2811 lines
71 KiB
JSON
2811 lines
71 KiB
JSON
{
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"schema_version": 1,
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"strategies": [
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{
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|
"id": "stage-01",
|
|
"version": 1,
|
|
"kind": "stage",
|
|
"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"
|
|
],
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"formula": {
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"universe": {
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"exclude_st": true,
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"listed_days_min": 120
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},
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"filters": [
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{
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"field": "pct_chg",
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"op": "between",
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"value": [
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-3,
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7
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]
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},
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{
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"field": "return_5d",
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"op": ">=",
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"value": -5
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},
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{
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"field": "amount_billion",
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"op": ">=",
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"value": 1
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},
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{
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"field": "volatility_10d",
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"op": "<=",
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"value": 7
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}
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],
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"score": [
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{
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"field": "relative_strength",
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"weight": 0.3,
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"direction": "desc"
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},
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{
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"field": "sector_strength",
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"weight": 0.25,
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"direction": "desc"
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},
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{
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"field": "volume_ratio_5d",
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"weight": 0.2,
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"direction": "desc"
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},
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{
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"field": "volatility_10d",
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"weight": 0.15,
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"direction": "asc"
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},
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{
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"field": "amount_billion",
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"weight": 0.1,
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"direction": "desc"
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}
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],
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"limit": 12,
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"min_score": 0.58,
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"meta": {
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"library": "smart",
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"category": "周期策略",
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"quality": "系统",
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"frequency": "每日",
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|
"risk": "随市场阶段",
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"data_group": "行情因子"
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|
}
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|
}
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|
},
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|
{
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"id": "stage-02",
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|
"version": 1,
|
|
"kind": "stage",
|
|
"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"
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|
],
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|
"formula": {
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"universe": {
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"exclude_st": true,
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"listed_days_min": 120
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},
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"filters": [
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{
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"field": "pct_chg",
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"op": "between",
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"value": [
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1,
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|
9.7
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]
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},
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{
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"field": "return_5d",
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"op": ">",
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"value": 0
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},
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{
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"field": "above_ma20",
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"op": "==",
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"value": 1
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},
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{
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"field": "volume_ratio_5d",
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"op": ">=",
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"value": 1.05
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}
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],
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"score": [
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{
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|
"field": "sector_strength",
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"weight": 0.28,
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"direction": "desc"
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},
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{
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|
"field": "relative_strength",
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"weight": 0.24,
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"direction": "desc"
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},
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{
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|
"field": "volume_ratio_5d",
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|
"weight": 0.18,
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"direction": "desc"
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},
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{
|
|
"field": "net_flow_million",
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|
"weight": 0.16,
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|
"direction": "desc"
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|
},
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{
|
|
"field": "amount_billion",
|
|
"weight": 0.14,
|
|
"direction": "desc"
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|
}
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|
],
|
|
"limit": 15,
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|
"min_score": 0.54,
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|
"meta": {
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|
"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"
|
|
}
|
|
}
|
|
},
|
|
{
|
|
"id": "stage-03",
|
|
"version": 1,
|
|
"kind": "stage",
|
|
"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
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|
},
|
|
"filters": [
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{
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|
"field": "pct_chg",
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|
"op": "between",
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|
"value": [
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0,
|
|
9.8
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|
]
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},
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|
{
|
|
"field": "return_5d",
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|
"op": ">=",
|
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"value": 3
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},
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{
|
|
"field": "above_ma20",
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|
"op": "==",
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"value": 1
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},
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{
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|
"field": "amount_billion",
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"op": ">=",
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"value": 2
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}
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],
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"score": [
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{
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"field": "sector_limit_count",
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"weight": 0.25,
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"direction": "desc"
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},
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{
|
|
"field": "sector_strength",
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"weight": 0.24,
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"direction": "desc"
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},
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{
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|
"field": "return_10d",
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"weight": 0.2,
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"direction": "desc"
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},
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{
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|
"field": "amount_billion",
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|
"weight": 0.16,
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"direction": "desc"
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},
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{
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|
"field": "large_flow_million",
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|
"weight": 0.15,
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"direction": "desc"
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|
}
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|
],
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|
"limit": 15,
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"min_score": 0.55,
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|
"meta": {
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|
"library": "smart",
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|
"category": "周期策略",
|
|
"quality": "系统",
|
|
"frequency": "每日",
|
|
"risk": "随市场阶段",
|
|
"data_group": "行情因子"
|
|
}
|
|
}
|
|
},
|
|
{
|
|
"id": "stage-04",
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|
"version": 1,
|
|
"kind": "stage",
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|
"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": {
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|
"universe": {
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"exclude_st": true,
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"listed_days_min": 120
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},
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"filters": [
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{
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"field": "pct_chg",
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|
"op": "between",
|
|
"value": [
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-2,
|
|
7
|
|
]
|
|
},
|
|
{
|
|
"field": "return_10d",
|
|
"op": ">=",
|
|
"value": 5
|
|
},
|
|
{
|
|
"field": "above_ma20",
|
|
"op": "==",
|
|
"value": 1
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|
},
|
|
{
|
|
"field": "amount_billion",
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|
"op": ">=",
|
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"value": 5
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|
}
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|
],
|
|
"score": [
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|
{
|
|
"field": "amount_billion",
|
|
"weight": 0.28,
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|
"direction": "desc"
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|
},
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|
{
|
|
"field": "sector_strength",
|
|
"weight": 0.22,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "relative_strength",
|
|
"weight": 0.2,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "volatility_10d",
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|
"weight": 0.15,
|
|
"direction": "asc"
|
|
},
|
|
{
|
|
"field": "limit_streak",
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|
"weight": 0.15,
|
|
"direction": "desc"
|
|
}
|
|
],
|
|
"limit": 10,
|
|
"min_score": 0.62,
|
|
"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"
|
|
}
|
|
}
|
|
},
|
|
{
|
|
"id": "stage-05",
|
|
"version": 1,
|
|
"kind": "stage",
|
|
"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": [
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{
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"field": "pct_chg",
|
|
"op": "between",
|
|
"value": [
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-3,
|
|
7
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|
]
|
|
},
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|
{
|
|
"field": "return_5d",
|
|
"op": ">",
|
|
"value": 0
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|
},
|
|
{
|
|
"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": 0.2,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "volatility_10d",
|
|
"weight": 0.16,
|
|
"direction": "asc"
|
|
},
|
|
{
|
|
"field": "amount_billion",
|
|
"weight": 0.12,
|
|
"direction": "desc"
|
|
}
|
|
],
|
|
"limit": 12,
|
|
"min_score": 0.57,
|
|
"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"
|
|
}
|
|
}
|
|
},
|
|
{
|
|
"id": "stage-06",
|
|
"version": 1,
|
|
"kind": "stage",
|
|
"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": [
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|
-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": 0.3,
|
|
"direction": "asc"
|
|
},
|
|
{
|
|
"field": "relative_strength",
|
|
"weight": 0.25,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "amount_billion",
|
|
"weight": 0.2,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "sector_strength",
|
|
"weight": 0.15,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "net_flow_million",
|
|
"weight": 0.1,
|
|
"direction": "desc"
|
|
}
|
|
],
|
|
"limit": 8,
|
|
"min_score": 0.68,
|
|
"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"
|
|
}
|
|
}
|
|
},
|
|
{
|
|
"id": "stage-07",
|
|
"version": 1,
|
|
"kind": "stage",
|
|
"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,
|
|
"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"
|
|
}
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-01",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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": [
|
|
"ice",
|
|
"repair",
|
|
"fermentation",
|
|
"climax",
|
|
"divergence",
|
|
"retreat"
|
|
],
|
|
"formula": {
|
|
"meta": {
|
|
"library": "curated",
|
|
"category": "红利价值",
|
|
"quality": "A",
|
|
"frequency": "月度",
|
|
"risk": "中低",
|
|
"data_group": "估值与财务",
|
|
"suitable_environment": "防守市、低利率环境与中长期配置窗口",
|
|
"failure_risk": "风险偏好快速上升时，稳健资产的价格弹性通常落后"
|
|
},
|
|
"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": 0.3,
|
|
"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
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-02",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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",
|
|
"suitable_environment": "震荡偏弱、重视盈利质量与回撤控制的市场",
|
|
"failure_risk": "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"
|
|
},
|
|
"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
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-03",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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",
|
|
"suitable_environment": "估值修复、价值回归及防守配置阶段",
|
|
"failure_risk": "低估值可能来自基本面持续走弱，需警惕价值陷阱"
|
|
},
|
|
"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": 0.2,
|
|
"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
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-04",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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",
|
|
"suitable_environment": "业绩驱动、成长风格占优且趋势获得确认的阶段",
|
|
"failure_risk": "增长预期下修或估值快速收缩时，回撤可能明显放大"
|
|
},
|
|
"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": 0.2,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "pe_ttm",
|
|
"weight": 0.16,
|
|
"direction": "asc"
|
|
},
|
|
{
|
|
"field": "relative_strength",
|
|
"weight": 0.14,
|
|
"direction": "desc"
|
|
}
|
|
],
|
|
"limit": 20,
|
|
"min_score": 0.55
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-05",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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",
|
|
"suitable_environment": "主线清晰、行业内部多数个股同步走强的行情",
|
|
"failure_risk": "板块快速轮动时，宽度信号容易在确认后迅速衰减"
|
|
},
|
|
"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": 0.2,
|
|
"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
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-06",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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",
|
|
"suitable_environment": "情绪修复期的分歧转一致与首板次日承接",
|
|
"failure_risk": "退潮加速或低开缺少量能承接时，弱势可能继续扩大"
|
|
},
|
|
"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": 0.2,
|
|
"direction": "asc"
|
|
},
|
|
{
|
|
"field": "sector_strength",
|
|
"weight": 0.16,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "auction_volume_ratio",
|
|
"weight": 0.12,
|
|
"direction": "desc"
|
|
}
|
|
],
|
|
"limit": 12,
|
|
"min_score": 0.5
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-07",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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",
|
|
"suitable_environment": "趋势蓄势、波动收敛后临近突破的结构市",
|
|
"failure_risk": "无量突破或指数剧烈震荡时，容易形成冲高回落"
|
|
},
|
|
"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": 0.9
|
|
}
|
|
],
|
|
"score": [
|
|
{
|
|
"field": "close_to_high_15d",
|
|
"weight": 0.26,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "volume_ratio_5d",
|
|
"weight": 0.22,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "relative_strength",
|
|
"weight": 0.2,
|
|
"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
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-08",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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",
|
|
"suitable_environment": "高度拓展、题材梯队完整且接力情绪活跃的阶段",
|
|
"failure_risk": "亏钱效应扩散或高位股集中退潮时，接力风险很高"
|
|
},
|
|
"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": 0.1,
|
|
"direction": "desc"
|
|
}
|
|
],
|
|
"limit": 10,
|
|
"min_score": 0.5
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-09",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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",
|
|
"suitable_environment": "小盘风格活跃、流动性宽松且风险偏好较高的行情",
|
|
"failure_risk": "风格切向大盘或微盘流动性收缩时，组合波动会显著上升"
|
|
},
|
|
"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": 0.2,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "turnover_rate",
|
|
"weight": 0.14,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "relative_strength",
|
|
"weight": 0.1,
|
|
"direction": "desc"
|
|
}
|
|
],
|
|
"limit": 20,
|
|
"min_score": 0.52
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-10",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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",
|
|
"suitable_environment": "竞价承接明确、短线情绪修复或主线发酵阶段",
|
|
"failure_risk": "高开缺乏板块共振时，竞价强势可能转为盘中兑现"
|
|
},
|
|
"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
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-11",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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": {
|
|
"library": "curated",
|
|
"category": "动量反转",
|
|
"quality": "A-",
|
|
"frequency": "每周",
|
|
"risk": "中",
|
|
"data_group": "历史行情",
|
|
"history_days": 80,
|
|
"backtest_days": 10,
|
|
"take_profit": 8,
|
|
"stop_loss": -5,
|
|
"suitable_environment": "趋势延续、主升段及强弱分化清晰的行情",
|
|
"failure_risk": "无趋势震荡或快速轮动中，动量信号容易反复失效"
|
|
},
|
|
"universe": {
|
|
"exclude_st": true,
|
|
"listed_days_min": 180
|
|
},
|
|
"filters": [
|
|
{
|
|
"field": "close",
|
|
"op": "between",
|
|
"value": [
|
|
3,
|
|
100
|
|
]
|
|
},
|
|
{
|
|
"field": "momentum_60_5_rank",
|
|
"op": ">=",
|
|
"value": 0.9
|
|
},
|
|
{
|
|
"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": 0.2,
|
|
"direction": "desc"
|
|
}
|
|
],
|
|
"limit": 25,
|
|
"min_score": 0.5
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-12",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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": {
|
|
"library": "curated",
|
|
"category": "动量反转",
|
|
"quality": "A-",
|
|
"frequency": "每日",
|
|
"risk": "中",
|
|
"data_group": "历史行情",
|
|
"history_days": 80,
|
|
"backtest_days": 10,
|
|
"take_profit": 8,
|
|
"stop_loss": -5,
|
|
"suitable_environment": "主升趋势未破、强势股完成良性回踩的窗口",
|
|
"failure_risk": "趋势已反转时，回调信号可能演变为下跌中继"
|
|
},
|
|
"universe": {
|
|
"exclude_st": true,
|
|
"listed_days_min": 180
|
|
},
|
|
"filters": [
|
|
{
|
|
"field": "momentum_60_5_rank",
|
|
"op": ">=",
|
|
"value": 0.7
|
|
},
|
|
{
|
|
"field": "return_5d_rank",
|
|
"op": "<=",
|
|
"value": 0.2
|
|
},
|
|
{
|
|
"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
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-13",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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": {
|
|
"library": "curated",
|
|
"category": "动量反转",
|
|
"quality": "B+",
|
|
"frequency": "每日",
|
|
"risk": "高",
|
|
"data_group": "行情与财务",
|
|
"history_days": 80,
|
|
"backtest_days": 5,
|
|
"take_profit": 8,
|
|
"stop_loss": -5,
|
|
"suitable_environment": "急跌后恐慌释放充分、市场进入修复预期的阶段",
|
|
"failure_risk": "单边下跌初段容易过早介入，超跌不等于止跌"
|
|
},
|
|
"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": 0.3,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "amount_billion",
|
|
"weight": 0.25,
|
|
"direction": "desc"
|
|
}
|
|
],
|
|
"limit": 10,
|
|
"min_score": 0.5
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-14",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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": {
|
|
"library": "curated",
|
|
"category": "动量反转",
|
|
"quality": "A",
|
|
"frequency": "每周",
|
|
"risk": "中",
|
|
"data_group": "行情与指数",
|
|
"history_days": 130,
|
|
"backtest_days": 20,
|
|
"take_profit": 12,
|
|
"stop_loss": -7,
|
|
"requires_benchmark": true,
|
|
"suitable_environment": "指数偏弱但结构性主线明确，或机构抱团强化的行情",
|
|
"failure_risk": "基准快速补涨或强势方向瓦解时，相对优势可能迅速消失"
|
|
},
|
|
"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": 0.5,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "ma60_slope",
|
|
"weight": 0.25,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "amount_billion",
|
|
"weight": 0.25,
|
|
"direction": "desc"
|
|
}
|
|
],
|
|
"limit": 20,
|
|
"min_score": 0.52
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-15",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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": {
|
|
"library": "curated",
|
|
"category": "趋势追踪",
|
|
"quality": "A-",
|
|
"frequency": "每周",
|
|
"risk": "中低",
|
|
"data_group": "历史行情",
|
|
"history_days": 260,
|
|
"backtest_days": 20,
|
|
"take_profit": 12,
|
|
"stop_loss": -7,
|
|
"suitable_environment": "中期趋势向上、回撤有序的趋势市与主升段",
|
|
"failure_risk": "高位趋势末端或宽幅震荡中，均线信号通常反应滞后"
|
|
},
|
|
"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": 0.3,
|
|
"direction": "desc"
|
|
}
|
|
],
|
|
"limit": 30,
|
|
"min_score": 0.5
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-16",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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": {
|
|
"library": "curated",
|
|
"category": "趋势追踪",
|
|
"quality": "A-",
|
|
"frequency": "每日",
|
|
"risk": "中",
|
|
"data_group": "历史行情",
|
|
"history_days": 80,
|
|
"backtest_days": 20,
|
|
"take_profit": 12,
|
|
"stop_loss": -7,
|
|
"suitable_environment": "整理末端、放量突破并启动新趋势的行情",
|
|
"failure_risk": "无量突破和宽幅震荡环境中，假突破出现概率较高"
|
|
},
|
|
"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": 0.4,
|
|
"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
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-17",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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": {
|
|
"library": "curated",
|
|
"category": "趋势追踪",
|
|
"quality": "A",
|
|
"frequency": "每周",
|
|
"risk": "中低",
|
|
"data_group": "多周期行情",
|
|
"history_days": 180,
|
|
"backtest_days": 20,
|
|
"take_profit": 12,
|
|
"stop_loss": -7,
|
|
"suitable_environment": "中期趋势稳定、日线回踩或再启动的多周期共振阶段",
|
|
"failure_risk": "周线拐点尚未确认时，日线信号可能只是短暂反抽"
|
|
},
|
|
"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": 0.3,
|
|
"direction": "desc"
|
|
}
|
|
],
|
|
"limit": 20,
|
|
"min_score": 0.52
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-18",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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": {
|
|
"library": "curated",
|
|
"category": "连板接力",
|
|
"quality": "B+",
|
|
"frequency": "每日",
|
|
"risk": "很高",
|
|
"data_group": "涨停结构",
|
|
"history_days": 80,
|
|
"backtest_days": 3,
|
|
"take_profit": 8,
|
|
"stop_loss": -6,
|
|
"suitable_environment": "市场高度持续拓展、板块梯队完整的强接力环境",
|
|
"failure_risk": "高度压缩或亏钱效应扩散时，最高板的补跌风险极高"
|
|
},
|
|
"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": 0.5,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "sector_limit_count",
|
|
"weight": 0.3,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "amount_billion",
|
|
"weight": 0.2,
|
|
"direction": "desc"
|
|
}
|
|
],
|
|
"limit": 5,
|
|
"min_score": 0.45
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-19",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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": {
|
|
"library": "curated",
|
|
"category": "低吸反核",
|
|
"quality": "B",
|
|
"frequency": "每日",
|
|
"risk": "很高",
|
|
"data_group": "涨停结构",
|
|
"history_days": 80,
|
|
"backtest_days": 5,
|
|
"take_profit": 8,
|
|
"stop_loss": -6,
|
|
"suitable_environment": "主线龙头仍有辨识度、首次分歧后存在回流预期的阶段",
|
|
"failure_risk": "题材退潮或龙头地位被替代后，首阴可能只是下跌起点"
|
|
},
|
|
"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": 0.3,
|
|
"direction": "asc"
|
|
},
|
|
{
|
|
"field": "sector_strength",
|
|
"weight": 0.25,
|
|
"direction": "desc"
|
|
}
|
|
],
|
|
"limit": 5,
|
|
"min_score": 0.48
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-20",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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": {
|
|
"library": "curated",
|
|
"category": "低吸反核",
|
|
"quality": "B+",
|
|
"frequency": "每日",
|
|
"risk": "高",
|
|
"data_group": "涨停结构",
|
|
"history_days": 80,
|
|
"backtest_days": 3,
|
|
"take_profit": 8,
|
|
"stop_loss": -6,
|
|
"suitable_environment": "强势题材分歧后快速修复、核心股重新获得资金承接时",
|
|
"failure_risk": "板块强度不足或反包缩量时，形态持续性通常较弱"
|
|
},
|
|
"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": 0.3,
|
|
"direction": "desc"
|
|
}
|
|
],
|
|
"limit": 5,
|
|
"min_score": 0.46
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-21",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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": {
|
|
"library": "curated",
|
|
"category": "低吸反核",
|
|
"quality": "B+",
|
|
"frequency": "每日",
|
|
"risk": "很高",
|
|
"data_group": "历史行情",
|
|
"history_days": 80,
|
|
"backtest_days": 5,
|
|
"take_profit": 8,
|
|
"stop_loss": -6,
|
|
"suitable_environment": "恐慌释放后出现明确承接、短线情绪转暖的窗口",
|
|
"failure_risk": "系统性退潮中深水拉回可能只是日内脉冲，隔日风险较高"
|
|
},
|
|
"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": 0.3,
|
|
"direction": "asc"
|
|
},
|
|
{
|
|
"field": "sector_strength",
|
|
"weight": 0.28,
|
|
"direction": "desc"
|
|
}
|
|
],
|
|
"limit": 5,
|
|
"min_score": 0.48
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-22",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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": {
|
|
"library": "curated",
|
|
"category": "行业轮动",
|
|
"quality": "A-",
|
|
"frequency": "双周",
|
|
"risk": "中",
|
|
"data_group": "行业、财务与交易拥挤",
|
|
"history_days": 80,
|
|
"backtest_days": 20,
|
|
"take_profit": 12,
|
|
"stop_loss": -7,
|
|
"requires_fundamental": true,
|
|
"suitable_environment": "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",
|
|
"failure_risk": "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"
|
|
},
|
|
"universe": {
|
|
"exclude_st": true,
|
|
"listed_days_min": 180
|
|
},
|
|
"filters": [
|
|
{
|
|
"field": "sector_composite_score",
|
|
"op": ">=",
|
|
"value": 0.58
|
|
},
|
|
{
|
|
"field": "sector_crowding_rank",
|
|
"op": "<=",
|
|
"value": 0.9
|
|
},
|
|
{
|
|
"field": "sector_stock_momentum_rank",
|
|
"op": ">=",
|
|
"value": 0.5
|
|
},
|
|
{
|
|
"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": 0.2,
|
|
"direction": "asc"
|
|
}
|
|
],
|
|
"limit": 12,
|
|
"min_score": 0.5
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-23",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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": {
|
|
"library": "curated",
|
|
"category": "元策略",
|
|
"quality": "A-",
|
|
"frequency": "每周",
|
|
"risk": "中低",
|
|
"data_group": "行情、估值与财务",
|
|
"history_days": 80,
|
|
"backtest_days": 20,
|
|
"take_profit": 12,
|
|
"stop_loss": -7,
|
|
"requires_fundamental": true,
|
|
"requires_valuation": true,
|
|
"suitable_environment": "大小盘或成长价值风格形成持续相对强弱的阶段",
|
|
"failure_risk": "风格快速往返切换时，近20日相对表现容易产生滞后信号"
|
|
},
|
|
"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": 0.7,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "relative_strength",
|
|
"weight": 0.3,
|
|
"direction": "desc"
|
|
}
|
|
],
|
|
"limit": 20,
|
|
"min_score": 0.52
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-24",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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": {
|
|
"library": "curated",
|
|
"category": "业绩事件",
|
|
"quality": "A-",
|
|
"frequency": "事件驱动",
|
|
"risk": "中",
|
|
"data_group": "业绩预告与快报",
|
|
"history_days": 80,
|
|
"backtest_days": 20,
|
|
"take_profit": 12,
|
|
"stop_loss": -7,
|
|
"requires_earnings_events": true,
|
|
"suitable_environment": "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",
|
|
"failure_risk": "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"
|
|
},
|
|
"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": 0.6,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "relative_strength",
|
|
"weight": 0.25,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "amount_billion",
|
|
"weight": 0.15,
|
|
"direction": "desc"
|
|
}
|
|
],
|
|
"limit": 15,
|
|
"min_score": 0.5
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-25",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"name": "动态多因子（基础版）",
|
|
"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": {
|
|
"library": "curated",
|
|
"category": "多因子",
|
|
"quality": "A-",
|
|
"frequency": "每周",
|
|
"risk": "中",
|
|
"data_group": "行情、估值与财务",
|
|
"history_days": 260,
|
|
"backtest_days": 20,
|
|
"take_profit": 12,
|
|
"stop_loss": -7,
|
|
"requires_fundamental": true,
|
|
"requires_valuation": true,
|
|
"suitable_environment": "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",
|
|
"failure_risk": "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"
|
|
},
|
|
"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": 0.1,
|
|
"direction": "desc"
|
|
}
|
|
],
|
|
"limit": 30,
|
|
"min_score": 0.55
|
|
},
|
|
"display_name": "动态多因子（基础版）"
|
|
},
|
|
{
|
|
"id": "curated-26",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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": {
|
|
"library": "curated",
|
|
"category": "热度观察",
|
|
"quality": "B+",
|
|
"frequency": "每日",
|
|
"risk": "高",
|
|
"data_group": "人气榜与行情",
|
|
"history_days": 80,
|
|
"backtest_days": 10,
|
|
"take_profit": 10,
|
|
"stop_loss": -7,
|
|
"requires_popularity": true,
|
|
"backtestable": false,
|
|
"suitable_environment": "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",
|
|
"failure_risk": "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"
|
|
},
|
|
"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": 0.5,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "popularity_rank_change",
|
|
"weight": 0.25,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "popularity_dual_source",
|
|
"weight": 0.1,
|
|
"direction": "desc"
|
|
},
|
|
{
|
|
"field": "amount_billion",
|
|
"weight": 0.15,
|
|
"direction": "desc"
|
|
}
|
|
],
|
|
"limit": 10,
|
|
"min_score": 0.48
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-27",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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": {
|
|
"library": "curated",
|
|
"category": "资金席位",
|
|
"quality": "B+",
|
|
"frequency": "每日",
|
|
"risk": "中高",
|
|
"data_group": "龙虎榜机构席位",
|
|
"history_days": 80,
|
|
"backtest_days": 10,
|
|
"take_profit": 10,
|
|
"stop_loss": -7,
|
|
"requires_institutions": true,
|
|
"suitable_environment": "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",
|
|
"failure_risk": "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"
|
|
},
|
|
"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": 0.2,
|
|
"direction": "asc"
|
|
},
|
|
{
|
|
"field": "amount_billion",
|
|
"weight": 0.1,
|
|
"direction": "desc"
|
|
}
|
|
],
|
|
"limit": 10,
|
|
"min_score": 0.48
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-28",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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": {
|
|
"library": "curated",
|
|
"category": "行业轮动",
|
|
"quality": "A-",
|
|
"frequency": "双周",
|
|
"risk": "中",
|
|
"data_group": "行业与历史行情",
|
|
"history_days": 80,
|
|
"backtest_days": 20,
|
|
"take_profit": 12,
|
|
"stop_loss": -7,
|
|
"suitable_environment": "主线相对清晰、行业趋势能够延续两周以上的结构市",
|
|
"failure_risk": "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"
|
|
},
|
|
"universe": {
|
|
"exclude_st": true,
|
|
"listed_days_min": 180
|
|
},
|
|
"filters": [
|
|
{
|
|
"field": "sector_momentum_rank",
|
|
"op": ">=",
|
|
"value": 0.9
|
|
},
|
|
{
|
|
"field": "sector_stock_momentum_rank",
|
|
"op": ">=",
|
|
"value": 0.8
|
|
},
|
|
{
|
|
"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
|
|
}
|
|
},
|
|
{
|
|
"id": "curated-29",
|
|
"version": 1,
|
|
"kind": "curated",
|
|
"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": {
|
|
"library": "curated",
|
|
"category": "行业轮动",
|
|
"quality": "B+",
|
|
"frequency": "每周",
|
|
"risk": "中高",
|
|
"data_group": "行业与资金流",
|
|
"history_days": 80,
|
|
"backtest_days": 10,
|
|
"take_profit": 10,
|
|
"stop_loss": -7,
|
|
"requires_moneyflow_history": true,
|
|
"suitable_environment": "板块轮动初期、资金先于价格形成连续净流入的阶段",
|
|
"failure_risk": "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"
|
|
},
|
|
"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": 0.3,
|
|
"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
|
|
}
|
|
}
|
|
]
|
|
}
|