150 lines
5.6 KiB
Python
150 lines
5.6 KiB
Python
#!/usr/bin/env python3
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# -*- coding: utf-8 -*-
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"""strategy_router.py v5 — MoFin 策略动态路由（动态策略库，2026-08-13）
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核心（老莫原则）：
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- 策略全温区发信号（不留温区门控在策略内）
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- 策略-温区表现常态化记录（regime_perf.py / strategy_regime_perf），适用温区动态化
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- 组合按当前温区自动激活/休眠策略：当前温区实测胜率高的策略优先
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- 不漏历史策略（v_mr_sel trend_down 93%、v7.3 trend_up 94% 等被埋没的强者）
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数据流：
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market_regime(三态) + regime_tracker(平滑K=5) → 当前温区
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temp_band(rsi) → 温度/仓位乘数
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regime_perf(实测) → 各策略温区表现
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→ strategy_weights.json（各策略权重/激活状态）
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"""
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import json
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import sys
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from pathlib import Path
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from datetime import datetime
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_SCRIPT_DIR = Path(__file__).resolve().parent
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sys.path.insert(0, str(_SCRIPT_DIR))
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sys.path.insert(0, "/home/hmo/MoFin")
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OUT = Path("/home/hmo/MoFin/data/strategy_weights.json")
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DEFAULT_FAMILY = "mr"
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FAMILY_MAP = {
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"v_weak": "mr", "v_oversold": "mr", "v_mr": "mr", "v_mr2": "mr", "v_mr3": "mr",
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"v_mr4": "mr", "v_mr_sel": "mr", "v_lurk_v1": "mr", "v_lurk_v2": "mr", "v_lurk_v3": "mr",
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"s2_panic": "mr", "v_osc": "mr",
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"v_next": "trend", "v_next3": "trend", "v_next4": "trend", "v_next5": "trend",
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"v8.0": "trend", "v8.1": "trend", "v8.2": "trend", "v8.3": "trend",
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"v7.0": "trend", "v7.1": "trend", "v7.1b": "trend", "v7.2": "trend", "v7.3": "trend",
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"v6.0": "trend", "v6.1": "trend", "v6.2": "trend",
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"v9.0": "trend", "v9.1": "trend", "v9.2": "trend",
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"v_combo": "trend", "v1.0": "trend", "v2.0": "trend", "v3.0": "trend",
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"v4.0": "trend", "v4.0a": "trend", "v4.0b": "trend", "v4.0c": "trend",
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"v4.0d": "trend", "v4.0e": "trend", "v4.0f": "trend", "v4.0g": "trend",
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"v4.0h": "trend", "v4.1": "trend", "v5.0": "trend",
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"v11.0": "trend", "v11.1": "trend",
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}
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def load_regime():
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try:
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p = Path("/home/hmo/MoFin/data/market_regime_smoothed.json")
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if p.exists():
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d = json.loads(p.read_text(encoding="utf-8"))
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return {"regime": d.get("current_regime", "unknown"),
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"date": d.get("current_date", "")}
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except Exception:
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pass
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try:
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from market_regime import load_market_regime
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return load_market_regime()
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except Exception:
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return {"regime": "unknown"}
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def load_temp():
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try:
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from temp_band import get_market_temp
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return get_market_temp()
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except Exception:
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return {"band": "unknown", "rsi": None}
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def load_regime_perf():
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conn = None
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try:
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import sqlite3
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conn = sqlite3.connect("/home/hmo/MoFin/data/mofin.db", timeout=30)
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conn.execute("PRAGMA busy_timeout=30000")
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rows = conn.execute(
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"SELECT strategy, regime, trades, win_rate, avg_pnl FROM strategy_regime_perf"
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).fetchall()
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result = {}
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for strat, reg, n, wr, pnl in rows:
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result.setdefault(strat, {})[reg] = {"trades": n, "win_rate": wr, "avg_pnl": pnl}
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return result
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except Exception:
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return {}
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finally:
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if conn:
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conn.close()
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def route(regime, temp, perf):
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current_regime = regime.get("regime", "unknown")
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band = temp.get("band", "unknown")
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weights = {}
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for name, regs in perf.items():
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if not regs:
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continue
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cur = regs.get(current_regime)
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best = max(regs.items(), key=lambda x: x[1].get("win_rate", 0))
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best_wr = best[1].get("win_rate", 0)
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cur_wr = cur.get("win_rate") if cur else None
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matched = (best_wr >= 50) and (cur_wr is not None and cur_wr >= 50)
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family = FAMILY_MAP.get(name, DEFAULT_FAMILY)
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base = 1.0 if matched else 0.3
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try:
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from temp_band import temp_multiplier
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mult = temp_multiplier(band, family)
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except Exception:
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mult = 0.8
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weights[name] = {
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"weight": round(base * mult, 2),
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"regime": current_regime,
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"temp_band": band,
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"family": family,
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"matched": matched,
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"best_regime": best[0],
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"best_win_rate": best[1].get("win_rate", 0),
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"cur_win_rate": cur.get("win_rate") if cur else None,
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"cur_avg_pnl": cur.get("avg_pnl") if cur else None,
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"trades": cur.get("trades") if cur else 0,
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}
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return dict(sorted(weights.items(), key=lambda x: -x[1]["weight"]))
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def main():
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regime = load_regime()
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temp = load_temp()
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perf = load_regime_perf()
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weights = route(regime, temp, perf)
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out = {
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"state": regime.get("regime", "unknown"),
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"state_date": regime.get("date", ""),
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"temp_band": temp.get("band", "unknown"),
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"temp_rsi": temp.get("rsi"),
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"weights": weights,
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"active": [k for k, v in weights.items() if v["matched"]],
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"updated_at": datetime.now().strftime("%Y-%m-%d %H:%M:%S"),
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"note": "温区(平滑K=5)选策略类型 + 温度(rsi)乘数；策略全温区发信号，适用温区由实测动态决定",
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}
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OUT.write_text(json.dumps(out, ensure_ascii=False, indent=1), encoding="utf-8")
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print(f"strategy_weights.json: 状态={out['state']} 温度={out['temp_band']}(rsi={out['temp_rsi']})")
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print(f"激活策略: {out['active']}")
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print("权重排名（前15）:")
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for name, w in list(weights.items())[:15]:
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mark = "✓" if w["matched"] else "观察"
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print(f" {name:<12} w={w['weight']:<5} {w['best_regime']:<11} 最佳{w['best_win_rate']:>3.0f}% {mark}")
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if __name__ == "__main__":
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main()
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