research: s2_panic_v2 由果及因研究——恐慌日alpha特征挖掘+每日top-N截断+score择优验证

2026-08-16 22:10:06 +08:00
parent d0a23847bd
commit 7af88228ac
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+# -*- coding: utf-8 -*-
+"""s2_panic_v2 修正：每日 top-N 截断（每恐慌日只选 score 最高的 N 个）
+这是关键：恐慌日信号 1200/天 是结构问题，必须每日截断让信号/成交比可控
+"""
+import sys, json
+sys.path.insert(0, "/home/hmo/MoFin")
+import pandas as pd
+import numpy as np
+
+def alpha_score(mcap_q, rsi, sec_ret20, news3):
+    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="2016-01-01", end="2026-07-01", top_n=8):
+    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 截断（score 降序）
+    sig = sig.sort_values(["date", "score"], ascending=[True, False]).groupby("date").head(top_n)
+    print(f"每日top{top_n}截断后: {len(sig)} 信号 (原6932)")
+
+    trades = []
+    for _, s in sig.iterrows():
+        ep = s["close"]
+        if ep <= 0:
+            continue
+        fmax = s["fwd_max60"]; fmin = 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"], "entry_date": s["date"], "entry_price": round(ep, 2),
+                       "profit_pct": round(pnl, 2), "exit_reason": reason,
+                       "hold_days": 60, "score": int(s["score"]), "name": str(s["code"]), "boost": 1.0})
+    return trades
+
+if __name__ == "__main__":
+    from strategy_lab import portfolio_sim
+    import copy, random
+    for top_n in [5, 8, 10]:
+        trades = gen_trades(top_n=top_n)
+        print(f"\n=== top{top_n} ===")
+        sim0 = portfolio_sim(trades, 1000000, max_positions=10)
+        n_sig = len(trades)
+        n_pos = sim0.get("positions_taken")
+        print(f"信号{n_sig} 成交{n_pos} 比{n_sig/max(n_pos,1):.1f} 总收益{sim0.get('total_return_pct')}% 年化{sim0.get('cagr_pct')}% 回撤{sim0.get('portfolio_max_dd_pct')}%")
+        # 稳健性
+        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"))
+        print(f"  洗牌5次: 收益{rets} 差{max(rets)-min(rets):.1f}pp")
+        # 信号/成交分布
+        from collections import Counter
+        dc = Counter(t["entry_date"] for t in trades)
+        print(f"  每日信号分布: {dict(sorted(dc.items()))}")
+        if top_n == 8:
+            with open("/home/hmo/MoFin/data/s2_panic_v2_trades.json", "w") as f:
+                json.dump(trades, f, ensure_ascii=False)