知微
294 lines
11 KiB
Python
294 lines
11 KiB
Python
#!/usr/bin/env python3
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"""strategy_review.py — 三层策略复盘 (no_agent)
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每层独立评估：
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1. 信号层 — 买入/卖出/持有的timing对不对？
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2. 执行层 — 止损/止盈设得合理吗？
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3. 综合层 — 这波操作整体赚钱了吗？
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用法：
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python3 scripts/strategy_review.py
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"""
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import json, sqlite3, sys, time, urllib.request
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from pathlib import Path
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from datetime import datetime
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from collections import Counter
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BASE = Path("/home/hmo/MoFin")
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DATA = BASE / "data"
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DB_PATH = DATA / "mofin.db"
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DECISIONS_PATH = DATA / "decisions.json"
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# 失败模式定义（执行层）
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EXEC_FAILURES = {
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"stop_too_tight": {"label": "止损过紧", "fix": "放宽止损到强支撑×0.95，给价格波动留空间"},
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"tp_too_close": {"label": "止盈过近", "fix": "止盈放到更高阻力位，让利润奔跑"},
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"stop_too_loose": {"label": "止损过宽", "fix": "收紧止损，少亏当赢"},
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"tp_too_far": {"label": "止盈过远", "fix": "止盈靠近合理阻力位，提高兑现概率"},
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}
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# 失败模式定义（信号层）
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SIGNAL_FAILURES = {
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"wrong_direction": {"label": "方向看反", "fix": "检查多周期趋势判断逻辑"},
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"entry_too_early": {"label": "入场过早", "fix": "等缩量确认支撑再入，不追回调"},
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"bad_signal": {"label": "信号误判", "fix": "修正timing_signal合成权重"},
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"regime_mismatch": {"label": "情景错配", "fix": "加入市场情景过滤条件"},
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}
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def fetch_price(code):
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try:
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prefix = "sh" if code.startswith(('60','68','51','56','50')) else "sz" if code.startswith(('00','30','15')) else "hk"
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url = f"http://qt.gtimg.cn/q={prefix}{code}"
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req = urllib.request.Request(url, headers={'User-Agent': 'Mozilla/5.0'})
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resp = urllib.request.urlopen(req, timeout=5).read().decode('gbk')
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fld = resp.split('=')[1].strip().strip('"').strip(';').split('~')
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return float(fld[3]) if len(fld) > 3 else 0
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except:
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return 0
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def evaluate_strategy(s, price):
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"""三层评估单条策略，返回 (signal_verdict, exec_verdict, overall_verdict, detail)"""
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code = s.get("code", "")
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name = s.get("name", "")
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sl = s.get("stop_loss", 0) or 0
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tp = s.get("take_profit", 0) or 0
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entry_low = s.get("entry_low", 0) or 0
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entry_high = s.get("entry_high", 0) or 0
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cost = s.get("cost", 0) or s.get("avg_price", 0) or 0
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signal = (s.get("timing_signal", "") or s.get("current", "") or "").lower()
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created = s.get("created_at", "") or s.get("timestamp", "")
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s_type = s.get("type", "") # 持仓策略/自选策略
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if not created or not price:
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return "skip", "skip", "skip", "数据不足"
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# 计算运行天数
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try:
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days = (datetime.now() - datetime.fromisoformat(created)).days
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except:
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days = 0
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# ─── 综合层：赚钱了吗？ ───
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if cost > 0 and s_type == "持仓策略":
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profit_pct = (price - cost) / cost * 100
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if profit_pct > 5:
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overall = "盈利"
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elif profit_pct > -5:
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overall = "持平"
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else:
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overall = f"亏损{profit_pct:.0f}%"
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elif tp > 0 and price >= tp:
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overall = "触止盈"
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elif sl > 0 and price <= sl:
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overall = "触止损"
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else:
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overall = "持有中"
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# ─── 信号层：timing对不对？ ───
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is_buy_signal = any(kw in signal for kw in ["买入", "加仓", "追涨", "可买"])
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is_sell_signal = any(kw in signal for kw in ["卖出", "减仓", "止损", "离场"])
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is_hold_signal = any(kw in signal for kw in ["持有", "观望", "等待", "持股"])
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signal_verdict = "待定"
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signal_fail = None
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if is_buy_signal or is_hold_signal:
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if sl > 0 and price <= sl:
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# 买入/持有信号下触发止损 → 信号方向可能错了
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signal_verdict = "存疑"
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signal_fail = "wrong_direction"
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elif tp > 0 and price >= tp * 0.95:
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signal_verdict = "正确"
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elif entry_low > 0 and price < entry_low * 0.85:
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signal_verdict = "存疑"
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signal_fail = "entry_too_early"
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elif days > 30 and tp > 0 and price < entry_low:
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signal_verdict = "存疑"
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signal_fail = "wrong_direction"
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else:
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signal_verdict = "待定"
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elif is_sell_signal:
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if sl > 0 and price <= sl:
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signal_verdict = "正确"
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elif price > (cost or entry_low or 0) * 1.05:
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signal_verdict = "存疑"
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signal_fail = "bad_signal"
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else:
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signal_verdict = "待定"
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else:
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# 无明确信号
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if price > (entry_high or 0):
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signal_verdict = "待定（价涨）"
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elif sl > 0 and price <= sl * 1.05:
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signal_verdict = "待定（近止损）"
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else:
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signal_verdict = "待定"
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# ─── 执行层：止损/止盈设得好不好？ ───
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exec_verdict = "待定"
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exec_fail = None
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# 取近期最高/最低价（判断卖飞/洗盘）
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recent_high = 0
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recent_low = 0
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sl_recovery = False
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if tp > 0 or sl > 0:
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try:
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prefix = "sh" if code.startswith(('60','68','51','56','50')) else "sz" if code.startswith(('00','30','15')) else "hk"
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url = f"http://ifzq.gtimg.cn/appstock/app/fqkline/get?param={prefix}{code},day,,,60,qfq"
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import subprocess as sp
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r = sp.run(["curl", "-s", "--max-time", "3", url], capture_output=True, text=True, timeout=5)
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if r.returncode == 0 and r.stdout:
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data = json.loads(r.stdout)
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day_key = 'qfqday' if prefix != 'hk' else 'day'
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bars = data.get('data', {}).get(f'{prefix}{code}', {}).get(day_key, [])
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if bars:
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prices = [(float(b[2]), float(b[3]), b[0]) for b in bars if len(b) > 3] # (high, low, date)
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recent_high = max(p[0] for p in prices)
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recent_low = min(p[1] for p in prices)
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# 检查止损触发后的走势：是否后来反弹了？
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if sl > 0:
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# 找出价格低于SL的K线
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below_sl = [p for p in prices if p[1] <= sl]
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above_sl_later = [p for p in prices if p[1] > sl * 1.03]
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if below_sl and above_sl_later:
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# 曾跌破SL，但后来涨回去了 → 洗盘
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first_below = min(below_sl, key=lambda x: x[2])
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last_above = max(above_sl_later, key=lambda x: x[2])
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if last_above[2] > first_below[2]:
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sl_recovery = True
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except:
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pass
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if sl > 0 and price <= sl:
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if sl_recovery:
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exec_verdict = "洗盘（触发后反弹）"
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exec_fail = "stop_too_tight"
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elif price >= sl * 0.95:
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exec_verdict = "临界（差一点触发）"
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exec_fail = "stop_too_tight"
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else:
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exec_verdict = "已触发"
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elif tp > 0 and (price >= tp or recent_high >= tp):
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# 止盈触发或曾触发过
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max_price = max(price, recent_high)
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if max_price <= tp * 1.05:
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exec_verdict = "已触发"
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else:
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overshoot = (max_price - tp) / tp * 100
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exec_verdict = f"卖飞({overshoot:.0f}%)"
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exec_fail = "tp_too_close"
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elif days > 45 and tp > 0 and price < entry_low:
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exec_verdict = "存疑（久未达标）"
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exec_fail = "tp_too_far"
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elif sl > 0 and price >= entry_low and price <= entry_high:
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exec_verdict = "持有中"
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else:
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exec_verdict = "待定"
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return signal_verdict, exec_verdict, overall, signal_fail, exec_fail
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def review():
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start = time.time()
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decisions = json.loads(DECISIONS_PATH.read_text())
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strategies = decisions.get("decisions", [])
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conn = sqlite3.connect(str(DB_PATH))
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stats = {"correct": 0, "wrong": 0, "mixed": 0, "pending": 0, "total": 0}
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signal_fails = Counter()
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exec_fails = Counter()
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detail_lines = []
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for s in strategies:
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if s.get("status") == "closed":
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continue
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stats["total"] += 1
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code = s.get("code", "")
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name = s.get("name", "")
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price = fetch_price(code)
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if not price:
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detail_lines.append(f" ⏭️ {name}({code}): 无行情")
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stats["pending"] += 1
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continue
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sv, ev, overall, sf, ef = evaluate_strategy(s, price)
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# 综合评级
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if overall in ("盈利", "触止盈"):
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if sv == "正确" or "存疑" not in sv:
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stats["correct"] += 1
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else:
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stats["mixed"] += 1
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elif overall in ("触止损",) and "存疑" in sv:
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stats["wrong"] += 1
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elif "存疑" in sv or "存疑" in ev:
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stats["wrong"] += 1
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elif overall in ("持有中", "持平"):
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stats["mixed"] += 1
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else:
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stats["pending"] += 1
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# 记录失败模式
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if sf:
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signal_fails[sf] += 1
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if ef:
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exec_fails[ef] += 1
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# 逐条摘要
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tags = []
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if overall in ("盈利", "触止盈"):
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tags.append("✅")
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elif overall == "触止损":
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tags.append("❌")
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else:
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tags.append("⏳")
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tags.append(f"信号:{sv}")
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tags.append(f"执行:{ev}")
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tags.append(f"整体:{overall}")
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detail_lines.append(f" {' | '.join(tags)} {name}({code})")
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# 写入accuracy_stats
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conn.execute(
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"INSERT OR REPLACE INTO accuracy_stats (id, total_advice, correct, wrong, partial, pending, "
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"accuracy_pct, updated_at) VALUES (1, ?, ?, ?, ?, ?, ?, ?)",
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(stats["total"], stats["correct"], stats["wrong"],
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stats["mixed"], stats["pending"],
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round(stats["correct"] / max(stats["total"] - stats["pending"], 1) * 100, 1),
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datetime.now().isoformat()))
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conn.commit()
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conn.close()
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# 输出
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total_eval = stats["total"] - stats["pending"]
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accuracy = stats["correct"] / max(total_eval, 1) * 100
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print(f"策略复盘 | {datetime.now().strftime('%Y-%m-%d')} | {stats['total']}条 | ({time.time()-start:.0f}s)")
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print(f" ✅正确 {stats['correct']} | ❌错误 {stats['wrong']} | ⚠️部分 {stats['mixed']} | ⏳待定 {stats['pending']}")
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print(f" 综合准确率: {accuracy:.1f}%")
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if signal_fails:
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print(f"\n📡 信号层失败模式:")
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for mode, cnt in signal_fails.most_common():
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info = SIGNAL_FAILURES.get(mode, {})
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print(f" {info.get('label', mode)}({cnt}次): {info.get('fix', '')}")
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if exec_fails:
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print(f"\n🎯 执行层失败模式:")
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for mode, cnt in exec_fails.most_common():
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info = EXEC_FAILURES.get(mode, {})
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print(f" {info.get('label', mode)}({cnt}次): {info.get('fix', '')}")
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if detail_lines:
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print(f"\n逐条复盘:")
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for line in detail_lines:
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print(line)
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if __name__ == "__main__":
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review()
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