mirror of
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
91 lines
3.1 KiB
Python
91 lines
3.1 KiB
Python
"""长下影反击 — 超跌后放量收长下影线, 多头承接确认"""
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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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from app.backtest.matrix import (
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valid_shift as shift,
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)
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META = {
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"id": "long_lower_shadow_reversal",
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"name": "长下影反击",
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"description": "近5日超跌后收长下影线且收盘收复实体, 下方承接强势的反转信号",
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"tags": ["K线形态", "超跌", "反转"],
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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": "shadow_pct_min",
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"label": "下影线最低长度% (相对昨收)",
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"type": "float",
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"default": 3.0,
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"min": 1.0,
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"max": 10.0,
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"step": 0.5,
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},
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{
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"id": "drop_pct_max",
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"label": "近5日累计跌幅下限% (负值)",
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"type": "float",
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"default": -5.0,
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"min": -30.0,
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"max": 0.0,
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"step": 1.0,
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},
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{"id": "require_recovery", "label": "要求收盘收复上半区", "type": "bool", "default": True},
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],
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"scoring": {"momentum_20d": 0.3, "vol_ratio_5d": 0.4, "change_pct": 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_long_lower_shadow"]
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EXIT_SIGNALS = ["signal_ma5_lose_after_shadow"]
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STOP_LOSS = -0.05
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MAX_HOLD_DAYS = 10
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class LongLowerShadowReversalMatrixStrategy:
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def required_fields(self) -> frozenset[str]:
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return frozenset({"open", "high", "low", "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 20
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def compute_signals(self, market: MarketDataMatrix, params: dict) -> SignalMatrix:
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prev_close = matrix_feature(market, "prev_close")
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body_bot = np.minimum(market.open, market.close)
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shadow_pct = (body_bot - market.low) / prev_close * 100.0
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entry = shadow_pct >= float(params.get("shadow_pct_min", 3.0))
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entry &= matrix_feature(market, "momentum_5d") <= float(params.get("drop_pct_max", -5.0)) / 100.0
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entry &= matrix_feature(market, "vol_ratio_5d") >= 1.2 # 承接需有量
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if params.get("require_recovery", True):
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# 收盘位于当日振幅上半部 (close_position ∈ [0,1]): 长下影反击常为低开回拉,
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# 收盘仍可能低于开盘 (假阴线), 用位置而非阴阳判定收复力度
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entry &= matrix_feature(market, "close_position") >= 0.5
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ma5 = matrix_feature(market, "ma5")
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exit_ = market.close < ma5
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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_long_lower_shadow",),
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exit_signal_ids=("signal_ma5_lose_after_shadow",),
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)
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MATRIX_STRATEGY = LongLowerShadowReversalMatrixStrategy()
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