refactor(D组): 归档strategy_evaluator+advice_reconciliation,功能合并到strategy_effectiveness
- 归档strategy_evaluator.py/advice_reconciliation.py(功能已被strategy_effectiveness替代) - strategy_effectiveness扩展: 读取recommendation_log+execution_log增强评估 - mofin_db新增: log_recommendation/log_execution/match_recommendations_executions - 新表recommendation_log(推荐历史)+execution_log(执行历史)
This commit is contained in:
xxm
@@ -1,245 +0,0 @@
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#!/usr/bin/env python3
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"""advice_reconciliation.py — 建议对账脚本
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每周运行一次，对比 decisions.json 的 advice_timeline 与 portfolio.json
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的实际持仓变化，统计准确率。
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用法：
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python3 advice_reconciliation.py # 正常对账
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python3 advice_reconciliation.py --force # 强制重新对账所有建议
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"""
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import json
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import sys
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from datetime import datetime, timedelta
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from pathlib import Path
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from mo_data import read_decisions, read_portfolio
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from mofin_db import get_conn, write_holding_strategy
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ACCURACY_PATH = Path(__file__).parent.parent / "data" / "accuracy_stats.json"
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def load_json(path, default=None):
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try:
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with open(path, encoding="utf-8") as f:
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return json.load(f)
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except (FileNotFoundError, json.JSONDecodeError):
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return {} if default is None else default
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def save_json(path, data):
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Path(path).parent.mkdir(parents=True, exist_ok=True)
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with open(path, "w", encoding="utf-8") as f:
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json.dump(data, f, ensure_ascii=False, indent=2)
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def get_holding_change(portfolio, code):
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"""获取某只股票的当前持仓信息"""
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holdings = portfolio.get("holdings", [])
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for h in holdings:
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if h["code"] == code:
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return {
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"code": code,
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"name": h.get("name", ""),
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"shares": h.get("shares", 0),
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"cost": h.get("cost", 0),
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"price": h.get("price", 0),
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"position_pct": h.get("position_pct", 0),
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}
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return None # 已清仓
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def evaluate_advice(advice, current_holding):
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"""评估一条建议是否正确
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Returns: 'correct', 'partial', 'wrong', 'pending', 'unknown'
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"""
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direction = advice.get("direction", "")
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status = advice.get("status", "pending")
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if status == "ignored":
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return "ignored"
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if status == "pending":
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return "pending"
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if not current_holding:
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# 股票已清仓
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if direction in ("卖出", "清仓", "减仓"):
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return "correct"
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elif direction in ("买入", "加仓", "补仓"):
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return "wrong"
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else:
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return "unknown"
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shares = current_holding.get("shares", 0)
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cost = current_holding.get("cost", 0)
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price = current_holding.get("price", 0)
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pnl_pct = (price - cost) / cost * 100 if cost > 0 else 0
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if direction in ("买入", "加仓", "补仓"):
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# 如果建议买入时价格低于现价，或浮盈为正 → 正确
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try:
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advised_price = float(advice.get("price", 0))
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if advised_price > 0 and price > 0:
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if price >= advised_price * 0.95: # 允许5%误差
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return "correct"
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else:
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return "wrong"
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else:
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return "unknown"
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except:
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return "unknown"
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elif direction in ("卖出", "清仓", "减仓"):
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# 如果建议卖出时价格高于现价 → 正确（规避了下跌）
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try:
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advised_price = float(advice.get("price", 0))
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if advised_price > 0 and price > 0:
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if price <= advised_price * 1.05:
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return "correct"
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else:
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return "wrong"
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else:
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return "unknown"
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except:
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return "unknown"
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elif direction in ("持有", "观望"):
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# 持有建议 → 看后续是否涨
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try:
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advised_price = float(advice.get("price", 0))
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if advised_price > 0 and price > 0:
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change = (price - advised_price) / advised_price * 100
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if change > -5: # 没跌超过5%
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return "correct"
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else:
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return "wrong"
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else:
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return "unknown"
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except:
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return "unknown"
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elif direction == "自选":
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# 自选建议无法直接对账
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return "unknown"
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return "unknown"
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def run():
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force = "--force" in sys.argv
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decisions = read_decisions()
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portfolio = read_portfolio()
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old_stats = load_json(ACCURACY_PATH, {})
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results = []
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total = {"correct": 0, "wrong": 0, "partial": 0, "unknown": 0, "pending": 0, "ignored": 0}
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for entry in decisions.get("decisions", []):
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code = entry["code"]
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name = entry.get("name", code)
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timeline = entry.get("advice_timeline", [])
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if not timeline:
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continue
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current_holding = get_holding_change(portfolio, code)
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for i, advice in enumerate(timeline):
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# 跳过已评估过的（除非 --force）
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if not force and advice.get("evaluated"):
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# 计数已有结果
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result = advice.get("result", "unknown")
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total[result] = total.get(result, 0) + 1
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continue
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result = evaluate_advice(advice, current_holding)
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advice["evaluated"] = True
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advice["result"] = result
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advice["evaluated_at"] = datetime.now().isoformat()
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total[result] = total.get(result, 0) + 1
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results.append({
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"code": code,
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"name": name,
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"date": advice.get("date", ""),
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"direction": advice.get("direction", ""),
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"summary": advice.get("summary", ""),
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"result": result,
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})
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# 保存更新后的 decisions 到 DB（含评估标记）
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conn = get_conn()
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for entry in decisions.get("decisions", []):
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code = entry.get("code", "")
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name = entry.get("name", code)
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write_holding_strategy(conn, code, name, entry)
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# 写入 advice_timeline 评估标记
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for adv in entry.get("advice_timeline", []):
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conn.execute(
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"""INSERT OR REPLACE INTO advice_timeline
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(id, code, date, direction, price, summary, status,
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evaluated, result, evaluated_at, report_id)
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VALUES (
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(SELECT id FROM advice_timeline WHERE code=? AND date=? AND direction=? AND summary=?),
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?, ?, ?, ?, ?, ?, ?, ?, ?, ?
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)""",
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(code, adv.get("date", ""), adv.get("direction", ""), adv.get("summary", ""),
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code, adv.get("date", ""), adv.get("direction", ""),
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adv.get("price"), adv.get("summary", ""), adv.get("status", ""),
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1 if adv.get("evaluated") else 0,
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adv.get("result", ""), adv.get("evaluated_at", ""),
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adv.get("report_id", "")))
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conn.commit()
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conn.close()
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# 计算准确率
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evaluated = total["correct"] + total["wrong"] + total["partial"]
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accuracy = round(total["correct"] / evaluated * 100, 1) if evaluated > 0 else 0
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stats = {
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"updated_at": datetime.now().isoformat(),
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"period_start": old_stats.get("period_start", (datetime.now() - timedelta(days=7)).isoformat()),
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"period_end": datetime.now().isoformat(),
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"total_advice": sum(total.values()),
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"correct": total["correct"],
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"wrong": total["wrong"],
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"partial": total["partial"],
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"unknown": total["unknown"],
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"pending": total["pending"],
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"ignored": total["ignored"],
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"evaluated": evaluated,
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"accuracy_pct": accuracy,
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"details": results,
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# 累计统计
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"cumulative": {
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"total": old_stats.get("cumulative", {}).get("total", 0) + evaluated,
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"correct": old_stats.get("cumulative", {}).get("correct", 0) + total["correct"],
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"wrong": old_stats.get("cumulative", {}).get("wrong", 0) + total["wrong"],
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},
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}
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cum = stats["cumulative"]
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cum_accuracy = round(cum["correct"] / cum["total"] * 100, 1) if cum["total"] > 0 else 0
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stats["cumulative_accuracy_pct"] = cum_accuracy
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save_json(ACCURACY_PATH, stats)
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# 输出摘要
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print(f"📊 建议对账报告")
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print(f" 周期: {stats['period_start'][:10]} ~ {stats['period_end'][:10]}")
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print(f" 总建议: {stats['total_advice']}")
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print(f" ✅ 正确: {stats['correct']}")
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print(f" ❌ 错误: {stats['wrong']}")
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print(f" ⏳ 待确认: {stats['pending']}")
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print(f" ✗ 已忽略: {stats['ignored']}")
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print(f" ❓ 无法判断: {stats['unknown']}")
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print(f" 📈 本期准确率: {accuracy}%")
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print(f" 📈 累计准确率: {cum_accuracy}%")
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if results:
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print(f"\n 详情:")
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for r in results[:20]:
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icon = {"correct": "✅", "wrong": "❌", "partial": "🟡", "unknown": "❓", "pending": "⏳", "ignored": "✗"}
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print(f" {icon.get(r['result'], '?')} {r['name']}({r['code']}) {r['direction']} → {r['result']}")
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if __name__ == "__main__":
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run()
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@@ -2486,3 +2486,72 @@ def write_holding_strategy_versioned(conn, code, name, data, source_trigger="bat
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data['version'] = new_ver
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return write_holding_strategy(conn, code, name, data, source_trigger)
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# ── recommendation_log 写入（重评时同步记录推荐）──
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def log_recommendation(conn, strategy_id, code, data, source_trigger="batch_12d"):
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"""记录推荐历史：重评写入策略卡时同步调用"""
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now = __import__('datetime').datetime.now().isoformat()
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conn.execute("""
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INSERT INTO recommendation_log
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(strategy_id, code, strategy_source, version, recommend_time,
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action, entry_low, entry_high, stop_loss, take_profit,
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position_advice, timing_signal, rr_ratio, reason)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?)
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""", (strategy_id, code, data.get('strategy_source', ''), data.get('version', ''),
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now, data.get('action', ''), data.get('entry_low', 0), data.get('entry_high', 0),
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data.get('stop_loss', 0), data.get('take_profit', 0),
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data.get('position_advice', ''), data.get('timing_signal', ''),
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data.get('rr_ratio', 0), data.get('reason', '')))
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print(f" [RECOMMEND] {code} v{data.get('version','')} 记录推荐", flush=True)
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# ── execution_log 写入（交易执行时记录）──
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def log_execution(conn, code, action, shares, price, cost=None, source="trade_capture", recommendation_id=None):
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"""记录执行历史：trade_capture/import_holding_xls 等执行后调用"""
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now = __import__('datetime').datetime.now().isoformat()
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conn.execute("""
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INSERT INTO execution_log
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(code, action, shares, price, cost, execute_time, source, match_recommendation_id)
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VALUES (?,?,?,?,?,?,?,?)
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""", (code, action, shares, price, cost, now, source, recommendation_id))
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print(f" [EXEC] {code} {action} {shares}股 @{price} source={source}", flush=True)
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# ── 匹配推荐与执行（盘后评估用）──
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def match_recommendations_executions(conn, code, strategy_id):
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"""找到策略推荐与实际执行的对应关系"""
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recs = conn.execute(
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"SELECT id, recommend_time, action, entry_low, entry_high FROM recommendation_log "
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"WHERE code=? AND strategy_id=? ORDER BY recommend_time", (code, strategy_id)).fetchall()
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execs = conn.execute(
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"SELECT id, execute_time, action, shares, price FROM execution_log "
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"WHERE code=? ORDER BY execute_time", (code,)).fetchall()
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matches = []
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for rec in recs:
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rec_time = rec[1]
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rec_action = rec[2]
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# 找推荐之后最近的执行
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for exe in execs:
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if exe[1] >= rec_time and exe[2] == rec_action:
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matches.append({
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"recommendation_id": rec[0],
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"recommend_time": rec[1],
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"recommend_action": rec[2],
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"execution_id": exe[0],
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"execute_time": exe[1],
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"execute_action": exe[2],
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"shares": exe[3],
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"price": exe[4],
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"matched": True,
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})
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break
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else:
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matches.append({
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"recommendation_id": rec[0],
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"recommend_time": rec[1],
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"recommend_action": rec[2],
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"matched": False,
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})
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return matches
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@@ -241,3 +241,43 @@ def main():
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if __name__ == "__main__":
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main()
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# ── 扩展评估：读取 recommendation_log + execution_log ──
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def evaluate_with_logs(conn, strategy):
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"""用推荐记录+执行记录增强评估"""
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sid = strategy[0]
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code = strategy[1]
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# 读推荐记录
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recs = conn.execute(
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"SELECT recommend_time, action, entry_low, entry_high, stop_loss, take_profit "
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"FROM recommendation_log WHERE strategy_id=? ORDER BY recommend_time", (sid,)).fetchall()
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# 读执行记录
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execs = conn.execute(
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"SELECT execute_time, action, shares, price FROM execution_log "
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"WHERE code=? ORDER BY execute_time", (code,)).fetchall()
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# 匹配：推荐后是否有对应执行
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rec_followed = 0
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rec_not_followed = 0
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for rec in recs:
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rec_time, rec_action = rec[0], rec[1]
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found = False
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for exe in execs:
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if exe[0] >= rec_time and exe[1] == rec_action:
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found = True
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rec_followed += 1
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break
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if not found:
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rec_not_followed += 1
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compliance_rate = rec_followed / (rec_followed + rec_not_followed) * 100 if (rec_followed + rec_not_followed) > 0 else 0
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return {
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"recommendations": len(recs),
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"executions_matched": rec_followed,
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"executions_missed": rec_not_followed,
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"compliance_rate": round(compliance_rate, 1),
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}
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@@ -1,535 +0,0 @@
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#!/usr/bin/env python3
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"""strategy_evaluator.py — 策略双维度评估引擎
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两阶段评估模型：
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阶段一（策略制定→价格达标）：
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理论：策略设定的买入区/止损/止盈 → 股价是否达到过这些价位 → 理论盈亏
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实际：老爸是否按策略执行 → 实际买入/卖出价格 → 实际盈亏
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阶段二（价格回落后→新止损验证）：
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理论：价格未按预期走 → 给出新止损 → 股价是否继续下跌验证止损正确性
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实际：老爸实际卖出价格 → 对比新止损 → 验证止损有效性
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输出：写入 decisions.json 的 evaluation 字段 + accuracy_stats.json
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"""
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import json
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import os
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import sys
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import re
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from datetime import datetime, timedelta
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from pathlib import Path
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from mo_data import read_decisions, read_portfolio, get_price, get_prices_batch
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from mofin_db import get_conn, write_holding_strategy
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DATA_DIR = Path(__file__).parent.parent / "data"
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ACCURACY_PATH = DATA_DIR / "accuracy_stats.json"
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def load_json(path, default=None):
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try:
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with open(path, encoding="utf-8") as f:
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return json.load(f)
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except (FileNotFoundError, json.JSONDecodeError):
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return {} if default is None else default
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def save_json(path, data):
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Path(path).parent.mkdir(parents=True, exist_ok=True)
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with open(path, "w", encoding="utf-8") as f:
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json.dump(data, f, ensure_ascii=False, indent=2)
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def fetch_prices(codes):
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"""批量拉价格。DB 优先（price_monitor 维护），腾讯 API fallback"""
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if not codes:
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return {}
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# 主通道: DB
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try:
|
||||
from mofin_db import get_prices_batch_from_db
|
||||
db_results = get_prices_batch_from_db(codes)
|
||||
if db_results:
|
||||
return {code: {"name": "", "price": p, "prev_close": 0, "change_pct": chg or 0,
|
||||
"high": 0, "low": 0} for code, (p, chg) in db_results.items()}
|
||||
except Exception:
|
||||
pass
|
||||
|
||||
# Fallback: mo_data.get_prices_batch
|
||||
try:
|
||||
raw = get_prices_batch(codes)
|
||||
if raw:
|
||||
return {code: {"name": "", "price": p, "prev_close": 0, "change_pct": chg or 0,
|
||||
"high": 0, "low": 0} for code, (p, chg) in raw.items()}
|
||||
except Exception as e:
|
||||
print(f"行情拉取失败: {e}", file=sys.stderr)
|
||||
return {}
|
||||
|
||||
|
||||
def parse_tech_snapshot(decision):
|
||||
"""
|
||||
从 decision 的 tech_snapshot 中提取技术面参数。
|
||||
返回 dict: { 'pattern', 'volume', '强撑', '弱撑', '弱压', '强压' }
|
||||
"""
|
||||
trig = decision.get("trigger", {})
|
||||
raw = trig.get("tech_snapshot", decision.get("tech_snapshot", ""))
|
||||
result = {}
|
||||
if not raw:
|
||||
return result
|
||||
# 形态:XXX/bullish 或 形态:XXX/neutral
|
||||
m = re.search(r'形态:([^\s]+)', raw)
|
||||
if m:
|
||||
result["pattern"] = m.group(1)
|
||||
# 量价:XXX
|
||||
m = re.search(r'量价:([^\s]+)', raw)
|
||||
if m:
|
||||
result["volume"] = m.group(1)
|
||||
# 强撑:N / 弱撑:N / 弱压:N / 强压:N
|
||||
for key in ["强撑", "弱撑", "弱压", "强压"]:
|
||||
m = re.search(rf'{key}:([\d.]+)', raw)
|
||||
if m:
|
||||
result[key] = float(m.group(1))
|
||||
return result
|
||||
|
||||
|
||||
def build_strategy_rationale(sl_p, tp_p, tech, decision, actual_pnl_pct):
|
||||
"""
|
||||
基于 tech_snapshot 的支撑/压力位，解释止损和止盈的设定依据。
|
||||
返回 dict:
|
||||
- sl_basis: 止损设定依据（对应哪个支撑位）
|
||||
- tp_basis: 止盈设定依据（对应哪个压力位）
|
||||
- analysis: 综合技术面文字分析
|
||||
- tech_used: 实际使用的 tech 参数
|
||||
"""
|
||||
code = decision.get("code", "")
|
||||
name = decision.get("name", code)
|
||||
rationale = {
|
||||
"sl_basis": "未设定",
|
||||
"tp_basis": "未设定",
|
||||
"analysis": "",
|
||||
"tech_used": tech,
|
||||
}
|
||||
|
||||
# 解析支撑/压力
|
||||
强撑 = tech.get("强撑")
|
||||
弱撑 = tech.get("弱撑")
|
||||
弱压 = tech.get("弱压")
|
||||
强压 = tech.get("强压")
|
||||
形态 = tech.get("pattern", "无记录")
|
||||
量价 = tech.get("volume", "数据不足")
|
||||
|
||||
# ---- 止损依据 ----
|
||||
if sl_p and 强撑 and 弱撑:
|
||||
# 止损在强撑附近 (±1%)
|
||||
if abs(sl_p - 强撑) / 强撑 < 0.02:
|
||||
rationale["sl_basis"] = f"技术面强支撑{强撑}（距{abs(sl_p-强撑)/强撑*100:.1f}%）"
|
||||
# 止损在弱撑附近
|
||||
elif abs(sl_p - 弱撑) / 弱撑 < 0.02:
|
||||
rationale["sl_basis"] = f"技术面弱支撑{弱撑}（距{abs(sl_p-弱撑)/弱撑*100:.1f}%）"
|
||||
# 止损在强撑和弱撑之间
|
||||
elif 强撑 < sl_p < 弱撑:
|
||||
diff_down = (sl_p - 强撑) / 强撑 * 100
|
||||
diff_up = (弱撑 - sl_p) / sl_p * 100
|
||||
rationale["sl_basis"] = f"技术面强撑{强撑}-弱撑{弱撑}之间（比强撑高{diff_down:.1f}%，比弱撑低{diff_up:.1f}%）"
|
||||
# 止损低于强撑（宽止损，多见于深套）
|
||||
elif sl_p < 强撑:
|
||||
diff = (强撑 - sl_p) / sl_p * 100
|
||||
actual = actual_pnl_pct if actual_pnl_pct else 0
|
||||
if actual < -20:
|
||||
rationale["sl_basis"] = f"低于技术面强撑{强撑}{diff:.1f}%（深套宽止损）"
|
||||
else:
|
||||
rationale["sl_basis"] = f"低于技术面强撑{强撑}{diff:.1f}%（宽止损）"
|
||||
# 止损高于弱撑（紧止损）
|
||||
elif sl_p > 弱撑:
|
||||
rationale["sl_basis"] = f"高于弱撑{弱撑}（紧止损）"
|
||||
elif sl_p and 强撑 and not 弱撑:
|
||||
if abs(sl_p - 强撑) / 强撑 < 0.02:
|
||||
rationale["sl_basis"] = f"技术面强支撑{强撑}"
|
||||
else:
|
||||
rationale["sl_basis"] = f"参考强撑{强撑}调整至{sl_p}"
|
||||
elif sl_p:
|
||||
rationale["sl_basis"] = f"直接设定为{sl_p}（无技术面支撑位参考）"
|
||||
|
||||
# ---- 止盈依据 ----
|
||||
if tp_p and 强压:
|
||||
if abs(tp_p - 强压) / 强压 < 0.03:
|
||||
rationale["tp_basis"] = f"技术面强压力{强压}（距{abs(tp_p-强压)/强压*100:.1f}%）"
|
||||
elif tp_p > 强压:
|
||||
diff = (tp_p - 强压) / 强压 * 100
|
||||
rationale["tp_basis"] = f"技术面强压{强压}上方{diff:.1f}%（趋势延伸目标）"
|
||||
elif 弱压 and 弱压 < tp_p < 强压:
|
||||
rationale["tp_basis"] = f"技术面弱压{弱压}-强压{强压}之间"
|
||||
elif 弱压 and tp_p <= 弱压:
|
||||
rationale["tp_basis"] = f"接近弱压{弱压}（保守目标）"
|
||||
else:
|
||||
rationale["tp_basis"] = f"参考强压{强压}调整至{tp_p}"
|
||||
elif tp_p and not 强压:
|
||||
rationale["tp_basis"] = f"直接设定为{tp_p}（无技术面压力位参考）"
|
||||
elif not tp_p:
|
||||
rationale["tp_basis"] = "未设定止盈价"
|
||||
|
||||
# ---- 综合技术面分析 ----
|
||||
parts = []
|
||||
if 形态:
|
||||
parts.append(f"K线形态:{形态}")
|
||||
if 量价:
|
||||
parts.append(f"量价:{量价}")
|
||||
if 强撑 or 弱撑 or 弱压 or 强压:
|
||||
levels = []
|
||||
if 强撑: levels.append(f"强撑{强撑}")
|
||||
if 弱撑: levels.append(f"弱撑{弱撑}")
|
||||
if 弱压: levels.append(f"弱压{弱压}")
|
||||
if 强压: levels.append(f"强压{强压}")
|
||||
parts.append("技术位:" + "/".join(levels))
|
||||
rationale["analysis"] = " | ".join(parts)
|
||||
|
||||
return rationale
|
||||
|
||||
|
||||
def evaluate_phase1(decision, price_info, holding):
|
||||
"""
|
||||
阶段一评估：策略制定→价格是否达到过目标价位
|
||||
返回 evaluation dict
|
||||
"""
|
||||
trig = decision.get("trigger", {})
|
||||
code = decision["code"]
|
||||
name = decision.get("name", code)
|
||||
price = price_info.get("price", 0)
|
||||
change = price_info.get("change_pct", 0)
|
||||
|
||||
# 策略区间 — 支持两种数据格式：
|
||||
# 1) trigger 子对象（含 entry_zone/stop_loss/take_profit）
|
||||
# 2) 顶层字段（entry_low+entry_high / stop_loss / take_profit）
|
||||
el = trig.get("entry_zone", "")
|
||||
sl = trig.get("stop_loss", "")
|
||||
tp = trig.get("take_profit", "")
|
||||
if not el and decision.get("entry_low") is not None:
|
||||
el_low = decision.get("entry_low")
|
||||
el_high = decision.get("entry_high")
|
||||
el = f"{el_low}~{el_high}" if el_low is not None and el_high is not None else ""
|
||||
if not sl:
|
||||
sl = decision.get("stop_loss", "")
|
||||
if not tp:
|
||||
tp = decision.get("take_profit", "")
|
||||
|
||||
el_low = el_high = None
|
||||
if el and "~" in str(el):
|
||||
try:
|
||||
parts = str(el).split("~")
|
||||
el_low, el_high = float(parts[0]), float(parts[1])
|
||||
except:
|
||||
pass
|
||||
sl_p = float(sl) if sl else None
|
||||
tp_p = float(tp) if tp else None
|
||||
|
||||
# 持仓信息
|
||||
cost = holding.get("cost", 0) if holding else 0
|
||||
shares = holding.get("shares", 0) if holding else 0
|
||||
position_pct = holding.get("position_pct", 0) if holding else 0
|
||||
|
||||
# 理论盈亏计算（基于策略区间中值）
|
||||
entry_mid = (el_low + el_high) / 2 if el_low and el_high else price
|
||||
theoretical_pnl_pct = (tp_p - entry_mid) / entry_mid * 100 if tp_p and entry_mid else 0
|
||||
theoretical_pnl_amount = theoretical_pnl_pct / 100 * entry_mid * (shares or 100) / 100 if shares else 0
|
||||
|
||||
# 实际盈亏
|
||||
actual_pnl_pct = (price - cost) / cost * 100 if cost > 0 and price > 0 else 0
|
||||
actual_pnl_amount = actual_pnl_pct / 100 * cost * shares if cost > 0 and shares > 0 else 0
|
||||
|
||||
# === 策略依据分析（2026-06-18 新增）===
|
||||
tech = parse_tech_snapshot(decision)
|
||||
rationale = build_strategy_rationale(sl_p, tp_p, tech, decision, actual_pnl_pct)
|
||||
|
||||
# === R/R 盈亏比计算（2026-06-18 新增）===
|
||||
# 以现价为基准计算：向下风险（到止损）vs 向上空间（到止盈）
|
||||
# 止损价作为风险基准，止盈价作为收益目标
|
||||
rr = None
|
||||
rr_risk_pct = None
|
||||
rr_reward_pct = None
|
||||
rr_interpretation = ""
|
||||
rr_level = ""
|
||||
if sl_p and tp_p and price > 0 and sl_p > 0 and price > sl_p:
|
||||
rr_risk_pct = round((price - sl_p) / price * 100, 2) # 距止损%
|
||||
rr_reward_pct = round((tp_p - price) / price * 100, 2) # 距止盈%
|
||||
rr = round(rr_reward_pct / rr_risk_pct, 2) if rr_risk_pct > 0 else None
|
||||
# 判断场景：深套/已持仓盈利/已持仓亏损/新买入
|
||||
is_deep_loss = actual_pnl_pct < -20
|
||||
has_profit = actual_pnl_pct >= 0
|
||||
held = (cost > 0 and shares > 0)
|
||||
if not held:
|
||||
# 新买入/自选股场景
|
||||
if rr is not None and rr < 1.5:
|
||||
rr_level = "⚠️盈亏比不足"
|
||||
rr_interpretation = f"新买入要求R/R≥1.5，现{rr}每亏1元仅赚{rr}元，不建议买入"
|
||||
elif rr is not None and rr < 2.0:
|
||||
rr_level = "⚠️盈亏比偏低"
|
||||
rr_interpretation = f"新买入要求R/R≥1.5，现{rr}每亏1元赚{rr}元，谨慎"
|
||||
else:
|
||||
rr_level = "R/R达标"
|
||||
rr_interpretation = f"每亏1元赚{rr}元，盈亏比合理"
|
||||
elif is_deep_loss:
|
||||
# 深套场景 — 不限R/R
|
||||
rr_level = "深套持有"
|
||||
rr_interpretation = f"浮亏{actual_pnl_pct:.1f}%>20%深套，R/R={rr}仅参考，不补不割等反弹"
|
||||
elif has_profit:
|
||||
# 已持仓盈利场景
|
||||
if rr is not None and rr < 0.5:
|
||||
rr_level = "⚠️R/R极低"
|
||||
rr_interpretation = f"盈利持仓R/R={rr}，每亏1元仅赚{rr}元，考虑止盈或上移止损保护利润"
|
||||
elif rr is not None and rr < 1.5:
|
||||
rr_level = "⚠️R/R偏低"
|
||||
rr_interpretation = f"盈利持仓R/R={rr}，不建议加仓，当前仓位持有观察"
|
||||
else:
|
||||
rr_level = "R/R合理"
|
||||
rr_interpretation = f"盈利持仓R/R={rr}，每亏1元赚{rr}元，持有合理"
|
||||
else:
|
||||
# 已持仓浮亏(但非深套)
|
||||
if rr is not None and rr < 0.5:
|
||||
rr_level = "⚠️R/R极低"
|
||||
rr_interpretation = f"浮亏持仓R/R={rr}，每亏1元仅赚{rr}元，不建议加仓，关注止损"
|
||||
elif rr is not None and rr < 1.0:
|
||||
rr_level = "⚠️R/R不足"
|
||||
rr_interpretation = f"浮亏持仓要求加仓R/R≥1.0，现{rr}，不加仓"
|
||||
else:
|
||||
rr_level = "R/R可接受"
|
||||
rr_interpretation = f"浮亏持仓R/R={rr}，每亏1元赚{rr}元，持有等反弹"
|
||||
elif price and sl_p and price <= sl_p:
|
||||
rr_level = "已跌破止损"
|
||||
rr_interpretation = f"现价{price}已破止损{sl_p}，R/R不适用"
|
||||
else:
|
||||
rr_interpretation = "止损或止盈缺失，无法计算R/R"
|
||||
|
||||
# 当前状态判断
|
||||
status = "safe"
|
||||
if sl_p and price > 0 and price <= sl_p:
|
||||
status = "stop_loss_hit"
|
||||
elif tp_p and price > 0 and price >= tp_p:
|
||||
status = "take_profit_hit"
|
||||
elif el_low and el_high and price > 0 and el_low <= price <= el_high:
|
||||
status = "in_entry_zone"
|
||||
elif el_low and price > 0 and price < el_low:
|
||||
status = "below_entry"
|
||||
elif el_high and price > 0 and price > el_high:
|
||||
status = "above_entry"
|
||||
|
||||
# 理论阶段评估
|
||||
theoretical = {
|
||||
"entry_zone": f"{el_low}~{el_high}" if el_low else "N/A",
|
||||
"stop_loss": sl_p,
|
||||
"take_profit": tp_p,
|
||||
"entry_mid_price": round(entry_mid, 2),
|
||||
"target_price": tp_p,
|
||||
"theoretical_pnl_pct": round(theoretical_pnl_pct, 2),
|
||||
"theoretical_pnl_amount": round(theoretical_pnl_amount, 2),
|
||||
"status": status,
|
||||
"current_price": price,
|
||||
"current_change_pct": change,
|
||||
"rr": rr,
|
||||
"rr_risk_pct": rr_risk_pct,
|
||||
"rr_reward_pct": rr_reward_pct,
|
||||
"rr_level": rr_level,
|
||||
"sl_basis": rationale["sl_basis"],
|
||||
"tp_basis": rationale["tp_basis"],
|
||||
"tech_analysis": rationale["analysis"],
|
||||
}
|
||||
|
||||
# 实际阶段评估
|
||||
actual = {
|
||||
"cost_price": cost,
|
||||
"shares": shares,
|
||||
"position_pct": position_pct,
|
||||
"actual_pnl_pct": round(actual_pnl_pct, 2),
|
||||
"actual_pnl_amount": round(actual_pnl_amount, 2),
|
||||
"status": status,
|
||||
"current_price": price,
|
||||
}
|
||||
|
||||
return {
|
||||
"code": code,
|
||||
"name": name,
|
||||
"evaluated_at": datetime.now().isoformat(),
|
||||
"phase": 1,
|
||||
"theoretical": theoretical,
|
||||
"actual": actual,
|
||||
"rr_level": rr_level,
|
||||
"rr_interpretation": rr_interpretation,
|
||||
"strategy_rationale": {
|
||||
"sl_basis": rationale["sl_basis"],
|
||||
"tp_basis": rationale["tp_basis"],
|
||||
"tech_analysis": rationale["analysis"],
|
||||
},
|
||||
"summary": f"{name}({code}) | 损{sl_p}({rationale['sl_basis']})/"
|
||||
f"盈{tp_p}({rationale['tp_basis']}) | "
|
||||
f"现价{price}({change:+.2f}%) | "
|
||||
f"距损{rr_risk_pct}%/距盈{rr_reward_pct}% | RR={rr} | "
|
||||
f"{rr_level} | 理{theoretical_pnl_pct:+.1f}%实{actual_pnl_pct:+.1f}%",
|
||||
}
|
||||
|
||||
|
||||
def evaluate_phase2(decision, price_info, holding, prev_eval):
|
||||
"""
|
||||
阶段二评估：价格回落后→新止损验证
|
||||
需要 prev_eval 中记录了之前的目标价和新止损价
|
||||
"""
|
||||
trig = decision.get("trigger", {})
|
||||
code = decision["code"]
|
||||
name = decision.get("name", code)
|
||||
price = price_info.get("price", 0)
|
||||
|
||||
sl = trig.get("stop_loss", "")
|
||||
if not sl:
|
||||
sl = decision.get("stop_loss", "")
|
||||
sl_p = float(sl) if sl else None
|
||||
|
||||
# 从 prev_eval 中获取阶段一的止损
|
||||
prev_sl = None
|
||||
if prev_eval:
|
||||
prev_sl = prev_eval.get("theoretical", {}).get("stop_loss")
|
||||
|
||||
# 检查新止损是否被跌破
|
||||
new_sl_hit = False
|
||||
days_to_hit = None
|
||||
if sl_p and price > 0 and price <= sl_p:
|
||||
new_sl_hit = True
|
||||
# 无法精确知道多少天跌破，标记为当前
|
||||
days_to_hit = 0
|
||||
|
||||
result = {
|
||||
"code": code,
|
||||
"name": name,
|
||||
"evaluated_at": datetime.now().isoformat(),
|
||||
"phase": 2,
|
||||
"new_stop_loss": sl_p,
|
||||
"previous_stop_loss": prev_sl,
|
||||
"current_price": price,
|
||||
"new_sl_hit": new_sl_hit,
|
||||
"days_to_hit": days_to_hit,
|
||||
"summary": f"{name}({code}) 新止损{sl_p} {'已跌破' if new_sl_hit else '未触及'} 现价{price}",
|
||||
}
|
||||
return result
|
||||
|
||||
|
||||
def run():
|
||||
decisions = read_decisions()
|
||||
portfolio = read_portfolio()
|
||||
holdings_map = {h["code"]: h for h in portfolio.get("holdings", [])}
|
||||
|
||||
# 收集所有代码
|
||||
all_codes = [d["code"] for d in decisions["decisions"]]
|
||||
prices = fetch_prices(all_codes)
|
||||
|
||||
results = []
|
||||
stats = {
|
||||
"phase1_correct": 0, "phase1_wrong": 0, "phase1_pending": 0,
|
||||
"phase2_correct": 0, "phase2_wrong": 0, "phase2_pending": 0,
|
||||
}
|
||||
|
||||
for d in decisions["decisions"]:
|
||||
code = d["code"]
|
||||
pi = prices.get(code, {})
|
||||
h = holdings_map.get(code)
|
||||
|
||||
# 获取已有的 evaluation 记录
|
||||
existing_eval = d.get("evaluation", [])
|
||||
|
||||
# 阶段一评估
|
||||
eval1 = evaluate_phase1(d, pi, h)
|
||||
results.append(eval1)
|
||||
|
||||
# 阶段二评估（如果有前次止损记录）
|
||||
prev_eval = existing_eval[-1] if existing_eval else None
|
||||
if prev_eval and prev_eval.get("phase") == 1:
|
||||
eval2 = evaluate_phase2(d, pi, h, prev_eval)
|
||||
results.append(eval2)
|
||||
|
||||
# 更新 decisions.json 的 evaluation 字段
|
||||
d["evaluation"] = [e for e in [eval1] + ([eval2] if prev_eval and prev_eval.get("phase") == 1 else [])]
|
||||
|
||||
# 保存更新到 DB
|
||||
conn = get_conn()
|
||||
for d in decisions.get("decisions", []):
|
||||
write_holding_strategy(conn, d["code"], d.get("name", ""), d)
|
||||
conn.close()
|
||||
|
||||
# 汇总统计
|
||||
for r in results:
|
||||
phase = r["phase"]
|
||||
if phase == 1:
|
||||
status = r["theoretical"]["status"]
|
||||
if status in ("take_profit_hit",):
|
||||
stats["phase1_correct"] += 1
|
||||
elif status in ("stop_loss_hit",):
|
||||
stats["phase1_wrong"] += 1
|
||||
else:
|
||||
stats["phase1_pending"] += 1
|
||||
elif phase == 2:
|
||||
if r.get("new_sl_hit"):
|
||||
stats["phase2_correct"] += 1
|
||||
else:
|
||||
stats["phase2_pending"] += 1
|
||||
|
||||
# 写入 accuracy_stats
|
||||
accuracy = {
|
||||
"updated_at": datetime.now().isoformat(),
|
||||
"phase1": {
|
||||
"correct": stats["phase1_correct"],
|
||||
"wrong": stats["phase1_wrong"],
|
||||
"pending": stats["phase1_pending"],
|
||||
"accuracy_pct": round(stats["phase1_correct"] / max(stats["phase1_correct"] + stats["phase1_wrong"], 1) * 100, 1),
|
||||
},
|
||||
"phase2": {
|
||||
"correct": stats["phase2_correct"],
|
||||
"wrong": stats["phase2_wrong"],
|
||||
"pending": stats["phase2_pending"],
|
||||
"accuracy_pct": round(stats["phase2_correct"] / max(stats["phase2_correct"] + stats["phase2_wrong"], 1) * 100, 1),
|
||||
},
|
||||
"total_evaluated": len(results),
|
||||
"details": [r["summary"] for r in results],
|
||||
}
|
||||
save_json(ACCURACY_PATH, accuracy)
|
||||
|
||||
# 输出报告
|
||||
print("=" * 70)
|
||||
print(f"策略双维度评估报告 | {datetime.now().strftime('%Y-%m-%d %H:%M')}")
|
||||
print("=" * 70)
|
||||
|
||||
print(f"\n📊 阶段一（策略制定→价格达标）")
|
||||
print(f" 正确(达到止盈): {stats['phase1_correct']}")
|
||||
print(f" 错误(跌破止损): {stats['phase1_wrong']}")
|
||||
print(f" 待验证: {stats['phase1_pending']}")
|
||||
print(f" 准确率: {accuracy['phase1']['accuracy_pct']}%")
|
||||
|
||||
print(f"\n📊 阶段二（价格回落→新止损验证）")
|
||||
print(f" 正确(新止损验证有效): {stats['phase2_correct']}")
|
||||
print(f" 错误: {stats['phase2_wrong']}")
|
||||
print(f" 待验证: {stats['phase2_pending']}")
|
||||
|
||||
print(f"\n📋 逐股评估:")
|
||||
for r in results:
|
||||
if r["phase"] == 1:
|
||||
print(f" {r['summary']}")
|
||||
if r.get("rr_interpretation"):
|
||||
print(f" RR: {r['rr_interpretation']}")
|
||||
sr = r.get("strategy_rationale", {})
|
||||
if sr.get("tech_analysis"):
|
||||
print(f" 技术:{sr['tech_analysis']}")
|
||||
else:
|
||||
print(f" {r['summary']}")
|
||||
|
||||
# R/R 统计
|
||||
rr_count = sum(1 for r in results if r.get("rr_level") and r["phase"] == 1)
|
||||
rr_warn = sum(1 for r in results if "⚠️" in r.get("rr_level", "") and r["phase"] == 1)
|
||||
print(f"\n📊 盈亏比R/R统计:")
|
||||
print(f" 有R/R评估: {rr_count}只 | ⚠️异常: {rr_warn}只")
|
||||
for r in results:
|
||||
if r["phase"] == 1 and r.get("rr_level"):
|
||||
level = r["rr_level"]
|
||||
if "⚠️" in level:
|
||||
name_code = r['summary'].split('|')[0].strip()
|
||||
print(f" ⚠️ {name_code} → {level} | {r['rr_interpretation']}")
|
||||
|
||||
print(f"\n✅ 评估完成，已写入 decisions.json 和 accuracy_stats.json")
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
run()
|
||||
@@ -150,6 +150,9 @@ def execute_stock(stock):
|
||||
pass
|
||||
if not result.get("action"):
|
||||
result["action"] = "无变更"
|
||||
# 记录执行日志
|
||||
from mofin_db import log_execution
|
||||
log_execution(conn, code, result.get("action",""), int(stock.get("shares",0) or 0), float(stock.get("price",0) or 0), source="trade_capture")
|
||||
|
||||
conn.commit()
|
||||
conn.close()
|
||||
|
||||
Reference in New Issue
Block a user