leefer/xiaobaifupan
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

feat: complete strategy and market data improvements

Browse Source
This commit is contained in:
leefer
2026-07-29 16:50:40 +08:00
parent c30d2107b3
commit 0030bb8cc1
18 changed files with 1622 additions and 162 deletions
Download Patch File Download Diff File Expand all files Collapse all files
advanced_strategies.py
+153
View File
@@ -278,6 +278,159 @@ ADVANCED_CURATED_STRATEGIES.extend(
]
)
ADVANCED_CURATED_STRATEGIES.extend(
[
{
"name": "景气-趋势-拥挤三维行业打分",
"description": "以行业财务景气、价格趋势和交易拥挤度合成行业得分，再选取行业内动量与成交承载靠前的公司。",
"regimes": ["ice", "repair", "fermentation", "climax", "divergence", "retreat"],
"formula": {
"meta": _meta(
"行业轮动", "A-", "双周", "中", "行业、财务与交易拥挤", 80, 20, 12, -7,
requires_fundamental=True,
),
"universe": {"exclude_st": True, "listed_days_min": 180},
"filters": [
{"field": "sector_composite_score", "op": ">=", "value": 0.58},
{"field": "sector_crowding_rank", "op": "<=", "value": 0.90},
{"field": "sector_stock_momentum_rank", "op": ">=", "value": 0.50},
{"field": "amount_billion", "op": ">=", "value": 1},
],
"score": [
{"field": "sector_composite_score", "weight": 0.55, "direction": "desc"},
{"field": "sector_stock_momentum_rank", "weight": 0.25, "direction": "desc"},
{"field": "sector_crowding_rank", "weight": 0.20, "direction": "asc"},
],
"limit": 12,
"min_score": 0.50,
},
},
{
"name": "大小盘/成长价值风格切换(元策略)",
"description": "比较大小盘与成长价值组合近20日相对表现，动态选择当前占优风格中的匹配标的。",
"regimes": ["ice", "repair", "fermentation", "climax", "divergence", "retreat"],
"formula": {
"meta": _meta(
"元策略", "A-", "每周", "中低", "行情、估值与财务", 80, 20, 12, -7,
requires_fundamental=True, requires_valuation=True,
),
"universe": {"exclude_st": True, "listed_days_min": 250},
"filters": [
{"field": "style_fit_score", "op": ">=", "value": 0.65},
{"field": "amount_billion", "op": ">=", "value": 1},
],
"score": [
{"field": "style_fit_score", "weight": 0.70, "direction": "desc"},
{"field": "relative_strength", "weight": 0.30, "direction": "desc"},
],
"limit": 20,
"min_score": 0.52,
},
},
{
"name": "业绩超预期漂移(SUE/PEAD)",
"description": "以业绩预告和业绩快报的同报告期差异识别超预期事件，并限定在公告后的首个交易窗口。",
"regimes": ["ice", "repair", "fermentation", "climax", "divergence", "retreat"],
"formula": {
"meta": _meta(
"业绩事件", "A-", "事件驱动", "中", "业绩预告与快报", 80, 20, 12, -7,
requires_earnings_events=True,
),
"universe": {"exclude_st": True, "listed_days_min": 180},
"filters": [
{"field": "earnings_surprise_pct", "op": ">=", "value": 10},
{"field": "revenue_yoy", "op": ">", "value": 0},
{"field": "earnings_event_quality", "op": "==", "value": 1},
{"field": "earnings_days_since_announce", "op": "between", "value": [1, 5]},
],
"score": [
{"field": "earnings_surprise_pct", "weight": 0.60, "direction": "desc"},
{"field": "relative_strength", "weight": 0.25, "direction": "desc"},
{"field": "amount_billion", "weight": 0.15, "direction": "desc"},
],
"limit": 15,
"min_score": 0.50,
},
},
{
"name": "多因子综合打分(IC动态加权)",
"description": "将价值、成长、质量、动量和交易情绪标准化，并按近期横截面有效性动态合成综合分。",
"regimes": ["ice", "repair", "fermentation", "climax", "divergence", "retreat"],
"formula": {
"meta": _meta(
"多因子", "A-", "每周", "中", "行情、估值与财务", 260, 20, 12, -7,
requires_fundamental=True, requires_valuation=True,
),
"universe": {"exclude_st": True, "listed_days_min": 250},
"filters": [
{"field": "multi_factor_composite", "op": ">=", "value": 0.65},
{"field": "financial_risk", "op": "==", "value": 0},
{"field": "amount_billion", "op": ">=", "value": 1},
],
"score": [
{"field": "multi_factor_composite", "weight": 0.75, "direction": "desc"},
{"field": "relative_strength", "weight": 0.15, "direction": "desc"},
{"field": "amount_billion", "weight": 0.10, "direction": "desc"},
],
"limit": 30,
"min_score": 0.55,
},
},
{
"name": "热度突增潜伏(另类数据)",
"description": "从同花顺和东方财富人气榜中寻找排名快速跃升、但价格尚未明显兑现的观察候选。",
"regimes": ["ice", "repair", "fermentation", "climax", "divergence", "retreat"],
"formula": {
"meta": _meta(
"热度观察", "B+", "每日", "高", "人气榜与行情", 80, 10, 10, -7,
requires_popularity=True, backtestable=False,
),
"universe": {"exclude_st": True, "listed_days_min": 120},
"filters": [
{"field": "popularity_score", "op": ">=", "value": 15},
{"field": "return_10d", "op": "<=", "value": 5},
{"field": "recent_limit_up_5d", "op": "==", "value": 0},
{"field": "amount_billion", "op": ">=", "value": 0.5},
],
"score": [
{"field": "popularity_score", "weight": 0.50, "direction": "desc"},
{"field": "popularity_rank_change", "weight": 0.25, "direction": "desc"},
{"field": "popularity_dual_source", "weight": 0.10, "direction": "desc"},
{"field": "amount_billion", "weight": 0.15, "direction": "desc"},
],
"limit": 10,
"min_score": 0.48,
},
},
{
"name": "机构榜溢价",
"description": "筛选龙虎榜机构专用席位低位净买入的公司，并以席位数量和成交承载确认信号。",
"regimes": ["ice", "repair", "fermentation", "climax", "divergence", "retreat"],
"formula": {
"meta": _meta(
"资金席位", "B+", "每日", "中高", "龙虎榜机构席位", 80, 10, 10, -7,
requires_institutions=True,
),
"universe": {"exclude_st": True, "listed_days_min": 180},
"filters": [
{"field": "institution_net_buy_million", "op": ">=", "value": 30},
{"field": "institution_seat_count", "op": ">=", "value": 1},
{"field": "return_60d", "op": "<=", "value": 30},
{"field": "previous_limit_streak", "op": "<=", "value": 2},
],
"score": [
{"field": "institution_net_buy_million", "weight": 0.55, "direction": "desc"},
{"field": "institution_seat_count", "weight": 0.15, "direction": "desc"},
{"field": "relative_position_60", "weight": 0.20, "direction": "asc"},
{"field": "amount_billion", "weight": 0.10, "direction": "desc"},
],
"limit": 10,
"min_score": 0.48,
},
},
]
)
ADVANCED_CURATED_STRATEGIES.extend(
[
{