235 lines
13 KiB
Python
235 lines
13 KiB
Python
#!/usr/bin/env python3
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# -*- coding: utf-8 -*-
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"""MoFin 策略定义库落地脚本（2026-08-18）
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1. 建 strategy_defs 表
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2. holding_strategies 加列 strategy_provenance/strategy_state/strategy_attributed
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3. 种子卡：8 个策略（accumulation/b_td1_v3/v_mr/hk_pe_mom/hk_pe_oversold/p_oversold/s2_panic/leader）
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执行：/home/hmo/MoFin/venv/bin/python setup_strategy_defs.py
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"""
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import sqlite3, json, hashlib, sys
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DB = "/home/hmo/MoFin/data/mofin.db"
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def get_conn():
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conn = sqlite3.connect(DB, timeout=30)
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conn.execute("PRAGMA busy_timeout=30000")
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return conn
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def create_tables(conn):
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# 策略定义表
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conn.execute("""
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CREATE TABLE IF NOT EXISTS strategy_defs (
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strategy_name TEXT PRIMARY KEY,
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display_name TEXT NOT NULL,
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aliases TEXT,
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market TEXT NOT NULL DEFAULT 'A',
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regime TEXT,
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family TEXT,
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summary TEXT NOT NULL,
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entry_logic TEXT NOT NULL,
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exit_logic TEXT NOT NULL,
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key_params TEXT,
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review_focus TEXT NOT NULL,
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holding_style TEXT,
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status TEXT NOT NULL DEFAULT 'active',
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retired_reason TEXT,
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superseded_by TEXT,
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params_hash TEXT,
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needs_review INTEGER DEFAULT 0,
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doc_ref TEXT,
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scanner_file TEXT,
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version TEXT,
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updated_at TEXT,
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updated_by TEXT
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)""")
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# holding_strategies 加列（幂等）
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cols = [c[1] for c in conn.execute("PRAGMA table_info(holding_strategies)").fetchall()]
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for col, ddl in [
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("strategy_provenance", "TEXT"),
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("strategy_state", "TEXT DEFAULT 'active'"),
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("strategy_attributed", "TEXT"),
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]:
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if col not in cols:
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conn.execute(f"ALTER TABLE holding_strategies ADD COLUMN {col} {ddl}")
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print(f" + holding_strategies.{col} 已加")
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else:
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print(f" = holding_strategies.{col} 已存在")
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# 策略种子卡（从 scanner 头部 + docs + 实盘参数提炼，2026-08-18）
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SEEDS = [
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dict(
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strategy_name="accumulation",
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display_name="主力建仓期捕捉",
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aliases=json.dumps(["accumulation", "acc"]),
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market="A", regime="all",
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family="accumulation",
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summary="捕捉主力资金建仓期的股票：价格20日区间中下段、量能放大、连续增量，基本面安全（PB<2或PE合理）。",
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entry_logic="价格处于20日中下段；成交量放大>50%且连续多日增量；小涨或平盘吸筹形态；基本面PB<2或PE合理（防暴雷）。",
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exit_logic="建仓结束信号（放量滞涨/主力流出）或价格突破主升浪后分批止盈；跌破建仓成本区下沿止损。",
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key_params=json.dumps({"vol_ratio": 1.5, "pos": "20d_mid_low", "pb_max": 2.0}),
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review_focus="①主力是否仍在吸筹（量能/资金流）②是否已进入拉升阶段（建仓逻辑可能已结束）③放量滞涨风险④止损位是否仍合理",
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holding_style="波段/中期（建仓期到拉升期）",
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status="active", version="v1",
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scanner_file="accumulation_scanner.py",
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doc_ref="docs/strategy-current-state-20260811.md",
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),
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dict(
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strategy_name="b_td1_v3",
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display_name="B组超跌·原池优选",
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aliases=json.dumps(["b_td1_v3", "b_td1"]),
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market="A", regime="trend_down,choppy",
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family="oversold",
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summary="弱市/震荡市买入小市值+低估值+深超跌股（mcap_q<0.3、pe_q<0.3、bias60<-20、rsi<40、距20日低点>5%），等反弹至+15%。",
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entry_logic="mcap_q<0.3 且 pe_q<0.3（小市值低估值）；bias60<-20（比MA60低20%+）；rsi<40（超卖）；dist_lo20>5（距20日低点>5%）；评分=超跌深度+超卖程度+5日急跌。",
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exit_logic="止盈 +15%（target=close×1.15）；止损 -8%（stop=close×0.92）；温区 trend_up 时不再开新仓。",
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key_params=json.dumps({"mcap_q_max": 0.3, "pe_q_max": 0.3, "bias60_max": -20, "rsi_max": 40, "dist_lo20_min": 5, "tp_pct": 0.15, "sl_pct": 0.08, "regime": ["trend_down","choppy"]}),
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review_focus="①超卖是否修复（RSI/bias60 回到区间外=反弹逻辑兑现）②反弹动能是否还在（量价）③距+15%止盈的空间④原入场条件是否仍成立（若已反弹出超跌区→策略失效）",
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holding_style="波段（超跌反弹，快进快出）",
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status="active", version="v4",
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scanner_file="b_td1_v3_scanner.py",
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doc_ref="",
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),
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dict(
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strategy_name="v_mr",
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display_name="弱市深超跌均值回复",
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aliases=json.dumps(["v_mr", "v_weak"]),
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market="A", regime="trend_down,choppy",
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family="mean_reversion",
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summary="弱市(大盘MA20下)+ADX甜区时买入深超跌(bias60∈[-35,-20))、极度超卖(RSI≤25)、5日急跌、距20日低点<5%的票，等均值回复。",
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entry_logic="bias60∈[-35,-20)（深超跌不过深）；RSI≤25（极度超卖）；r5f≤-3%（5日急跌）；dist_lo20<5%（下方有承接）；信号日收阳+缩量。",
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exit_logic="止盈 +30%；止损 -12%；最长持有 40 交易日（RR 2.5:1）。",
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key_params=json.dumps({"bias60_range": [-35,-20], "rsi_max": 25, "r5f_max": -3, "dist_lo20_max": 5, "tp_pct": 0.30, "sl_pct": 0.12, "max_hold_days": 40}),
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review_focus="①超卖是否修复②反弹动能③距止损/止盈空间④原入场条件是否仍成立（反弹出区间→失效）⑤是否超最长持有期",
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holding_style="波段（弱市均值回复，最长40交易日）",
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status="active", version="v_weak",
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scanner_file="mr_scanner.py",
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doc_ref="docs/v_mr_strategy.md",
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),
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dict(
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strategy_name="hk_pe_mom",
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display_name="港股低PE+小市值+行业动量",
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aliases=json.dumps(["hk_pe_mom"]),
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market="HK", regime="trend_up",
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family="momentum",
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summary="港股通 trend_up 温区：买入低PE+小市值+行业动量强势的港股，追涨不追高。",
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entry_logic="低PE（估值便宜）；小市值；行业动量强（sec_ret20>0）；价格处于上升趋势。",
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exit_logic="动量衰减/跌破趋势线止损；止盈按行业压力位分批。",
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key_params=json.dumps({"regime": "trend_up"}),
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review_focus="①动量是否延续（行业/个股趋势）②温区是否从 trend_up 切换（动量策略主战场变了）③估值是否仍低④止损位合理性",
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holding_style="趋势跟踪（动量延续期）",
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status="active", version="v2",
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scanner_file="hk_scanner.py",
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doc_ref="",
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),
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dict(
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strategy_name="hk_pe_oversold",
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display_name="港股低PE超卖反弹",
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aliases=json.dumps(["hk_pe_oversold", "hk_mr1"]),
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market="HK", regime="choppy",
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family="oversold",
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summary="港股通 choppy 温区：买入低PE+超卖（RSI低）的港股，等超卖修复反弹。",
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entry_logic="低PE；超卖（RSI低/深回调）；choppy 温区（震荡市超卖反弹逻辑）。",
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exit_logic="超卖修复/反弹至压力位分批止盈；跌破支撑止损。",
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key_params=json.dumps({"regime": "choppy"}),
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review_focus="①超卖是否修复②温区是否仍 choppy③反弹空间④止损合理性",
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holding_style="波段（超卖修复）",
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status="active", version="v2",
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scanner_file="hk_scanner.py",
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doc_ref="",
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),
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dict(
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strategy_name="p_oversold",
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display_name="预测超跌反弹",
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aliases=json.dumps(["p_oversold"]),
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market="A", regime="trend_down,choppy",
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family="oversold",
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summary="弱市/恐慌期买入深度超跌+低估值+小市值+有新闻的票（mcap_q<0.2、pe_q<0.2、bias60<-20、行业20日动量弱），等反弹。",
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entry_logic="mcap_q<0.2（小市值）；pe_q<0.2（低估值）；bias60<-20（深超跌）；sec_ret20<0（行业弱）；news3≥1（有新闻催化）。",
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exit_logic="支撑位下方5%止损；压力位分批止盈；40交易日强平。",
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key_params=json.dumps({"mcap_q_max": 0.2, "pe_q_max": 0.2, "bias60_max": -20, "sec_ret20_max": 0, "news_min": 1, "max_hold_days": 40}),
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review_focus="①超跌是否修复②消息催化是否兑现③行业20日动量是否转强④40日强平窗口⑤止损/止盈空间",
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holding_style="波段（超跌+催化反弹）",
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status="active", version="v5",
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scanner_file="predictive_oversold_scanner.py",
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doc_ref="docs/predictive_oversold_strategy.md",
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),
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dict(
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strategy_name="s2_panic",
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display_name="恐慌日买强势",
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aliases=json.dumps(["s2_panic", "s2_panic_v2"]),
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market="A", regime="trend_down",
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family="panic",
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summary="恐慌日（大盘RSI超卖）买入小市值+高RSI+行业抗跌的强势股（mcap_q<0.4、rsi≥35、sec_ret20≥-10），恐慌错杀中的强势alpha。",
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entry_logic="大盘 RSI<25（恐慌日门控）；mcap_q<0.4（小市值）；rsi≥35（个股强势）；sec_ret20≥-10（行业抗跌）。",
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exit_logic="止盈 +30%；止损 -12%；最长持有 60 交易日。",
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key_params=json.dumps({"mkt_rsi_max": 25, "mcap_q_max": 0.4, "rsi_min": 35, "sec_ret20_min": -10, "tp_pct": 0.30, "sl_pct": 0.12, "max_hold_days": 60}),
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review_focus="①恐慌情绪是否缓解（大盘RSI修复→策略逻辑失效）②个股强势是否延续③行业抗跌性④止损/止盈空间⑤是否超60日持有期",
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holding_style="波段（恐慌错杀修复）",
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status="active", version="v2",
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scanner_file="s2_panic_v2_scanner.py",
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doc_ref="",
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),
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dict(
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strategy_name="leader",
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display_name="龙头回调买点",
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aliases=json.dumps(["leader", "bull_trend"]),
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market="A", regime="trend_up",
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family="momentum",
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summary="牛市（trend_up）买入龙头股回调到 MA20 附近的健康回调买点（close>MA20、dist_ma20∈[-3%,+2%]、行业强势、市值>0.3分位），不追高。",
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entry_logic="close>MA20（趋势向上）；dist_ma20∈[-3%,+2%]（回调到MA20附近）；sector_above_ma20=1 或 sector_ret20>0（行业强势）；mcap_q>0.3（龙头非小盘）。",
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exit_logic="突破前高后趋势延续持有；跌破MA20/趋势线止损；行业转弱退出。",
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key_params=json.dumps({"regime": "trend_up", "dist_ma20_range": [-3,2], "mcap_q_min": 0.3}),
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review_focus="①牛市温区是否延续（trend_up→其他=龙头策略失效）②回调买点是否仍成立③行业强度④止损位（跌破MA20）合理性",
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holding_style="趋势持有（龙头主升）",
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status="active", version="v1",
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scanner_file="leader_scanner.py",
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doc_ref="",
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),
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]
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def seed(conn):
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for s in SEEDS:
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hp = hashlib.md5((s.get("key_params") or "").encode()).hexdigest()[:12]
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old = conn.execute("SELECT params_hash FROM strategy_defs WHERE strategy_name=?", (s["strategy_name"],)).fetchone()
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if old and old[0] == hp:
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print(f" = {s['strategy_name']} 定义未变，跳过")
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continue
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s2 = dict(s)
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s2["params_hash"] = hp
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s2["updated_at"] = "2026-08-18 17:30:00"
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s2["updated_by"] = "setup_strategy_defs.py"
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cols = ",".join(s2.keys())
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ph = ",".join("?" * len(s2))
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conn.execute(
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f"INSERT INTO strategy_defs ({cols}) VALUES ({ph}) "
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f"ON CONFLICT(strategy_name) DO UPDATE SET "
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f"display_name=excluded.display_name, aliases=excluded.aliases, market=excluded.market, "
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f"regime=excluded.regime, family=excluded.family, summary=excluded.summary, "
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f"entry_logic=excluded.entry_logic, exit_logic=excluded.exit_logic, "
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f"key_params=excluded.key_params, review_focus=excluded.review_focus, "
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f"holding_style=excluded.holding_style, status=excluded.status, "
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f"retired_reason=excluded.retired_reason, superseded_by=excluded.superseded_by, "
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f"params_hash=excluded.params_hash, needs_review=excluded.needs_review, "
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f"doc_ref=excluded.doc_ref, scanner_file=excluded.scanner_file, "
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f"version=excluded.version, updated_at=excluded.updated_at, updated_by=excluded.updated_by",
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[s2[k] for k in s2])
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print(f" + {s['strategy_name']} 种子卡已写入")
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def main():
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conn = get_conn()
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print("[1/3] 建表...")
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create_tables(conn)
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print("[2/3] 种子卡...")
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seed(conn)
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conn.commit()
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print("[3/3] 校验...")
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n = conn.execute("SELECT COUNT(*) FROM strategy_defs").fetchone()[0]
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print(f" strategy_defs 共 {n} 条")
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for r in conn.execute("SELECT strategy_name, display_name, status FROM strategy_defs ORDER BY strategy_name").fetchall():
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print(f" - {r[0]} | {r[1]} | {r[2]}")
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conn.close()
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print("DONE")
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if __name__ == "__main__":
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main()
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