190 lines
7.7 KiB
Python
190 lines
7.7 KiB
Python
#!/usr/bin/env python3
|
||
# -*- coding: utf-8 -*-
|
||
"""strategy_router.py v5 — MoFin 策略动态路由（动态策略库，2026-08-13）
|
||
|
||
核心（老莫原则）：
|
||
- 策略全温区发信号（不留温区门控在策略内）
|
||
- 策略-温区表现常态化记录（regime_perf.py / strategy_regime_perf），适用温区动态化
|
||
- 组合按当前温区自动激活/休眠策略：当前温区实测胜率高的策略优先
|
||
- 不漏历史策略（v_mr_sel trend_down 93%、v7.3 trend_up 94% 等被埋没的强者）
|
||
|
||
数据流：
|
||
market_regime(三态) + regime_tracker(平滑K=5) → 当前温区
|
||
temp_band(rsi) → 温度/仓位乘数
|
||
regime_perf(实测) → 各策略温区表现
|
||
→ strategy_weights.json（各策略权重/激活状态）
|
||
"""
|
||
import json
|
||
import sys
|
||
from pathlib import Path
|
||
from datetime import datetime
|
||
|
||
_SCRIPT_DIR = Path(__file__).resolve().parent
|
||
sys.path.insert(0, str(_SCRIPT_DIR))
|
||
sys.path.insert(0, "/home/hmo/MoFin")
|
||
|
||
OUT = Path("/home/hmo/MoFin/data/strategy_weights.json")
|
||
|
||
DEFAULT_FAMILY = "mr"
|
||
FAMILY_MAP = {
|
||
"v_weak": "mr", "v_oversold": "mr", "v_mr": "mr", "v_mr2": "mr", "v_mr3": "mr",
|
||
"v_mr4": "mr", "v_mr_sel": "mr", "v_lurk_v1": "mr", "v_lurk_v2": "mr", "v_lurk_v3": "mr",
|
||
"s2_panic": "mr", "v_osc": "mr",
|
||
"v_next": "trend", "v_next3": "trend", "v_next4": "trend", "v_next5": "trend",
|
||
"v8.0": "trend", "v8.1": "trend", "v8.2": "trend", "v8.3": "trend",
|
||
"v7.0": "trend", "v7.1": "trend", "v7.1b": "trend", "v7.2": "trend", "v7.3": "trend",
|
||
"v6.0": "trend", "v6.1": "trend", "v6.2": "trend",
|
||
"v9.0": "trend", "v9.1": "trend", "v9.2": "trend",
|
||
"v_combo": "trend", "v1.0": "trend", "v2.0": "trend", "v3.0": "trend",
|
||
"v4.0": "trend", "v4.0a": "trend", "v4.0b": "trend", "v4.0c": "trend",
|
||
"v4.0d": "trend", "v4.0e": "trend", "v4.0f": "trend", "v4.0g": "trend",
|
||
"v4.0h": "trend", "v4.1": "trend", "v5.0": "trend",
|
||
"v11.0": "trend", "v11.1": "trend",
|
||
"hk_mr1": "mr", # 港股深度超卖反弹（2026-08-14 港股归因研发，trend_down 主战场）
|
||
}
|
||
|
||
|
||
def load_regime(market='a'):
|
||
"""读取当前温区。market='a'(默认,A股 smoothed 顶层,行为不变) / 'hk'(港股 markets.hk)"""
|
||
if market == 'hk':
|
||
try:
|
||
p = Path("/home/hmo/MoFin/data/market_regime_smoothed.json")
|
||
if p.exists():
|
||
d = json.loads(p.read_text(encoding="utf-8"))
|
||
mk = (d.get("markets") or {}).get("hk") or {}
|
||
if mk.get("current_regime"):
|
||
return {"regime": mk["current_regime"], "date": mk.get("current_date", "")}
|
||
except Exception:
|
||
pass
|
||
try:
|
||
from market_regime import load_market_regime
|
||
return load_market_regime(market='hk')
|
||
except Exception:
|
||
return {"regime": "unknown"}
|
||
try:
|
||
p = Path("/home/hmo/MoFin/data/market_regime_smoothed.json")
|
||
if p.exists():
|
||
d = json.loads(p.read_text(encoding="utf-8"))
|
||
return {"regime": d.get("current_regime", "unknown"),
|
||
"date": d.get("current_date", "")}
|
||
except Exception:
|
||
pass
|
||
try:
|
||
from market_regime import load_market_regime
|
||
return load_market_regime()
|
||
except Exception:
|
||
return {"regime": "unknown"}
|
||
|
||
|
||
def load_temp(market='a'):
|
||
"""读取当前温度。market='a'(默认,A股) / 'hk'(港股)"""
|
||
try:
|
||
from temp_band import get_market_temp
|
||
return get_market_temp(market=market)
|
||
except Exception:
|
||
return {"band": "unknown", "rsi": None}
|
||
|
||
|
||
def load_regime_perf(market='a'):
|
||
"""读取策略-温区表现。market='a'(默认,A股,行为不变) / 'hk'(港股策略)"""
|
||
conn = None
|
||
try:
|
||
import sqlite3
|
||
conn = sqlite3.connect("/home/hmo/MoFin/data/mofin.db", timeout=30)
|
||
conn.execute("PRAGMA busy_timeout=30000")
|
||
rows = conn.execute(
|
||
"SELECT strategy, regime, trades, win_rate, avg_pnl FROM strategy_regime_perf "
|
||
"WHERE COALESCE(market,'a')=?", (market,)
|
||
).fetchall()
|
||
result = {}
|
||
for strat, reg, n, wr, pnl in rows:
|
||
result.setdefault(strat, {})[reg] = {"trades": n, "win_rate": wr, "avg_pnl": pnl}
|
||
return result
|
||
except Exception:
|
||
return {}
|
||
finally:
|
||
if conn:
|
||
conn.close()
|
||
|
||
|
||
def route(regime, temp, perf):
|
||
current_regime = regime.get("regime", "unknown")
|
||
band = temp.get("band", "unknown")
|
||
weights = {}
|
||
for name, regs in perf.items():
|
||
if not regs:
|
||
continue
|
||
cur = regs.get(current_regime)
|
||
best = max(regs.items(), key=lambda x: x[1].get("win_rate", 0))
|
||
best_wr = best[1].get("win_rate", 0)
|
||
cur_wr = cur.get("win_rate") if cur else None
|
||
matched = (best_wr >= 50) and (cur_wr is not None and cur_wr >= 50)
|
||
family = FAMILY_MAP.get(name, DEFAULT_FAMILY)
|
||
base = 1.0 if matched else 0.3
|
||
try:
|
||
from temp_band import temp_multiplier
|
||
mult = temp_multiplier(band, family)
|
||
except Exception:
|
||
mult = 0.8
|
||
weights[name] = {
|
||
"weight": round(base * mult, 2),
|
||
"regime": current_regime,
|
||
"temp_band": band,
|
||
"family": family,
|
||
"matched": matched,
|
||
"best_regime": best[0],
|
||
"best_win_rate": best[1].get("win_rate", 0),
|
||
"cur_win_rate": cur.get("win_rate") if cur else None,
|
||
"cur_avg_pnl": cur.get("avg_pnl") if cur else None,
|
||
"trades": cur.get("trades") if cur else 0,
|
||
}
|
||
return dict(sorted(weights.items(), key=lambda x: -x[1]["weight"]))
|
||
|
||
|
||
def main():
|
||
# A股路由（完全不变）
|
||
regime = load_regime() # A股温区
|
||
temp = load_temp() # A股温度
|
||
perf = load_regime_perf('a') # A股策略表现
|
||
weights = route(regime, temp, perf)
|
||
out = {
|
||
"state": regime.get("regime", "unknown"),
|
||
"state_date": regime.get("date", ""),
|
||
"temp_band": temp.get("band", "unknown"),
|
||
"temp_rsi": temp.get("rsi"),
|
||
"weights": weights,
|
||
"active": [k for k, v in weights.items() if v["matched"]],
|
||
"updated_at": datetime.now().strftime("%Y-%m-%d %H:%M:%S"),
|
||
"note": "温区(平滑K=5)选策略类型 + 温度(rsi)乘数；策略全温区发信号，适用温区由实测动态决定",
|
||
}
|
||
# 港股路由（2026-08-14 新增，不影响A股）——港股策略按港股温区激活
|
||
try:
|
||
hk_regime = load_regime('hk')
|
||
hk_temp = load_temp('hk')
|
||
hk_perf = load_regime_perf('hk')
|
||
if hk_perf:
|
||
hk_weights = route(hk_regime, hk_temp, hk_perf)
|
||
out["markets"] = {"hk": {
|
||
"state": hk_regime.get("regime", "unknown"),
|
||
"state_date": hk_regime.get("date", ""),
|
||
"temp_band": hk_temp.get("band", "unknown"),
|
||
"weights": hk_weights,
|
||
"active": [k for k, v in hk_weights.items() if v["matched"]],
|
||
}}
|
||
except Exception as e:
|
||
print(f"港股路由失败（不影响A股）: {e}", flush=True)
|
||
OUT.write_text(json.dumps(out, ensure_ascii=False, indent=1), encoding="utf-8")
|
||
print(f"strategy_weights.json: 状态={out['state']} 温度={out['temp_band']}(rsi={out['temp_rsi']})")
|
||
print(f"激活策略(A股): {out['active']}")
|
||
if "markets" in out:
|
||
hk = out["markets"]["hk"]
|
||
print(f"港股温区={hk['state']} 激活策略(港股): {hk['active']}")
|
||
print("权重排名（前15）:")
|
||
for name, w in list(weights.items())[:15]:
|
||
mark = "✓" if w["matched"] else "观察"
|
||
print(f" {name:<12} w={w['weight']:<5} {w['best_regime']:<11} 最佳{w['best_win_rate']:>3.0f}% {mark}")
|
||
|
||
|
||
if __name__ == "__main__":
|
||
main()
|