179 lines
7.0 KiB
Python
179 lines
7.0 KiB
Python
#!/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": 20} # 2026-08-17分温区: trend_down 20d最优(6.69%vs60d 4.95%)
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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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conn.execute("PRAGMA busy_timeout=30000") # 2026-08-18 整点撞锁等待
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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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"""市值分位（2026-08-17 改用 stock_fundamentals.mcap_total，原 amount 不可靠）"""
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try:
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conn = sqlite3.connect(str(DB_PATH), timeout=5)
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conn.execute("PRAGMA busy_timeout=30000") # 2026-08-18 整点撞锁等待
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row = conn.execute(
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"SELECT mcap_total FROM stock_fundamentals WHERE code=? ORDER BY updated_at DESC LIMIT 1",
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(code,)).fetchone()
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conn.close()
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if not row or not row[0]:
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return 0.3
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conn = sqlite3.connect(str(DB_PATH), timeout=5)
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conn.execute("PRAGMA busy_timeout=30000") # 2026-08-18 整点撞锁等待
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rows = conn.execute(
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"SELECT code, mcap_total FROM stock_fundamentals f WHERE updated_at = "
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"(SELECT MAX(updated_at) FROM stock_fundamentals f2 WHERE f2.code=f.code)"
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).fetchall()
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conn.close()
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mcaps = sorted([r[1] for r in rows if r[1] and r[1] > 0])
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if not mcaps:
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return 0.3
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import bisect
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return round(bisect.bisect_left(mcaps, row[0]) / max(len(mcaps), 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 in all_stocks:
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if code in existing:
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continue
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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, code, sig)) # name 暂用 code
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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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conn.execute("PRAGMA busy_timeout=30000") # 2026-08-18 整点撞锁等待
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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, source_strategy, 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, source_strategy=excluded.source_strategy",
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(code, code, "s2_panic_v2", reasons,
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f"{sig['price']*0.98:.2f}~{sig['price']:.2f}", sig["stop_loss"], sig["target"], "s2_panic_v2"))
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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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