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https://ghfast.top/https://github.com/aeroxw/tick-stock-panel.git
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shy3130
58f8d7b883
- 趋势/形态: 均线粘合突破 · 平台整理突破 · 放量创60日新高 - 量价/涨停: 涨停基因活跃股 (max_change_pct 参数过滤当日已大涨) - 反转/波动: MACD 零下回升 · 长下影反击 (close_position>=0.5 兼容假阴线) · RSI 中轴回踩 - 阈值统一小数制口径 (change_pct/momentum 除以 100), 一致性测试计数 26
89 lines
2.9 KiB
Python
89 lines
2.9 KiB
Python
"""涨停基因活跃股 — 近期多次涨停的活跃标的池 (股性筛选, 非追板)"""
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import numpy as np
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from app.backtest.matrix import (
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MarketDataMatrix,
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SignalMatrix,
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make_signal_matrix,
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matrix_feature,
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)
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META = {
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"id": "active_limit_gene",
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"name": "涨停基因活跃股",
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"description": "近60日涨停次数达标的活跃标的, 且当日未涨停、缩量休整 — 股性筛选池",
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"tags": ["涨停", "活跃", "股性"],
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"asset_types": ["stock"],
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"timeframes": ["1d"],
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"params": [
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{
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"id": "min_limit_count",
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"label": "近60日最少涨停次数",
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"type": "int",
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"default": 3,
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"min": 2,
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"max": 10,
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"step": 1,
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},
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{
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"id": "vol_ratio_max",
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"label": "当日量比上限 (休整)",
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"type": "float",
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"default": 1.2,
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"min": 0.5,
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"max": 3.0,
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"step": 0.1,
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},
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{
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"id": "max_change_pct",
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"label": "当日涨幅上限% (排除涨停)",
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"type": "float",
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"default": 7.0,
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"min": 3.0,
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"max": 15.0,
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"step": 0.5,
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},
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],
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"scoring": {"limit_up_count_60d": 0.4, "momentum_20d": 0.3, "turnover_ratio_5d": 0.3},
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"order_by": "score",
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"descending": True,
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"limit": 100,
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}
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EXECUTION_BACKEND = "matrix_native"
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ENTRY_SIGNALS = ["signal_active_limit_gene"]
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EXIT_SIGNALS = ["signal_active_gene_cool"]
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STOP_LOSS = -0.08
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MAX_HOLD_DAYS = 25
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class ActiveLimitGeneMatrixStrategy:
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def required_fields(self) -> frozenset[str]:
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return frozenset({"close", "volume"})
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def required_warmup_bars(self, params: dict) -> int:
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del params
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return 70
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def compute_signals(self, market: MarketDataMatrix, params: dict) -> SignalMatrix:
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entry = matrix_feature(market, "limit_up_count_60d") >= int(params.get("min_limit_count", 3))
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# 当日未涨停 (休整日而非情绪顶点) 且量能收敛
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entry &= matrix_feature(market, "change_pct") < float(params.get("max_change_pct", 7.0)) / 100.0
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entry &= matrix_feature(market, "vol_ratio_5d") <= float(params.get("vol_ratio_max", 1.2))
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# 出场: 股性冷却 (60日涨停计数回落到阈值下)
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exit_ = matrix_feature(market, "limit_up_count_60d") < int(params.get("min_limit_count", 3)) - 1
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return make_signal_matrix(
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market.shape,
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entry=entry.astype(np.uint8),
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exit=exit_.astype(np.uint8),
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entry_signal_code=np.where(entry, 0, -1).astype(np.int16),
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exit_signal_code=np.where(exit_, 0, -1).astype(np.int16),
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entry_signal_ids=("signal_active_limit_gene",),
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exit_signal_ids=("signal_active_gene_cool",),
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)
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MATRIX_STRATEGY = ActiveLimitGeneMatrixStrategy()
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