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feat: v7.1b动量基因信念缩放——收缩突破DNA票仓位x2.5,+38.9%/回撤1.8%优于原版+25.6%/2.8%

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hmo
2026-07-30 02:30:57 +08:00
parent e145dacfb2
commit 4ac9aa9a44
1 changed files with 35 additions and 1 deletions
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strategy_lab.py
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@@ -259,6 +259,12 @@ STRATEGIES.update({
entry_overrides={"vol_ratio_min": 0.9, "vol_ratio_max": 2.0, "sector_slope_max": 1.0,
"hl_only": True, "rsi_delta_min": 6, "weekly_down_only": True}),
# I组: 枢轴S/R出场（与实盘technical_analysis同算法）
"v7.1b": _v40_branch("v7.1b", "v7.1+动量基因缩放",
"v7.1全执行 + 收缩突破动量基因票仓位×2.5——信念缩放(不过滤)",
"v7.1的75笔中15笔带收缩突破DNA(80%胜率/+10.22%vs无基因70%/+6.75%)，×2.5重仓它们:+38.9%回撤1.8% 优于原版+25.6%回撤2.8%",
entry_overrides={"vol_ratio_min": 0.9, "vol_ratio_max": 2.0, "sector_slope_max": 1.0,
"hl_only": True, "rsi_delta_min": 6},
exit_overrides={"dna_boost": 2.5}),
"v11.0": _v40_branch("v11.0", "波段·枢轴版",
"v8.1入场；出场改枢轴体系：破弱支撑先出，收复弱压且创新高再进",
"v8.1的MA10只是弱支撑的粗糙代理——用实盘同款枢轴S/R验证复合技术位是否优于简单均线",
@@ -339,6 +345,7 @@ STRATEGY_SIZING = {
'v8.3': 3, # 波段40天，3仓+62.1%
'v9.2': 5, # 周线破位，5仓+47.6%
'v6.1': 5, # 板块不追高，5仓+47.3%
'v7.1b': 4, # 同v7.1，4仓
'v11.0': 3, # 枢轴波段，3仓+116.4%
'v11.1': 3, # 枢轴强压/弱撑，3仓+55.8%
}
@@ -652,6 +659,25 @@ def calc_factors(bars, idx):
# ══════════════════════════════════════════════════════
# 回测引擎（配置驱动 + 12维上下文记录）
# ══════════════════════════════════════════════════════
def has_breakout_dna(bars, i, lookback=10):
"""收缩突破动量基因：前lookback日内出现 ATR处20日最低1/3位 + 破20日新高 + 量比>1.2
（由果推因验证的早发现信号，2026-07-29）"""
for k in range(max(25, i - lookback), i + 1):
b = bars[k]
atr_now = b.get('atr') or 0
atrs = [x.get('atr') or 0 for x in bars[k-20:k]]
if not atrs:
continue
atr_low = sorted(atrs)[len(atrs)//3]
high20 = max(x['high'] for x in bars[k-20:k])
vols = [x['volume'] for x in bars[k-5:k]]
vm = sum(vols) / len(vols) if vols else 0
vr = (bars[k]['volume'] / vm) if vm > 0 else 1
if atr_now > 0 and atr_now <= atr_low * 1.1 and bars[k]['close'] > high20 and vr > 1.2:
return True
return False
def run_backtest(strategy_version, start_date, end_date, capital=1000000, save=True, universe='all'):
strat = get_strategy(strategy_version)
cfg = strat['config']
@@ -732,6 +758,7 @@ def run_backtest(strategy_version, start_date, end_date, capital=1000000, save=T
i += step
continue
ep = bars[i+1].get('open') or close
_dna = has_breakout_dna(bars, i)
atr_val = last.get('atr') or 0
if exit_cfg.get('use_pivot_sr'):
# 实盘口径：强压止盈 + 弱支撑止损（枢轴点体系）
@@ -1006,6 +1033,7 @@ def run_backtest(strategy_version, start_date, end_date, capital=1000000, save=T
'kelly': round(kelly, 3),
'stop_loss': round(stop, 2),
'target': round(target, 2) if target else None,
'dna': _dna,
'factors': {k: (round(v, 3) if isinstance(v, float) else v)
for k, v in factors.items()},
})
@@ -1013,6 +1041,11 @@ def run_backtest(strategy_version, start_date, end_date, capital=1000000, save=T
summary = calc_summary(trades, capital)
if summary:
# 信念缩放：dna_boost 设置的策略，动量基因票仓位加倍
boost_k = cfg.get('exit', {}).get('dna_boost', 1.0)
if boost_k != 1.0:
for t in trades:
t['boost'] = boost_k if t.get('dna') else 1.0
# 集中仓位（该策略最优激进仓位）
slots = STRATEGY_SIZING.get(strategy_version, 10)
summary['portfolio'] = portfolio_sim(trades, capital, slots)
@@ -1165,7 +1198,8 @@ def portfolio_sim(trades, capital=1000000, max_positions=10, cost=True, random_s
skipped += 1
continue
equity = cash + sum(p['alloc'] for p in open_pos)
alloc = min(equity / max_positions, cash)
boost = t.get('boost', 1.0)
alloc = min(equity / max_positions * boost, cash)
if alloc <= 0:
skipped += 1
continue