74 lines
3.1 KiB
Python
74 lines
3.1 KiB
Python
#!/usr/bin/env python3
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# -*- coding: utf-8 -*-
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"""hk_strategies.py — 港股策略定义（独立于A股strategy_lab，零干扰）
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港股策略库：各温区互补策略定义（单一来源）。
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面板数据：/tmp/panel_12d_hk.pkl（build_panel_hk_v2 构建，含价量/大盘/行业动量/估值分位/资金流）
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策略结构：
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version: 策略名
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regime: 适用温区（trend_up/trend_down/choppy/all）
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entry: 入场条件（面板因子，数据定阈值——step29 由果及因扫描）
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exit: 出场（止盈/止损/最大持有，港股波动放宽）
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"""
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# ── 港股策略库（按温区互补）──────────────────────────────
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HK_STRATEGIES = {
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# trend_up：低PE + 行业动量高（由果及因：大涨率10.28%，2.35x基线）
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"hk_pe_mom": {
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"version": "hk_pe_mom",
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"name": "港股低PE+行业动量（trend_up主战场）",
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"regime": "trend_up",
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"summary": "低PE(<0.2分位)+行业20日动量>10%。由果及因：大涨率10.28%(基线4.37%)。低PE+1.24pp(step27港股扫描)、行业动量高+1.47pp",
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"entry": {
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"pe_q_max": 0.2, # PE分位<0.2（低估值）
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"sec_ret20_min": 10, # 行业20日动量>10%
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},
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"exit": {"tp_pct": 0.30, "sl_pct": 0.12, "max_hold_days": 40},
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},
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# trend_down：深度超卖反弹（由果及因：RSI<25/bias60<-15，trend_down温区55%胜率）
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"hk_mr1": {
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"version": "hk_mr1",
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"name": "港股深度超卖反弹（trend_down主战场）",
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"regime": "trend_down",
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"summary": "RSI<25+bias60<-15+ret60<-25+止跌回升+放量。港股归因：深度超卖RSI<25胜率55.6%，trend_down温区55%胜率+3.59%",
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"entry": {
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"rsi_max": 25,
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"bias60_max": -15, # 深度超跌（60日乖离，覆盖ret60超跌）
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"rsi_delta_min": 2,
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"vol_ratio_min": 1.5,
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},
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"exit": {"tp_pct": 0.25, "sl_pct": 0.15, "max_hold_days": 30},
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},
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# choppy：低PE+超跌反弹（震荡市价值修复）
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"hk_pe_oversold": {
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"version": "hk_pe_oversold",
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"name": "港股低PE+超卖反弹（choppy主战场）",
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"regime": "choppy",
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"summary": "低PE(<0.2分位)+RSI超卖(<45)。由果及因：低PE+超卖组合大涨率6.93%(基线4.37%)",
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"entry": {
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"pe_q_max": 0.2,
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"rsi_max": 45,
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"bias60_max": 0,
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},
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"exit": {"tp_pct": 0.25, "sl_pct": 0.12, "max_hold_days": 40},
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},
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}
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def get_hk_strategy(version):
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"""按版本取港股策略定义"""
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return HK_STRATEGIES.get(version)
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def list_hk_strategies():
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"""港股策略列表（按温区）"""
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return [{"version": v, "regime": s["regime"], "name": s["name"]}
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for v, s in HK_STRATEGIES.items()]
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def strategies_for_regime(regime):
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"""返回适用某温区的策略版本列表（regime 参数用于组合调度）"""
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return [v for v, s in HK_STRATEGIES.items()
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if s["regime"] == regime or s["regime"] == "all"]
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