178 lines
6.9 KiB
Python
178 lines
6.9 KiB
Python
# -*- coding: utf-8 -*-
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"""B组挖掘 v4：相对分位果 + 三因子组合扫描
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果 = 该温区下 fwd_ret60 前 20% 分位（相对，避免绝对阈值稀疏）
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"""
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import json
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import sqlite3
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import numpy as np
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import pandas as pd
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from datetime import datetime
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from itertools import combinations
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DATA_DIR = "/home/hmo/MoFin/data"
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OUT_JSON = f"{DATA_DIR}/b_group_candidates.json"
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def load_regime_map(market="a"):
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conn = sqlite3.connect("/home/hmo/MoFin/data/mofin.db", timeout=10)
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rows = conn.execute("SELECT date, regime FROM market_regime WHERE market=?", (market,)).fetchall()
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conn.close()
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return {d: r for d, r in rows}
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def load_panel(market):
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path = "/tmp/panel_12d_hk.pkl" if market == "hk" else "/tmp/panel_12d.pkl"
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p = pd.read_pickle(path)
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p = p.sort_values(["code", "date"]).reset_index(drop=True)
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p["fwd_ret60"] = p.groupby("code")["close"].transform(lambda x: x.shift(-60) / x - 1) * 100
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return p
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def scan3(market, regime, panel, min_n=500):
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"""三因子组合扫描：相对分位果"""
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rm = load_regime_map(market)
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p = panel.copy()
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p["_regime"] = p["date"].map(rm)
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sub = p[p["_regime"] == regime].dropna(subset=["fwd_ret60"])
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if len(sub) < min_n:
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return []
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# 相对果：温区内 fwd_ret60 前 20%
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thr = sub["fwd_ret60"].quantile(0.80)
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sub["is_good"] = (sub["fwd_ret60"] >= thr).astype(int)
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br = 20.0 # 相对分位定义，基线恒 20%
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print(f"[{market}/{regime}] 样本{len(sub)} 果阈值60日+{thr:.0f}%")
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# 因子池（方向：小市值/低估值/超跌/放量/企稳/低动量）
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factor_defs = {
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"mcap_q": ("<", 0.5), "pe_q": ("<", 0.5), "pb_q": ("<", 0.5),
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"bias60": ("<", -5), "rsi": ("<", 50), "dist_lo20": (">", 3),
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"vol_ratio": (">", 1.0), "mkt_ret20": ("<", 0), "ret20": ("<", 0),
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"sec_ret20": ("<", 0), "flow5": (">", 0), "news3": (">=", 1),
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"ret5": (">", -3), "mkt_rsi": ("<", 50),
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}
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# 单条件
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single = []
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for feat, (op, val) in factor_defs.items():
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if feat not in sub.columns:
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continue
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cond = sub[feat] < val if op == "<" else sub[feat] > val
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m = sub[cond]
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if len(m) < 200:
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continue
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rate = m["is_good"].mean() * 100
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if rate > 23: # 相对基线20% +3pp
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single.append((feat, round(rate, 1), len(m), round(rate - 20, 1)))
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single.sort(key=lambda x: -x[3])
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print(" 单条件:", single[:4])
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# 三因子组合（从单条件超额>2pp 里取 6 个，C(6,3)=20 组合）
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pool = [s[0] for s in single if s[3] > 2][:6]
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results = []
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for combo in combinations(pool, 3):
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cond = pd.Series(True, index=sub.index)
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for feat in combo:
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op, val = factor_defs[feat]
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cond &= (sub[feat] < val) if op == "<" else (sub[feat] > val)
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m = sub[cond]
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if len(m) < 200:
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continue
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rate = m["is_good"].mean() * 100
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avg = m["fwd_ret60"].mean()
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results.append(({f: factor_defs[f] for f in combo}, len(m), round(rate, 1),
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round(avg, 1), round(rate - 20, 1)))
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results.sort(key=lambda x: -x[4])
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return results[:5]
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def _simulate_verify(market, regime, panel, cond, tp=10, sl=5, maxh=20):
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"""模拟验证：候选条件在目标温区的模拟交易胜率/收益
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返回 (trades, win_rate, avg_pnl) 或 None
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"""
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rm = load_regime_map(market)
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sub = panel.copy()
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sub["_regime"] = sub["date"].map(rm)
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sub = sub[(sub["_regime"] == regime) & cond].copy()
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if len(sub) < 200:
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return None
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sub = sub.sort_values(["code", "date"])
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trades = []
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for code, g in sub.groupby("code"):
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g = g.sort_values("date")
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idxs = list(g.index)
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for k, i in enumerate(idxs):
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fut = g.iloc[k+1:k+maxh+1]
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if len(fut) < 2:
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continue
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ep = g.loc[i, "close"]
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if ep <= 0:
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continue
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res = None
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for _, fb in fut.iterrows():
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if fb["close"] <= ep * (1 - sl / 100):
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res = -sl
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break
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if fb["close"] >= ep * (1 + tp / 100):
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res = tp
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break
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if res is None:
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res = (fut.iloc[-1]["close"] / ep - 1) * 100
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trades.append(res)
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if not trades:
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return None
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wins = [x for x in trades if x > 0]
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return len(trades), len(wins) / len(trades) * 100, sum(trades) / len(trades)
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def to_entry(cond_dict):
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entry = {}
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for feat, (op, val) in cond_dict.items():
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key = feat + ("_min" if (op == ">" or op == ">=") else "_max")
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entry[key] = float(val)
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return entry
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def mine(market="a", regimes=None):
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regimes = regimes or ["trend_up", "choppy", "trend_down"]
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panel = load_panel(market)
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out = {"market": market, "mined_at": datetime.now().strftime("%Y-%m-%d %H:%M:%S"), "candidates": []}
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for rg in regimes:
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combos = scan3(market, rg, panel)
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for cond, n, rate, avg, extra in combos[:3]:
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# ── 模拟验证门槛（2026-08-16 教训：好果率≠能赚钱，须模拟胜率≥50%且收益>0）──
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# 构造条件 Series
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c = pd.Series(True, index=panel.index)
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for feat, (op, val) in cond.items():
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if feat not in panel.columns:
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c = None
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break
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c &= (panel[feat] < val) if op == "<" else (panel[feat] > val)
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verified = None
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if c is not None:
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verified = _simulate_verify(market, rg, panel, c)
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if verified:
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tn, twr, tavg = verified
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if twr < 50 or tavg <= 0:
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print(f" [{rg}] {list(cond.keys())} 模拟未达标(胜率{twr:.0f}%/均{tavg:.2f}%) 剔除", flush=True)
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continue
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cand = {
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"regime": rg, "market": market, "group": "B", "status": "verified",
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"entry": to_entry(cond), "trades_est": n, "good_rate": rate,
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"avg60": avg, "excess_pp": extra,
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"sim_trades": tn, "sim_win_rate": round(twr, 1), "sim_avg_pnl": round(tavg, 2),
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"hypothesis": f"[{rg}] 由果及因三因子: {list(cond.keys())} → 好果率{rate}% 模拟胜率{twr:.0f}%/均{tavg:.2f}%",
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}
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out["candidates"].append(cand)
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print(f" [{rg}] {list(cond.keys())} ✅模拟达标 胜率{twr:.0f}% 均{tavg:.2f}%", flush=True)
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else:
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print(f" [{rg}] {list(cond.keys())} 样本不足或条件无效 剔除", flush=True)
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return out
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if __name__ == "__main__":
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import sys
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market = sys.argv[1] if len(sys.argv) > 1 else "a"
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res = mine(market)
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with open(OUT_JSON, "w", encoding="utf-8") as f:
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json.dump(res, f, ensure_ascii=False, indent=1)
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print(f"写入 {OUT_JSON}: {len(res['candidates'])} 个候选")
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