]
+        if not signals:
+            return None
+
         # 震荡市：趋势信号降权（信心 × 0.8），优先选择日内反转信号
         adjusted_signals = []
         for signal in signals:
@@ -1995,6 +2112,15 @@ class CryptoAgent:
                 pass  # 趋势市不降权日内信号
             adjusted_signals.append(s)
 
+        preferred_lanes = regime_profile.get('preferred_lanes') or []
+        if preferred_lanes:
+            lane_priority = [
+                lane for lane in preferred_lanes
+                if lane in {sig.get('timeframe') or sig.get('type') or 'unknown' for sig in adjusted_signals}
+            ]
+        else:
+            lane_priority = self.PLATFORM_SIGNAL_PRIORITY.get(platform_name, ['short_term', 'medium_term'])
+
         # 逆势信号大幅降权（安全网，主过滤在 _merge_lane_results）
         if trend_direction in ('uptrend', 'downtrend'):
             forbidden = 'sell' if trend_direction == 'uptrend' else 'buy'
@@ -2005,7 +2131,6 @@ class CryptoAgent:
                     s['_trend_penalized'] = True
                     s['_original_confidence'] = original
 
-        lane_priority = self.PLATFORM_SIGNAL_PRIORITY.get(platform_name, ['short_term', 'medium_term'])
         by_lane: Dict[str, List[Dict[str, Any]]] = {}
         for signal in adjusted_signals:
             lane = signal.get('timeframe') or signal.get('type') or 'unknown'
@@ -2043,10 +2168,15 @@ class CryptoAgent:
             'reasoning': signal.get('reasoning', ''),
             'timeframe': signal_type,
             'type': signal_type,
+            'setup_type': signal.get('setup_type', 'unknown'),
+            'setup_basis': signal.get('setup_basis', ''),
+            'entry_basis': signal.get('entry_basis', ''),
+            'volume_price_context': signal.get('volume_price_context', {}),
             'position_size': position_size,
             'current_price': current_price,
             'market_state': market_signal.get('market_state', '中性') if market_signal else '中性',
             'regime': range_metrics.get('regime', ''),
+            'regime_profile': market_signal.get('regime_profile', {}) if market_signal else {},
             'range_metrics': range_metrics,
             'market_location': market_location,
             'funding_rate_data': funding_rate_data,
@@ -2077,7 +2207,54 @@ class CryptoAgent:
 
     def _get_signal_execution_rule(self, signal: Dict[str, Any]) -> Dict[str, float]:
         signal_type = signal.get('timeframe') or signal.get('type') or 'medium_term'
-        return self.SIGNAL_EXECUTION_RULES.get(signal_type, self.SIGNAL_EXECUTION_RULES['medium_term'])
+        rule = dict(self.SIGNAL_EXECUTION_RULES.get(signal_type, self.SIGNAL_EXECUTION_RULES['medium_term']))
+        profile = self._get_setup_execution_profile(signal)
+        if 'opposite_flip_confidence_delta' in profile:
+            rule['flip_confidence'] = min(
+                99,
+                rule.get('flip_confidence', 85) + int(profile.get('opposite_flip_confidence_delta', 0))
+            )
+        return rule
+
+    def _check_setup_execution_constraints(self, signal: Dict[str, Any]) -> tuple[bool, str]:
+        setup_type = signal.get('setup_type', 'unknown')
+        entry_type = signal.get('entry_type', 'market')
+        market_location = signal.get('market_location') or {}
+        volume_context = signal.get('volume_price_context') or {}
+        breakout_quality = volume_context.get('breakout_quality') or signal.get('breakout_quality')
+        pullback_quality = volume_context.get('pullback_quality') or signal.get('pullback_quality')
+        rejection_signal = volume_context.get('rejection_signal') or signal.get('rejection_signal')
+        exhaustion_risk = volume_context.get('exhaustion_risk') or signal.get('exhaustion_risk')
+        location_tag = market_location.get('location_tag', 'unknown')
+
+        if setup_type == 'breakout_confirmation':
+            if entry_type != 'market':
+                return False, "突破确认 setup 只能用 market 执行"
+            if breakout_quality not in {'acceptance_breakout_up', 'acceptance_breakout_down'}:
+                return False, "突破确认缺少接受型量价证据"
+
+        if setup_type in {'trend_continuation_pullback', 'deep_pullback_continuation', 'breakout_pullback'}:
+            if entry_type != 'limit':
+                return False, f"{setup_type} 应使用 limit 等待回踩/反抽"
+            if pullback_quality != 'healthy_pullback':
+                return False, f"{setup_type} 缺少健康缩量回调证据"
+            if location_tag in {'far_from_trade_zone', 'middle_of_range'}:
+                return False, f"{setup_type} 当前不在有效回踩交易区"
+
+        if setup_type == 'range_reversal':
+            if location_tag not in {'near_range_support', 'near_range_resistance'}:
+                return False, "区间反转 setup 不在区间边界"
+            if rejection_signal not in {'bullish_rejection', 'bearish_rejection'} and entry_type == 'market':
+                return False, "区间反转现价执行缺少明确拒绝信号"
+
+        if setup_type == 'trend_reversal':
+            if rejection_signal not in {'bullish_rejection', 'bearish_rejection'}:
+                return False, "趋势反转 setup 缺少拒绝/结构切换证据"
+
+        if exhaustion_risk in {'upside_climax', 'downside_climax'} and setup_type != 'trend_reversal':
+            return False, "当前量价处于高潮风险，非反转 setup 不执行"
+
+        return True, "setup 约束通过"
 
     def _get_actionable_pending_orders(self, pending_orders: List[Dict[str, Any]]) -> List[Dict[str, Any]]:
         return [order for order in pending_orders if not order.get('is_reduce_only')]
@@ -2209,6 +2386,13 @@ class CryptoAgent:
         if entry_type != 'limit':
             return False, "仅 limit 信号考虑替换挂单"
 
+        profile = self._get_setup_execution_profile(signal)
+        pending_policy = profile.get('same_direction_pending_policy', 'replace_better')
+        if pending_policy == 'no_replace':
+            return False, "当前 setup 不主动替换挂单"
+        if pending_policy == 'single_order_only':
+            return False, "当前 setup 仅保留单个边界挂单"
+
         signal_price = float(signal.get('entry_price', 0) or 0)
         order_price = float(order.get('entry_price', 0) or 0)
         current_price = float(signal.get('current_price', signal_price) or signal_price or 0)
@@ -2309,6 +2493,9 @@ class CryptoAgent:
             entry_type = best_signal.get('entry_type', 'market')
             entry_type_text = '现价入场' if entry_type == 'market' else '挂单等待'
             entry_type_icon = '⚡' if entry_type == 'market' else '⏳'
+            setup_type = best_signal.get('setup_type', 'unknown')
+            setup_basis = best_signal.get('setup_basis', '')
+            entry_basis = best_signal.get('entry_basis', '')
 
             # 等级（基于信心度映射）- 与 market_signal_analyzer.py 保持一致
             # A级(80-100): 量价配合 + 多指标共振 + 多周期确认
@@ -2372,6 +2559,13 @@ class CryptoAgent:
                 f"{entry_type_icon} **入场**: {entry_type_text} | {position_icon} **仓位**: {position_text}",
                 f"",
             ]
+            if setup_type and setup_type != 'unknown':
+                content_parts.append(f"🧩 **Setup**: `{setup_type}`")
+                if setup_basis:
+                    content_parts.append(f"📌 **Setup依据**: {setup_basis}")
+                if entry_basis:
+                    content_parts.append(f"🎯 **入场依据**: {entry_basis}")
+                content_parts.append("")
 
             # 入场价格显示
             if entry_type == 'limit':
@@ -2478,6 +2672,9 @@ class CryptoAgent:
             signal_timeframe = best_signal.get('timeframe', best_signal.get('type', 'unknown')) if best_signal else 'unknown'
             timeframe_map = {'short_term': '短线', 'medium_term': '趋势', 'long_term': '长线'}
             timeframe_text = timeframe_map.get(signal_timeframe, signal_timeframe)
+            setup_type = best_signal.get('setup_type', 'unknown') if best_signal else 'unknown'
+            setup_basis = best_signal.get('setup_basis', '') if best_signal else ''
+            entry_basis = best_signal.get('entry_basis', '') if best_signal else ''
 
             # 对限价单：用实际订单状态决定显示
             # resting=真的在挂单中, filled=已立即成交, None=市价单或未知
@@ -2560,10 +2757,20 @@ class CryptoAgent:
                 f"{entry_type_icon} **入场方式**: {entry_type_text}",
                 f"{position_display.replace(' ', ': **')} | 📈 信心度: **{confidence}%**",
                 f"",
+            ]
+            if setup_type and setup_type != 'unknown':
+                content_parts.extend([
+                    f"🧩 **Setup**: `{setup_type}`",
+                    f"📌 **Setup依据**: {setup_basis}" if setup_basis else None,
+                    f"🎯 **入场依据**: {entry_basis}" if entry_basis else None,
+                    f"",
+                ])
+            content_parts.extend([
                 f"💰 **名义仓位**: {position_value_display}",
                 f"🪙 **保证金 / 杠杆**: ${margin:,.2f} / {leverage}x" if isinstance(margin, (int, float)) and isinstance(leverage, (int, float)) else f"🪙 **保证金**: ${margin:,.2f}",
                 price_display,
-            ]
+            ])
+            content_parts = [part for part in content_parts if part is not None]
             if isinstance(contracts, (int, float)) and contracts:
                 content_parts.append(f"📦 **合约张数**: {contracts}")
 
@@ -3214,6 +3421,7 @@ class CryptoAgent:
         max_leverage = account.get('max_total_leverage', 10)
         order_leverage = account.get('order_leverage', 10)
         min_effective_leverage = self.SIGNAL_MIN_EFFECTIVE_LEVERAGE.get(signal_type, 2.0)
+        setup_profile = self._get_setup_execution_profile(signal)
 
         target_margin_pct, sizing_reason, _, _ = resolve_target_margin_pct(
             position_size=position_size,
@@ -3224,6 +3432,10 @@ class CryptoAgent:
             default_positions=self.SIGNAL_POSITION_SIZE_DEFAULTS,
         )
 
+        setup_margin_multiplier = float(setup_profile.get('margin_multiplier', 1.0) or 1.0)
+        if setup_margin_multiplier != 1.0:
+            target_margin_pct *= setup_margin_multiplier
+
         # 市场状态仓位调整：震荡市降低仓位，避免来回被止损
         regime = signal.get('regime', '')
         REGIME_MARGIN_MULTIPLIERS = {
@@ -3243,6 +3455,9 @@ class CryptoAgent:
             logger.info(f"   📊 连败降温: 仓位系数={streak_multiplier}")
             target_margin_pct *= streak_multiplier
 
+        setup_margin_pct_cap = setup_profile.get('max_margin_pct_cap')
+        effective_max_margin_pct = min(max_margin_pct, setup_margin_pct_cap) if isinstance(setup_margin_pct_cap, (int, float)) else max_margin_pct
+
         margin, _, budget_reason = calculate_margin_and_position_value(
             balance=balance,
             available_margin=available,
@@ -3250,7 +3465,7 @@ class CryptoAgent:
             max_total_leverage=max_leverage,
             order_leverage=order_leverage,
             target_margin_pct=target_margin_pct,
-            max_margin_pct=max_margin_pct,
+            max_margin_pct=effective_max_margin_pct,
             min_margin=min_margin,
             min_effective_leverage=min_effective_leverage,
         )
@@ -3259,7 +3474,7 @@ class CryptoAgent:
             return 0, budget_reason
 
         return margin, (
-            f"{sizing_reason} | 平台: {platform_name} | "
+            f"{sizing_reason} | setup={setup_profile.get('setup_type')} x{setup_margin_multiplier:.2f} | 平台: {platform_name} | "
             f"最小有效杠杆 {min_effective_leverage:.1f}x | "
             f"限制后保证金 ${margin:.2f} ({budget_reason})"
         )
@@ -3278,6 +3493,10 @@ class CryptoAgent:
         signal_price = signal.get('entry_price', 0)
         entry_type = signal.get('entry_type', 'market')
         rule = self._get_signal_execution_rule(signal)
+        setup_profile = self._get_setup_execution_profile(signal)
+        position_policy = setup_profile.get('same_direction_position_policy', 'scale_in')
+        pending_policy = setup_profile.get('same_direction_pending_policy', 'replace_better')
+        max_same_side_pending = int(setup_profile.get('max_same_side_pending', 2) or 2)
 
         # 检查同向持仓
         same_positions = [p for p in positions
@@ -3299,8 +3518,18 @@ class CryptoAgent:
             if position_protected:
                 return "HOLD", "同向持仓已进入保本/保护态，不再主动加仓"
 
+            if position_policy == 'no_add':
+                return "HOLD", f"{setup_profile.get('setup_type')} setup 避免同向叠加仓位"
+
+            if position_policy == 'hold':
+                return "HOLD", f"{setup_profile.get('setup_type')} setup 有同向持仓时优先持有，不追加"
+
             # 规则1: 价格距离足够 + 持仓已有浮盈 + 新价格更优 → 加仓
             if better_price and price_diff_pct >= rule['min_add_price_gap_pct'] and pnl_pct >= rule['min_add_profit_pct']:
+                if position_policy == 'scale_in_only_if_deep_edge':
+                    location_tag = (signal.get('market_location') or {}).get('location_tag')
+                    if location_tag not in {'near_long_zone', 'near_short_zone', 'near_range_support', 'near_range_resistance'}:
+                        return "HOLD", "深回踩 continuation 仅在关键交易区边缘允许加仓"
                 return "ADD", f"加仓：价格差{price_diff_pct:.1f}%，盈利{pnl_pct:.1f}%"
 
             # 规则2: 价格距离 < 2% → 忽略
@@ -3332,6 +3561,9 @@ class CryptoAgent:
                 (signal_side == 'sell' and signal_price > order_price)
             )
 
+            if pending_policy == 'single_order_only':
+                return "HOLD", f"{setup_profile.get('setup_type')} setup 已有同向挂单，保持单一挂单"
+
             # 规则5: 价格距离 < 2% → 忽略
             if price_diff_pct < 2:
                 return "IGNORE", f"同向挂单价格差{price_diff_pct:.1f}% < 2%，忽略"
@@ -3342,10 +3574,10 @@ class CryptoAgent:
                 return "REPLACE_PENDING", f"同向挂单存在，{replace_reason}"
 
             # 规则7: 价格距离 >= 2% 且挂单 < 3 → 可再挂一单
-            if len(same_orders) < 3:
+            if len(same_orders) < max_same_side_pending and pending_policy != 'no_replace' and signal_is_better:
                 return "OPEN", f"同向挂单价格差{price_diff_pct:.1f}% >= 2%，可开新单"
             else:
-                return "IGNORE", "同向挂单已达3个，忽略"
+                return "IGNORE", f"同向挂单已达 setup 上限 {max_same_side_pending} 个，忽略"
 
         # 无同向订单 → 正常开仓
         return "OPEN", "无同向订单，正常开仓"
@@ -3364,6 +3596,8 @@ class CryptoAgent:
         opposite_side = 'sell' if signal_side == 'buy' else 'buy'
         confidence = signal.get('confidence', 0)
         rule = self._get_signal_execution_rule(signal)
+        setup_profile = self._get_setup_execution_profile(signal)
+        allow_close_opposite_on_small_loss = bool(setup_profile.get('allow_close_opposite_on_small_loss', True))
 
         # 检查反向持仓
         opposite_positions = [p for p in positions
@@ -3387,6 +3621,8 @@ class CryptoAgent:
 
             # 规则4: 小亏损 → 平仓
             if -1 < pnl_pct < 0:
+                if not allow_close_opposite_on_small_loss:
+                    return "WAIT", f"{setup_profile.get('setup_type')} setup 对反向小亏损仓位保持克制，等待进一步确认"
                 return "CLOSE_OPPOSITE", f"反向持仓小亏损{pnl_pct:.1f}%，平仓"
 
         # 检查反向挂单
@@ -3447,6 +3683,90 @@ class CryptoAgent:
 
         return {'losing_streak': losing_streak, 'should_cool_down': False, 'margin_multiplier': 1.0, 'reason': ''}
 
+    def _get_symbol_cooldown_key(self, platform_name: str, symbol: str) -> str:
+        return f"{platform_name}:{self._normalize_symbol(symbol)}"
+
+    def _check_symbol_losing_streak(self, platform_name: str, symbol: str, max_lookback: int = 4) -> Dict[str, Any]:
+        """
+        检查单个交易对近期连续亏损情况。
+
+        当前仅对模拟盘启用，实盘后续应由独立执行监管器基于成交回报维护。
+        """
+        normalized_symbol = self._normalize_symbol(symbol)
+        recent_orders = []
+
+        if platform_name == 'PaperTrading' and self.paper_trading:
+            recent_orders = self.paper_trading.get_order_history(symbol=normalized_symbol, limit=max_lookback)
+
+        if not recent_orders:
+            return {
+                'symbol': normalized_symbol,
+                'losing_streak': 0,
+                'cooldown_hours': 0,
+                'cooldown_until': None,
+                'should_cool_down': False,
+                'reason': '',
+            }
+
+        losing_streak = 0
+        last_loss_order = None
+        for order in recent_orders:
+            pnl = order.get('pnl_amount', 0) or 0
+            if pnl < 0:
+                losing_streak += 1
+                if last_loss_order is None:
+                    last_loss_order = order
+            else:
+                break
+
+        cooldown_hours = 0
+        if losing_streak >= 3:
+            cooldown_hours = 6
+        elif losing_streak >= 2:
+            cooldown_hours = 2
+
+        cooldown_until = None
+        if cooldown_hours > 0 and last_loss_order:
+            closed_at = last_loss_order.get('closed_at') or last_loss_order.get('updated_at') or last_loss_order.get('created_at')
+            if closed_at:
+                try:
+                    closed_at_dt = datetime.fromisoformat(str(closed_at).replace('Z', '+00:00'))
+                    cooldown_until = closed_at_dt + timedelta(hours=cooldown_hours)
+                except ValueError:
+                    cooldown_until = None
+
+        return {
+            'symbol': normalized_symbol,
+            'losing_streak': losing_streak,
+            'cooldown_hours': cooldown_hours,
+            'cooldown_until': cooldown_until,
+            'should_cool_down': bool(cooldown_until and datetime.now(cooldown_until.tzinfo) < cooldown_until),
+            'reason': (
+                f"{normalized_symbol} 最近连续亏损 {losing_streak} 次，暂停新开仓 {cooldown_hours} 小时"
+                if cooldown_until and cooldown_hours > 0 else ''
+            ),
+        }
+
+    def _refresh_symbol_trade_cooldown(self, platform_name: str, symbol: str) -> Dict[str, Any]:
+        info = self._check_symbol_losing_streak(platform_name, symbol)
+        key = self._get_symbol_cooldown_key(platform_name, symbol)
+        if info.get('should_cool_down'):
+            self.symbol_trade_cooldown[key] = info
+        else:
+            self.symbol_trade_cooldown.pop(key, None)
+        return info
+
+    def _get_symbol_trade_cooldown(self, platform_name: str, symbol: str) -> Optional[Dict[str, Any]]:
+        key = self._get_symbol_cooldown_key(platform_name, symbol)
+        cached = self.symbol_trade_cooldown.get(key)
+        if cached and cached.get('cooldown_until'):
+            cooldown_until = cached['cooldown_until']
+            now = datetime.now(cooldown_until.tzinfo) if getattr(cooldown_until, 'tzinfo', None) else datetime.now()
+            if now < cooldown_until:
+                return cached
+            self.symbol_trade_cooldown.pop(key, None)
+        return self._refresh_symbol_trade_cooldown(platform_name, symbol)
+
     def _check_risk_control(self, signal: Dict[str, Any],
                            platform_name: str,
                            account: Dict[str, Any],
@@ -3459,6 +3779,22 @@ class CryptoAgent:
             (passed, reason) - 是否通过和原因
         """
         # 1. 杠杆限制检查
+        regime_profile = signal.get('regime_profile') or {}
+        tradability = regime_profile.get('tradability')
+        if tradability == 'avoid':
+            blocked_reasons = regime_profile.get('no_trade_reasons') or ['当前市场状态不允许交易']
+            return False, f"市场状态过滤: {'；'.join(blocked_reasons[:2])}"
+
+        symbol_cooldown = self._get_symbol_trade_cooldown(platform_name, signal.get('symbol', ''))
+        if symbol_cooldown and symbol_cooldown.get('should_cool_down'):
+            cooldown_until = symbol_cooldown.get('cooldown_until')
+            until_text = cooldown_until.isoformat() if cooldown_until else ''
+            return False, f"交易对冷却中: {symbol_cooldown.get('reason', '').strip()} {until_text}".strip()
+
+        setup_passed, setup_reason = self._check_setup_execution_constraints(signal)
+        if not setup_passed:
+            return False, f"setup 过滤: {setup_reason}"
+
         current_leverage = account.get('current_total_leverage', 0)
         max_leverage = account.get('max_total_leverage', 10)
         remaining_leverage = max_leverage - current_leverage

backend/app/crypto_agent/executor/paper_trading_executor.py

@@ -75,6 +75,10 @@ class PaperTradingExecutor(BaseExecutor):
                 'signal_type': signal_type,
                 'type': raw_signal_type,
                 'reason': decision.get('reasoning', decision.get('reason', '')),
+                'setup_type': decision.get('setup_type'),
+                'setup_basis': decision.get('setup_basis'),
+                'entry_basis': decision.get('entry_basis'),
+                'volume_price_context': decision.get('volume_price_context'),
             }
 
             # 执行下单（统一调用方式）

backend/app/crypto_agent/feature_engine.py

@@ -0,0 +1,364 @@
+from typing import Any, Dict, Optional
+
+import numpy as np
+import pandas as pd
+
+from app.utils.logger import logger
+
+
+class FeatureEngine:
+    """将原始 K 线转换为供策略与 LLM 使用的高价值特征。"""
+
+    def get_session_open(self, df: Optional[pd.DataFrame]) -> Optional[float]:
+        """获取当前交易日开盘价。"""
+        if df is None or df.empty:
+            return None
+
+        try:
+            if 'open_time' not in df.columns:
+                return float(df.iloc[-24]['open']) if len(df) >= 24 else float(df.iloc[0]['open'])
+
+            latest_time = pd.to_datetime(df['open_time'].iloc[-1])
+            session_start = latest_time.normalize()
+            today_bars = df[df['open_time'] >= session_start]
+            if not today_bars.empty:
+                return float(today_bars.iloc[0]['open'])
+        except Exception as e:
+            logger.debug(f"获取交易日开盘价失败: {e}")
+
+        return float(df.iloc[0]['open']) if not df.empty else None
+
+    def calculate_session_vwap(self, df: Optional[pd.DataFrame]) -> Optional[float]:
+        """计算当前交易日 VWAP。"""
+        if df is None or df.empty or 'volume' not in df.columns:
+            return None
+
+        try:
+            session_df = df
+            if 'open_time' in df.columns:
+                latest_time = pd.to_datetime(df['open_time'].iloc[-1])
+                session_start = latest_time.normalize()
+                session_df = df[df['open_time'] >= session_start]
+
+            if session_df.empty:
+                return None
+
+            typical_price = (session_df['high'] + session_df['low'] + session_df['close']) / 3
+            volume = session_df['volume'].replace(0, np.nan)
+            total_volume = volume.sum()
+            if pd.isna(total_volume) or total_volume <= 0:
+                return None
+
+            return float((typical_price * session_df['volume']).sum() / total_volume)
+        except Exception as e:
+            logger.debug(f"计算 VWAP 失败: {e}")
+            return None
+
+    def calculate_opening_range(self, df: Optional[pd.DataFrame], bars: int = 6) -> Optional[Dict[str, float]]:
+        """计算前 30 分钟开盘区间。"""
+        if df is None or df.empty or len(df) < bars:
+            return None
+
+        try:
+            session_df = df
+            if 'open_time' in df.columns:
+                latest_time = pd.to_datetime(df['open_time'].iloc[-1])
+                session_start = latest_time.normalize()
+                session_df = df[df['open_time'] >= session_start]
+
+            session_df = session_df.iloc[:bars]
+            if session_df.empty:
+                return None
+
+            return {
+                'high': float(session_df['high'].max()),
+                'low': float(session_df['low'].min())
+            }
+        except Exception as e:
+            logger.debug(f"计算开盘区间失败: {e}")
+            return None
+
+    def summarize_timeframe_features(self, df: Optional[pd.DataFrame], timeframe: str) -> Dict[str, Any]:
+        """将单个周期的 K 线转换为高价值特征摘要。"""
+        feature = {
+            'timeframe': timeframe,
+            'available': False,
+            'close': None,
+            'ema_alignment': 'neutral',
+            'structure': 'unknown',
+            'momentum_3': None,
+            'momentum_12': None,
+            'rsi': None,
+            'atr_pct': None,
+            'volume_ratio': None,
+            'distance_to_ema20': None,
+            'distance_to_recent_high': None,
+            'distance_to_recent_low': None,
+            'is_accelerating': False,
+            'adx': None,
+            'trend_strength_adx': 'unknown',
+            'body_ratio': None,
+            'close_position_in_bar': None,
+            'upper_wick_ratio': None,
+            'lower_wick_ratio': None,
+            'range_expansion_ratio': None,
+            'pressure_bias': 'neutral',
+            'volume_price_state': 'neutral',
+            'breakout_quality': 'none',
+            'pullback_quality': 'neutral',
+            'rejection_signal': 'none',
+            'exhaustion_risk': 'low',
+        }
+
+        if df is None or df.empty or len(df) < 20:
+            return feature
+
+        latest = df.iloc[-1]
+        close = float(latest['close'])
+        ema5 = latest.get('ema5')
+        ema10 = latest.get('ema10')
+        ema20 = latest.get('ema20')
+        rsi = latest.get('rsi')
+        atr = latest.get('atr')
+        structure = self.infer_price_structure(df)
+        candle_context = self.analyze_candle_context(df)
+        volume_price = self.analyze_volume_price(df, structure=structure, candle_context=candle_context)
+
+        feature.update({
+            'available': True,
+            'close': close,
+            'rsi': float(rsi) if pd.notna(rsi) else None,
+            'atr_pct': float(atr / close * 100) if pd.notna(atr) and close > 0 else None,
+            'distance_to_ema20': self.distance_percent(close, ema20),
+            'structure': structure,
+            'momentum_3': self.window_return(df, 3),
+            'momentum_12': self.window_return(df, 12),
+            'volume_ratio': self.calculate_volume_ratio(df),
+            'is_accelerating': self.is_accelerating(df),
+            **candle_context,
+            **volume_price,
+        })
+
+        adx = latest.get('adx')
+        if pd.notna(adx):
+            feature['adx'] = float(adx)
+            if adx >= 40:
+                feature['trend_strength_adx'] = 'strong'
+            elif adx >= 25:
+                feature['trend_strength_adx'] = 'moderate'
+            elif adx >= 20:
+                feature['trend_strength_adx'] = 'weak'
+            else:
+                feature['trend_strength_adx'] = 'ranging'
+
+        if pd.notna(ema5) and pd.notna(ema10) and pd.notna(ema20):
+            if ema5 > ema10 > ema20:
+                feature['ema_alignment'] = 'bull'
+            elif ema5 < ema10 < ema20:
+                feature['ema_alignment'] = 'bear'
+            else:
+                feature['ema_alignment'] = 'mixed'
+
+        recent_window = df.iloc[-20:]
+        recent_high = float(recent_window['high'].max())
+        recent_low = float(recent_window['low'].min())
+        feature['distance_to_recent_high'] = self.distance_percent(close, recent_high)
+        feature['distance_to_recent_low'] = self.distance_percent(close, recent_low)
+
+        return feature
+
+    def analyze_candle_context(self, df: pd.DataFrame, window: int = 20) -> Dict[str, Any]:
+        """提炼最新 K 线的实体、影线、收盘位置和波动扩张。"""
+        context = {
+            'body_ratio': None,
+            'close_position_in_bar': None,
+            'upper_wick_ratio': None,
+            'lower_wick_ratio': None,
+            'range_expansion_ratio': None,
+        }
+
+        if df is None or df.empty:
+            return context
+
+        latest = df.iloc[-1]
+        open_price = self._resolve_open_price(df)
+        close_price = float(latest['close'])
+        high_price = float(latest['high'])
+        low_price = float(latest['low'])
+        bar_range = max(high_price - low_price, 1e-9)
+        body_high = max(open_price, close_price)
+        body_low = min(open_price, close_price)
+
+        avg_range = None
+        if len(df) > 1:
+            recent_window = df.iloc[-window:]
+            avg_range = float((recent_window['high'] - recent_window['low']).mean())
+
+        context['body_ratio'] = body_ratio = abs(close_price - open_price) / bar_range
+        context['close_position_in_bar'] = (close_price - low_price) / bar_range
+        context['upper_wick_ratio'] = (high_price - body_high) / bar_range
+        context['lower_wick_ratio'] = (body_low - low_price) / bar_range
+        if avg_range and avg_range > 0:
+            context['range_expansion_ratio'] = bar_range / avg_range
+
+        return context
+
+    def analyze_volume_price(
+        self,
+        df: pd.DataFrame,
+        *,
+        structure: str,
+        candle_context: Optional[Dict[str, Any]] = None,
+        volume_window: int = 20,
+    ) -> Dict[str, Any]:
+        """将量价关系压缩成交易含义明确的状态字段。"""
+        result = {
+            'pressure_bias': 'neutral',
+            'volume_price_state': 'neutral',
+            'breakout_quality': 'none',
+            'pullback_quality': 'neutral',
+            'rejection_signal': 'none',
+            'exhaustion_risk': 'low',
+        }
+
+        if df is None or len(df) < 8:
+            return result
+
+        candle_context = candle_context or self.analyze_candle_context(df)
+        volume_ratio = self.calculate_volume_ratio(df, window=volume_window)
+        recent_move = self.window_return(df, 3) or 0.0
+        body_ratio = float(candle_context.get('body_ratio') or 0)
+        close_position = float(candle_context.get('close_position_in_bar') or 0.5)
+        upper_wick_ratio = float(candle_context.get('upper_wick_ratio') or 0)
+        lower_wick_ratio = float(candle_context.get('lower_wick_ratio') or 0)
+        range_expansion = float(candle_context.get('range_expansion_ratio') or 1.0)
+        close_price = float(df['close'].iloc[-1])
+        prior_window = df.iloc[-min(max(volume_window, 8) + 1, len(df)):-1]
+        prior_high = float(prior_window['high'].max()) if not prior_window.empty else close_price
+        prior_low = float(prior_window['low'].min()) if not prior_window.empty else close_price
+
+        breakout_up = close_price > prior_high
+        breakout_down = close_price < prior_low
+
+        if breakout_up:
+            if volume_ratio >= 1.2 and body_ratio >= 0.55 and close_position >= 0.72:
+                result['breakout_quality'] = 'acceptance_breakout_up'
+            else:
+                result['breakout_quality'] = 'weak_breakout_up'
+        elif breakout_down:
+            if volume_ratio >= 1.2 and body_ratio >= 0.55 and close_position <= 0.28:
+                result['breakout_quality'] = 'acceptance_breakout_down'
+            else:
+                result['breakout_quality'] = 'weak_breakout_down'
+
+        if upper_wick_ratio >= 0.4 and close_position <= 0.45 and volume_ratio >= 1.15:
+            result['rejection_signal'] = 'bearish_rejection'
+        elif lower_wick_ratio >= 0.4 and close_position >= 0.55 and volume_ratio >= 1.15:
+            result['rejection_signal'] = 'bullish_rejection'
+
+        if structure == 'HH/HL' and recent_move < 0:
+            result['pullback_quality'] = 'healthy_pullback' if volume_ratio <= 0.95 else 'heavy_sell_pullback'
+        elif structure == 'LH/LL' and recent_move > 0:
+            result['pullback_quality'] = 'healthy_pullback' if volume_ratio <= 0.95 else 'heavy_buy_pullback'
+
+        if abs(recent_move) >= 1.5 and volume_ratio >= 1.8 and body_ratio <= 0.35:
+            if recent_move > 0:
+                result['exhaustion_risk'] = 'upside_climax'
+            elif recent_move < 0:
+                result['exhaustion_risk'] = 'downside_climax'
+        elif volume_ratio >= 1.6 and range_expansion <= 0.8:
+            result['exhaustion_risk'] = 'high_volume_churn'
+
+        if result['breakout_quality'] == 'acceptance_breakout_up':
+            result['pressure_bias'] = 'bullish'
+            result['volume_price_state'] = 'bullish_acceptance'
+        elif result['breakout_quality'] == 'acceptance_breakout_down':
+            result['pressure_bias'] = 'bearish'
+            result['volume_price_state'] = 'bearish_acceptance'
+        elif result['rejection_signal'] == 'bullish_rejection':
+            result['pressure_bias'] = 'bullish'
+            result['volume_price_state'] = 'bullish_rejection'
+        elif result['rejection_signal'] == 'bearish_rejection':
+            result['pressure_bias'] = 'bearish'
+            result['volume_price_state'] = 'bearish_rejection'
+        elif structure == 'HH/HL' and recent_move > 0 and volume_ratio >= 1.05 and close_position >= 0.6:
+            result['pressure_bias'] = 'bullish'
+            result['volume_price_state'] = 'bullish_continuation'
+        elif structure == 'LH/LL' and recent_move < 0 and volume_ratio >= 1.05 and close_position <= 0.4:
+            result['pressure_bias'] = 'bearish'
+            result['volume_price_state'] = 'bearish_continuation'
+        elif result['pullback_quality'] == 'healthy_pullback':
+            result['volume_price_state'] = 'pullback_on_light_volume'
+        elif result['pullback_quality'] in {'heavy_sell_pullback', 'heavy_buy_pullback'}:
+            result['volume_price_state'] = 'counter_pressure_expanding'
+
+        return result
+
+    def infer_price_structure(self, df: pd.DataFrame, lookback: int = 20) -> str:
+        """根据分段高低点判断 HH/HL / LH/LL / 区间。"""
+        if df is None or len(df) < lookback:
+            return "unknown"
+
+        window = df.iloc[-lookback:]
+        half = max(lookback // 2, 5)
+        first = window.iloc[:half]
+        second = window.iloc[-half:]
+
+        prev_high = float(first['high'].max())
+        prev_low = float(first['low'].min())
+        recent_high = float(second['high'].max())
+        recent_low = float(second['low'].min())
+
+        if recent_high > prev_high and recent_low > prev_low:
+            return "HH/HL"
+        if recent_high < prev_high and recent_low < prev_low:
+            return "LH/LL"
+        return "range/mixed"
+
+    def window_return(self, df: pd.DataFrame, bars: int) -> Optional[float]:
+        if df is None or len(df) <= bars:
+            return None
+        start_price = float(df['close'].iloc[-bars - 1])
+        end_price = float(df['close'].iloc[-1])
+        if start_price <= 0:
+            return None
+        return (end_price - start_price) / start_price * 100
+
+    def calculate_volume_ratio(self, df: pd.DataFrame, window: int = 20) -> float:
+        if df is None or len(df) <= 1:
+            return 1.0
+        lookback = min(window, len(df) - 1)
+        latest_volume = float(df['volume'].iloc[-1])
+        baseline = float(df['volume'].iloc[-(lookback + 1):-1].mean())
+        if baseline <= 0:
+            return 1.0
+        return latest_volume / baseline
+
+    def is_accelerating(self, df: pd.DataFrame, bars: int = 3, threshold: float = 0.3) -> bool:
+        if df is None or len(df) < bars + 1:
+            return False
+        closes = df['close'].iloc[-(bars + 1):].values
+        changes = [
+            (closes[i] - closes[i - 1]) / closes[i - 1] * 100
+            for i in range(1, len(closes))
+            if closes[i - 1] > 0
+        ]
+        if len(changes) < bars:
+            return False
+        same_direction = all(change > 0 for change in changes) or all(change < 0 for change in changes)
+        large_enough = sum(1 for change in changes if abs(change) >= threshold) >= bars - 1
+        return same_direction and large_enough
+
+    def distance_percent(self, value: Optional[float], reference: Optional[float]) -> Optional[float]:
+        if value is None or reference is None or pd.isna(reference) or reference == 0:
+            return None
+        return (float(value) - float(reference)) / float(reference) * 100
+
+    def _resolve_open_price(self, df: pd.DataFrame) -> float:
+        latest = df.iloc[-1]
+        open_value = latest.get('open')
+        if pd.notna(open_value):
+            return float(open_value)
+        if len(df) >= 2:
+            return float(df['close'].iloc[-2])
+        return float(latest['close'])

backend/app/crypto_agent/regime_engine.py

@@ -0,0 +1,169 @@
+"""
+市场状态分类引擎
+
+职责：
+- 根据量化特征判断当前市场处于哪类 regime
+- 输出当前允许的交易行为集合
+- 为 LLM 与执行层提供统一约束
+"""
+from typing import Any, Dict, List
+
+
+class RegimeEngine:
+    """市场状态分类引擎"""
+
+    def classify(
+        self,
+        *,
+        range_metrics: Dict[str, Any] | None,
+        market_location: Dict[str, Any] | None,
+        trend_direction: str = "neutral",
+        trend_strength: str = "weak",
+        derivatives_state: Dict[str, Any] | None = None,
+        reversal_detection: Dict[str, Any] | None = None,
+        trend_stage: Dict[str, Any] | None = None,
+    ) -> Dict[str, Any]:
+        range_metrics = range_metrics or {}
+        market_location = market_location or {}
+        derivatives_state = derivatives_state or {}
+        reversal_detection = reversal_detection or {}
+        trend_stage = trend_stage or {}
+
+        location_tag = str(market_location.get("location_tag") or "unknown")
+        relative_to_range = str(market_location.get("relative_to_range") or "unknown")
+        range_regime = str(range_metrics.get("regime") or "unknown")
+        crowding_regime = str(derivatives_state.get("crowding_regime") or "low")
+        crowding_bias = str(derivatives_state.get("crowding_bias") or "neutral")
+        bb_squeeze = bool(range_metrics.get("bb_squeeze"))
+        no_trade_reasons: List[str] = []
+
+        profile: Dict[str, Any] = {
+            "regime_key": "neutral",
+            "market_state_label": "中性市",
+            "tradability": "avoid",
+            "risk_mode": "defensive",
+            "allowed_lanes": [],
+            "preferred_lanes": [],
+            "allowed_setups": [],
+            "preferred_entry_types": [],
+            "crowding_bias": crowding_bias,
+            "crowding_regime": crowding_regime,
+            "no_trade_reasons": no_trade_reasons,
+            "summary": "",
+        }
+
+        if location_tag in {"middle_of_range", "far_from_trade_zone"}:
+            no_trade_reasons.append(f"位置不佳: {location_tag}")
+
+        if range_regime == "ranging":
+            profile.update(
+                {
+                    "regime_key": "range",
+                    "market_state_label": "震荡市",
+                    "tradability": "selective",
+                    "risk_mode": "defensive",
+                    "allowed_lanes": ["short_term"],
+                    "preferred_lanes": ["short_term", "medium_term"],
+                    "allowed_setups": ["range_reversal"],
+                    "preferred_entry_types": ["limit", "market"],
+                }
+            )
+            if relative_to_range not in {"near_range_support", "near_range_resistance"}:
+                no_trade_reasons.append("震荡市但不在区间边界")
+
+        elif range_regime == "transitional":
+            if bb_squeeze and location_tag not in {"far_from_trade_zone", "middle_of_range"}:
+                profile.update(
+                    {
+                        "regime_key": "breakout_compression",
+                        "market_state_label": "压缩待突破",
+                        "tradability": "selective",
+                        "risk_mode": "defensive",
+                        "allowed_lanes": ["short_term"],
+                        "preferred_lanes": ["short_term", "medium_term"],
+                        "allowed_setups": ["breakout_confirmation", "breakout_pullback"],
+                        "preferred_entry_types": ["market", "limit"],
+                    }
+                )
+            else:
+                profile.update(
+                    {
+                        "regime_key": "transition",
+                        "market_state_label": "过渡市",
+                        "tradability": "avoid",
+                        "risk_mode": "defensive",
+                        "allowed_lanes": [],
+                        "preferred_lanes": [],
+                        "allowed_setups": [],
+                        "preferred_entry_types": [],
+                    }
+                )
+                no_trade_reasons.append("趋势与震荡切换期，方向优势不足")
+
+        elif range_regime in {"weak_trend", "strong_trend"} and trend_direction in {"uptrend", "downtrend"}:
+            allow_reversal = bool(reversal_detection.get("is_reversing")) and trend_strength != "strong"
+
+            if crowding_regime == "high":
+                profile.update(
+                    {
+                        "regime_key": "crowded_trend",
+                        "market_state_label": "拥挤趋势",
+                        "tradability": "selective",
+                        "risk_mode": "defensive",
+                        "allowed_lanes": ["medium_term"],
+                        "preferred_lanes": ["medium_term", "short_term"],
+                        "allowed_setups": ["deep_pullback_continuation"],
+                        "preferred_entry_types": ["limit"],
+                    }
+                )
+                if location_tag not in {"near_long_zone", "near_short_zone"}:
+                    no_trade_reasons.append("趋势拥挤，且不在深回踩/反抽交易区")
+            else:
+                profile.update(
+                    {
+                        "regime_key": "trend",
+                        "market_state_label": "趋势市",
+                        "tradability": "tradable",
+                        "risk_mode": "normal" if range_regime == "strong_trend" else "reduced",
+                        "allowed_lanes": ["medium_term", "short_term"],
+                        "preferred_lanes": ["medium_term", "short_term"],
+                        "allowed_setups": ["trend_continuation_pullback"],
+                        "preferred_entry_types": ["limit", "market"],
+                    }
+                )
+                if allow_reversal:
+                    profile["allowed_setups"].append("trend_reversal")
+                if location_tag in {"far_from_trade_zone", "middle_of_range"}:
+                    profile["tradability"] = "selective"
+                    no_trade_reasons.append("趋势存在，但当前价格没有位置优势")
+                if str(trend_stage.get("stage") or "") == "late":
+                    profile["tradability"] = "selective"
+                    profile["risk_mode"] = "defensive"
+                    no_trade_reasons.append("趋势晚期，避免追价")
+
+        else:
+            profile.update(
+                {
+                    "regime_key": "neutral",
+                    "market_state_label": "中性市",
+                    "tradability": "avoid",
+                    "risk_mode": "defensive",
+                    "allowed_lanes": [],
+                    "preferred_lanes": [],
+                    "allowed_setups": [],
+                    "preferred_entry_types": [],
+                }
+            )
+            no_trade_reasons.append("无清晰市场结构")
+
+        if no_trade_reasons and profile["tradability"] == "selective":
+            profile["summary"] = f"{profile['market_state_label']} | 谨慎交易 | {'；'.join(no_trade_reasons[:2])}"
+        elif no_trade_reasons and profile["tradability"] == "avoid":
+            profile["summary"] = f"{profile['market_state_label']} | 观望优先 | {'；'.join(no_trade_reasons[:2])}"
+        else:
+            profile["summary"] = (
+                f"{profile['market_state_label']} | "
+                f"允许: {', '.join(profile['allowed_setups']) if profile['allowed_setups'] else '空仓'}"
+            )
+
+        return profile

backend/app/crypto_agent/setup_policy.py

@@ -0,0 +1,119 @@
+"""
+市场状态到交易行为的硬约束策略
+"""
+from typing import Any, Dict, List, Tuple
+
+
+class SetupPolicy:
+    """交易行为约束策略"""
+
+    RANGE_ONLY_SETUPS = {"range_reversal"}
+    TREND_ONLY_SETUPS = {"trend_continuation_pullback", "deep_pullback_continuation", "trend_reversal"}
+    BREAKOUT_ONLY_SETUPS = {"breakout_confirmation", "breakout_pullback"}
+
+    def filter_signals(
+        self,
+        signals: List[Dict[str, Any]],
+        regime_profile: Dict[str, Any],
+    ) -> Tuple[List[Dict[str, Any]], List[str]]:
+        allowed_lanes = set(regime_profile.get("allowed_lanes") or [])
+        allowed_setups = set(regime_profile.get("allowed_setups") or [])
+        tradability = regime_profile.get("tradability", "avoid")
+        reasons: List[str] = []
+
+        if tradability == "avoid" or not allowed_lanes or not allowed_setups:
+            reasons.extend(regime_profile.get("no_trade_reasons") or ["当前市场状态不允许交易"])
+            return [], reasons
+
+        kept: List[Dict[str, Any]] = []
+        for signal in signals or []:
+            lane = signal.get("timeframe") or signal.get("type") or "unknown"
+            setup_type = self._infer_setup_type(signal)
+            setup_basis = self._build_setup_basis(signal, setup_type)
+            entry_basis = self._build_entry_basis(signal, setup_type)
+
+            if lane not in allowed_lanes:
+                reasons.append(f"{lane} 不在允许交易周期内")
+                continue
+
+            if setup_type not in allowed_setups:
+                reasons.append(f"{setup_type} 不在允许 setup 内")
+                continue
+
+            kept.append({
+                **signal,
+                "setup_type": setup_type,
+                "setup_basis": setup_basis,
+                "entry_basis": entry_basis,
+            })
+
+        return kept, reasons
+
+    def _infer_setup_type(self, signal: Dict[str, Any]) -> str:
+        lane = signal.get("timeframe") or signal.get("type") or "medium_term"
+        action = signal.get("action")
+        entry_type = signal.get("entry_type", "market")
+        location_tag = ((signal.get("market_location") or {}).get("location_tag") or "unknown")
+        regime = signal.get("regime", "")
+        trend_stage = (signal.get("trend_stage") or {}).get("stage") or "unknown"
+        volume_context = signal.get("volume_price_context") or {}
+        breakout_quality = volume_context.get("breakout_quality") or signal.get("breakout_quality")
+        pullback_quality = volume_context.get("pullback_quality") or signal.get("pullback_quality")
+        rejection_signal = volume_context.get("rejection_signal") or signal.get("rejection_signal")
+        volume_price_state = volume_context.get("volume_price_state") or signal.get("volume_price_state")
+
+        if regime == "ranging" or location_tag in {"near_range_support", "near_range_resistance"}:
+            return "range_reversal"
+
+        if regime == "transitional" and (
+            breakout_quality in {"acceptance_breakout_up", "acceptance_breakout_down"} or
+            volume_price_state in {"bullish_acceptance", "bearish_acceptance"}
+        ) and entry_type == "market":
+            return "breakout_confirmation"
+        if regime == "transitional" and entry_type == "limit":
+            return "breakout_pullback"
+
+        if lane == "medium_term" and entry_type == "limit" and pullback_quality == "healthy_pullback":
+            return "trend_continuation_pullback"
+        if lane == "short_term" and entry_type == "limit" and location_tag in {"near_long_zone", "near_short_zone"} and pullback_quality == "healthy_pullback":
+            return "deep_pullback_continuation"
+        if lane == "medium_term" and action in {"buy", "sell"} and (
+            rejection_signal in {"bullish_rejection", "bearish_rejection"} or trend_stage == "early"
+        ):
+            return "trend_reversal"
+
+        return "unknown"
+
+    def _build_setup_basis(self, signal: Dict[str, Any], setup_type: str) -> str:
+        market_location = signal.get("market_location") or {}
+        volume_context = signal.get("volume_price_context") or {}
+        parts: List[str] = []
+
+        location_tag = market_location.get("location_tag")
+        if location_tag and location_tag != "unknown":
+            parts.append(f"location={location_tag}")
+
+        for key in ("volume_price_state", "breakout_quality", "pullback_quality", "rejection_signal"):
+            value = volume_context.get(key) or signal.get(key)
+            if value and value not in {"none", "neutral", "unknown"}:
+                parts.append(f"{key}={value}")
+
+        if setup_type != "unknown":
+            parts.insert(0, f"setup={setup_type}")
+
+        return " | ".join(parts[:4]) if parts else f"setup={setup_type}"
+
+    def _build_entry_basis(self, signal: Dict[str, Any], setup_type: str) -> str:
+        entry_type = signal.get("entry_type", "market")
+        market_location = signal.get("market_location") or {}
+
+        if setup_type == "breakout_confirmation":
+            return "breakout_acceptance_follow_through"
+        if setup_type in {"breakout_pullback", "trend_continuation_pullback", "deep_pullback_continuation"}:
+            return "pullback_into_trade_zone" if entry_type == "limit" else "pullback_confirmed"
+        if setup_type == "range_reversal":
+            location_tag = market_location.get("location_tag", "range_edge")
+            return f"reversal_from_{location_tag}"
+        if setup_type == "trend_reversal":
+            return "rejection_or_structure_shift"
+        return "generic_entry"

backend/app/models/paper_trading.py

@@ -137,4 +137,7 @@ class PaperOrder(Base):
             'opened_at': format_time(self.opened_at),
             'closed_at': format_time(self.closed_at),
             'entry_reasons': self.entry_reasons,
+            'setup_type': (self.indicators or {}).get('setup_type'),
+            'setup_basis': (self.indicators or {}).get('setup_basis'),
+            'entry_basis': (self.indicators or {}).get('entry_basis'),
         }

backend/app/services/paper_trading_service.py

@@ -357,7 +357,13 @@ class PaperTradingService:
                 status=status,
                 opened_at=opened_at,
                 entry_reasons=[signal.get('reason', '')] if signal.get('reason') else signal.get('reasons', []),
-                indicators=signal.get('indicators', {})
+                indicators={
+                    **(signal.get('indicators', {}) or {}),
+                    'setup_type': signal.get('setup_type'),
+                    'setup_basis': signal.get('setup_basis'),
+                    'entry_basis': signal.get('entry_basis'),
+                    'volume_price_context': signal.get('volume_price_context'),
+                }
             )
 
             db.add(order)

backend/tests/test_crypto_agent_platform_halts.py

@@ -186,7 +186,18 @@ def test_resume_platform_resets_initial_balance_and_clears_halt():
 def test_execution_events_are_recorded_and_returned_in_reverse_time_order():
     agent = make_agent()
 
-    agent._record_execution_event('Bitget', 'open_failed', symbol='ETHUSDT', reason='余额不足', status='error')
+    agent._record_execution_event(
+        'Bitget',
+        'open_failed',
+        symbol='ETHUSDT',
+        reason='余额不足',
+        status='error',
+        decision={
+            'setup_type': 'breakout_confirmation',
+            'setup_basis': 'setup=breakout_confirmation | breakout_quality=acceptance_breakout_up',
+            'entry_basis': 'breakout_acceptance_follow_through',
+        },
+    )
     agent._record_execution_event('PaperTrading', 'hold', symbol='BTCUSDT', reason='已有盈利反向仓', status='hold')
 
     events = agent.get_recent_execution_events(limit=10)
@@ -196,6 +207,7 @@ def test_execution_events_are_recorded_and_returned_in_reverse_time_order():
     assert events[0]['event_type'] == 'hold'
     assert events[1]['platform'] == 'Bitget'
     assert events[1]['reason'] == '余额不足'
+    assert events[1]['setup_type'] == 'breakout_confirmation'
 
 
 def test_get_status_contains_last_execution_preview():

backend/tests/test_crypto_agent_signal_execution_coordination.py

@@ -99,8 +99,13 @@ def make_agent():
     agent.SIGNAL_POSITION_SIZE_DEFAULTS = {}
     agent.SIGNAL_MARGIN_MULTIPLIERS = {}
     agent.PLATFORM_RULES = {'Bitget': {'min_margin': {}, 'max_margin_pct': 0.25}}
+    agent.SIGNAL_EXECUTION_RULES = CryptoAgent.SIGNAL_EXECUTION_RULES
+    agent.SETUP_EXECUTION_PROFILES = CryptoAgent.SETUP_EXECUTION_PROFILES
+    agent.symbol_trade_cooldown = {}
     agent._check_losing_streak = MagicMock(return_value={'should_cool_down': False})
+    agent._get_symbol_trade_cooldown = MagicMock(return_value=None)
     agent._calculate_position_size = MagicMock(return_value=(100.0, 'ok'))
+    agent._normalize_symbol = lambda symbol: symbol
     return agent
 
 
@@ -218,8 +223,140 @@ def test_opposite_position_uses_current_price_to_protect_profitable_medium_term_
     decision = agent.execute_signal_with_rules(signal, 'Bitget', account, positions, [])
 
     assert decision['decision'] == 'HOLD'
-    assert decision['action'] == 'HOLD'
+
-    assert '反向持仓盈利' in decision['reason']
+
+def test_regime_profile_avoid_blocks_execution_even_with_valid_signal():
+    agent = make_agent()
+
+    signal = {
+        'symbol': 'BTCUSDT',
+        'action': 'buy',
+        'entry_type': 'limit',
+        'entry_price': 100.0,
+        'stop_loss': 98.0,
+        'take_profit': 104.0,
+        'confidence': 82,
+        'timeframe': 'medium_term',
+        'type': 'medium_term',
+        'position_size': 'medium',
+        'regime_profile': {
+            'tradability': 'avoid',
+            'no_trade_reasons': ['位置不佳: middle_of_range'],
+        },
+        'funding_rate_data': {'funding_rate_percent': 0.01},
+    }
+    account = {
+        'current_total_leverage': 0,
+        'max_total_leverage': 10,
+        'available': 1000,
+    }
+
+    decision = agent.execute_signal_with_rules(signal, 'Bitget', account, [], [])
+
+    assert decision['decision'] == 'HOLD'
+    assert decision['action'] == 'IGNORE'
+    assert '市场状态过滤' in decision['reason']
+
+
+def test_symbol_cooldown_blocks_execution_even_with_valid_signal():
+    agent = make_agent()
+    agent._get_symbol_trade_cooldown = MagicMock(return_value={
+        'should_cool_down': True,
+        'reason': 'BTCUSDT 最近连续亏损 2 次，暂停新开仓 2 小时',
+        'cooldown_until': None,
+    })
+
+    signal = {
+        'symbol': 'BTCUSDT',
+        'action': 'buy',
+        'entry_type': 'limit',
+        'entry_price': 100.0,
+        'stop_loss': 98.0,
+        'take_profit': 104.0,
+        'confidence': 82,
+        'timeframe': 'medium_term',
+        'type': 'medium_term',
+        'position_size': 'medium',
+        'funding_rate_data': {'funding_rate_percent': 0.01},
+    }
+    account = {
+        'current_total_leverage': 0,
+        'max_total_leverage': 10,
+        'available': 1000,
+    }
+
+    decision = agent.execute_signal_with_rules(signal, 'PaperTrading', account, [], [])
+
+    assert decision['decision'] == 'HOLD'
+    assert decision['action'] == 'IGNORE'
+    assert '交易对冷却中' in decision['reason']
+
+
+def test_breakout_confirmation_requires_market_and_acceptance_context():
+    agent = make_agent()
+    agent._get_symbol_trade_cooldown = MagicMock(return_value=None)
+
+    signal = {
+        'symbol': 'BTCUSDT',
+        'action': 'buy',
+        'entry_type': 'limit',
+        'entry_price': 100.0,
+        'stop_loss': 98.0,
+        'take_profit': 104.0,
+        'confidence': 84,
+        'timeframe': 'short_term',
+        'type': 'short_term',
+        'setup_type': 'breakout_confirmation',
+        'volume_price_context': {
+            'breakout_quality': 'weak_breakout_up',
+        },
+        'position_size': 'light',
+        'funding_rate_data': {'funding_rate_percent': 0.01},
+    }
+    account = {
+        'current_total_leverage': 0,
+        'max_total_leverage': 10,
+        'available': 1000,
+    }
+
+    decision = agent.execute_signal_with_rules(signal, 'Bitget', account, [], [])
+
+    assert decision['decision'] == 'HOLD'
+    assert 'setup 过滤' in decision['reason']
+
+
+def test_trend_continuation_pullback_requires_healthy_pullback_context():
+    agent = make_agent()
+    agent._get_symbol_trade_cooldown = MagicMock(return_value=None)
+
+    signal = {
+        'symbol': 'BTCUSDT',
+        'action': 'buy',
+        'entry_type': 'limit',
+        'entry_price': 100.0,
+        'stop_loss': 97.5,
+        'take_profit': 106.0,
+        'confidence': 82,
+        'timeframe': 'medium_term',
+        'type': 'medium_term',
+        'setup_type': 'trend_continuation_pullback',
+        'market_location': {'location_tag': 'near_long_zone'},
+        'volume_price_context': {
+            'pullback_quality': 'heavy_sell_pullback',
+        },
+        'position_size': 'medium',
+        'funding_rate_data': {'funding_rate_percent': 0.01},
+    }
+    account = {
+        'current_total_leverage': 0,
+        'max_total_leverage': 10,
+        'available': 1000,
+    }
+
+    decision = agent.execute_signal_with_rules(signal, 'Bitget', account, [], [])
+
+    assert decision['decision'] == 'HOLD'
+    assert 'setup 过滤' in decision['reason']
 
 
 def test_short_term_super_strong_signal_can_flip_when_opposite_profit_is_small():
@@ -422,6 +559,109 @@ def test_between_trade_zones_short_term_signal_can_replace_pending_order_when_ne
     assert decision['orders_to_cancel'] == ['old-1']
 
 
+def test_range_reversal_will_not_add_when_same_direction_position_exists():
+    agent = make_agent()
+
+    signal = {
+        'symbol': 'BTCUSDT',
+        'action': 'buy',
+        'entry_type': 'limit',
+        'entry_price': 98.0,
+        'current_price': 101.0,
+        'stop_loss': 96.0,
+        'take_profit': 106.0,
+        'confidence': 78,
+        'timeframe': 'medium_term',
+        'type': 'medium_term',
+        'setup_type': 'range_reversal',
+        'market_location': {'location_tag': 'near_range_support'},
+        'volume_price_context': {'rejection_signal': 'bullish_rejection'},
+        'funding_rate_data': {'funding_rate_percent': 0.01},
+    }
+    positions = [{
+        'symbol': 'BTCUSDT',
+        'side': 'buy',
+        'entry_price': 100.0,
+        'stop_loss': 98.0,
+        'take_profit': 106.0,
+        'current_price': 101.0,
+    }]
+    account = {'current_total_leverage': 0, 'max_total_leverage': 10, 'available': 1000}
+
+    decision = agent.execute_signal_with_rules(signal, 'Bitget', account, positions, [])
+
+    assert decision['decision'] == 'HOLD'
+    assert '避免同向叠加仓位' in decision['reason']
+
+
+def test_breakout_confirmation_will_not_replace_existing_same_side_pending_order():
+    agent = make_agent()
+
+    signal = {
+        'symbol': 'BTCUSDT',
+        'action': 'buy',
+        'entry_type': 'market',
+        'entry_price': 101.0,
+        'current_price': 101.0,
+        'stop_loss': 99.0,
+        'take_profit': 105.0,
+        'confidence': 90,
+        'timeframe': 'short_term',
+        'type': 'short_term',
+        'setup_type': 'breakout_confirmation',
+        'volume_price_context': {'breakout_quality': 'acceptance_breakout_up'},
+        'funding_rate_data': {'funding_rate_percent': 0.01},
+    }
+    pending_orders = [{
+        'order_id': 'old-1',
+        'symbol': 'BTCUSDT',
+        'side': 'buy',
+        'entry_price': 99.0,
+        'entry_type': 'limit',
+        'is_reduce_only': False,
+        'created_at': '2026-04-22T10:00:00',
+    }]
+    account = {'current_total_leverage': 0, 'max_total_leverage': 10, 'available': 1000}
+
+    decision = agent.execute_signal_with_rules(signal, 'Bitget', account, [], pending_orders)
+
+    assert decision['decision'] == 'HOLD'
+    assert '同向挂单已达 setup 上限' in decision['reason']
+
+
+def test_trend_reversal_waits_instead_of_closing_small_losing_opposite_position():
+    agent = make_agent()
+
+    signal = {
+        'symbol': 'BTCUSDT',
+        'action': 'buy',
+        'entry_type': 'market',
+        'entry_price': 100.0,
+        'current_price': 100.4,
+        'stop_loss': 98.0,
+        'take_profit': 106.0,
+        'confidence': 92,
+        'timeframe': 'medium_term',
+        'type': 'medium_term',
+        'setup_type': 'trend_reversal',
+        'market_location': {'location_tag': 'near_long_zone'},
+        'volume_price_context': {'rejection_signal': 'bullish_rejection'},
+        'funding_rate_data': {'funding_rate_percent': 0.01},
+    }
+    positions = [{
+        'symbol': 'BTCUSDT',
+        'side': 'sell',
+        'entry_price': 100.0,
+        'current_price': 100.4,
+    }]
+    account = {'current_total_leverage': 0, 'max_total_leverage': 10, 'available': 1000}
+
+    decision = agent.execute_signal_with_rules(signal, 'Bitget', account, positions, [])
+
+    assert decision['decision'] == 'HOLD'
+    assert '反向小亏损仓位保持克制' in decision['reason']
+
+
 def test_runtime_position_state_derives_protection_and_remaining_target():
     agent = make_agent()
 

backend/tests/test_market_signal_analyzer_lane_rules.py

@@ -214,6 +214,151 @@ def test_market_location_summary_marks_middle_of_range_and_far_from_trade_zone()
     assert far_location["location_tag"] == "far_from_trade_zone"
 
 
+def test_serialize_feature_block_includes_volume_price_fields():
+    analyzer = make_analyzer()
+
+    block = analyzer._serialize_feature_block(
+        {
+            "available": True,
+            "structure": "HH/HL",
+            "ema_alignment": "bull",
+            "momentum_3": 1.2,
+            "momentum_12": 3.4,
+            "rsi": 61.5,
+            "atr_pct": 1.1,
+            "volume_ratio": 1.35,
+            "body_ratio": 0.68,
+            "close_position_in_bar": 0.82,
+            "upper_wick_ratio": 0.08,
+            "lower_wick_ratio": 0.1,
+            "range_expansion_ratio": 1.45,
+            "pressure_bias": "bullish",
+            "volume_price_state": "bullish_acceptance",
+            "breakout_quality": "acceptance_breakout_up",
+            "pullback_quality": "healthy_pullback",
+            "rejection_signal": "none",
+            "exhaustion_risk": "low",
+            "distance_to_ema20": 2.5,
+            "distance_to_recent_high": -0.4,
+            "distance_to_recent_low": 4.2,
+            "is_accelerating": True,
+            "adx": 24.8,
+            "trend_strength_adx": "weak",
+        }
+    )
+
+    assert block["volume_price_state"] == "bullish_acceptance"
+    assert block["breakout_quality"] == "acceptance_breakout_up"
+    assert block["pressure_bias"] == "bullish"
+    assert block["body_ratio"] == 0.68
+    assert block["range_expansion_ratio"] == 1.45
+
+
+def test_feature_engine_detects_bullish_acceptance_breakout():
+    analyzer = make_analyzer()
+    opens = [100 + i * 0.25 for i in range(19)] + [104.8]
+    closes = [100.2 + i * 0.25 for i in range(19)] + [108.6]
+    lows = [price - 0.35 for price in opens[:-1]] + [104.6]
+    highs = [price + 0.45 for price in closes[:-1]] + [108.8]
+    volumes = [100 + i * 4 for i in range(19)] + [260]
+    df = pd.DataFrame(
+        {
+            "open": opens,
+            "close": closes,
+            "low": lows,
+            "high": highs,
+            "ema5": [102.5] * 20,
+            "ema10": [101.8] * 20,
+            "ema20": [100.8] * 20,
+            "rsi": [55] * 20,
+            "atr": [1.0] * 20,
+            "adx": [28] * 20,
+            "volume": volumes,
+        }
+    )
+
+    feature = analyzer.feature_engine.summarize_timeframe_features(df, "15m")
+
+    assert feature["volume_price_state"] == "bullish_acceptance"
+    assert feature["breakout_quality"] == "acceptance_breakout_up"
+    assert feature["pressure_bias"] == "bullish"
+
+
+def test_quantify_ranging_state_prefers_price_action_compression_and_flip_count():
+    analyzer = make_analyzer()
+    closes = [100.0, 100.4, 100.1, 100.5, 100.2, 100.6, 100.25, 100.55, 100.3, 100.5,
+              100.35, 100.45, 100.3, 100.4, 100.32, 100.42, 100.34, 100.41, 100.36, 100.4]
+    highs = [c + 0.35 for c in closes]
+    lows = [c - 0.35 for c in closes]
+    df = pd.DataFrame(
+        {
+            "open": [closes[0]] + closes[:-1],
+            "close": closes,
+            "high": highs,
+            "low": lows,
+            "ema5": [100.35] * 20,
+            "ema10": [100.33] * 20,
+            "ema20": [100.31] * 20,
+            "atr": [0.7] * 20,
+            "adx": [18] * 20,
+            "bb_upper": [100.9] * 20,
+            "bb_lower": [99.9] * 20,
+            "volume": [100 + (i % 3) * 5 for i in range(20)],
+        }
+    )
+
+    result = analyzer._quantify_ranging_state({"1h": df})
+
+    assert result["regime"] == "ranging"
+    assert result["swing_flip_count"] >= 6
+    assert result["range_efficiency"] < 0.4
+
+
+def test_detect_trend_stage_uses_breakout_acceptance_as_early_signal():
+    analyzer = make_analyzer()
+    closes = [100 + i * 0.35 for i in range(23)] + [109.2]
+    opens = [99.8 + i * 0.35 for i in range(23)] + [105.5]
+    highs = [c + 0.3 for c in closes[:-1]] + [109.5]
+    lows = [o - 0.2 for o in opens[:-1]] + [105.2]
+    volumes = [110 + i * 3 for i in range(23)] + [320]
+
+    df_1h = pd.DataFrame(
+        {
+            "open": opens,
+            "close": closes,
+            "high": highs,
+            "low": lows,
+            "ema5": [105.8] * 24,
+            "ema10": [104.8] * 24,
+            "ema20": [103.6] * 24,
+            "rsi": [58] * 24,
+            "atr": [1.1] * 24,
+            "adx": [29] * 24,
+            "volume": volumes,
+        }
+    )
+    df_4h = pd.DataFrame(
+        {
+            "open": [95 + i * 1.2 for i in range(20)],
+            "close": [95.5 + i * 1.2 for i in range(20)],
+            "high": [96 + i * 1.2 for i in range(20)],
+            "low": [94.6 + i * 1.2 for i in range(20)],
+            "ema5": [110] * 20,
+            "ema10": [108.5] * 20,
+            "ema20": [106] * 20,
+            "rsi": [60] * 20,
+            "atr": [2.2] * 20,
+            "adx": [26] * 20,
+            "volume": [500 + i * 10 for i in range(20)],
+        }
+    )
+
+    result = analyzer._detect_trend_stage({"1h": df_1h, "4h": df_4h})
+
+    assert result["stage"] in {"early", "middle"}
+    assert any("接受" in signal or "先动" in signal for signal in result["signals"])
+
+
 def test_build_analysis_prompt_includes_structured_market_and_derivatives_blocks():
     analyzer = make_analyzer()
     prompt = analyzer._build_analysis_prompt(

backend/tests/test_position_sizing_regression.py

@@ -148,3 +148,20 @@ def test_paper_dynamic_position_uses_equity_pct_instead_of_margin_multiple():
 
     assert margin == pytest.approx(2400.0)
     assert position_value == pytest.approx(24000.0)
+
+
+def test_setup_profile_can_cap_margin_budget_more_conservatively():
+    module = load_position_sizing_module()
+
+    margin, position_value, _ = module.calculate_margin_and_position_value(
+        balance=20000,
+        available_margin=19000,
+        current_total_leverage=0,
+        max_total_leverage=10,
+        order_leverage=10,
+        target_margin_pct=0.12 * 0.55,
+        max_margin_pct=0.08,
+    )
+
+    assert margin == pytest.approx(1320.0)
+    assert position_value == pytest.approx(13200.0)

backend/tests/test_regime_engine_policy.py

@@ -0,0 +1,127 @@
+import importlib.util
+import sys
+import types
+from pathlib import Path
+
+
+def load_class(module_rel_path: str, class_name: str):
+    base = Path(__file__).resolve().parents[1] / "app" / "crypto_agent"
+    target = base / module_rel_path
+
+    if "app" not in sys.modules:
+        app_pkg = types.ModuleType("app")
+        app_pkg.__path__ = [str(base.parents[1] / "app")]
+        sys.modules["app"] = app_pkg
+
+    if "app.crypto_agent" not in sys.modules:
+        crypto_pkg = types.ModuleType("app.crypto_agent")
+        crypto_pkg.__path__ = [str(base)]
+        sys.modules["app.crypto_agent"] = crypto_pkg
+
+    module_name = f"app.crypto_agent.{target.stem}_test"
+    spec = importlib.util.spec_from_file_location(module_name, target)
+    module = importlib.util.module_from_spec(spec)
+    sys.modules[module_name] = module
+    spec.loader.exec_module(module)
+    return getattr(module, class_name)
+
+
+def test_regime_engine_blocks_middle_of_range_in_ranging_market():
+    RegimeEngine = load_class("regime_engine.py", "RegimeEngine")
+    engine = RegimeEngine()
+
+    profile = engine.classify(
+        range_metrics={"regime": "ranging", "bb_squeeze": False},
+        market_location={"location_tag": "middle_of_range", "relative_to_range": "middle_of_range"},
+        trend_direction="neutral",
+        trend_strength="weak",
+        derivatives_state={"crowding_regime": "low", "crowding_bias": "neutral"},
+        reversal_detection={},
+        trend_stage={},
+    )
+
+    assert profile["regime_key"] == "range"
+    assert profile["tradability"] == "selective"
+    assert "range_reversal" in profile["allowed_setups"]
+    assert any("区间边界" in reason or "位置不佳" in reason for reason in profile["no_trade_reasons"])
+
+
+def test_setup_policy_allows_only_short_term_range_reversal_in_range_market():
+    SetupPolicy = load_class("setup_policy.py", "SetupPolicy")
+    policy = SetupPolicy()
+
+    profile = {
+        "tradability": "selective",
+        "allowed_lanes": ["short_term"],
+        "allowed_setups": ["range_reversal"],
+    }
+    signals = [
+        {
+            "timeframe": "medium_term",
+            "type": "medium_term",
+            "action": "sell",
+            "entry_type": "limit",
+            "regime": "ranging",
+            "market_location": {"location_tag": "near_range_resistance"},
+        },
+        {
+            "timeframe": "short_term",
+            "type": "short_term",
+            "action": "sell",
+            "entry_type": "limit",
+            "regime": "ranging",
+            "market_location": {"location_tag": "near_range_resistance"},
+        },
+    ]
+
+    filtered, reasons = policy.filter_signals(signals, profile)
+
+    assert len(filtered) == 1
+    assert filtered[0]["timeframe"] == "short_term"
+    assert filtered[0]["setup_type"] == "range_reversal"
+    assert reasons
+
+
+def test_setup_policy_uses_volume_price_context_for_breakout_and_pullback_setups():
+    SetupPolicy = load_class("setup_policy.py", "SetupPolicy")
+    policy = SetupPolicy()
+
+    profile = {
+        "tradability": "selective",
+        "allowed_lanes": ["short_term", "medium_term"],
+        "allowed_setups": ["breakout_confirmation", "trend_continuation_pullback"],
+    }
+    signals = [
+        {
+            "timeframe": "short_term",
+            "type": "short_term",
+            "action": "buy",
+            "entry_type": "market",
+            "regime": "transitional",
+            "market_location": {"location_tag": "near_long_zone"},
+            "volume_price_context": {
+                "breakout_quality": "acceptance_breakout_up",
+                "volume_price_state": "bullish_acceptance",
+            },
+        },
+        {
+            "timeframe": "medium_term",
+            "type": "medium_term",
+            "action": "buy",
+            "entry_type": "limit",
+            "regime": "weak_trend",
+            "market_location": {"location_tag": "near_long_zone"},
+            "volume_price_context": {
+                "pullback_quality": "healthy_pullback",
+            },
+        },
+    ]
+
+    filtered, reasons = policy.filter_signals(signals, profile)
+
+    assert len(filtered) == 2
+    assert filtered[0]["setup_type"] == "breakout_confirmation"
+    assert filtered[1]["setup_type"] == "trend_continuation_pullback"
+    assert filtered[0]["entry_basis"] == "breakout_acceptance_follow_through"
+    assert "setup=breakout_confirmation" in filtered[0]["setup_basis"]
+    assert not reasons

backend/tests/test_system_console_snapshot.py

@@ -0,0 +1,116 @@
+import importlib.util
+import sys
+import types
+from pathlib import Path
+
+
+def load_system_module():
+    system_path = Path(__file__).resolve().parents[1] / "app" / "api" / "system.py"
+
+    if "app" not in sys.modules:
+        app_pkg = types.ModuleType("app")
+        app_pkg.__path__ = [str(system_path.parents[2] / "app")]
+        sys.modules["app"] = app_pkg
+
+    for pkg_name, pkg_path in [
+        ("app.api", system_path.parent),
+        ("app.utils", system_path.parents[1] / "utils"),
+        ("app.crypto_agent", system_path.parents[1] / "crypto_agent"),
+        ("app.services", system_path.parents[1] / "services"),
+    ]:
+        if pkg_name not in sys.modules:
+            pkg = types.ModuleType(pkg_name)
+            pkg.__path__ = [str(pkg_path)]
+            sys.modules[pkg_name] = pkg
+
+    fastapi_module = types.ModuleType("fastapi")
+
+    class DummyRouter:
+        def get(self, *args, **kwargs):
+            def decorator(fn):
+                return fn
+            return decorator
+
+    class DummyHTTPException(Exception):
+        pass
+
+    fastapi_module.APIRouter = lambda: DummyRouter()
+    fastapi_module.HTTPException = DummyHTTPException
+    sys.modules["fastapi"] = fastapi_module
+
+    logger_module = types.ModuleType("app.utils.logger")
+    logger_module.logger = types.SimpleNamespace(error=lambda *a, **k: None, warning=lambda *a, **k: None)
+    sys.modules["app.utils.logger"] = logger_module
+
+    system_status_module = types.ModuleType("app.utils.system_status")
+    system_status_module.get_system_monitor = lambda: None
+    sys.modules["app.utils.system_status"] = system_status_module
+
+    crypto_agent_module = types.ModuleType("app.crypto_agent.crypto_agent")
+    crypto_agent_module.get_crypto_agent = lambda: None
+    sys.modules["app.crypto_agent.crypto_agent"] = crypto_agent_module
+
+    signal_db_module = types.ModuleType("app.services.signal_database_service")
+    signal_db_module.get_signal_db_service = lambda: None
+    sys.modules["app.services.signal_database_service"] = signal_db_module
+
+    paper_module = types.ModuleType("app.services.paper_trading_service")
+    paper_module.get_paper_trading_service = lambda: None
+    sys.modules["app.services.paper_trading_service"] = paper_module
+
+    bitget_module = types.ModuleType("app.services.bitget_live_trading_service")
+    bitget_module.get_all_bitget_live_services = lambda: {}
+    bitget_module.get_bitget_live_service = lambda: None
+    sys.modules["app.services.bitget_live_trading_service"] = bitget_module
+
+    module_name = "app.api.system_console_test"
+    spec = importlib.util.spec_from_file_location(module_name, system_path)
+    module = importlib.util.module_from_spec(spec)
+    sys.modules[module_name] = module
+    spec.loader.exec_module(module)
+    return module
+
+
+def test_normalize_platform_position_preserves_setup_fields():
+    module = load_system_module()
+    item = module._normalize_platform_position(
+        "paper",
+        {
+            "symbol": "BTCUSDT",
+            "side": "buy",
+            "entry_price": 100.0,
+            "mark_price": 101.0,
+            "size": 1.2,
+            "take_profit": 106.0,
+            "stop_loss": 98.0,
+            "setup_type": "trend_continuation_pullback",
+            "setup_basis": "setup=trend_continuation_pullback | pullback_quality=healthy_pullback",
+            "entry_basis": "pullback_into_trade_zone",
+        },
+    )
+
+    assert item["setup_type"] == "trend_continuation_pullback"
+    assert "healthy_pullback" in item["setup_basis"]
+    assert item["entry_basis"] == "pullback_into_trade_zone"
+
+
+def test_normalize_platform_order_preserves_setup_fields():
+    module = load_system_module()
+    item = module._normalize_platform_order(
+        "bitget",
+        {
+            "symbol": "ETHUSDT",
+            "side": "sell",
+            "price": 2000.0,
+            "size": 3,
+            "status": "pending",
+            "entry_type": "limit",
+            "setup_type": "range_reversal",
+            "setup_basis": "setup=range_reversal | location=near_range_resistance",
+            "entry_basis": "reversal_from_near_range_resistance",
+        },
+    )
+
+    assert item["setup_type"] == "range_reversal"
+    assert "near_range_resistance" in item["setup_basis"]
+    assert item["entry_basis"] == "reversal_from_near_range_resistance"

frontend/console.html

@@ -2705,6 +2705,22 @@
                             <div class="stat-chip decision-chip ${paper.tone}"><span class="label">模拟盘</span><span class="value">${paper.label}</span></div>
                             <div class="stat-chip decision-chip ${bitget.tone}"><span class="label">Bitget</span><span class="value">${bitget.label}</span></div>
                         </div>
+                        ${(preview.paper?.setup_type || preview.bitget?.setup_type)
+                            ? `
+                                <div style="margin-top: 10px; display: flex; gap: 8px; flex-wrap: wrap;">
+                                    ${preview.paper?.setup_type ? `<span class="event-inline-badge">Paper ${preview.paper.setup_type}</span>` : ''}
+                                    ${preview.bitget?.setup_type ? `<span class="event-inline-badge">Bitget ${preview.bitget.setup_type}</span>` : ''}
+                                </div>
+                            `
+                            : ''}
+                        ${(preview.paper?.entry_basis || preview.paper?.setup_basis || preview.bitget?.entry_basis || preview.bitget?.setup_basis)
+                            ? `
+                                <div style="margin-top: 10px;" class="analysis-log-detail">
+                                    ${preview.paper?.entry_basis || preview.paper?.setup_basis ? `<div>模拟盘: ${preview.paper.entry_basis || preview.paper.setup_basis}</div>` : ''}
+                                    ${preview.bitget?.entry_basis || preview.bitget?.setup_basis ? `<div>Bitget: ${preview.bitget.entry_basis || preview.bitget.setup_basis}</div>` : ''}
+                                </div>
+                            `
+                            : ''}
                         <div style="margin-top: 12px; color: var(--muted); font-size: 12px; line-height: 1.6;">
                             模拟盘: ${paper.detail}
                         </div>
@@ -2794,8 +2810,15 @@
                             ${event.decision ? `<span class="event-inline-badge">${event.decision}</span>` : ''}
                             ${event.action ? `<span class="event-inline-badge">${event.action}</span>` : ''}
                             ${event.signal_timeframe_text ? `<span class="event-inline-badge">${event.signal_timeframe_text}</span>` : ''}
+                            ${event.setup_type ? `<span class="event-inline-badge">${event.setup_type}</span>` : ''}
                         </div>
                         <span style="color: var(--muted);">${event.reason || '无说明'}</span>
+                        ${event.setup_basis || event.entry_basis ? `
+                            <div class="analysis-log-detail" style="margin-top: 8px;">
+                                ${event.setup_basis ? `<div>Setup: ${event.setup_basis}</div>` : ''}
+                                ${event.entry_basis ? `<div>Entry: ${event.entry_basis}</div>` : ''}
+                            </div>
+                        ` : ''}
                         ${event.event_type === 'execution_blocked_summary' && Array.isArray(event.blocked_platforms) && event.blocked_platforms.length > 0 ? `
                             <div class="blocked-platforms" style="margin-top: 10px;">
                                 ${event.blocked_platforms.map((item) => `
@@ -2860,6 +2883,7 @@
                             <th>方向</th>
                             <th>入场 / 现价</th>
                             <th>仓位 / 杠杆</th>
+                            <th>Setup</th>
                             <th>止盈 / 止损</th>
                             <th>未实现盈亏</th>
                             <th>盈亏比例</th>
@@ -2875,6 +2899,7 @@
                                 <td><span class="side-pill ${item.side === 'long' ? 'long' : 'short'}">${item.side === 'long' ? 'long' : 'short'}</span></td>
                                 <td class="inline-mono">${formatMoney(item.entry_price)} / ${formatMoney(item.mark_price)}</td>
                                 <td class="inline-mono">${formatNumber(item.size, 4)} / ${formatNumber(item.leverage, 1)}x</td>
+                                <td>${item.setup_type ? `<div class="inline-mono">${item.setup_type}</div><div class="analysis-log-detail">${item.entry_basis || item.setup_basis || '-'}</div>` : '-'}</td>
                                 <td class="inline-mono">${item.take_profit ? formatMoney(item.take_profit) : '-'} / ${item.stop_loss ? formatMoney(item.stop_loss) : '-'}</td>
                                 <td style="color:${(item.unrealized_pnl || 0) >= 0 ? 'var(--good)' : 'var(--danger)'}">${formatMoney(item.unrealized_pnl)}</td>
                                 <td style="color:${(item.pnl_percent || 0) >= 0 ? 'var(--good)' : 'var(--danger)'}">${formatPercent(item.pnl_percent, 2)}</td>
@@ -2915,6 +2940,7 @@
                             <th>价格</th>
                             <th>数量 / 杠杆</th>
                             <th>信号</th>
+                            <th>Setup</th>
                             <th>时间</th>
                         </tr>
                     </thead>
@@ -2929,6 +2955,7 @@
                                 <td class="inline-mono">${formatMoney(item.price)}</td>
                                 <td class="inline-mono">${formatNumber(item.size, 4)} / ${item.leverage ? `${formatNumber(item.leverage, 1)}x` : '-'}</td>
                                 <td class="inline-mono">${item.signal_grade || '-'} ${item.signal_type || ''} ${item.confidence ? `/ ${formatPercent(item.confidence, 1)}` : ''}</td>
+                                <td>${item.setup_type ? `<div class="inline-mono">${item.setup_type}</div><div class="analysis-log-detail">${item.entry_basis || item.setup_basis || '-'}</div>` : '-'}</td>
                                 <td class="inline-mono">${item.created_at ? relativeTime(item.created_at) : '-'}</td>
                             </tr>
                         `).join('')}