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feat: 三级趋势强化——大盘ADX≥20进_V40_BASE全家族继承,过滤MA20上但趋势弱的假牛市日(v9.2震荡年0笔/v8.1牛市100%全胜)

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hmo
2026-07-30 09:38:30 +08:00
parent 01774e9e85
commit 090a5afc91
1 changed files with 4 additions and 1 deletions
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strategy_lab.py
+4 -1
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@@ -84,7 +84,7 @@ STRATEGIES = {
"dist_ma20_min": 4, "dist_ma20_min": 4,
"vol_ratio_min": 1.2, "vol_ratio_max": 1.5, "vol_ratio_min": 1.2, "vol_ratio_max": 1.5,
"ma20_slope_max": 1.5, "ma20_slope_max": 1.5,
"mkt_above_ma20": True, "mkt_slope_max": -0.05, "mkt_above_ma20": True, "mkt_slope_max": -0.05, "mkt_adx_min": 20,
"hh_only": True}}, "hh_only": True}},
"exit": {"tp_pct": 0.15, "sl_atr": 1.5, "max_hold_days": 20}, "exit": {"tp_pct": 0.15, "sl_atr": 1.5, "max_hold_days": 20},
"sizing": {"kelly": True, "kelly_fraction": 0.5}, "sizing": {"kelly": True, "kelly_fraction": 0.5},
@@ -380,6 +380,7 @@ def _load_index_ctx(index_code, start_date, end_date):
'above_ma20': (b.get('close') or 0) > ma20 if ma20 > 0 else None, 'above_ma20': (b.get('close') or 0) > ma20 if ma20 > 0 else None,
'ma20_slope': slope, 'ma20_slope': slope,
'roc': b.get('roc'), '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）
} }
return ctx return ctx
@@ -594,6 +595,7 @@ def pass_filters(factors, filters):
# 大盘 # 大盘
if filters.get('mkt_above_ma20') and factors.get('mkt_above_ma20') is not True: return False if filters.get('mkt_above_ma20') and factors.get('mkt_above_ma20') is not True: return False
if not chk('mkt_slope', filters.get('mkt_slope_min'), filters.get('mkt_slope_max')): return False if not chk('mkt_slope', filters.get('mkt_slope_min'), filters.get('mkt_slope_max')): return False
if not chk('mkt_adx', filters.get('mkt_adx_min'), filters.get('mkt_adx_max')): return False
# 行业 # 行业
if not chk('sector_change', filters.get('sector_change_min'), filters.get('sector_change_max')): return False if not chk('sector_change', filters.get('sector_change_min'), filters.get('sector_change_max')): return False
if not chk('sector_rank_pct', None, filters.get('sector_rank_pct_max')): return False if not chk('sector_rank_pct', None, filters.get('sector_rank_pct_max')): return False
@@ -741,6 +743,7 @@ def run_backtest(strategy_version, start_date, end_date, capital=1000000, save=T
factors['mkt_above_ma20'] = mk.get('above_ma20') factors['mkt_above_ma20'] = mk.get('above_ma20')
factors['mkt_slope'] = mk.get('ma20_slope') factors['mkt_slope'] = mk.get('ma20_slope')
factors['mkt_roc'] = mk.get('roc') factors['mkt_roc'] = mk.get('roc')
factors['mkt_adx'] = mk.get('adx')
factors['sector_change'] = sc_ctx.get('change') factors['sector_change'] = sc_ctx.get('change')
factors['sector_rank_pct'] = sc_ctx.get('rank_pct') factors['sector_rank_pct'] = sc_ctx.get('rank_pct')
factors['sector_inflow'] = sc_ctx.get('inflow') factors['sector_inflow'] = sc_ctx.get('inflow')