from __future__ import annotations from typing import Any def _meta( category: str, quality: str, frequency: str, risk: str, data_group: str, history_days: int, backtest_days: int, take_profit: float, stop_loss: float, **extra: Any, ) -> dict[str, Any]: return { "library": "curated", "category": category, "quality": quality, "frequency": frequency, "risk": risk, "data_group": data_group, "history_days": history_days, "backtest_days": backtest_days, "take_profit": take_profit, "stop_loss": stop_loss, **extra, } ADVANCED_CURATED_STRATEGIES = [ { "name": "中期动量·强者恒强", "description": "用60日至5日前的中期动量识别持续强势，同时剔除当日无法正常成交的涨停标的。", "regimes": ["repair", "fermentation", "climax", "divergence"], "formula": { "meta": _meta("动量反转", "A-", "每周", "中", "历史行情", 80, 10, 8, -5), "universe": {"exclude_st": True, "listed_days_min": 180}, "filters": [ {"field": "close", "op": "between", "value": [3, 100]}, {"field": "momentum_60_5_rank", "op": ">=", "value": 0.90}, {"field": "is_limit_up_today", "op": "==", "value": 0}, ], "score": [ {"field": "momentum_60_5", "weight": 0.55, "direction": "desc"}, {"field": "relative_strength", "weight": 0.25, "direction": "desc"}, {"field": "amount_billion", "weight": 0.20, "direction": "desc"}, ], "limit": 25, "min_score": 0.50, }, }, { "name": "强者回调", "description": "在中期强势股池中寻找回踩20日线、短期超卖且近20日无跌停的牛回头候选。", "regimes": ["repair", "fermentation", "divergence"], "formula": { "meta": _meta("动量反转", "A-", "每日", "中", "历史行情", 80, 10, 8, -5), "universe": {"exclude_st": True, "listed_days_min": 180}, "filters": [ {"field": "momentum_60_5_rank", "op": ">=", "value": 0.70}, {"field": "return_5d_rank", "op": "<=", "value": 0.20}, {"field": "above_ma20", "op": "==", "value": 1}, {"field": "rsi_6", "op": "<=", "value": 30}, {"field": "no_limit_down_20d", "op": "==", "value": 1}, ], "score": [ {"field": "momentum_60_5", "weight": 0.42, "direction": "desc"}, {"field": "return_5d", "weight": 0.33, "direction": "asc"}, {"field": "amount_billion", "weight": 0.25, "direction": "desc"}, ], "limit": 20, "min_score": 0.48, }, }, { "name": "超跌反转", "description": "筛选短期极端回撤、充分换手但尚未形成长期单边下跌的修复候选。", "regimes": ["ice", "repair"], "formula": { "meta": _meta("动量反转", "B+", "每日", "高", "行情与财务", 80, 5, 8, -5), "universe": {"exclude_st": True, "listed_days_min": 180}, "filters": [ {"field": "return_5d_rank", "op": "<=", "value": 0.05}, {"field": "turnover_5d", "op": ">=", "value": 30}, {"field": "return_60d", "op": ">=", "value": -40}, {"field": "financial_risk", "op": "==", "value": 0}, {"field": "is_limit_down_today", "op": "==", "value": 0}, ], "score": [ {"field": "return_5d", "weight": 0.45, "direction": "asc"}, {"field": "turnover_5d", "weight": 0.30, "direction": "desc"}, {"field": "amount_billion", "weight": 0.25, "direction": "desc"}, ], "limit": 10, "min_score": 0.50, }, }, { "name": "相对强度新高", "description": "以个股相对沪深300的强度线识别弱市领涨和结构性抱团标的。", "regimes": ["ice", "repair", "fermentation", "divergence"], "formula": { "meta": _meta("动量反转", "A", "每周", "中", "行情与指数", 130, 20, 12, -7, requires_benchmark=True), "universe": {"exclude_st": True, "listed_days_min": 250}, "filters": [ {"field": "amount_billion", "op": ">=", "value": 1}, {"field": "rs_high_120", "op": "==", "value": 1}, {"field": "excess_return_60d", "op": ">=", "value": 10}, {"field": "ma60_slope", "op": ">", "value": 0}, ], "score": [ {"field": "excess_return_60d", "weight": 0.50, "direction": "desc"}, {"field": "ma60_slope", "weight": 0.25, "direction": "desc"}, {"field": "amount_billion", "weight": 0.25, "direction": "desc"}, ], "limit": 20, "min_score": 0.52, }, }, { "name": "均线多头排列", "description": "使用5、10、20、60日均线多头结构、20日线斜率和250日位置确认趋势。", "regimes": ["repair", "fermentation", "climax", "divergence"], "formula": { "meta": _meta("趋势追踪", "A-", "每周", "中低", "历史行情", 260, 20, 12, -7), "universe": {"exclude_st": True, "listed_days_min": 365}, "filters": [ {"field": "ma_bull_alignment", "op": "==", "value": 1}, {"field": "ma20_slope_5d", "op": ">", "value": 0}, {"field": "drawdown_from_high_250", "op": "<=", "value": 20}, ], "score": [ {"field": "ma20_slope_5d", "weight": 0.38, "direction": "desc"}, {"field": "drawdown_from_high_250", "weight": 0.32, "direction": "asc"}, {"field": "relative_strength", "weight": 0.30, "direction": "desc"}, ], "limit": 30, "min_score": 0.50, }, }, { "name": "唐奇安通道突破", "description": "收盘突破前20日高点，并以突破幅度、量能和突破前振幅过滤假突破。", "regimes": ["repair", "fermentation", "divergence"], "formula": { "meta": _meta("趋势追踪", "A-", "每日", "中", "历史行情", 80, 20, 12, -7), "universe": {"exclude_st": True, "listed_days_min": 180}, "filters": [ {"field": "donchian_breakout_pct", "op": ">=", "value": 2}, {"field": "volume_ratio_5d", "op": ">=", "value": 1.8}, {"field": "range_20d", "op": "<=", "value": 35}, ], "score": [ {"field": "volume_ratio_5d", "weight": 0.40, "direction": "desc"}, {"field": "donchian_breakout_pct", "weight": 0.35, "direction": "desc"}, {"field": "range_20d", "weight": 0.25, "direction": "asc"}, ], "limit": 15, "min_score": 0.52, }, }, { "name": "周线趋势·日线买点", "description": "周线MACD位于多头区间，日线金叉或回踩20日线收阳时确认多周期共振。", "regimes": ["repair", "fermentation", "divergence"], "formula": { "meta": _meta("趋势追踪", "A", "每周", "中低", "多周期行情", 180, 20, 12, -7), "universe": {"exclude_st": True, "listed_days_min": 365}, "filters": [ {"field": "weekly_trend_signal", "op": "==", "value": 1}, {"field": "daily_buy_trigger", "op": "==", "value": 1}, {"field": "weekly_amount_trend", "op": "==", "value": 1}, ], "score": [ {"field": "ma20_slope_5d", "weight": 0.35, "direction": "desc"}, {"field": "relative_strength", "weight": 0.35, "direction": "desc"}, {"field": "amount_billion", "weight": 0.30, "direction": "desc"}, ], "limit": 20, "min_score": 0.52, }, }, ] ADVANCED_CURATED_STRATEGIES.extend( [ { "name": "空间板", "description": "识别当日新晋市场最高板，并要求所属方向具备足够的涨停支撑。", "regimes": ["repair", "fermentation"], "formula": { "meta": _meta("连板接力", "B+", "每日", "很高", "涨停结构", 80, 3, 8, -6), "universe": {"exclude_st": True, "listed_days_min": 120}, "filters": [ {"field": "is_market_height", "op": "==", "value": 1}, {"field": "new_space_board", "op": "==", "value": 1}, {"field": "sector_limit_count", "op": ">=", "value": 3}, ], "score": [ {"field": "limit_streak", "weight": 0.50, "direction": "desc"}, {"field": "sector_limit_count", "weight": 0.30, "direction": "desc"}, {"field": "amount_billion", "weight": 0.20, "direction": "desc"}, ], "limit": 5, "min_score": 0.45, }, }, { "name": "龙头首阴", "description": "筛选三板以上强势股断板后的首次缩量阴线，并结合板块强度观察承接质量。", "regimes": ["fermentation", "climax"], "formula": { "meta": _meta("低吸反核", "B", "每日", "很高", "涨停结构", 80, 5, 8, -6), "universe": {"exclude_st": True, "listed_days_min": 120}, "filters": [ {"field": "max_continuous_board_10d", "op": ">=", "value": 3}, {"field": "dragon_first_yin", "op": "==", "value": 1}, {"field": "yin_day_pct", "op": ">=", "value": -7}, {"field": "vol_vs_previous", "op": "<=", "value": 0.8}, ], "score": [ {"field": "max_continuous_board_10d", "weight": 0.45, "direction": "desc"}, {"field": "vol_vs_previous", "weight": 0.30, "direction": "asc"}, {"field": "sector_strength", "weight": 0.25, "direction": "desc"}, ], "limit": 5, "min_score": 0.48, }, }, { "name": "断板反包", "description": "连板断板后1至3日内，以涨停收复断板高点和量能确认N字反包。", "regimes": ["repair", "fermentation"], "formula": { "meta": _meta("低吸反核", "B+", "每日", "高", "涨停结构", 80, 3, 8, -6), "universe": {"exclude_st": True, "listed_days_min": 120}, "filters": [ {"field": "broken_reversal", "op": "==", "value": 1}, {"field": "days_since_broken", "op": "between", "value": [1, 3]}, {"field": "close_above_broken_high", "op": "==", "value": 1}, {"field": "vol_vs_broken_day", "op": ">=", "value": 1}, ], "score": [ {"field": "days_since_broken", "weight": 0.35, "direction": "asc"}, {"field": "vol_vs_broken_day", "weight": 0.35, "direction": "desc"}, {"field": "sector_strength", "weight": 0.30, "direction": "desc"}, ], "limit": 5, "min_score": 0.46, }, }, { "name": "核按钮反核", "description": "近5日强势股盘中深水急杀后收回，并以长下影和非放量结构确认承接。", "regimes": ["repair", "fermentation"], "formula": { "meta": _meta("低吸反核", "B+", "每日", "很高", "历史行情", 80, 5, 8, -6), "universe": {"exclude_st": True, "listed_days_min": 120}, "filters": [ {"field": "recent_limit_up_5d", "op": ">=", "value": 1}, {"field": "intraday_min_pct", "op": "<=", "value": -7}, {"field": "pct_chg", "op": ">=", "value": -3}, {"field": "lower_shadow_ratio", "op": ">=", "value": 2}, {"field": "vol_vs_previous", "op": "<=", "value": 1.1}, ], "score": [ {"field": "lower_shadow_ratio", "weight": 0.42, "direction": "desc"}, {"field": "intraday_min_pct", "weight": 0.30, "direction": "asc"}, {"field": "sector_strength", "weight": 0.28, "direction": "desc"}, ], "limit": 5, "min_score": 0.48, }, }, ] ) ADVANCED_CURATED_STRATEGIES.extend( [ { "name": "行业动量轮动", "description": "选择20日涨幅居前的行业，并在行业内部保留趋势与成交承载更强的前排公司。", "regimes": ["ice", "repair", "fermentation", "climax", "divergence", "retreat"], "formula": { "meta": _meta("行业轮动", "A-", "双周", "中", "行业与历史行情", 80, 20, 12, -7), "universe": {"exclude_st": True, "listed_days_min": 180}, "filters": [ {"field": "sector_momentum_rank", "op": ">=", "value": 0.90}, {"field": "sector_stock_momentum_rank", "op": ">=", "value": 0.80}, {"field": "amount_billion", "op": ">=", "value": 1}, ], "score": [ {"field": "sector_return_20d", "weight": 0.38, "direction": "desc"}, {"field": "return_20d", "weight": 0.32, "direction": "desc"}, {"field": "total_mv_billion", "weight": 0.18, "direction": "desc"}, {"field": "amount_billion", "weight": 0.12, "direction": "desc"}, ], "limit": 12, "min_score": 0.48, }, }, { "name": "主力资金行业流入", "description": "寻找近5日主力资金持续净流入、行业涨幅尚未充分兑现的板块前排。", "regimes": ["ice", "repair", "fermentation", "climax", "divergence", "retreat"], "formula": { "meta": _meta( "行业轮动", "B+", "每周", "中高", "行业与资金流", 80, 10, 10, -7, requires_moneyflow_history=True, ), "universe": {"exclude_st": True, "listed_days_min": 180}, "filters": [ {"field": "sector_flow_rank", "op": ">=", "value": 0.85}, {"field": "sector_net_flow_5d_million", "op": ">", "value": 0}, {"field": "sector_return_5d", "op": "<=", "value": 8}, {"field": "flow_to_circ_mv_5d", "op": ">", "value": 0}, {"field": "amount_billion", "op": ">=", "value": 1}, ], "score": [ {"field": "flow_to_circ_mv_5d", "weight": 0.42, "direction": "desc"}, {"field": "sector_net_flow_5d_million", "weight": 0.30, "direction": "desc"}, {"field": "sector_return_5d", "weight": 0.16, "direction": "asc"}, {"field": "amount_billion", "weight": 0.12, "direction": "desc"}, ], "limit": 15, "min_score": 0.48, }, }, ] )