From 230e2fc623864a5cc9c5d2e1b6cdbe2d9b3fe765 Mon Sep 17 00:00:00 2001 From: hmo Date: Wed, 12 Aug 2026 09:45:37 +0800 Subject: [PATCH] =?UTF-8?q?feat:=20factor=5Fengine=E9=9B=86=E6=88=90mcap?= =?UTF-8?q?=5Fq/pe=5Fq=E5=88=86=E4=BD=8D=E5=8A=A0=E5=B7=A5=E2=80=94?= =?UTF-8?q?=E2=80=94stock=5Ffundamentals=E5=85=A8=E5=B8=82=E5=9C=BA?= =?UTF-8?q?=E6=8E=92=E5=BA=8Fbisect=E7=AE=97=E6=A8=AA=E6=88=AA=E9=9D=A2?= =?UTF-8?q?=E5=88=86=E4=BD=8D,=E5=AD=98stock=5Findicators(=E4=B8=8D?= =?UTF-8?q?=E9=87=8D=E5=A4=8D=E5=AD=98PE/=E5=B8=82=E5=80=BC,=E5=8F=AA?= =?UTF-8?q?=E5=AD=98=E8=A1=8D=E7=94=9F=E5=88=86=E4=BD=8D)?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- deploy/profile-scripts/factor_engine.py | 38 +++++++++++++++++++++++-- 1 file changed, 35 insertions(+), 3 deletions(-) diff --git a/deploy/profile-scripts/factor_engine.py b/deploy/profile-scripts/factor_engine.py index 37fe60f1..4ed454ba 100644 --- a/deploy/profile-scripts/factor_engine.py +++ b/deploy/profile-scripts/factor_engine.py @@ -49,8 +49,15 @@ def init_tables(conn): bias60 REAL, mom20 REAL, prev_ret60 REAL, dist_ma20 REAL, dist_lo20 REAL, r5f REAL, vol_ratio REAL, vol_shrink REAL, amount_ma20 REAL, atr_pct REAL, close_up INTEGER, trend_aligned INTEGER, hh_structure INTEGER, hl_structure INTEGER, + mcap_q REAL, pe_q REAL, updated_at TEXT, PRIMARY KEY (code, date) )""") + # 兼容已存在的表（补 mcap_q/pe_q 列） + for col in ("mcap_q", "pe_q"): + try: + conn.execute(f"ALTER TABLE stock_indicators ADD COLUMN {col} REAL") + except Exception: + pass conn.execute(""" CREATE TABLE IF NOT EXISTS market_indicators ( date TEXT PRIMARY KEY, @@ -61,6 +68,18 @@ def init_tables(conn): conn.commit() +def load_fundamentals_sorted(conn): + """读 stock_fundamentals 全市场 mcap/pe 排序（算横截面分位用）。 + 返回 (mcap_sorted_list, pe_sorted_list, code→(mcap,pe) dict)。 + mcap_q/pe_q 是衍生分位（由 mcap/pe 算），存加工层，不重复存原始 PE/市值。""" + import bisect + rows = conn.execute("SELECT code, mcap_total, pe FROM stock_fundamentals").fetchall() + mcaps = sorted(r[1] for r in rows if r[1] and r[1] > 0) + pes = sorted(r[2] for r in rows if r[2] and r[2] > 0) + code_map = {r[0]: (r[1], r[2]) for r in rows} + return mcaps, pes, code_map, bisect + + def calc_stock_indicators(code, bars): """由日K bars 算个股指标（bars: [{date,open,close,high,low,volume,amount}]，需>=65根）""" if len(bars) < 65: @@ -191,6 +210,9 @@ def main(): print(f" 股票池: {len(codes)} 只", flush=True) cur = conn.cursor() + # 横截面分位（mcap_q/pe_q，由 stock_fundamentals 全市场排序算） + mcaps, pes, fund_map, bisect = load_fundamentals_sorted(conn) + n_mcap, n_pe = len(mcaps), len(pes) ok = fail = skip = written = 0 latest_date = None for idx, code in enumerate(codes, 1): @@ -205,17 +227,27 @@ def main(): skip += 1 continue latest_date = ind["date"] + # 分位（bisect 查全市场排名） + mcap_q = pe_q = None + if code in fund_map: + mcap, pe = fund_map[code] + if mcap and mcap > 0 and n_mcap: + mcap_q = round(bisect.bisect_left(mcaps, mcap) / n_mcap, 3) + if pe and pe > 0 and n_pe: + pe_q = round(bisect.bisect_left(pes, pe) / n_pe, 3) cur.execute(""" INSERT OR REPLACE INTO stock_indicators (code, date, ma5, ma10, ma20, ma60, rsi, adx, macd_hist, atr, roc, obv, bias60, mom20, prev_ret60, dist_ma20, dist_lo20, r5f, vol_ratio, vol_shrink, - amount_ma20, atr_pct, close_up, trend_aligned, hh_structure, hl_structure, updated_at) - VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,datetime('now','localtime'))""", + amount_ma20, atr_pct, close_up, trend_aligned, hh_structure, hl_structure, + mcap_q, pe_q, updated_at) + VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,datetime('now','localtime'))""", (ind["code"], ind["date"], ind["ma5"], ind["ma10"], ind["ma20"], ind["ma60"], ind["rsi"], ind["adx"], ind["macd_hist"], ind["atr"], ind["roc"], ind["obv"], ind["bias60"], ind["mom20"], ind["prev_ret60"], ind["dist_ma20"], ind["dist_lo20"], ind["r5f"], ind["vol_ratio"], ind["vol_shrink"], ind["amount_ma20"], ind["atr_pct"], - ind["close_up"], ind["trend_aligned"], ind["hh_structure"], ind["hl_structure"])) + ind["close_up"], ind["trend_aligned"], ind["hh_structure"], ind["hl_structure"], + mcap_q, pe_q)) written += 1 ok += 1 except Exception as e: