fix: 资格判定用当前激活温区(state)优先,best_regime回退——择优激活的v_lurk_v3不再被choppy误判
This commit is contained in:
xxm
@@ -0,0 +1,189 @@
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#!/usr/bin/env python3
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# -*- coding: utf-8 -*-
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"""b_td1_v3_scanner.py — B组超跌·原池优选 实盘扫描器（2026-08-17 择优激活落地）
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由果及因（老莫指正）：b_td1 原池(5000信号)信号太密集,用 score 每日top5截断 → 信号572/成交316/比1.8
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实盘对齐回测：
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池（b_td1 原池）：dist_lo20 > 5（距20日低点>5%）——news3/mcap_q/pe_q 为回测外部因子,
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实盘用可获取近似：mcap_q<0.3（市值分位,从 stock_daily 市值算）pe_q<0.3 暂缺则放宽
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score（池内超跌评分）：bias60深度 + rsi + sec_ret20 + ret5
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每日 top5（score 降序）
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出场建议：tp15% / sl8% / max35日（原版模拟验证参数）
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数据源：腾讯前复权日K（与 mr_scanner 同源,零偏差）+ 市值分位从 stock_daily
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输出：candidates 表（sector='b_td1_v3'）
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用法：
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python3 b_td1_v3_scanner.py # 完整扫描
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python3 b_td1_v3_scanner.py --force # 忽略门控
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python3 b_td1_v3_scanner.py --top N # 输出前 N 只（默认 5）
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"""
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import sys, json, sqlite3
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from pathlib import Path
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from datetime import datetime
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sys.path.insert(0, str(Path(__file__).parent))
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from indicators import calc_ma, calc_rsi
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from market_data import fetch_tx_klines, get_stock_pool
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DB_PATH = Path("/home/hmo/MoFin/data/mofin.db")
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TOP_N = 5
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EXIT_CFG = {"tp_pct": 0.15, "sl_pct": 0.08, "max_hold_days": 35}
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def load_regime():
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"""当前温区（平滑优先）"""
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try:
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from regime_gate import get_current_regime
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rg = get_current_regime()
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if rg and rg.get("regime") != "unknown":
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return rg.get("regime")
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except Exception:
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pass
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try:
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conn = sqlite3.connect(str(DB_PATH), timeout=5)
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r = conn.execute("SELECT regime FROM market_regime WHERE market='a' ORDER BY date DESC LIMIT 1").fetchone()
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conn.close()
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return r[0] if r else "unknown"
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except Exception:
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return "unknown"
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def mcap_quantile(code):
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"""从 stock_daily 算市值分位（mcap_q 近似）"""
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try:
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conn = sqlite3.connect(str(DB_PATH), timeout=5)
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row = conn.execute(
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"SELECT amount, close FROM stock_daily WHERE code=? ORDER BY date DESC LIMIT 1",
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(code,)).fetchone()
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if not row or not row[0]:
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conn.close()
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return 0.3 # 缺省给中值（放宽）
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# 全市场今日成交额分位
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rows = conn.execute(
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"SELECT amount FROM stock_daily WHERE date=(SELECT MAX(date) FROM stock_daily) AND amount IS NOT NULL"
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).fetchall()
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conn.close()
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amounts = sorted([r[0] for r in rows if r[0]])
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if not amounts:
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return 0.3
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import bisect
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pos = bisect.bisect_left(amounts, row[0])
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return round(pos / max(len(amounts), 1), 2)
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except Exception:
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return 0.3
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def score_of(bias60, rsi, sec_ret20, ret5):
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"""池内超跌评分（与回测 b_td1_v3_gen 一致）"""
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sc = 0
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if bias60 is not None:
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sc += 40 if bias60 < -30 else 32 if bias60 < -20 else 20 if bias60 < -10 else 8
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if rsi is not None:
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sc += 30 if rsi < 30 else 24 if rsi < 40 else 14 if rsi < 50 else 6
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if sec_ret20 is not None:
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sc += 20 if sec_ret20 < -20 else 14 if sec_ret20 < -10 else 8 if sec_ret20 < 0 else 3
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if ret5 is not None:
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sc += 10 if ret5 < -25 else 7 if ret5 < -15 else 4 if ret5 < -8 else 1
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return sc
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def sec_ret20_approx(code):
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"""行业20日涨幅近似：用该股所在板块指数或简化为大盘对照"""
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# 实盘简化：返回 None（score 该分项给0），避免复杂行业数据依赖
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return None
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def check_b_td1(klines, code):
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"""b_td1_v3 筛选：池条件 + score"""
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if not klines or len(klines) < 60:
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return None
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closes = [k["close"] for k in klines]
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lows = [k["low"] for k in klines]
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i = len(klines) - 1
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close = closes[i]
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if close <= 0:
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return None
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ma60 = calc_ma(closes, 60)
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m60 = ma60[i]
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if not m60 or m60 <= 0:
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return None
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bias60 = (close - m60) / m60 * 100
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# 池条件：dist_lo20 > 5（距20日低点>5%）
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lo20 = min(lows[max(0, i - 19):i + 1])
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dist_lo20 = (close - lo20) / lo20 * 100 if lo20 > 0 else 0
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if dist_lo20 <= 5:
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return None
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rsi = calc_rsi(closes)
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rsi_v = rsi[i] if i < len(rsi) else None
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prev5 = closes[i - 5] if i >= 5 else 0
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ret5 = (close - prev5) / prev5 * 100 if prev5 > 0 else 0
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# 市值分位
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mcap_q = mcap_quantile(code)
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if mcap_q >= 0.3:
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return None # 池条件：小市值
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# score
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sec20 = sec_ret20_approx(code)
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sc = score_of(bias60, rsi_v, sec20, ret5)
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return {
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"price": close, "bias60": round(bias60, 2), "rsi": round(rsi_v, 2) if rsi_v else None,
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"ret5": round(ret5, 2), "dist_lo20": round(dist_lo20, 2), "mcap_q": mcap_q,
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"score": sc, "target": round(close * (1 + EXIT_CFG["tp_pct"]), 2),
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"stop_loss": round(close * (1 - EXIT_CFG["sl_pct"]), 2),
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"date": klines[i]["date"],
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}
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def main():
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import argparse
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ap = argparse.ArgumentParser()
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ap.add_argument("--force", action="store_true")
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ap.add_argument("--top", type=int, default=TOP_N)
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args = ap.parse_args()
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regime = load_regime()
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print(f"[b_td1_v3] {datetime.now().strftime('%H:%M')} 扫描开始 温区={regime}", flush=True)
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# 温区门控：trend_down/choppy 才扫（超跌池主战场）
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if not args.force and regime not in ("trend_down", "choppy"):
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print(f" 温区 {regime} 非超跌池主战场，跳过", flush=True)
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return
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all_stocks, existing = get_stock_pool()
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print(f" 股票池 {len(all_stocks)} 只", flush=True)
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hits = []
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for code, name in all_stocks:
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try:
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klines = fetch_tx_klines(code, datalen=120)
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sig = check_b_td1(klines, code)
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if sig:
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hits.append((code, name, sig))
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except Exception as e:
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pass
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# score 降序 top-N
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hits.sort(key=lambda x: -x[2]["score"])
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hits = hits[: args.top]
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print(f" 命中 {len(hits)} 只（score降序前{args.top}）", flush=True)
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conn = sqlite3.connect(str(DB_PATH), timeout=10)
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inserted = 0
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for code, name, sig in hits:
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reasons = (f"dist_lo20={sig['dist_lo20']}% bias60={sig['bias60']}% "
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f"rsi={sig['rsi']} ret5={sig['ret5']}% mcap_q={sig['mcap_q']} score={sig['score']}")
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conn.execute(
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"INSERT INTO candidates (code, name, sector, reason, entry_range, stop_loss, target, created_at) "
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"VALUES (?,?,?,?,?,?,?,datetime('now','localtime')) "
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"ON CONFLICT(code) DO UPDATE SET "
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"name=excluded.name, sector=excluded.sector, reason=excluded.reason, "
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"entry_range=excluded.entry_range, stop_loss=excluded.stop_loss, target=excluded.target",
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(code, name, "b_td1_v3", reasons,
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f"{sig['price']*0.98:.2f}~{sig['price']:.2f}", sig["stop_loss"], sig["target"]))
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inserted += 1
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print(f" 🟢 {code} {name} 价{sig['price']} score={sig['score']} {reasons}", flush=True)
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conn.commit()
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conn.close()
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print(f" ✅ 新增 {inserted} 只 b_td1_v3 候选", flush=True)
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if __name__ == "__main__":
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main()
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@@ -0,0 +1,168 @@
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#!/usr/bin/env python3
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# -*- coding: utf-8 -*-
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"""s2_panic_v2_scanner.py — S2恐慌买alpha升级 实盘扫描器（2026-08-17 择优激活落地）
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由果及因（72941恐慌日信号验证）：恐慌日买强势——小市值(mcap_q<0.4)+高RSI(rsi>=35)+行业抗跌(sec_ret20>=-10)
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→ 胜率60.8% vs 基线30.7%；每日top8截断（信号/成交比1.8）
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基于原 s2_scanner 改：原=恐慌日买超跌(bias60<-6.8+r5f<-10+dist_lo20>=10)，数据证明无alpha（甚至负alpha）
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→ v2 改为恐慌日买强势（alpha组合），评分同 s2_panic_v2_gen
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入场：
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市场门控：大盘 RSI14 < 25（极端恐慌日）
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个股 alpha 组合：
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mcap_q < 0.4（小市值）
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rsi >= 35（相对强势）
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sec_ret20 >= -10（行业抗跌）
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score：mcap分(40) + rsi分(30) + sec分(20) + news分(10)
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出场建议：tp30% / sl12% / max60日（s2 原出场）
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输出：candidates 表（sector='s2_panic_v2'）
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用法：
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python3 s2_panic_v2_scanner.py # 完整扫描（大盘RSI<25门控）
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python3 s2_panic_v2_scanner.py --force # 忽略门控
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python3 s2_panic_v2_scanner.py --top N # 输出前 N 只（默认 8）
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"""
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import sys, sqlite3
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from pathlib import Path
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from datetime import datetime
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sys.path.insert(0, str(Path(__file__).parent))
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from indicators import calc_ma, calc_rsi
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from market_data import fetch_tx_klines, get_stock_pool
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DB_PATH = Path("/home/hmo/MoFin/data/mofin.db")
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TOP_N = 8
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EXIT_CFG = {"tp_pct": 0.30, "sl_pct": 0.12, "max_hold_days": 60}
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# 大盘 RSI 门控（与 s2_scanner 一致）
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MKT_RSI_MAX = 25
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def load_mkt_rsi():
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"""大盘 RSI14（stock_daily sh000001）"""
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try:
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conn = sqlite3.connect(str(DB_PATH), timeout=5)
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rows = conn.execute(
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"SELECT date, close FROM stock_daily WHERE code='sh000001' ORDER BY date DESC LIMIT 40").fetchall()
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conn.close()
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if len(rows) < 20:
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return None, None
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rows = list(reversed(rows))
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closes = [r[1] for r in rows]
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rsi = calc_rsi(closes)
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return rows[-1][0], rsi[-1]
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except Exception:
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return None, None
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def mcap_quantile(code):
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try:
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conn = sqlite3.connect(str(DB_PATH), timeout=5)
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row = conn.execute(
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"SELECT amount FROM stock_daily WHERE code=? ORDER BY date DESC LIMIT 1", (code,)).fetchone()
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if not row or not row[0]:
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conn.close()
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return 0.3
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rows = conn.execute(
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"SELECT amount FROM stock_daily WHERE date=(SELECT MAX(date) FROM stock_daily) AND amount IS NOT NULL"
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).fetchall()
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conn.close()
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amounts = sorted([r[0] for r in rows if r[0]])
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if not amounts:
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return 0.3
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import bisect
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return round(bisect.bisect_left(amounts, row[0]) / max(len(amounts), 1), 2)
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except Exception:
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return 0.3
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def alpha_score(mcap_q, rsi, sec_ret20, news3=0):
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sc = 0
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if mcap_q is not None:
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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
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if rsi is not None:
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sc += 30 if rsi >= 45 else 22 if rsi >= 35 else 12 if rsi >= 25 else 6
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if sec_ret20 is not None:
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sc += 20 if sec_ret20 >= 0 else 16 if sec_ret20 >= -10 else 8 if sec_ret20 >= -20 else 3
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if news3:
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sc += 10 if news3 >= 2 else 7 if news3 >= 1 else 2
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return sc
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def check_s2v2(klines, code):
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"""s2_panic_v2 筛选：恐慌日 + 强势alpha组合"""
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if not klines or len(klines) < 70:
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return None
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closes = [k["close"] for k in klines]
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i = len(klines) - 1
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close = closes[i]
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if close <= 0:
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return None
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rsi = calc_rsi(closes)
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rsi_v = rsi[i] if i < len(rsi) else None
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mcap_q = mcap_quantile(code)
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# alpha 组合：小市值 + 强势 + （行业抗跌实盘近似简化：跳过 sec_ret20 门控）
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if mcap_q >= 0.4:
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return None
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if rsi_v is None or rsi_v < 35:
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return None
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sc = alpha_score(mcap_q, rsi_v, None)
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return {
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"price": close, "rsi": round(rsi_v, 2), "mcap_q": mcap_q, "score": sc,
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"target": round(close * (1 + EXIT_CFG["tp_pct"]), 2),
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"stop_loss": round(close * (1 - EXIT_CFG["sl_pct"]), 2),
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"date": klines[i]["date"],
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}
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def main():
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import argparse
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ap = argparse.ArgumentParser()
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ap.add_argument("--force", action="store_true")
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ap.add_argument("--top", type=int, default=TOP_N)
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args = ap.parse_args()
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mkt_date, mkt_rsi = load_mkt_rsi()
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print(f"[s2_panic_v2] {datetime.now().strftime('%H:%M')} 扫描开始 大盘RSI={mkt_rsi}", flush=True)
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if mkt_rsi is None:
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print(" 大盘RSI获取失败，跳过", flush=True)
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return
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if not args.force and mkt_rsi >= MKT_RSI_MAX:
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print(f" 大盘RSI={mkt_rsi:.0f} >= {MKT_RSI_MAX}，非恐慌日，跳过", flush=True)
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return
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all_stocks, existing = get_stock_pool()
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print(f" 股票池 {len(all_stocks)} 只", flush=True)
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hits = []
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for code, name in all_stocks:
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try:
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klines = fetch_tx_klines(code, datalen=120)
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sig = check_s2v2(klines, code)
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if sig:
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hits.append((code, name, sig))
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except Exception:
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pass
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hits.sort(key=lambda x: -x[2]["score"])
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hits = hits[: args.top]
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conn = sqlite3.connect(str(DB_PATH), timeout=10)
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inserted = 0
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for code, name, sig in hits:
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reasons = (f"rsi={sig['rsi']} mcap_q={sig['mcap_q']} score={sig['score']}")
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conn.execute(
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"INSERT INTO candidates (code, name, sector, reason, entry_range, stop_loss, target, created_at) "
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"VALUES (?,?,?,?,?,?,?,datetime('now','localtime')) "
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"ON CONFLICT(code) DO UPDATE SET "
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"name=excluded.name, sector=excluded.sector, reason=excluded.reason, "
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"entry_range=excluded.entry_range, stop_loss=excluded.stop_loss, target=excluded.target",
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(code, name, "s2_panic_v2", reasons,
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f"{sig['price']*0.98:.2f}~{sig['price']:.2f}", sig["stop_loss"], sig["target"]))
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inserted += 1
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print(f" 🟢 {code} {name} 价{sig['price']} score={sig['score']} {reasons}", flush=True)
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conn.commit()
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conn.close()
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print(f" ✅ 新增 {inserted} 只 s2_panic_v2 候选", flush=True)
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if __name__ == "__main__":
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main()
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@@ -55,6 +55,8 @@ STRATEGY_SCANNER = {
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"v8.1": "leader_scanner.py",
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"v_next5": "leader_scanner.py",
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"v_combo": "leader_scanner.py",
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"b_td1_v3": "b_td1_v3_scanner.py",
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"s2_panic_v2": "s2_panic_v2_scanner.py",
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}
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