feat: 回测框架全面扩展——支持超跌策略(v_weak/p_oversold)回测: calc_factors加bias60/dist_lo20/r5f/vol_shrink/close_up, pass_filters加超跌/大盘RSI/基本面/新闻因子, _load_index_ctx加大盘RSI/DD60, _get_external_factors查基本面/新闻/行业动量, run_backtest注入外部因子, 注册v_weak+v_oversold到STRATEGIES

strategy_lab.py

@@ -326,6 +326,50 @@ STRATEGIES.update({
             "eval_step": 1,
         },
     },
+    # ── 2026-08-11 超跌策略注册（v_weak/p_oversold 回测支持）──
+    "v_weak": {
+        "version": "v_weak",
+        "name": "弱市超跌确认（ADX甜区+6条件）",
+        "summary": "大盘MA20下+ADX[25,30]甜区 + bias60[-35,-20] + RSI<=25 + 5日急跌 + 距低点近 + 收阳缩量",
+        "hypothesis": "弱市深超跌反弹，六步方法论+12维框架定稿",
+        "parent": "v_mr",
+        "config": {
+            "entry": {"min_score": 45, "min_momentum": 8, "filters": {
+                "bias60_min": -35, "bias60_max": -20,
+                "rsi_max": 25,
+                "r5f_max": -3,
+                "dist_lo20_max": 5,
+                "require_close_up": True,
+                "vol_shrink_max": 1.0,
+                "mkt_above_ma20": False,
+                "mkt_adx_min": 25, "mkt_adx_max": 30,
+            }},
+            "exit": {"tp_pct": 0.30, "sl_pct": 0.12, "max_hold_days": 40},
+            "sizing": {"kelly": False},
+            "eval_step": 1,
+        },
+    },
+    "v_oversold": {
+        "version": "v_oversold",
+        "name": "预测超跌反弹（12维因子）",
+        "summary": "弱市+小市值+低PE+新闻+行业弱+深跌",
+        "hypothesis": "由果及因：预测超跌反弹",
+        "parent": "v_weak",
+        "config": {
+            "entry": {"min_score": 45, "min_momentum": 8, "filters": {
+                "mkt_rsi_max": 50,
+                "mkt_dd60_max": -5,
+                "mcap_q_max": 0.2,
+                "pe_q_max": 0.2,
+                "news3_min": 1,
+                "sec_ret20_max": 0,
+                "bias60_max": -20,
+            }},
+            "exit": {"tp_pct": None, "sl_pct": 0.05, "max_hold_days": 40},
+            "sizing": {"kelly": False},
+            "eval_step": 1,
+        },
+    },
 })
 
 
@@ -598,6 +642,7 @@ def _load_index_ctx(index_code, start_date, end_date):
     bars = prepare_bars(index_code, start_date, end_date)
     if not bars:
         return ctx
+    closes = [b.get('close') or 0 for b in bars]
     for i, b in enumerate(bars):
         slope = None
         if i >= 5:
@@ -605,14 +650,72 @@ def _load_index_ctx(index_code, start_date, end_date):
             if m0 and m1:
                 slope = round((m1 - m0) / m0 * 100, 3)
         ma20 = b.get('ma20') or 0
+        # 2026-08-11: mkt_dd60 大盘距60日高点回撤 + mkt_rsi（p_oversold 门控）
+        hi60 = max(closes[max(0, i-59):i+1]) if closes else 0
+        mkt_dd60 = round(((b.get('close') or 0) - hi60) / hi60 * 100, 2) if hi60 > 0 else None
         ctx[b['date']] = {
             'above_ma20': (b.get('close') or 0) > ma20 if ma20 > 0 else None,
             'ma20_slope': slope,
             'roc': b.get('roc'),
             'adx': b.get('adx'),  # 趋势强度（choppy市<20，趋势市>25，2026-07-30强化趋势过滤）
+            'rsi': b.get('rsi'),  # 2026-08-11: 大盘RSI（p_oversold 门控）
+            'mkt_dd60': mkt_dd60,  # 2026-08-11: 大盘距60日高点回撤
         }
     return ctx
 
+# ── 2026-08-11 外部因子缓存（基本面/新闻/行业动量，回测超跌策略用）──
+_EXTERNAL_CACHE = {}
+
+def _days_ago(dt, n):
+    """返回 dt 前 n 天的日期字符串"""
+    from datetime import datetime, timedelta
+    try:
+        return (datetime.strptime(dt, '%Y-%m-%d') - timedelta(days=n)).strftime('%Y-%m-%d')
+    except:
+        return dt
+
+def _get_external_factors(code, dt):
+    """惰性查询 + 缓存：返回该 code 在 dt 日的外部因子（mcap_q/pe_q/news3/sec_ret20）"""
+    key = (code, dt)
+    if key in _EXTERNAL_CACHE:
+        return _EXTERNAL_CACHE[key]
+    result = {}
+    try:
+        # 行业动量 sec_ret20（sector_index_daily 20日涨跌）
+        _srow = conn.execute("SELECT sector_name FROM stock_sectors WHERE code=? LIMIT 1", (code,)).fetchone()
+        if _srow and _srow[0]:
+            _sector = _srow[0]
+            _prev = conn.execute(
+                "SELECT close FROM sector_index_daily WHERE sector=? AND date<=? ORDER BY date DESC LIMIT 21",
+                (_sector, dt)).fetchall()
+            if len(_prev) >= 20 and _prev[-1][0] and _prev[-1][0] > 0:
+                result['sec_ret20'] = round((_prev[0][0] - _prev[-1][0]) / _prev[-1][0] * 100, 2)
+        # 新闻 3 日计数 news3
+        _nrow = conn.execute(
+            "SELECT COUNT(*) FROM stock_news WHERE code=? AND date>? AND date<=?",
+            (code, _days_ago(dt, 3), dt)).fetchone()
+        if _nrow:
+            result['news3'] = _nrow[0]
+        # 基本面分位 mcap_q/pe_q
+        _frow = conn.execute(
+            "SELECT mcap_total, pe FROM stock_fundamentals WHERE code=?", (code,)).fetchone()
+        if _frow and _frow[0]:
+            _mcap = _frow[0]
+            _t = conn.execute("SELECT COUNT(*) FROM stock_fundamentals WHERE mcap_total>0 AND mcap_total<?", (_mcap,)).fetchone()[0]
+            _tot = conn.execute("SELECT COUNT(*) FROM stock_fundamentals WHERE mcap_total>0").fetchone()[0]
+            if _tot:
+                result['mcap_q'] = round(_t / _tot, 3)
+        if _frow and _frow[1]:
+            _pe = _frow[1]
+            _t = conn.execute("SELECT COUNT(*) FROM stock_fundamentals WHERE pe>0 AND pe<?", (_pe,)).fetchone()[0]
+            _tot = conn.execute("SELECT COUNT(*) FROM stock_fundamentals WHERE pe>0").fetchone()[0]
+            if _tot:
+                result['pe_q'] = round(_t / _tot, 3)
+    except Exception:
+        pass
+    _EXTERNAL_CACHE[key] = result
+    return result
+
 def is_hk_code(code):
     return len(code) == 5 and code.startswith('0')
 
@@ -951,6 +1054,20 @@ def pass_filters(factors, filters):
     if filters.get('weekly_aligned') and factors.get('weekly_aligned') is not True: return False
     if filters.get('weekly_down_only') and factors.get('weekly_up') is not False: return False
     if not chk('weekly_dist', filters.get('weekly_dist_min'), filters.get('weekly_dist_max')): return False
+    # ── 2026-08-11 超跌/大盘RSI/基本面/新闻因子（v_weak/p_oversold 回测支持）──
+    if not chk('bias60', filters.get('bias60_min'), filters.get('bias60_max')): return False
+    if not chk('dist_lo20', filters.get('dist_lo20_min'), filters.get('dist_lo20_max')): return False
+    if not chk('r5f', filters.get('r5f_min'), filters.get('r5f_max')): return False
+    if not chk('vol_shrink', filters.get('vol_shrink_min'), filters.get('vol_shrink_max')): return False
+    if filters.get('require_close_up') and not factors.get('close_up'): return False
+    # 大盘因子（mkt_rsi/mkt_dd60）
+    if not chk('mkt_rsi', filters.get('mkt_rsi_min'), filters.get('mkt_rsi_max')): return False
+    if not chk('mkt_dd60', filters.get('mkt_dd60_min'), filters.get('mkt_dd60_max')): return False
+    # 基本面/新闻因子（mcap_q/pe_q/news3/sec_ret20）
+    if not chk('mcap_q', filters.get('mcap_q_min'), filters.get('mcap_q_max')): return False
+    if not chk('pe_q', filters.get('pe_q_min'), filters.get('pe_q_max')): return False
+    if not chk('news3', filters.get('news3_min'), filters.get('news3_max')): return False
+    if not chk('sec_ret20', filters.get('sec_ret20_min'), filters.get('sec_ret20_max')): return False
     return True
 
 
@@ -996,6 +1113,20 @@ def calc_factors(bars, idx):
         l10 = min(x.get('low') or 1e9 for x in bars[idx-9:idx-4])
         f['hh_structure'] = h5 > h10          # 更高的高点 = 上升结构
         f['hl_structure'] = l5 > l10          # 更高的低点 = 上升结构
+    # ── 2026-08-11 超跌因子（v_weak/p_oversold 回测支持）──
+    ma60 = b.get('ma60') or 0
+    f['bias60'] = round((close - ma60) / ma60 * 100, 2) if ma60 > 0 else None
+    if idx >= 19:
+        lo20 = min((x.get('low') or 1e9) for x in bars[idx-19:idx+1])
+        f['dist_lo20'] = round((close - lo20) / lo20 * 100, 2) if lo20 and lo20 > 0 else None
+    if idx >= 5:
+        prev5c = bars[idx-5].get('close') or 0
+        f['r5f'] = round((close - prev5c) / prev5c * 100, 2) if prev5c > 0 else None
+    if idx >= 19:
+        vol5 = sum((x.get('volume') or 0) for x in bars[idx-4:idx+1]) / 5
+        vol20 = sum((x.get('volume') or 0) for x in bars[idx-19:idx+1]) / 20
+        f['vol_shrink'] = round(vol5 / vol20, 2) if vol20 > 0 else None
+    f['close_up'] = close > (bars[idx-1].get('close') or 0) if idx >= 1 else None
     return f
 
 
@@ -1097,6 +1228,12 @@ def run_backtest(strategy_version, start_date, end_date, capital=913000, save=Tr
                 factors.update(fl)
                 # 周线因子
                 factors.update(weekly_ctx(code, date))
+                # ── 2026-08-11 外部因子注入（超跌策略回测支持）──
+                factors['mkt_rsi'] = mk.get('rsi')
+                factors['mkt_dd60'] = mk.get('mkt_dd60')
+                _lazy = _get_external_factors(code, date)
+                if _lazy:
+                    factors.update(_lazy)
 
                 if pass_filters(factors, filters):
                     # ── 次日开盘价入场（杜绝"信号日收盘买"的未来幻觉）──