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reflect-performance-review

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Original

English
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Translation

Chinese

REFLECT — Reflect, Evaluate, Fine-tune, Learn, Evolve, Correct, Transform

REFLECT — 复盘、评估、微调、学习、演进、修正、升级

Nightly automated performance review engine. APEX runs all day — REFLECT reviews every trade at night, computing metrics, detecting patterns, and producing data-driven improvement recommendations.
夜间自动化绩效复盘引擎。APEX 全天运行，REFLECT 会在夜间复盘每一笔交易，计算指标、识别规律，并输出数据驱动的优化建议。

Architecture

架构

trades.jsonl → ReflectEngine.compute() → ReflectMetrics → ReflectReporter.generate() → report.md
  1. Load: Read trade log from 
    data/cli/trades.jsonl
  2. Pair: FIFO round-trip matching (buys to sells per instrument)
  3. Compute: Win rate, PF, FDR, holding periods, direction analysis, monster dependency
  4. Recommend: Rule-based recommendations from metrics
  5. Report: Full markdown report saved to 
    data/reflect/YYYY-MM-DD.md
  6. Distill: 3-5 line summary for agent memory
trades.jsonl → ReflectEngine.compute() → ReflectMetrics → ReflectReporter.generate() → report.md
  1. 加载：从 
    data/cli/trades.jsonl
    读取交易日志
  2. 配对：先进先出（FIFO）往返匹配（按交易标的将买单和卖单一一对应）
  3. 计算：胜率、PF、FDR、持仓周期、交易方向分析、大额交易依赖度
  4. 建议：基于计算出的指标输出规则化优化建议
  5. 报告：完整的 markdown 报告保存至 
    data/reflect/YYYY-MM-DD.md
  6. 提炼：生成3-5行摘要存入Agent记忆作为下一次运行的上下文

Key Metrics

核心指标

MetricFormulaHealthy Range
Win Ratewinning_trades / total_trades> 50%
Profit Factor (Gross)gross_wins / gross_losses> 1.5
Profit Factor (Net)(gross_wins - fees) / gross_losses> 1.2
FDR (Fee Drag Ratio)total_fees / gross_wins * 100< 20%
Monster Dependencybest_trade_pnl / net_pnl * 100< 50%
Max Consecutive Losseslongest loss streak< 5
指标计算公式健康区间
胜率winning_trades / total_trades> 50%
利润因子（总）gross_wins / gross_losses> 1.5
利润因子（净）(gross_wins - fees) / gross_losses> 1.2
FDR（手续费损耗率）total_fees / gross_wins * 100< 20%
大额交易依赖度best_trade_pnl / net_pnl * 100< 50%
最大连续亏损次数最长连续亏损交易数< 5

Usage

使用方法

bash
hl reflect run                      # Review since last report
hl reflect run --since 2026-03-01   # Review from specific date
hl reflect report                   # View latest report
hl reflect report --date 2026-03-03 # View specific date
hl reflect history                  # Show metric trend over time
hl reflect history -n 30            # Last 30 reports
bash
hl reflect run                      # 复盘上次报告生成以来的所有交易
hl reflect run --since 2026-03-01   # 复盘指定日期以来的所有交易
hl reflect report                   # 查看最新复盘报告
hl reflect report --date 2026-03-03 # 查看指定日期的复盘报告
hl reflect history                  # 查看指标长期趋势
hl reflect history -n 30            # 查看最近30份报告的指标趋势

Agent Mandate

Agent职责

You are the REFLECT reviewer. Your job is to analyze every trade from the past session, compute performance metrics, identify weaknesses, and produce actionable recommendations. You run nightly — the APEX runs by day, you review at night.
RULES:
  • Run REFLECT every night after trading stops — no exceptions
  • ALWAYS read the full report before the next trading session
  • Act on CRITICAL recommendations immediately (FDR > 30%, win rate < 35%)
  • Track recommendations across reports — if the same issue appears 3+ times, escalate
  • Save the distilled summary to agent memory for next-session context
  • NEVER ignore FDR warnings — fees silently kill profitability
你是REFLECT复盘员，你的工作是分析过去时段的每一笔交易，计算绩效指标，识别短板，输出可落地的优化建议。你在夜间运行：APEX白天执行交易，你在夜间完成复盘。
规则：
  • 每日交易结束后必须夜间运行REFLECT，无例外
  • 下一交易时段开始前必须通读完整复盘报告
  • 立即处理CRITICAL级建议（FDR > 30%、胜率 < 35%）
  • 跨报告追踪建议：如果同一问题出现3次及以上，需升级处理
  • 将提炼的摘要存入Agent记忆，为下一时段运行提供上下文
  • 绝对不要忽略FDR警告：手续费会在无形中侵蚀盈利

Decision Rules

决策规则

Metric StateSeverityAction
FDR > 30%CRITICALReduce trade frequency or widen entry criteria immediately
FDR 20-30%WARNINGMonitor — consider reducing size or frequency
FDR < 20%OKFees are manageable
Win rate < 35%CRITICALTighten entry criteria — Radar threshold to 200+
Win rate 35-45%WARNINGReview losing trades for pattern
Win rate > 50%OKEntries are working
Monster dep > 60%WARNINGOne trade carrying the session — diversify alpha
Monster dep > 80%CRITICALFragile — entire PnL depends on one lucky trade
Consec losses > 5WARNINGAdd loss streak circuit breaker to APEX
Long PnL < 0, Short PnL > 0WARNINGLong entries are leaking — reduce long bias
Holding < 5 min dominatesWARNINGOver-trading — increase min hold time
指标状态严重等级处理动作
FDR > 30%严重立即降低交易频率或放宽入场条件
FDR 20-30%警告持续监控，考虑降低仓位或交易频率
FDR < 20%正常手续费水平可控
胜率 < 35%严重收紧入场条件，将雷达阈值调整至200以上
胜率 35-45%警告复盘亏损交易排查共性规律
胜率 > 50%正常入场策略有效
大额交易依赖度 > 60%警告单个交易贡献了时段绝大部分收益，需分散阿尔法来源
大额交易依赖度 > 80%严重策略稳定性差，全部盈利依赖单笔运气交易
连续亏损 > 5次警告为APEX添加连续亏损熔断机制
做多收益 < 0，做空收益 > 0警告做多入场效率低，降低多头仓位偏好
持仓时长低于5分钟的交易占比过高警告交易过度频繁，提高最小持仓时长限制

Anti-Patterns

反模式

  • Ignoring REFLECT reports: Running APEX without reviewing REFLECT is flying blind. The same mistakes repeat.
  • Acting on single-day anomalies: One bad day doesn't mean the strategy is broken. Look at 5+ day trends via 
    hl reflect history
    .
  • Optimizing for win rate alone: High win rate with low profit factor means you're taking small wins and large losses. Focus on PF.
  • Not tracking FDR: Fees are invisible during trading but compound devastatingly. FDR is the single most important "hidden" metric.
  • Changing strategy after one REFLECT report: REFLECT recommendations need 3+ consistent appearances before strategy changes.
  • 忽略REFLECT报告：不查看REFLECT输出就运行APEX相当于盲飞，相同错误会反复出现
  • 仅根据单日异常调整策略：单日表现差不代表策略失效，通过
    hl reflect history
    查看5天以上的趋势再做判断
  • 仅优化胜率：高胜率配合低利润因子意味着你赚小钱亏大钱，应优先关注PF指标
  • 不追踪FDR指标：交易过程中手续费感知不强，但长期复利影响极大，FDR是最重要的“隐藏”指标
  • 单次REFLECT报告就调整策略：REFLECT的建议需要连续出现3次及以上再考虑调整策略

Error Recovery

错误修复

ErrorCauseFix
No trades found
No trading activity in periodNormal — nothing to review
Cannot pair round trips
Unmatched buys/sellsOpen positions — REFLECT pairs only closed trades
trades.jsonl not found
First run or wrong data dirRun at least one trade first
Report generation failed
Disk full or permissionsCheck 
data/reflect/
directory permissions
错误信息原因解决方案
No trades found
指定时段内无交易记录正常情况，无内容需要复盘
Cannot pair round trips
存在未匹配的买卖单有未平仓的仓位，REFLECT仅匹配已平仓的交易
trades.jsonl not found
首次运行或数据目录错误先至少完成一笔交易再运行
Report generation failed
磁盘已满或权限不足检查
data/reflect/
目录的读写权限

Composition

系统组成

REFLECT is the learning layer of the APEX system. Run REFLECT nightly after APEX stops. Feed REFLECT insights back into APEX configuration (Radar thresholds, DSL presets, position sizing). Over time, REFLECT recommendations should converge as the system improves.
REFLECT是APEX系统的学习层。在APEX每日运行结束后夜间执行REFLECT，将REFLECT的输出结论同步回APEX配置（雷达阈值、DSL预设、仓位大小）。随着系统持续优化，REFLECT输出的建议会逐步收敛。

Cron Template

定时任务模板

bash
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bash
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Nightly REFLECT review at 11:55 PM

每日23:55运行夜间REFLECT复盘

55 23 * * * cd ~/agent-cli && source .venv/bin/activate && hl reflect run >> logs/reflect.log 2>&1
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55 23 * * * cd ~/agent-cli && source .venv/bin/activate && hl reflect run >> logs/reflect.log 2>&1
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