feat: s2_panic_v2 生成器——恐慌日alpha组合(小市值+强势+行业抗跌)+每日top8截断,填多信号少成交洞

deploy/profile-scripts/s2_panic_v2_gen.py

@@ -0,0 +1,152 @@
+# -*- coding: utf-8 -*-
+"""s2_panic_v2 正式生成器（2026-08-16 由果及因升级版）
+洞审计结论：
+  原 s2_panic 信号无 score → portfolio_sim 按 code 顺序随机成交（洗牌漂移16pp）
+  s2 业绩 = 大恐慌日 beta（2025-04-09 全市场 +19.85%），无选股 alpha
+由果及因（72941 恐慌日信号，tp30/sl12/60日 评估）：
+  alpha 入场组合：mkt_rsi<25 + mcap_q<0.4 + rsi>=35 + sec_ret20>=-10 → 胜率60.8% vs 基线30.7%
+  每日 top-N 截断：信号/成交比可控（top8: 141信号/86成交/比1.6）
+  score 精细排序无效（诚实：top5 11.79% vs 随机 13.33%）——截断是解法，不假装排序有效
+
+参数：top_n=8（每日最多8信号，10仓位槽内可控），出场 tp30/sl12/max60
+"""
+import sys, json
+sys.path.insert(0, "/home/hmo/MoFin")
+import pandas as pd
+import numpy as np
+
+TOP_N = 8
+
+
+def alpha_score(mcap_q, rsi, sec_ret20, news3):
+    """由果及因 alpha 评分（保留字段供 portfolio_sim 机制，诚实：精细排序无效）"""
+    sc = 0
+    if mcap_q is not None and not np.isnan(mcap_q):
+        sc += 40 if mcap_q < 0.2 else 32 if mcap_q < 0.4 else 24 if mcap_q < 0.6 else 16 if mcap_q < 0.8 else 8
+    if rsi is not None and not np.isnan(rsi):
+        sc += 30 if rsi >= 45 else 22 if rsi >= 35 else 12 if rsi >= 25 else 6
+    if sec_ret20 is not None and not np.isnan(sec_ret20):
+        sc += 20 if sec_ret20 >= 0 else 16 if sec_ret20 >= -10 else 8 if sec_ret20 >= -20 else 3
+    if news3 is not None and not np.isnan(news3):
+        sc += 10 if news3 >= 2 else 7 if news3 >= 1 else 2
+    return sc
+
+
+def gen_trades(start, end, top_n=TOP_N):
+    """生成 s2_panic_v2 在 [start,end] 窗口的信号 trades"""
+    panel = pd.read_pickle("/tmp/panel_12d.pkl")
+    panel = panel.sort_values(["code", "date"]).reset_index(drop=True)
+    g = panel.groupby("code", group_keys=False)
+    def fwd_max(s, w): return s[::-1].rolling(w, min_periods=1).max()[::-1]
+    def fwd_min(s, w): return s[::-1].rolling(w, min_periods=1).min()[::-1]
+    panel["fwd_max60"] = g["close"].transform(lambda x: fwd_max(x, 60))
+    panel["fwd_min60"] = g["close"].transform(lambda x: fwd_min(x, 60))
+
+    panic = panel[(panel["mkt_rsi"] < 25) & (panel["date"] >= start) & (panel["date"] <= end)].copy()
+    sig = panic[(panic["mcap_q"] < 0.4) & (panic["rsi"] >= 35) & (panic["sec_ret20"] >= -10)].copy()
+    sig["score"] = sig.apply(lambda r: alpha_score(r["mcap_q"], r["rsi"], r["sec_ret20"], r["news3"]), axis=1)
+    # 每日 top-N（score 降序，同日择优——虽精细排序无效，但高分不劣于随机，且机制一致）
+    sig = sig.sort_values(["date", "score"], ascending=[True, False]).groupby("date").head(top_n)
+
+    trades = []
+    for _, s in sig.iterrows():
+        ep = s["close"]
+        if ep <= 0:
+            continue
+        fmax, fmin = s["fwd_max60"], s["fwd_min60"]
+        hit_tp = fmax >= ep * 1.30
+        hit_sl = fmin <= ep * 0.88
+        if hit_tp:
+            pnl, reason = 30.0, "target"
+        elif hit_sl:
+            pnl, reason = -12.0, "stop"
+        else:
+            pnl, reason = (fmax / ep - 1) * 100 if not pd.isna(fmax) else 0, "time"
+        trades.append({
+            "code": s["code"], "name": str(s["code"]),
+            "entry_date": s["date"], "entry_price": round(ep, 2),
+            "exit_price": round(ep * (1 + pnl / 100), 2), "profit_pct": round(pnl, 2),
+            "exit_reason": reason, "hold_days": 60, "score": int(s["score"]),
+            "boost": 1.0,
+        })
+    return trades
+
+
+def build_results(trades):
+    """trades → results_json（summary + portfolio_sim）"""
+    import copy, random
+    from strategy_lab import portfolio_sim
+    n = len(trades)
+    wins = [t for t in trades if t["profit_pct"] > 0]
+    losses = [t for t in trades if t["profit_pct"] <= 0]
+    wr = len(wins) / n * 100 if n else 0
+    avg = sum(t["profit_pct"] for t in trades) / n if n else 0
+    avg_w = sum(t["profit_pct"] for t in wins) / len(wins) if wins else 0
+    avg_l = abs(sum(t["profit_pct"] for t in losses) / len(losses)) if losses else 1
+    pf = avg_w / avg_l if avg_l else 0
+    sim = portfolio_sim(trades, 1000000, max_positions=10)
+    # 洗牌稳健性（5次）
+    rets = []
+    for seed in range(5):
+        t2 = copy.deepcopy(trades)
+        rng = random.Random(seed)
+        rng.shuffle(t2)
+        rets.append(portfolio_sim(t2, 1000000, max_positions=10).get("total_return_pct"))
+    return {
+        "summary": {
+            "total_trades": n, "win_rate": round(wr, 1), "avg_profit_pct": round(avg, 2),
+            "avg_win_pct": round(avg_w, 2), "avg_loss_pct": round(-avg_l, 2),
+            "avg_hold_days": round(sum(t["hold_days"] for t in trades) / n, 1) if n else 0,
+            "sharpe_ratio": round(sim.get("sharpe_ratio", 0) or 0, 2),
+            "profit_factor": round(pf, 2),
+        },
+        "portfolio": {
+            "capital_final": sim.get("capital_final"), "total_return_pct": sim.get("total_return_pct"),
+            "cagr_pct": sim.get("cagr_pct"), "portfolio_max_dd_pct": sim.get("portfolio_max_dd_pct"),
+            "positions_taken": sim.get("positions_taken"), "positions_skipped": sim.get("positions_skipped"),
+        },
+        "robustness": {"shuffle_total_return": rets, "spread_pp": round(max(rets) - min(rets), 1)},
+        "trades": trades,
+    }
+
+
+if __name__ == "__main__":
+    import sqlite3
+    from datetime import datetime
+
+    DB = "/home/hmo/MoFin/data/mofin.db"
+    VERSION = "s2_panic_v2"
+
+    # 各周期窗口
+    windows = {
+        "1y": ("2025-07-01", "2026-07-01"),
+        "2y": ("2024-07-01", "2026-07-01"),
+        "5y": ("2021-07-01", "2026-07-01"),
+        "10y": ("2016-01-01", "2026-07-01"),
+    }
+    conn = sqlite3.connect(DB, timeout=30)
+    now = datetime.now().strftime("%Y-%m-%d %H:%M:%S")
+    for pt, (s, e) in windows.items():
+        trades = gen_trades(s, e)
+        results = build_results(trades)
+        # upsert strategy_research
+        exist = conn.execute("SELECT id FROM strategy_research WHERE version=? AND period_tag=?",
+                             (VERSION, pt)).fetchone()
+        if exist:
+            conn.execute("UPDATE strategy_research SET results_json=?, updated_at=? WHERE version=? AND period_tag=?",
+                         (json.dumps(results, ensure_ascii=False), now, VERSION, pt))
+        else:
+            conn.execute("""INSERT INTO strategy_research
+                (version, name, summary, hypothesis, parent, config_json, results_json, period, created_at, market, period_tag, deprecated)
+                VALUES (?,?,?,?,?,?,?,?,?,?,?,?)""",
+                (VERSION, "S2恐慌买alpha升级", "恐慌日+小市值+强势+行业抗跌,每日top8截断",
+                 "由果及因: alpha组合胜率60.8% vs 基线30.7%; 每日top-N截断填'多信号少成交'洞",
+                 "S2家族", json.dumps({"top_n": TOP_N, "entry": {"mkt_rsi_max": 25, "mcap_q_max": 0.4, "rsi_min": 35, "sec_ret20_min": -10}, "exit": {"tp": 30, "sl": 12, "max_hold": 60}}, ensure_ascii=False),
+                 json.dumps(results, ensure_ascii=False), None, now, "a", pt, None))
+        s = results["summary"]
+        p = results["portfolio"]
+        print(f"[{pt}] 信号{s['total_trades']} 成交{p.get('positions_taken')} 比{s['total_trades']/max(p.get('positions_taken',1),1):.1f} "
+              f"胜率{s['win_rate']}% 年化{p.get('cagr_pct')}% 回撤{p.get('portfolio_max_dd_pct')}% 洗牌差{results['robustness']['spread_pp']}pp")
+    conn.commit()
+    conn.close()
+    print(f"\n{len(windows)} 个周期已写入 strategy_research (version={VERSION})")