from __future__ import annotations from backend.features.screener.strategies import ADVANCED_CURATED_STRATEGIES from backend.features.screener.signals import attach_strategy_validity REGIMES = { "ice": "冰点", "repair": "修复", "fermentation": "发酵", "climax": "高潮", "divergence": "分化", "retreat": "退潮", } FACTOR_FIELDS = { "close": "收盘价", "pct_chg": "当日涨幅", "return_5d": "5日涨幅", "return_10d": "10日涨幅", "return_20d": "20日涨幅", "return_60d": "60日涨幅", "return_5d_rank": "5日涨幅排名", "momentum_60_5": "中期动量", "momentum_60_5_rank": "中期动量排名", "above_ma20": "站上20日线", "rsi_6": "RSI(6)", "ma60_slope": "60日线斜率", "ma20_slope_5d": "20日线5日斜率", "ma_bull_alignment": "均线多头排列", "drawdown_from_high_250": "距250日高点回撤", "donchian_breakout_pct": "唐奇安突破幅度", "range_20d": "20日振幅", "rs_high_120": "RS线120日新高", "excess_return_60d": "60日超额收益", "weekly_trend_signal": "周线趋势信号", "daily_buy_trigger": "日线买点", "weekly_amount_trend": "周成交趋势", "volume_ratio_5d": "5日量比", "turnover_5d": "5日累计换手", "volatility_10d": "10日波动率", "amount_billion": "成交额", "turnover_rate": "换手率", "circ_mv_billion": "流通市值", "net_flow_million": "主力净流入", "large_flow_million": "大单净流入", "net_flow_5d_million": "5日主力净流入", "flow_to_circ_mv_5d": "5日净流入占流通市值", "sector_strength": "板块强度", "sector_return_5d": "行业5日涨幅", "sector_return_20d": "行业20日涨幅", "sector_momentum_rank": "行业20日动量排名", "sector_stock_momentum_rank": "行业内个股动量排名", "sector_net_flow_5d_million": "行业5日主力净流入", "sector_flow_rank": "行业资金流排名", "sector_prosperity_rank": "行业景气度排名", "sector_trend_rank": "行业趋势排名", "sector_crowding_rank": "行业拥挤度排名", "sector_composite_score": "行业三维综合分", "sector_limit_count": "板块涨停数", "sector_up_count": "板块强势股数", "relative_strength": "相对强度", "limit_streak": "连板高度", "auction_change": "竞价涨幅", "auction_amount_million": "竞价成交额", "auction_turnover_rate": "竞价换手率", "auction_volume_ratio": "竞价量比", "total_mv_billion": "总市值", "pe_ttm": "市盈率TTM", "pb": "市净率", "ps_ttm": "市销率TTM", "dividend_yield_ttm": "股息率TTM", "dividend_years": "近年持续分红", "roe": "净资产收益率", "roa": "总资产收益率", "roic": "投入资本回报率", "gross_margin": "销售毛利率", "netprofit_yoy": "净利润同比", "revenue_yoy": "营业收入同比", "ocf_to_opincome": "经营现金流质量", "earnings_surprise_pct": "业绩超预期幅度", "earnings_days_since_announce": "业绩公告后天数", "earnings_event_quality": "业绩事件质量", "popularity_score": "人气榜热度", "popularity_rank_change": "人气排名跃升", "popularity_dual_source": "双榜共识", "institution_net_buy_million": "机构席位净买入", "institution_seat_count": "机构席位数", "style_size_fit": "大小盘风格匹配", "style_growth_fit": "成长价值风格匹配", "style_fit_score": "当前风格匹配度", "factor_value_score": "价值因子分", "factor_growth_score": "成长因子分", "factor_quality_score": "质量因子分", "factor_momentum_score": "动量因子分", "factor_sentiment_score": "交易情绪因子分", "multi_factor_composite": "动态多因子综合分", "relative_position_60": "60日相对位置", "max_abs_change_15d": "15日最大波动", "close_to_high_15d": "距15日高点", "close_to_high_60d": "距60日高点", "no_limit_30d": "近30日无涨停", "had_limit_80d": "近80日曾涨停", "previous_first_limit": "昨日首板", "previous_limit_signal": "昨日涨停或触板", "previous_limit_streak": "昨日连板高度", "previous_amount_billion": "昨日成交额", "is_limit_up_today": "当日涨停", "is_limit_down_today": "当日跌停", "sector_breadth_ma20": "行业20日线宽度", "no_limit_down_20d": "近20日无跌停", "financial_risk": "财务风险标记", "is_market_height": "当前市场最高板", "new_space_board": "新晋空间板", "max_continuous_board_10d": "近10日最高连板", "dragon_first_yin": "龙头首阴", "yin_day_pct": "首阴跌幅", "vol_vs_previous": "较前日量能", "broken_reversal": "断板反包", "days_since_broken": "断板后天数", "close_above_broken_high": "收复断板高点", "vol_vs_broken_day": "较断板日量能", "recent_limit_up_5d": "近5日涨停次数", "intraday_min_pct": "盘中最大跌幅", "lower_shadow_ratio": "下影线实体比", } FACTOR_GROUPS = { "行情动量": [ "close", "pct_chg", "return_5d", "return_10d", "return_20d", "return_60d", "return_5d_rank", "momentum_60_5", "momentum_60_5_rank", "above_ma20", "rsi_6", "ma60_slope", "ma20_slope_5d", "ma_bull_alignment", "drawdown_from_high_250", "donchian_breakout_pct", "range_20d", "rs_high_120", "excess_return_60d", "weekly_trend_signal", "daily_buy_trigger", "weekly_amount_trend", "relative_strength", "relative_position_60", "close_to_high_15d", "close_to_high_60d", ], "量价交易": [ "volume_ratio_5d", "turnover_5d", "volatility_10d", "amount_billion", "turnover_rate", "net_flow_million", "large_flow_million", "net_flow_5d_million", "flow_to_circ_mv_5d", "previous_amount_billion", "intraday_min_pct", "lower_shadow_ratio", "vol_vs_previous", "vol_vs_broken_day", ], "板块结构": [ "sector_strength", "sector_return_5d", "sector_return_20d", "sector_momentum_rank", "sector_stock_momentum_rank", "sector_net_flow_5d_million", "sector_flow_rank", "sector_prosperity_rank", "sector_trend_rank", "sector_crowding_rank", "sector_composite_score", "sector_limit_count", "sector_up_count", "sector_breadth_ma20", "limit_streak", "previous_limit_streak", "previous_first_limit", "previous_limit_signal", "is_limit_up_today", "is_limit_down_today", "no_limit_30d", "had_limit_80d", "max_abs_change_15d", "no_limit_down_20d", "is_market_height", "new_space_board", "max_continuous_board_10d", "dragon_first_yin", "yin_day_pct", "broken_reversal", "days_since_broken", "close_above_broken_high", "recent_limit_up_5d", ], "竞价因子": [ "auction_change", "auction_amount_million", "auction_turnover_rate", "auction_volume_ratio", ], "估值规模": [ "circ_mv_billion", "total_mv_billion", "pe_ttm", "pb", "ps_ttm", "dividend_yield_ttm", "dividend_years", ], "财务质量": [ "roe", "roa", "roic", "gross_margin", "netprofit_yoy", "revenue_yoy", "ocf_to_opincome", "financial_risk", "earnings_surprise_pct", "earnings_days_since_announce", "earnings_event_quality", ], "特色数据": [ "popularity_score", "popularity_rank_change", "popularity_dual_source", "institution_net_buy_million", "institution_seat_count", "style_size_fit", "style_growth_fit", "style_fit_score", "factor_value_score", "factor_growth_score", "factor_quality_score", "factor_momentum_score", "factor_sentiment_score", "multi_factor_composite", ], } ALLOWED_OPERATORS = {">", ">=", "<", "<=", "==", "!=", "between", "in"} BUILTIN_STRATEGIES = [ { "name": "冰点抗跌先手", "description": "寻找冰点中保持相对强度、低波动且有板块承接的个股，允许无结果。", "regimes": ["ice"], "formula": { "universe": {"exclude_st": True, "listed_days_min": 120}, "filters": [ {"field": "pct_chg", "op": "between", "value": [-3, 7]}, {"field": "return_5d", "op": ">=", "value": -5}, {"field": "amount_billion", "op": ">=", "value": 1}, {"field": "volatility_10d", "op": "<=", "value": 7}, ], "score": [ {"field": "relative_strength", "weight": 0.30, "direction": "desc"}, {"field": "sector_strength", "weight": 0.25, "direction": "desc"}, {"field": "volume_ratio_5d", "weight": 0.20, "direction": "desc"}, {"field": "volatility_10d", "weight": 0.15, "direction": "asc"}, {"field": "amount_billion", "weight": 0.10, "direction": "desc"}, ], "limit": 12, "min_score": 0.58, }, }, { "name": "修复先锋", "description": "筛选率先站回趋势、温和放量并获得板块共振的修复前排。", "regimes": ["repair"], "formula": { "universe": {"exclude_st": True, "listed_days_min": 120}, "filters": [ {"field": "pct_chg", "op": "between", "value": [1, 9.7]}, {"field": "return_5d", "op": ">", "value": 0}, {"field": "above_ma20", "op": "==", "value": 1}, {"field": "volume_ratio_5d", "op": ">=", "value": 1.05}, ], "score": [ {"field": "sector_strength", "weight": 0.28, "direction": "desc"}, {"field": "relative_strength", "weight": 0.24, "direction": "desc"}, {"field": "volume_ratio_5d", "weight": 0.18, "direction": "desc"}, {"field": "net_flow_million", "weight": 0.16, "direction": "desc"}, {"field": "amount_billion", "weight": 0.14, "direction": "desc"}, ], "limit": 15, "min_score": 0.54, }, }, { "name": "主线发酵跟随", "description": "在主线扩散期寻找趋势、成交承载和板块涨停梯队共同增强的个股。", "regimes": ["fermentation"], "formula": { "universe": {"exclude_st": True, "listed_days_min": 120}, "filters": [ {"field": "pct_chg", "op": "between", "value": [0, 9.8]}, {"field": "return_5d", "op": ">=", "value": 3}, {"field": "above_ma20", "op": "==", "value": 1}, {"field": "amount_billion", "op": ">=", "value": 2}, ], "score": [ {"field": "sector_limit_count", "weight": 0.25, "direction": "desc"}, {"field": "sector_strength", "weight": 0.24, "direction": "desc"}, {"field": "return_10d", "weight": 0.20, "direction": "desc"}, {"field": "amount_billion", "weight": 0.16, "direction": "desc"}, {"field": "large_flow_million", "weight": 0.15, "direction": "desc"}, ], "limit": 15, "min_score": 0.55, }, }, { "name": "高潮核心去后排", "description": "高潮阶段只保留容量、趋势和辨识度较高的核心，降低后排跟风权重。", "regimes": ["climax"], "formula": { "universe": {"exclude_st": True, "listed_days_min": 120}, "filters": [ {"field": "pct_chg", "op": "between", "value": [-2, 7]}, {"field": "return_10d", "op": ">=", "value": 5}, {"field": "above_ma20", "op": "==", "value": 1}, {"field": "amount_billion", "op": ">=", "value": 5}, ], "score": [ {"field": "amount_billion", "weight": 0.28, "direction": "desc"}, {"field": "sector_strength", "weight": 0.22, "direction": "desc"}, {"field": "relative_strength", "weight": 0.20, "direction": "desc"}, {"field": "volatility_10d", "weight": 0.15, "direction": "asc"}, {"field": "limit_streak", "weight": 0.15, "direction": "desc"}, ], "limit": 10, "min_score": 0.62, }, }, { "name": "分化承接回流", "description": "寻找分化中仍有趋势承接、板块强度和资金回流的核心候选。", "regimes": ["divergence"], "formula": { "universe": {"exclude_st": True, "listed_days_min": 120}, "filters": [ {"field": "pct_chg", "op": "between", "value": [-3, 7]}, {"field": "return_5d", "op": ">", "value": 0}, {"field": "above_ma20", "op": "==", "value": 1}, {"field": "volume_ratio_5d", "op": "between", "value": [0.7, 3.5]}, ], "score": [ {"field": "relative_strength", "weight": 0.28, "direction": "desc"}, {"field": "sector_strength", "weight": 0.24, "direction": "desc"}, {"field": "net_flow_million", "weight": 0.20, "direction": "desc"}, {"field": "volatility_10d", "weight": 0.16, "direction": "asc"}, {"field": "amount_billion", "weight": 0.12, "direction": "desc"}, ], "limit": 12, "min_score": 0.57, }, }, { "name": "退潮防守观察", "description": "退潮期采用高门槛防守筛选，结果为空代表当前不宜主动出击。", "regimes": ["retreat"], "formula": { "universe": {"exclude_st": True, "listed_days_min": 180}, "filters": [ {"field": "pct_chg", "op": "between", "value": [-2, 4]}, {"field": "return_5d", "op": ">=", "value": -2}, {"field": "above_ma20", "op": "==", "value": 1}, {"field": "volatility_10d", "op": "<=", "value": 4.5}, {"field": "amount_billion", "op": ">=", "value": 2}, ], "score": [ {"field": "volatility_10d", "weight": 0.30, "direction": "asc"}, {"field": "relative_strength", "weight": 0.25, "direction": "desc"}, {"field": "amount_billion", "weight": 0.20, "direction": "desc"}, {"field": "sector_strength", "weight": 0.15, "direction": "desc"}, {"field": "net_flow_million", "weight": 0.10, "direction": "desc"}, ], "limit": 8, "min_score": 0.68, }, }, { "name": "竞价强势确认", "description": "用竞价涨幅、成交承载和量比确认修复或发酵阶段的主动进攻标的。", "regimes": ["repair", "fermentation", "divergence"], "formula": { "universe": {"exclude_st": True, "listed_days_min": 120}, "filters": [ {"field": "auction_change", "op": "between", "value": [1, 7]}, {"field": "auction_amount_million", "op": ">=", "value": 3}, {"field": "auction_volume_ratio", "op": ">=", "value": 0.8}, {"field": "amount_billion", "op": ">=", "value": 1}, ], "score": [ {"field": "auction_amount_million", "weight": 0.26, "direction": "desc"}, {"field": "auction_volume_ratio", "weight": 0.22, "direction": "desc"}, {"field": "auction_change", "weight": 0.18, "direction": "desc"}, {"field": "sector_strength", "weight": 0.18, "direction": "desc"}, {"field": "relative_strength", "weight": 0.16, "direction": "desc"}, ], "limit": 15, "min_score": 0.56, }, }, ] for _strategy in BUILTIN_STRATEGIES: _strategy["formula"].setdefault("meta", { "library": "smart", "category": "周期策略", "quality": "系统", "frequency": "每日", "risk": "随市场阶段", "data_group": "行情因子", }) CURATED_STRATEGIES = [ { "name": "连续分红质量", "description": "寻找持续派息、盈利质量稳定且波动可控的长期现金回报型公司。", "regimes": list(REGIMES), "formula": { "meta": {"library": "curated", "category": "红利价值", "quality": "A", "frequency": "月度", "risk": "中低", "data_group": "估值与财务"}, "universe": {"exclude_st": True, "listed_days_min": 1095}, "filters": [ {"field": "dividend_years", "op": ">=", "value": 4}, {"field": "dividend_yield_ttm", "op": ">=", "value": 2}, {"field": "roe", "op": ">=", "value": 6}, {"field": "pb", "op": "between", "value": [0.1, 4]}, ], "score": [ {"field": "dividend_yield_ttm", "weight": 0.30, "direction": "desc"}, {"field": "roe", "weight": 0.24, "direction": "desc"}, {"field": "ocf_to_opincome", "weight": 0.18, "direction": "desc"}, {"field": "volatility_10d", "weight": 0.16, "direction": "asc"}, {"field": "total_mv_billion", "weight": 0.12, "direction": "desc"}, ], "limit": 20, "min_score": 0.52, }, }, { "name": "ROIC质量低波", "description": "以投入资本回报、毛利率和估值为核心，寻找低波动的高质量公司。", "regimes": ["ice", "repair", "divergence", "retreat"], "formula": { "meta": {"library": "curated", "category": "质量价值", "quality": "A-", "frequency": "月度", "risk": "中低", "data_group": "估值与财务"}, "universe": {"exclude_st": True, "listed_days_min": 730}, "filters": [ {"field": "roic", "op": ">=", "value": 6}, {"field": "gross_margin", "op": ">=", "value": 15}, {"field": "pe_ttm", "op": "between", "value": [1, 45]}, {"field": "amount_billion", "op": ">=", "value": 1}, ], "score": [ {"field": "roic", "weight": 0.28, "direction": "desc"}, {"field": "gross_margin", "weight": 0.22, "direction": "desc"}, {"field": "ps_ttm", "weight": 0.18, "direction": "asc"}, {"field": "volatility_10d", "weight": 0.18, "direction": "asc"}, {"field": "total_mv_billion", "weight": 0.14, "direction": "desc"}, ], "limit": 20, "min_score": 0.54, }, }, { "name": "低估值现金流白马", "description": "筛选估值克制、经营现金流健康、资产回报稳定的大中型公司。", "regimes": ["ice", "repair", "divergence", "retreat"], "formula": { "meta": {"library": "curated", "category": "现金流价值", "quality": "A-", "frequency": "月度", "risk": "中低", "data_group": "估值与财务"}, "universe": {"exclude_st": True, "listed_days_min": 730}, "filters": [ {"field": "pb", "op": "between", "value": [0.1, 1.8]}, {"field": "roa", "op": ">=", "value": 3}, {"field": "ocf_to_opincome", "op": ">", "value": 0}, {"field": "netprofit_yoy", "op": ">=", "value": -15}, {"field": "total_mv_billion", "op": ">=", "value": 100}, ], "score": [ {"field": "roa", "weight": 0.26, "direction": "desc"}, {"field": "ocf_to_opincome", "weight": 0.24, "direction": "desc"}, {"field": "pb", "weight": 0.20, "direction": "asc"}, {"field": "total_mv_billion", "weight": 0.16, "direction": "desc"}, {"field": "volatility_10d", "weight": 0.14, "direction": "asc"}, ], "limit": 20, "min_score": 0.53, }, }, { "name": "高增长合理估值", "description": "在收入和利润同步增长的公司中，优先选择估值合理、趋势得到确认的标的。", "regimes": ["repair", "fermentation", "divergence"], "formula": { "meta": {"library": "curated", "category": "成长质量", "quality": "B+", "frequency": "月度", "risk": "中", "data_group": "估值与财务"}, "universe": {"exclude_st": True, "listed_days_min": 365}, "filters": [ {"field": "pe_ttm", "op": "between", "value": [1, 35]}, {"field": "revenue_yoy", "op": ">=", "value": 10}, {"field": "netprofit_yoy", "op": ">=", "value": 15}, {"field": "roe", "op": ">=", "value": 5}, {"field": "amount_billion", "op": ">=", "value": 1}, ], "score": [ {"field": "netprofit_yoy", "weight": 0.27, "direction": "desc"}, {"field": "revenue_yoy", "weight": 0.23, "direction": "desc"}, {"field": "roe", "weight": 0.20, "direction": "desc"}, {"field": "pe_ttm", "weight": 0.16, "direction": "asc"}, {"field": "relative_strength", "weight": 0.14, "direction": "desc"}, ], "limit": 20, "min_score": 0.55, }, }, { "name": "行业宽度主线", "description": "从行业站上20日线的覆盖率和板块强度出发，筛选主线中的强势个股。", "regimes": ["repair", "fermentation", "climax", "divergence"], "formula": { "meta": {"library": "curated", "category": "行业轮动", "quality": "B+", "frequency": "每周", "risk": "中", "data_group": "行情与行业"}, "universe": {"exclude_st": True, "listed_days_min": 180}, "filters": [ {"field": "sector_breadth_ma20", "op": ">=", "value": 55}, {"field": "sector_strength", "op": ">=", "value": 55}, {"field": "above_ma20", "op": "==", "value": 1}, {"field": "amount_billion", "op": ">=", "value": 2}, ], "score": [ {"field": "sector_breadth_ma20", "weight": 0.28, "direction": "desc"}, {"field": "sector_strength", "weight": 0.24, "direction": "desc"}, {"field": "relative_strength", "weight": 0.20, "direction": "desc"}, {"field": "sector_limit_count", "weight": 0.16, "direction": "desc"}, {"field": "amount_billion", "weight": 0.12, "direction": "desc"}, ], "limit": 20, "min_score": 0.56, }, }, { "name": "首板低开", "description": "昨日首板且位置不高，次日竞价温和低开并具备成交承载时进入候选。", "regimes": ["ice", "repair", "divergence"], "formula": { "meta": {"library": "curated", "category": "短线竞价", "quality": "B+", "frequency": "每日9:25", "risk": "高", "data_group": "行情与竞价"}, "universe": {"exclude_st": True, "listed_days_min": 250}, "filters": [ {"field": "previous_first_limit", "op": "==", "value": 1}, {"field": "auction_change", "op": "between", "value": [-4.5, -2.5]}, {"field": "relative_position_60", "op": "<=", "value": 0.55}, {"field": "previous_amount_billion", "op": ">=", "value": 1}, ], "score": [ {"field": "auction_amount_million", "weight": 0.28, "direction": "desc"}, {"field": "previous_amount_billion", "weight": 0.24, "direction": "desc"}, {"field": "relative_position_60", "weight": 0.20, "direction": "asc"}, {"field": "sector_strength", "weight": 0.16, "direction": "desc"}, {"field": "auction_volume_ratio", "weight": 0.12, "direction": "desc"}, ], "limit": 12, "min_score": 0.50, }, }, { "name": "小碎步临界突破", "description": "寻找近期窄幅爬升、接近阶段高点且具备历史活跃记忆的突破候选。", "regimes": ["repair", "fermentation", "divergence"], "formula": { "meta": {"library": "curated", "category": "形态突破", "quality": "B+", "frequency": "每日", "risk": "中高", "data_group": "历史行情"}, "universe": {"exclude_st": True, "listed_days_min": 250}, "filters": [ {"field": "no_limit_30d", "op": "==", "value": 1}, {"field": "had_limit_80d", "op": "==", "value": 1}, {"field": "max_abs_change_15d", "op": "<=", "value": 3}, {"field": "close_to_high_15d", "op": ">=", "value": 0.98}, {"field": "close_to_high_60d", "op": ">=", "value": 0.90}, ], "score": [ {"field": "close_to_high_15d", "weight": 0.26, "direction": "desc"}, {"field": "volume_ratio_5d", "weight": 0.22, "direction": "desc"}, {"field": "relative_strength", "weight": 0.20, "direction": "desc"}, {"field": "max_abs_change_15d", "weight": 0.18, "direction": "asc"}, {"field": "circ_mv_billion", "weight": 0.14, "direction": "asc"}, ], "limit": 15, "min_score": 0.54, }, }, { "name": "连板龙头", "description": "从昨日连板梯队中按高度、板块热度和成交承载筛选辨识度前排。", "regimes": ["fermentation", "climax", "divergence"], "formula": { "meta": {"library": "curated", "category": "连板接力", "quality": "B", "frequency": "每日", "risk": "很高", "data_group": "涨停结构"}, "universe": {"exclude_st": True, "listed_days_min": 120}, "filters": [ {"field": "previous_limit_streak", "op": ">=", "value": 2}, {"field": "previous_amount_billion", "op": ">=", "value": 1}, ], "score": [ {"field": "previous_limit_streak", "weight": 0.34, "direction": "desc"}, {"field": "sector_limit_count", "weight": 0.24, "direction": "desc"}, {"field": "previous_amount_billion", "weight": 0.18, "direction": "desc"}, {"field": "turnover_rate", "weight": 0.14, "direction": "desc"}, {"field": "sector_strength", "weight": 0.10, "direction": "desc"}, ], "limit": 10, "min_score": 0.50, }, }, { "name": "微盘三正", "description": "以正估值、正盈利和正经营现金流约束微盘暴露，保留明确风险提示。", "regimes": ["repair", "fermentation"], "formula": { "meta": {"library": "curated", "category": "小盘质量", "quality": "B", "frequency": "每周", "risk": "高", "data_group": "估值与财务"}, "universe": {"exclude_st": True, "listed_days_min": 365}, "filters": [ {"field": "pb", "op": ">", "value": 0}, {"field": "roe", "op": ">", "value": 0}, {"field": "ocf_to_opincome", "op": ">", "value": 0}, {"field": "circ_mv_billion", "op": "between", "value": [5, 100]}, {"field": "amount_billion", "op": ">=", "value": 0.5}, ], "score": [ {"field": "circ_mv_billion", "weight": 0.32, "direction": "asc"}, {"field": "roe", "weight": 0.24, "direction": "desc"}, {"field": "ocf_to_opincome", "weight": 0.20, "direction": "desc"}, {"field": "turnover_rate", "weight": 0.14, "direction": "desc"}, {"field": "relative_strength", "weight": 0.10, "direction": "desc"}, ], "limit": 20, "min_score": 0.52, }, }, { "name": "首板高开弱转强", "description": "昨日涨停或触板后，使用9:25最终竞价涨幅、量比和板块承接确认强度。", "regimes": ["repair", "fermentation", "divergence"], "formula": { "meta": {"library": "curated", "category": "短线竞价", "quality": "B-", "frequency": "每日9:25", "risk": "高", "data_group": "行情与竞价"}, "universe": {"exclude_st": True, "listed_days_min": 120}, "filters": [ {"field": "previous_limit_signal", "op": "==", "value": 1}, {"field": "auction_change", "op": "between", "value": [1, 6]}, {"field": "auction_volume_ratio", "op": ">=", "value": 0.8}, {"field": "previous_amount_billion", "op": "between", "value": [3, 25]}, ], "score": [ {"field": "auction_amount_million", "weight": 0.28, "direction": "desc"}, {"field": "auction_volume_ratio", "weight": 0.24, "direction": "desc"}, {"field": "auction_change", "weight": 0.18, "direction": "desc"}, {"field": "sector_strength", "weight": 0.17, "direction": "desc"}, {"field": "relative_strength", "weight": 0.13, "direction": "desc"}, ], "limit": 15, "min_score": 0.52, }, }, ] CURATED_STRATEGIES.extend(ADVANCED_CURATED_STRATEGIES) STRATEGY_ENVIRONMENT_NOTES = { "连续分红质量": ( "防守市、低利率环境与中长期配置窗口", "风险偏好快速上升时，稳健资产的价格弹性通常落后", ), "ROIC质量低波": ( "震荡偏弱、重视盈利质量与回撤控制的市场", "主题快速扩散或高弹性行情中，低波筛选可能错过进攻方向", ), "低估值现金流白马": ( "估值修复、价值回归及防守配置阶段", "低估值可能来自基本面持续走弱，需警惕价值陷阱", ), "高增长合理估值": ( "业绩驱动、成长风格占优且趋势获得确认的阶段", "增长预期下修或估值快速收缩时，回撤可能明显放大", ), "行业宽度主线": ( "主线清晰、行业内部多数个股同步走强的行情", "板块快速轮动时，宽度信号容易在确认后迅速衰减", ), "首板低开": ( "情绪修复期的分歧转一致与首板次日承接", "退潮加速或低开缺少量能承接时，弱势可能继续扩大", ), "小碎步临界突破": ( "趋势蓄势、波动收敛后临近突破的结构市", "无量突破或指数剧烈震荡时，容易形成冲高回落", ), "连板龙头": ( "高度拓展、题材梯队完整且接力情绪活跃的阶段", "亏钱效应扩散或高位股集中退潮时，接力风险很高", ), "微盘三正": ( "小盘风格活跃、流动性宽松且风险偏好较高的行情", "风格切向大盘或微盘流动性收缩时，组合波动会显著上升", ), "首板高开弱转强": ( "竞价承接明确、短线情绪修复或主线发酵阶段", "高开缺乏板块共振时，竞价强势可能转为盘中兑现", ), "中期动量·强者恒强": ( "趋势延续、主升段及强弱分化清晰的行情", "无趋势震荡或快速轮动中，动量信号容易反复失效", ), "强者回调": ( "主升趋势未破、强势股完成良性回踩的窗口", "趋势已反转时，回调信号可能演变为下跌中继", ), "超跌反转": ( "急跌后恐慌释放充分、市场进入修复预期的阶段", "单边下跌初段容易过早介入，超跌不等于止跌", ), "相对强度新高": ( "指数偏弱但结构性主线明确，或机构抱团强化的行情", "基准快速补涨或强势方向瓦解时，相对优势可能迅速消失", ), "均线多头排列": ( "中期趋势向上、回撤有序的趋势市与主升段", "高位趋势末端或宽幅震荡中，均线信号通常反应滞后", ), "唐奇安通道突破": ( "整理末端、放量突破并启动新趋势的行情", "无量突破和宽幅震荡环境中，假突破出现概率较高", ), "周线趋势·日线买点": ( "中期趋势稳定、日线回踩或再启动的多周期共振阶段", "周线拐点尚未确认时，日线信号可能只是短暂反抽", ), "空间板": ( "市场高度持续拓展、板块梯队完整的强接力环境", "高度压缩或亏钱效应扩散时，最高板的补跌风险极高", ), "龙头首阴": ( "主线龙头仍有辨识度、首次分歧后存在回流预期的阶段", "题材退潮或龙头地位被替代后，首阴可能只是下跌起点", ), "断板反包": ( "强势题材分歧后快速修复、核心股重新获得资金承接时", "板块强度不足或反包缩量时，形态持续性通常较弱", ), "核按钮反核": ( "恐慌释放后出现明确承接、短线情绪转暖的窗口", "系统性退潮中深水拉回可能只是日内脉冲，隔日风险较高", ), "行业动量轮动": ( "主线相对清晰、行业趋势能够延续两周以上的结构市", "行业轮动速度过快或前三名差距很小时，动量优势容易迅速衰减", ), "主力资金行业流入": ( "板块轮动初期、资金先于价格形成连续净流入的阶段", "资金流口径可能受大宗交易和短期对倒影响，单日突增不代表趋势", ), "景气-趋势-拥挤三维行业打分": ( "行业景气与价格趋势同向、但交易拥挤尚未达到极端的结构市", "财务披露存在滞后，行业快速反转时三维综合分可能反应偏慢", ), "大小盘/成长价值风格切换(元策略)": ( "大小盘或成长价值风格形成持续相对强弱的阶段", "风格快速往返切换时，近20日相对表现容易产生滞后信号", ), "业绩超预期漂移(SUE/PEAD)": ( "业绩披露窗口中，快报相对预告继续上修且价格尚未充分兑现时", "预告与快报口径可能不同，公告后高开兑现会削弱漂移效应", ), "多因子综合打分(IC动态加权)": ( "因子表现具备一定延续性、市场并非由单一极端主题主导时", "近期有效因子可能快速失效，动态权重不能消除风格突变风险", ), "热度突增潜伏(另类数据)": ( "人气快速抬升但股价尚未明显启动的题材萌芽与扩散初期", "榜单热度可能由短期讨论驱动，缺少价格确认时误报率较高", ), "机构榜溢价": ( "机构专用席位在相对低位形成明确净买入、且成交承载正常时", "高位机构榜可能对应兑现或对倒，席位净买入不等于持续锁仓", ), } for strategy in CURATED_STRATEGIES: suitable_environment, failure_risk = STRATEGY_ENVIRONMENT_NOTES[strategy["name"]] strategy["formula"]["meta"].update( { "suitable_environment": suitable_environment, "failure_risk": failure_risk, } ) BUILTIN_STRATEGIES.extend(CURATED_STRATEGIES) for strategy in BUILTIN_STRATEGIES: attach_strategy_validity(strategy)