#!/usr/bin/env python3 # -*- coding: utf-8 -*- """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） 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) → 胜率60.8% vs 基线30.7%；每日top8截断（信号/成交比1.8） 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） → v2 改为恐慌日买强势（alpha组合），评分同 s2_panic_v2_gen 入场： 市场门控：大盘 RSI14 < 25（极端恐慌日） 个股 alpha 组合： mcap_q < 0.4（小市值） rsi >= 35（相对强势） sec_ret20 >= -10（行业抗跌） score：mcap分(40) + rsi分(30) + sec分(20) + news分(10) 出场建议：tp30% / sl12% / max60日（s2 原出场） 输出：candidates 表（sector='s2_panic_v2'） 用法： python3 s2_panic_v2_scanner.py # 完整扫描（大盘RSI<25门控） python3 s2_panic_v2_scanner.py --force # 忽略门控 python3 s2_panic_v2_scanner.py --top N # 输出前 N 只（默认 8） """ import sys, sqlite3 from pathlib import Path from datetime import datetime sys.path.insert(0, str(Path(__file__).parent)) from indicators import calc_ma, calc_rsi from market_data import fetch_tx_klines, get_stock_pool DB_PATH = Path("/home/hmo/MoFin/data/mofin.db") TOP_N = 8 EXIT_CFG = {"tp_pct": 0.30, "sl_pct": 0.12, "max_hold_days": 20} # 2026-08-17分温区: trend_down 20d最优(6.69%vs60d 4.95%) # 大盘 RSI 门控（与 s2_scanner 一致） MKT_RSI_MAX = 25 def load_mkt_rsi(): """大盘 RSI14（stock_daily sh000001）""" try: conn = sqlite3.connect(str(DB_PATH), timeout=5) conn.execute("PRAGMA busy_timeout=30000") # 2026-08-18 整点撞锁等待 rows = conn.execute( "SELECT date, close FROM stock_daily WHERE code='sh000001' ORDER BY date DESC LIMIT 40").fetchall() conn.close() if len(rows) < 20: return None, None rows = list(reversed(rows)) closes = [r[1] for r in rows] rsi = calc_rsi(closes) return rows[-1][0], rsi[-1] except Exception: return None, None def mcap_quantile(code): """市值分位（2026-08-17 改用 stock_fundamentals.mcap_total，原 amount 不可靠）""" try: conn = sqlite3.connect(str(DB_PATH), timeout=5) conn.execute("PRAGMA busy_timeout=30000") # 2026-08-18 整点撞锁等待 row = conn.execute( "SELECT mcap_total FROM stock_fundamentals WHERE code=? ORDER BY updated_at DESC LIMIT 1", (code,)).fetchone() conn.close() if not row or not row[0]: return 0.3 conn = sqlite3.connect(str(DB_PATH), timeout=5) conn.execute("PRAGMA busy_timeout=30000") # 2026-08-18 整点撞锁等待 rows = conn.execute( "SELECT code, mcap_total FROM stock_fundamentals f WHERE updated_at = " "(SELECT MAX(updated_at) FROM stock_fundamentals f2 WHERE f2.code=f.code)" ).fetchall() conn.close() mcaps = sorted([r[1] for r in rows if r[1] and r[1] > 0]) if not mcaps: return 0.3 import bisect return round(bisect.bisect_left(mcaps, row[0]) / max(len(mcaps), 1), 2) except Exception: return 0.3 def alpha_score(mcap_q, rsi, sec_ret20, news3=0): sc = 0 if mcap_q is not None: 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: sc += 30 if rsi >= 45 else 22 if rsi >= 35 else 12 if rsi >= 25 else 6 if sec_ret20 is not None: sc += 20 if sec_ret20 >= 0 else 16 if sec_ret20 >= -10 else 8 if sec_ret20 >= -20 else 3 if news3: sc += 10 if news3 >= 2 else 7 if news3 >= 1 else 2 return sc def check_s2v2(klines, code): """s2_panic_v2 筛选：恐慌日 + 强势alpha组合""" if not klines or len(klines) < 70: return None closes = [k["close"] for k in klines] i = len(klines) - 1 close = closes[i] if close <= 0: return None rsi = calc_rsi(closes) rsi_v = rsi[i] if i < len(rsi) else None mcap_q = mcap_quantile(code) # alpha 组合：小市值 + 强势 + （行业抗跌实盘近似简化：跳过 sec_ret20 门控） if mcap_q >= 0.4: return None if rsi_v is None or rsi_v < 35: return None sc = alpha_score(mcap_q, rsi_v, None) return { "price": close, "rsi": round(rsi_v, 2), "mcap_q": mcap_q, "score": sc, "target": round(close * (1 + EXIT_CFG["tp_pct"]), 2), "stop_loss": round(close * (1 - EXIT_CFG["sl_pct"]), 2), "date": klines[i]["date"], } def main(): import argparse ap = argparse.ArgumentParser() ap.add_argument("--force", action="store_true") ap.add_argument("--top", type=int, default=TOP_N) args = ap.parse_args() mkt_date, mkt_rsi = load_mkt_rsi() print(f"[s2_panic_v2] {datetime.now().strftime('%H:%M')} 扫描开始 大盘RSI={mkt_rsi}", flush=True) if mkt_rsi is None: print(" 大盘RSI获取失败，跳过", flush=True) return if not args.force and mkt_rsi >= MKT_RSI_MAX: print(f" 大盘RSI={mkt_rsi:.0f} >= {MKT_RSI_MAX}，非恐慌日，跳过", flush=True) return all_stocks, existing = get_stock_pool() print(f" 股票池 {len(all_stocks)} 只", flush=True) hits = [] for code in all_stocks: if code in existing: continue try: klines = fetch_tx_klines(code, datalen=120) sig = check_s2v2(klines, code) if sig: hits.append((code, code, sig)) # name 暂用 code except Exception: pass hits.sort(key=lambda x: -x[2]["score"]) hits = hits[: args.top] conn = sqlite3.connect(str(DB_PATH), timeout=10) conn.execute("PRAGMA busy_timeout=30000") # 2026-08-18 整点撞锁等待 inserted = 0 for code, name, sig in hits: reasons = (f"rsi={sig['rsi']} mcap_q={sig['mcap_q']} score={sig['score']}") # 2026-08-18 补 rr 列（断链 bug：promote 的 _rr is None 全跳过，与 b_td1_v3 同口径） _mid_v = (sig['price'] * 0.98 + sig['price']) / 2 _rr_v = round((sig["target"] - _mid_v) / (_mid_v - sig["stop_loss"]), 2) if _mid_v > sig["stop_loss"] > 0 else 0 conn.execute( "INSERT INTO candidates (code, name, sector, reason, entry_range, stop_loss, target, rr, source_strategy, created_at) " "VALUES (?,?,?,?,?,?,?,?,?,datetime('now','localtime')) " "ON CONFLICT(code) DO UPDATE SET " "name=excluded.name, sector=excluded.sector, reason=excluded.reason, " "entry_range=excluded.entry_range, stop_loss=excluded.stop_loss, target=excluded.target, rr=excluded.rr, source_strategy=excluded.source_strategy", (code, code, "s2_panic_v2", reasons, f"{sig['price']*0.98:.2f}~{sig['price']:.2f}", sig["stop_loss"], sig["target"], _rr_v, "s2_panic_v2")) inserted += 1 print(f" 🟢 {code} {name} 价{sig['price']} score={sig['score']} {reasons}", flush=True) conn.commit() conn.close() print(f" ✅ 新增 {inserted} 只 s2_panic_v2 候选", flush=True) if __name__ == "__main__": main()