hmo
b9c68a83a7
- 新增 strategy_research_methodology.md（由果及因/12维/铁律/支撑压力规范） - 新增 predictive_oversold_strategy.md（v5定稿，年化18.57%） - 新增 deployment-plan-predictive-oversold.md（整合部署计划） - 归档 docs/research/（63份研究过程文档）+ scripts/research/（19个研究脚本） - 更新 docs/README.md 文档中心（策略研究章节）
226 lines
8.4 KiB
Python
226 lines
8.4 KiB
Python
#!/usr/bin/env python3
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"""step34_sim_support.py — 统一资金模拟 v2（科学支撑压力保护）
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在 step33 基础上：
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- 信号: 同 step33（预测信号+大盘门控）
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- 入场: 信号日收盘买（step30验证最优）
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- 止损: 跌破科学支撑位（枢轴S2/筹码支撑下方缓冲）→ 数据验证缓冲
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- 止盈: 触及科学压力位（R2/筹码阻力）→ 分批卖
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- 兜底: 持有40日强平
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- 资金: 8槽 + 现金约束
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"""
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import numpy as np
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import pandas as pd
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import sqlite3
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import sys
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sys.path.insert(0, "/tmp")
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from sr_calculator import SRCalculator
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print("=== 加载面板 ===", flush=True)
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panel = pd.read_pickle("/tmp/panel_12d.pkl")
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panel = panel.sort_values(["code", "date"]).reset_index(drop=True)
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panel["_key"] = panel["code"] + "_" + panel["date"]
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pos_map = {k: i for i, k in enumerate(panel["_key"])}
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print("面板:", len(panel), flush=True)
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dates = sorted(panel["date"].unique())
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sig_cond = (
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(panel["mkt_rsi"] < 50) & (panel["mcap_q"] < 0.2) & (panel["pe_q"] < 0.2) &
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(panel["news3"] >= 1) & (panel["sec_ret20"] < 0) & (panel["bias60"] < -20)
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)
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cand = panel[sig_cond][["code", "date"]].copy()
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cand = cand.sort_values(["code", "date"])
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cand["prev"] = cand.groupby("code")["date"].shift(1)
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cand["gap"] = (pd.to_datetime(cand["date"]) - pd.to_datetime(cand["prev"])).dt.days
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cand = cand[(cand["prev"].isna()) | (cand["gap"] > 30)]
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print("信号:", len(cand), flush=True)
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# 加载K线（含high/low）
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conn = sqlite3.connect("file:/home/hmo/MoFin/data/mofin.db?mode=ro", uri=True)
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codes = cand["code"].unique().tolist()
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ph = ",".join("?" * len(codes))
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df = pd.read_sql("SELECT code, date, close, high, low FROM stock_daily WHERE code IN ({}) ORDER BY code, date".format(ph), conn, params=codes)
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df["date"] = df["date"].astype(str)
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df["code"] = df["code"].astype(str).str.zfill(6)
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df = df.sort_values(["code", "date"]).reset_index(drop=True)
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df["_key"] = df["code"] + "_" + df["date"]
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dpos = {k: i for i, k in enumerate(df["_key"])}
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print("K线:", len(df), flush=True)
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cand["kloc"] = cand["code"] + "_" + cand["date"]
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cand["kidx"] = cand["kloc"].map(dpos)
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cand = cand.dropna(subset=["kidx"]).copy()
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cand["kidx"] = cand["kidx"].astype(int)
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print("可定位:", len(cand), flush=True)
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# 计算每信号的支撑压力（信号日）
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sr = SRCalculator()
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print("=== 计算支撑压力 ===", flush=True)
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sig_list = []
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for r in cand.itertuples():
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bars_code = sr.get_bars(r.code)
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d_idx = bars_code.index[bars_code["date"] == r.date]
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if len(d_idx) == 0:
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continue
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sr_full = sr.sr_full(r.code, d_idx[0])
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pv = sr_full["pivot"]
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chip = sr_full["chip"]
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if not pv:
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continue
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sig_close = df["close"].iloc[r.kidx]
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support = pv["s2"]
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if chip and chip["chip_ss"] < sig_close:
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support = max(pv["s2"], chip["chip_ss"])
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resist = pv["r2"]
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if chip and chip["chip_sr"] > sig_close:
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resist = min(pv["r2"], chip["chip_sr"])
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if support >= sig_close or resist <= sig_close:
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continue
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sig_list.append({"code": r.code, "date": r.date, "kidx": r.kidx,
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"sig_close": sig_close, "support": support, "resist": resist})
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sigdf = pd.DataFrame(sig_list)
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print("有支撑压力信号:", len(sigdf), flush=True)
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# 测试止损缓冲（数据扫描：支撑下方 0/2/5/8%）
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closes = df["close"].values
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highs = df["high"].values
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lows = df["low"].values
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dkey = df["_key"].values
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dkeys_set = set(dkey)
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print("\n=== 止损缓冲扫描（单信号）===", flush=True)
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for buf in [0, 0.02, 0.05, 0.08]:
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rets = []
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for r in sigdf.itertuples():
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stop = r.support * (1 - buf)
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tp = r.resist
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ret = None
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for j in range(r.kidx+1, min(r.kidx+41, len(closes))):
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hi, lo = highs[j], lows[j]
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if hi >= tp:
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ret = (tp / r.sig_close - 1) * 100
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break
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if lo <= stop:
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ret = (lo / r.sig_close - 1) * 100
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break
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if ret is None:
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ret = (closes[min(r.kidx+40, len(closes)-1)] / r.sig_close - 1) * 100
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rets.append(ret)
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a = np.array(rets)
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print("止损缓冲{}%: n={} avg={:.2f}% wr={:.1f}% 止损率={:.1f}%".format(
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buf*100, len(a), a.mean(), (a>0).mean()*100, (a<-5).mean()*100), flush=True)
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# ── 最终模拟：止损缓冲（选最优）＋ 分批止盈 ──
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print("\n=== 统一资金模拟（支撑压力保护）===", flush=True)
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INIT_CAP = 1_000_000
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MAX_SIMULTANEOUS = 8
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STOP_BUF = 0.05 # 支撑下方5%（先测，后续可用扫描最优）
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# 构建 close_map
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close_map = {}
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for i in range(len(df)):
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close_map[df["_key"].iloc[i]] = (closes[i], highs[i], lows[i])
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sig_by_date = {}
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for r in sigdf.itertuples():
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sig_by_date.setdefault(r.date, []).append(r)
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positions = {} # code -> {kidx, entry_di, qty, avg_cost, stop, tp, t1_done}
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cash = INIT_CAP
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nav_history = []
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trades = []
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date_index = {d: i for i, d in enumerate(dates)}
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for di, d in enumerate(dates):
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# 1) 离场：止损/止盈/40日
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for code in list(positions.keys()):
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pos = positions[code]
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k = dpos.get(code + "_" + d)
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if k is None:
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continue # 停牌
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hi, lo, cl = highs[k], lows[k], closes[k]
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# 止盈：触及压力位（分批：先卖一半）
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if hi >= pos["tp"]:
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sell_qty = pos["qty"] // 2
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if sell_qty > 0:
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cash += sell_qty * pos["tp"]
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pos["qty"] -= sell_qty
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trades.append({"code": code, "date": d, "ret": (pos["tp"]/pos["avg_cost"]-1)*100, "reason": "tp"})
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if pos["qty"] <= 0:
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del positions[code]
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continue
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# 止损：跌破支撑下方缓冲
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if lo <= pos["stop"]:
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cash += pos["qty"] * lo
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trades.append({"code": code, "date": d, "ret": (lo/pos["avg_cost"]-1)*100, "reason": "stop"})
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del positions[code]
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continue
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# 40日兜底
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if di - pos["entry_di"] >= 40:
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cash += pos["qty"] * cl
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trades.append({"code": code, "date": d, "ret": (cl/pos["avg_cost"]-1)*100, "reason": "hold40"})
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del positions[code]
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continue
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# 2) 买入
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if d in sig_by_date:
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for r in sig_by_date[d]:
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if len(positions) >= MAX_SIMULTANEOUS:
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break
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if r.code in positions:
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continue
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cur_nav = cash
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for c, p in positions.items():
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k = dpos.get(c + "_" + d)
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px = closes[k] if k is not None else p["avg_cost"]
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cur_nav += p["qty"] * px
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pos_val = cur_nav * 0.12
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price = r.sig_close
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if price <= 0:
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continue
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qty = int(pos_val / price)
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if qty <= 0 or qty * price > cash:
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continue
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cash -= qty * price
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positions[r.code] = {
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"kidx": r.kidx, "entry_di": di, "qty": qty, "avg_cost": price,
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"stop": r.support * (1 - STOP_BUF), "tp": r.resist,
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}
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# 3) 净值
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nav = cash
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for c, p in positions.items():
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k = dpos.get(c + "_" + d)
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px = closes[k] if k is not None else p["avg_cost"]
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nav += p["qty"] * px
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nav_history.append({"date": d, "nav": nav, "n_pos": len(positions), "cash": cash})
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nav_df = pd.DataFrame(nav_history)
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nav_df.to_csv("/tmp/step34_nav.csv", index=False)
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tr_df = pd.DataFrame(trades)
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tr_df.to_csv("/tmp/step34_trades.csv", index=False)
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final_nav = nav_df["nav"].iloc[-1]
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total_ret = (final_nav / INIT_CAP - 1) * 100
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years = (pd.to_datetime(nav_df["date"].iloc[-1]) - pd.to_datetime(nav_df["date"].iloc[0])).days / 365
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cagr = ((final_nav / INIT_CAP) ** (1 / years) - 1) * 100 if years > 0 else 0
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cummax = nav_df["nav"].cummax()
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dd = (nav_df["nav"] / cummax - 1) * 100
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max_dd = dd.min()
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print("总收益: {:.1f}%".format(total_ret))
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print("年化(CAGR): {:.2f}%".format(cagr))
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print("最大回撤: {:.1f}%".format(max_dd))
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print("持仓峰值: {}".format(nav_df["n_pos"].max()))
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print("交易笔数: {}".format(len(tr_df)))
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if len(tr_df) > 0:
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print("平均收益: {:.2f}% 胜率: {:.1f}%".format(tr_df["ret"].mean(), (tr_df["ret"]>0).mean()*100))
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print("卖出原因:", tr_df["reason"].value_counts().to_dict())
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nav_df["year"] = nav_df["date"].str[:4]
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yr_end = nav_df.groupby("year")["nav"].last()
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print("\n分年净值:")
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for y, v in yr_end.items():
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print(" {}: {:.0f} ({}%)".format(y, v, (v/INIT_CAP-1)*100))
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print("现金占比均值: {:.1f}%".format((nav_df["cash"]/nav_df["nav"]).mean()*100))
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print("\n=== 完成 ===", flush=True)
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