112 lines
3.6 KiB
Python
112 lines
3.6 KiB
Python
#!/usr/bin/env python3
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# -*- coding: utf-8 -*-
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"""temp_band.py — 市场温度分档模块（2026-08-13）
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结论（数据验证）：三态骨架 + 温度(rsi)连续维度。
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- 三态（trend_up/choppy/trend_down）= market_regime.py 已有（策略类型分类）
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- 温度（rsi 分档）= 本模块（力度维度，仓位乘数）
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数据依据（2026-08-13 分市场状态检验）：
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v_weak choppy: 恐慌<45 -> 71%胜率 / 中性45-60 -> 46% / 亢奋>60 -> 37%
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v_oversold trend_down: 恐慌<35 -> 64% / 偏弱35-50 -> 53% / 中性>50 -> 0%
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s2_panic trend_down 恐慌<35: 86%胜率 +16.6%
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档位：panic(<35) / fear(35-45) / neutral(45-60) / greed(60-70) / euphoria(>70)
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用法：
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from temp_band import get_market_temp, temp_multiplier
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t = get_market_temp() # {rsi, band, regime}
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mult = temp_multiplier(t["band"], strategy_family="mr")
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"""
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import sqlite3
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from pathlib import Path
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DB = Path("/home/hmo/MoFin/data/mofin.db")
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INDEX = "sh000001"
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def calc_rsi(series, n=14):
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result = [None] * len(series)
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if len(series) < n + 1:
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return result
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gains, losses = [], []
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for i in range(1, len(series)):
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ch = series[i] - series[i - 1]
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gains.append(max(ch, 0))
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losses.append(max(-ch, 0))
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if i >= n:
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avg_g = sum(gains[i - n:i]) / n
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avg_l = sum(losses[i - n:i]) / n
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rs = avg_g / avg_l if avg_l > 0 else 100
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result[i] = 100 - 100 / (1 + rs)
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return result
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def temp_band(rsi):
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"""连续 rsi -> 温度档位"""
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if rsi is None:
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return "unknown"
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if rsi < 35:
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return "panic"
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if rsi < 45:
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return "fear"
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if rsi < 60:
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return "neutral"
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if rsi < 70:
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return "greed"
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return "euphoria"
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def temp_multiplier(band, strategy_family="mr"):
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"""温度 -> 仓位乘数。mr=均值回复（恐慌重仓），trend=趋势（恐慌回避）"""
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if strategy_family == "trend":
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return {
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"panic": 0.0, "fear": 0.0, "neutral": 0.5,
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"greed": 1.0, "euphoria": 0.5, "unknown": 0.5,
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}.get(band, 0.5)
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return {
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"panic": 1.5, "fear": 1.0, "neutral": 0.8,
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"greed": 0.5, "euphoria": 0.3, "unknown": 0.5,
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}.get(band, 0.5)
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def get_market_temp(db_path=None):
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"""读取最新市场温度（rsi + 档位 + regime）。"""
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db = db_path or DB
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conn = sqlite3.connect(str(db), timeout=5)
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try:
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# 上证最近 30 日收盘算 rsi
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rows = conn.execute(
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"SELECT date, close FROM stock_daily WHERE code=? ORDER BY date DESC LIMIT 30",
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(INDEX,)
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).fetchall()
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# 最新 regime
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reg = conn.execute(
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"SELECT date, regime FROM market_regime ORDER BY date DESC LIMIT 1"
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).fetchone()
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finally:
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conn.close()
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if not rows or len(rows) < 15:
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return {"rsi": None, "band": "unknown", "regime": "unknown", "date": ""}
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rows = list(reversed(rows))
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closes = [r[1] for r in rows]
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dates = [r[0] for r in rows]
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rsi_series = calc_rsi(closes)
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rsi_now = rsi_series[-1] if rsi_series else None
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band = temp_band(rsi_now)
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regime = reg[1] if reg else "unknown"
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reg_date = reg[0] if reg else ""
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return {
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"rsi": round(rsi_now, 1) if rsi_now is not None else None,
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"band": band,
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"regime": regime,
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"date": dates[-1],
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"regime_date": reg_date,
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}
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if __name__ == "__main__":
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t = get_market_temp()
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print(f"温度: rsi={t['rsi']} band={t['band']} regime={t['regime']} ({t['date']})")
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print(f" mr 乘数: {temp_multiplier(t['band'], 'mr')}")
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print(f" trend 乘数: {temp_multiplier(t['band'], 'trend')}")
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