191 lines
7.3 KiB
Python
191 lines
7.3 KiB
Python
#!/usr/bin/env python3
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# -*- coding: utf-8 -*-
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"""regime_perf.py v2 — 策略-温区表现常态化记录（2026-08-13 温区级组合模拟）
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记录策略在不同温区（trend_up/choppy/trend_down）的表现，含【温区级组合模拟】——
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每个策略×温区，把该温区 trades 跑 portfolio_sim（100万本金/10槽/含费），
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得到温区级 total_return/cagr/max_dd/capital_final/positions_taken/sharpe/profit_factor。
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表 strategy_regime_perf 扩展列（温区级组合指标）：
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strategy, regime, trades, win_rate, avg_pnl, avg_hold_days,
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total_return_pct, cagr_pct, portfolio_max_dd_pct, capital_final,
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positions_taken, sharpe_ratio, profit_factor, updated_at
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"""
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import sys
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import json
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import math
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import sqlite3
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from pathlib import Path
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from datetime import datetime
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from collections import defaultdict
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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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DB = "/home/hmo/MoFin/data/mofin.db"
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def load_all_strategies(market='a'):
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"""读取策略版本列表。market='a'(默认,A股,行为不变) / 'hk'(港股策略)"""
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conn = sqlite3.connect(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 DISTINCT version FROM strategy_research WHERE COALESCE(market,'a')=? ORDER BY version",
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(market,)).fetchall()
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conn.close()
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return [r[0] for r in rows if r[0]]
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def load_regime_map(market='a'):
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"""读取指定市场的 date→regime 映射（温区归因用）"""
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conn = sqlite3.connect(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 date, regime FROM market_regime WHERE market=?", (market,)
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).fetchall()
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conn.close()
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return dict(rows)
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def get_trades_from_research(version):
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conn = sqlite3.connect(DB, timeout=30)
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conn.execute("PRAGMA busy_timeout=30000")
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rows = conn.execute(
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# 2026-08-15：最长周期优先（LENGTH 降序：'10y' len3 > '5y'/'2y' len2）——
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# period_rollup 每日派生 1y/2y/5y 短窗行后，字典序 period_tag DESC 会错取短窗 trades
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"SELECT results_json FROM strategy_research WHERE version=? ORDER BY LENGTH(COALESCE(period_tag,'2y')) DESC, COALESCE(period_tag,'2y') DESC, created_at DESC LIMIT 1",
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(version,)
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).fetchall()
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conn.close()
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if not rows:
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return []
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try:
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return json.loads(rows[0][0]).get("trades", [])
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except Exception:
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return []
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def portfolio_sim_wrap(trades, capital=1000000, max_positions=10):
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"""温区 trades → 组合模拟（复用 strategy_lab.portfolio_sim）"""
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if not trades:
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return {}
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try:
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from strategy_lab import portfolio_sim
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return portfolio_sim(trades, capital=capital, max_positions=max_positions, cost=True)
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except Exception:
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return {}
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def calc_extra(trades):
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"""从 trades 算温区级 win_rate/avg_pnl/avg_hold/sharpe/profit_factor"""
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if not trades:
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return {}
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profits = [t.get("profit_pct", 0) for t in trades]
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wins = [p for p in profits if p > 0]
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losses = [p for p in profits if p <= 0]
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win_rate = len(wins) / len(profits) * 100 if profits else 0
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avg_p = sum(profits) / len(profits) if profits else 0
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avg_w = sum(wins) / len(wins) if wins else 0
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avg_l = abs(sum(losses) / len(losses)) if losses else 1
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pf = avg_w / avg_l if avg_l > 0 else 0
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mean_r = avg_p / 100
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std_r = math.sqrt(sum((p / 100 - mean_r) ** 2 for p in profits) / (len(profits) - 1)) if len(profits) > 1 else 0
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sharpe = mean_r / std_r * math.sqrt(252) if std_r > 0 else 0
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holds = [t.get("hold_days", 0) for t in trades if t.get("hold_days")]
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avg_hold = sum(holds) / len(holds) if holds else 0
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return {
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"win_rate": round(win_rate, 1),
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"avg_pnl": round(avg_p, 2),
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"avg_hold_days": round(avg_hold, 1),
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"sharpe_ratio": round(sharpe, 2),
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"profit_factor": round(pf, 2),
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}
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def main():
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# --market=a|hk：策略温区归因市场。当前所有策略为 A 股（market='a' 默认），
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# HK 维度留给阶段4（港股策略落地后按 strategy→market 映射归因）
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market = "a"
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for a in sys.argv[1:]:
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if a.startswith("--market="):
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market = a.split("=", 1)[1]
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regime_map = load_regime_map(market)
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strategies = load_all_strategies(market)
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print(f"市场: {market} | 策略数: {len(strategies)}")
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conn = sqlite3.connect(DB, timeout=60)
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conn.execute("PRAGMA busy_timeout=60000")
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conn.execute("""
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CREATE TABLE IF NOT EXISTS strategy_regime_perf (
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strategy TEXT,
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market TEXT NOT NULL DEFAULT 'a',
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regime TEXT,
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trades INTEGER,
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win_rate REAL,
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avg_pnl REAL,
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avg_hold_days REAL,
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total_return_pct REAL,
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cagr_pct REAL,
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portfolio_max_dd_pct REAL,
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capital_final REAL,
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positions_taken INTEGER,
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sharpe_ratio REAL,
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profit_factor REAL,
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updated_at TIMESTAMP DEFAULT CURRENT_TIMESTAMP,
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PRIMARY KEY (strategy, regime, market)
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)
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""")
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conn.execute("DELETE FROM strategy_regime_perf WHERE market=?", (market,))
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written = 0
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now = datetime.now().strftime("%Y-%m-%d %H:%M:%S")
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for v in strategies:
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trades = get_trades_from_research(v)
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if not trades:
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continue
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# 按温区分组
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by_regime = defaultdict(list)
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for t in trades:
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ed = t.get("entry_date", "")
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if ed in regime_map:
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by_regime[regime_map[ed]].append(t)
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for reg, reg_trades in by_regime.items():
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if len(reg_trades) < 2:
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continue
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extra = calc_extra(reg_trades)
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sim = portfolio_sim_wrap(reg_trades)
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if not sim:
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continue
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conn.execute(
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"""INSERT OR REPLACE INTO strategy_regime_perf
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(strategy, market, regime, trades, win_rate, avg_pnl, avg_hold_days,
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total_return_pct, cagr_pct, portfolio_max_dd_pct, capital_final,
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positions_taken, sharpe_ratio, profit_factor, updated_at)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(v, market, reg, len(reg_trades),
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extra.get("win_rate"), extra.get("avg_pnl"), extra.get("avg_hold_days"),
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sim.get("total_return_pct"), sim.get("cagr_pct"), sim.get("portfolio_max_dd_pct"),
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sim.get("capital_final"), sim.get("positions_taken"),
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extra.get("sharpe_ratio"), extra.get("profit_factor"), now)
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)
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written += 1
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conn.commit()
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conn.close()
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print(f"写入 strategy_regime_perf {written} 条（market={market}，含温区级组合模拟）")
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# 打印样例
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conn = sqlite3.connect(DB, timeout=30)
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rows = conn.execute(
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"SELECT strategy, regime, trades, win_rate, cagr_pct, capital_final FROM strategy_regime_perf "
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"WHERE strategy IN ('v_oversold','v_mr_sel','s2_panic') AND market=? ORDER BY strategy, regime",
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(market,)
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).fetchall()
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conn.close()
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for r in rows:
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print(f" {r[0]:<12} {r[1]:<12} {r[2]:>4}笔 胜率{r[3]:>5.1f}% 年化{r[4]:>6.1f}% 资产{r[5]:>12.0f}")
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if __name__ == "__main__":
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main()
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