bd7d85817a
三版本 A/B/C 止损策略对比回测 - A: 固定止损 12% - B: ATR x2.5 动态止损 - C: 混合自适应（低波动固定8%/中波动ATR×2.5/高波动ATR×2.0） 含仓位分级、成交量确认、CSV缓存机制 已验证三只港股持仓：01833 / 09886 / 09982 待补全：data/1833.csv 和 data/9886.csv（在外网运行 download_data.py）
325 lines
14 KiB
Python
325 lines
14 KiB
Python
"""
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港股 AI 综合评分系统 v5 — 三版本 A/B/C 对比
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A: 固定止损 12%（全仓）
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B: ATR 动态止损（仓位分级）
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C: 混合策略 — 按股票波动率自动选择 A 或 B
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- ATR/价格 < 5% → 低波动，用固定止损 8%
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- ATR/价格 5~15% → 中波动，用 ATR×2.5 动态
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- ATR/价格 > 15% → 高波动，用 ATR×2.0 + 宽上限 40%
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"""
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import yfinance as yf
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import pandas as pd
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import numpy as np
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import time, os, sys
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import warnings
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warnings.filterwarnings('ignore')
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CACHE_DIR = "data"
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os.makedirs(CACHE_DIR, exist_ok=True)
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FORCE_REFRESH = "--refresh" in sys.argv
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STOCKS = {
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"平安好医生": "1833.HK",
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"叮当健康": "9886.HK",
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"中原建业": "9982.HK",
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}
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PERIOD = "2y"
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INITIAL_CAPITAL = 10000.0
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W_TECH, W_FUND, W_SENT = 0.50, 0.30, 0.20
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BUY_THRESH, SELL_THRESH = 1.5, -1.5
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VOL_CONFIRM = 1.2
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# ── 版本参数 ──────────────────────────────────────────────────────────
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A_FIXED_STOP = 0.12 # A: 固定 12%
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B_ATR_MULT = 2.5 # B: ATR × 2.5
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B_MIN_STOP = 0.08
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B_MAX_STOP = 0.35
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# C: 混合 —— 阈值
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C_LOW_ATR_PCT = 0.05 # ATR% < 5% → 低波动
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C_HIGH_ATR_PCT = 0.15 # ATR% > 15% → 高波动
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C_LOW_FIXED = 0.08 # 低波动用固定 8%
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C_MID_ATR_MULT = 2.5 # 中波动 ATR×2.5
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C_HIGH_ATR_MULT= 2.0 # 高波动 ATR×2.0（更宽）
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C_HIGH_MAX = 0.40 # 高波动上限 40%
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C_MIN_STOP = 0.08
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C_MID_MAX = 0.35
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# ── 快照数据 ──────────────────────────────────────────────────────────
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FUNDAMENTAL = {
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"平安好医生": [
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{"from": "2024-01-01", "score": -3.0},
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{"from": "2024-08-01", "score": -1.0},
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{"from": "2025-01-01", "score": 0.0},
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{"from": "2025-08-01", "score": 1.0},
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],
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"叮当健康": [
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{"from": "2024-01-01", "score": -3.0},
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{"from": "2024-06-01", "score": -2.0},
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{"from": "2025-01-01", "score": -1.0},
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{"from": "2025-09-01", "score": 1.0},
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],
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"中原建业": [
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{"from": "2024-01-01", "score": -3.0},
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{"from": "2024-06-01", "score": -4.0},
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{"from": "2025-01-01", "score": -4.0},
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{"from": "2025-10-01", "score": -5.0},
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],
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}
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SENTIMENT = {
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"平安好医生": [
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{"from": "2024-01-01", "score": -1.0},
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{"from": "2024-10-01", "score": 1.0},
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{"from": "2025-01-01", "score": 2.0},
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{"from": "2026-01-01", "score": 3.0},
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],
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"叮当健康": [
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{"from": "2024-01-01", "score": -2.0},
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{"from": "2024-08-01", "score": -1.0},
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{"from": "2025-04-01", "score": 1.0},
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{"from": "2025-10-01", "score": 2.0},
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],
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"中原建业": [
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{"from": "2024-01-01", "score": -2.0},
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{"from": "2024-06-01", "score": -3.0},
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{"from": "2025-01-01", "score": -3.0},
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{"from": "2025-10-01", "score": -4.0},
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],
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}
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# ── 工具函数 ──────────────────────────────────────────────────────────
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def get_snap(tl, date):
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v = tl[0]["score"]
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for e in tl:
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if str(date.date()) >= e["from"]: v = e["score"]
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else: break
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return v
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def calc_rsi(s, p=14):
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d = s.diff()
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g = d.clip(lower=0).ewm(com=p-1, min_periods=p).mean()
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l = (-d.clip(upper=0)).ewm(com=p-1, min_periods=p).mean()
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return 100 - 100/(1+g/l)
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def calc_macd(s):
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m = s.ewm(span=12,adjust=False).mean() - s.ewm(span=26,adjust=False).mean()
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return m - m.ewm(span=9,adjust=False).mean()
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def calc_atr(df, p=14):
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hi,lo,cl = df["High"],df["Low"],df["Close"]
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tr = pd.concat([(hi-lo),(hi-cl.shift(1)).abs(),(lo-cl.shift(1)).abs()],axis=1).max(axis=1)
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return tr.ewm(com=p-1,min_periods=p).mean()
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def tech_score(row):
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s = 0
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if row.RSI<30: s+=3
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elif row.RSI<45: s+=1
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elif row.RSI>70: s-=3
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elif row.RSI>55: s-=1
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if row.MH>0 and row.MH_p<=0: s+=3
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elif row.MH<0 and row.MH_p>=0: s-=3
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elif row.MH>0: s+=1
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else: s-=1
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if row.MA5>row.MA20>row.MA60: s+=2
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elif row.MA5<row.MA20<row.MA60: s-=2
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if row.Close>row.MA20 and row.Cp<=row.MA20p: s+=1
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elif row.Close<row.MA20 and row.Cp>=row.MA20p: s-=1
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return float(np.clip(s,-10,10))
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def pos_ratio(score):
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if score>=5: return 1.0
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elif score>=3: return 0.6
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return 0.3
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def load(ticker):
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sym = ticker.replace(".HK","")
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fp = os.path.join(CACHE_DIR, f"{sym}.csv")
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if os.path.exists(fp) and not FORCE_REFRESH:
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df = pd.read_csv(fp, index_col=0, parse_dates=True)
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print(f" 📂 缓存: {fp} ({len(df)}行)")
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return df
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print(f" 🌐 下载: {ticker}")
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df = yf.download(ticker, period=PERIOD, auto_adjust=True, progress=False)
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if df.empty: return None
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if isinstance(df.columns, pd.MultiIndex): df.columns = df.columns.droplevel(1)
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df.to_csv(fp)
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return df
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def prep(ticker):
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df = load(ticker)
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if df is None or len(df)<60: return None
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c = df["Close"]
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df["RSI"] = calc_rsi(c)
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h = calc_macd(c)
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df["MH"] = h; df["MH_p"] = h.shift(1)
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for p in [5,20,60]: df[f"MA{p}"] = c.rolling(p).mean()
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df["MA20p"]= df["MA20"].shift(1); df["Cp"] = c.shift(1)
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df["Vol20"]= df["Volume"].rolling(20).mean()
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df["ATR"] = calc_atr(df)
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return df.dropna()
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# ── 混合策略 C 的止损参数选择 ─────────────────────────────────────────
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def c_stop_params(avg_atr_pct):
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"""根据股票历史ATR波动率自动决定止损方式"""
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if avg_atr_pct < C_LOW_ATR_PCT:
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return "fixed", C_LOW_FIXED, C_LOW_FIXED, "低波动→固定止损"
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elif avg_atr_pct < C_HIGH_ATR_PCT:
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return "atr", C_MID_ATR_MULT, C_MID_MAX, "中波动→ATR×2.5"
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else:
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return "atr", C_HIGH_ATR_MULT, C_HIGH_MAX, "高波动→ATR×2.0"
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# ── 通用模拟引擎 ──────────────────────────────────────────────────────
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def simulate(name, df, mode="A", c_avg_atr_pct=None):
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"""
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mode: 'A'=固定止损12%, 'B'=ATR动态, 'C'=混合自适应
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"""
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capital, position, entry = INITIAL_CAPITAL, 0, 0.0
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high_price, trail_pct = 0.0, 0.0
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trades = []
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# C 版预先确定止损类型（全局一致，模拟真实部署）
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c_mode, c_mult, c_max, c_note = ("fixed",0,0,"") if mode!="C" else c_stop_params(c_avg_atr_pct)
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for date, row in df.iterrows():
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f = get_snap(FUNDAMENTAL[name], date)
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s = get_snap(SENTIMENT[name], date)
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t = tech_score(row)
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score = W_TECH*t + W_FUND*f + W_SENT*s
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price = float(row["Close"])
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vol = float(row["Volume"])
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vol20 = float(row["Vol20"])
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# 买入
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if score >= BUY_THRESH and position == 0 and capital > price:
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if vol >= vol20 * VOL_CONFIRM:
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ratio = pos_ratio(score)
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shares = int(capital * ratio / price)
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if shares > 0:
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position, entry, high_price = shares, price, price
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capital -= shares * price
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# 确定止损幅度
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if mode == "A":
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trail_pct = A_FIXED_STOP
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note = f"仓{ratio*100:.0f}% 固定止损{trail_pct*100:.0f}%"
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elif mode == "B":
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raw = float(row["ATR"]) * B_ATR_MULT / price
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trail_pct = float(np.clip(raw, B_MIN_STOP, B_MAX_STOP))
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note = f"仓{ratio*100:.0f}% ATR止损{trail_pct*100:.1f}%"
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else: # C
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if c_mode == "fixed":
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trail_pct = c_mult if c_mult else C_LOW_FIXED
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note = f"仓{ratio*100:.0f}% {c_note} {trail_pct*100:.0f}%"
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else:
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raw = float(row["ATR"]) * c_mult / price
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trail_pct = float(np.clip(raw, C_MIN_STOP, c_max))
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note = f"仓{ratio*100:.0f}% {c_note} {trail_pct*100:.1f}%"
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trades.append({"操作":"买入","日期":date.date(),"价格":round(price,4),
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"股数":shares,"评分":round(score,2),"备注":note})
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elif position > 0:
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high_price = max(high_price, price)
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stop_price = high_price * (1 - trail_pct)
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if price <= stop_price or score <= SELL_THRESH:
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pnl = position*(price-entry); pct = pnl/(position*entry)*100
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reason = (f"止损 高{high_price:.3f}→线{stop_price:.3f}"
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if price<=stop_price else f"评分出({score:.1f})")
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capital += position*price
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trades.append({"操作":"卖出","日期":date.date(),"价格":round(price,4),
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"股数":position,"评分":round(score,2),
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"盈亏%":f"{pct:+.1f}%","备注":reason})
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position, high_price, trail_pct = 0, 0.0, 0.0
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last = float(df["Close"].iloc[-1])
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total = capital + position*last
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if position > 0:
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pct = (last-entry)/entry*100
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trades.append({"操作":"未平仓","日期":"持仓中","价格":round(last,4),
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"股数":position,"评分":"-","盈亏%":f"{pct:+.1f}%","备注":"-"})
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return total, trades
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# ── 主流程 ────────────────────────────────────────────────────────────
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def run_abc(name, ticker):
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print(f"\n{'='*72}")
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print(f" {name} ({ticker})")
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print(f"{'='*72}")
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df = prep(ticker)
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if df is None:
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print(" ⚠️ 数据不足，跳过")
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return None
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avg_atr_pct = float(df["ATR"].mean() / df["Close"].mean())
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bh = (float(df["Close"].iloc[-1]) / float(df["Close"].iloc[0]) - 1)*100
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c_mode, c_mult, c_max, c_note = c_stop_params(avg_atr_pct)
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est_stop = (C_LOW_FIXED if c_mode=="fixed"
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else float(np.clip(df["ATR"].mean()*c_mult/df["Close"].mean(), C_MIN_STOP, c_max)))
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print(f" ATR均值: {avg_atr_pct*100:.1f}% C策略选择: [{c_note}] 估算止损: {est_stop*100:.1f}%")
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print(f" 买入持有收益: {bh:+.1f}%")
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tA, trA = simulate(name, df, "A")
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tB, trB = simulate(name, df, "B")
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tC, trC = simulate(name, df, "C", avg_atr_pct)
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rA = (tA-INITIAL_CAPITAL)/INITIAL_CAPITAL*100
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rB = (tB-INITIAL_CAPITAL)/INITIAL_CAPITAL*100
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rC = (tC-INITIAL_CAPITAL)/INITIAL_CAPITAL*100
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for label, trades in [("A 固定止损12%", trA),("B ATR动态", trB),("C 混合自适应", trC)]:
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print(f"\n 【版本{label}】")
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if not trades: print(" 无信号"); continue
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cols = [c for c in ["操作","日期","价格","股数","评分","盈亏%","备注"]
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if c in pd.DataFrame(trades).columns]
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print(pd.DataFrame(trades)[cols].to_string(index=False))
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best = max([("A",rA),("B",rB),("C",rC)], key=lambda x:x[1])
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print(f"\n {'':20} {'A 固定12%':>11} {'B ATR动态':>11} {'C 混合':>11} {'买入持有':>10}")
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print(f" {'策略总收益':<20} {rA:>+10.1f}% {rB:>+10.1f}% {rC:>+10.1f}% {bh:>+9.1f}%")
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print(f" {'超额收益α':<20} {rA-bh:>+10.1f}% {rB-bh:>+10.1f}% {rC-bh:>+10.1f}%")
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nA = len([t for t in trA if t["操作"] in ("买入","卖出")])
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nB = len([t for t in trB if t["操作"] in ("买入","卖出")])
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nC = len([t for t in trC if t["操作"] in ("买入","卖出")])
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print(f" {'交易次数':<20} {nA:>11} {nB:>11} {nC:>11}")
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print(f" {'🏆 本轮胜出':<20} {'★' if best[0]=='A' else '':>11} {'★' if best[0]=='B' else '':>11} {'★' if best[0]=='C' else '':>11}")
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return {"name":name, "A":rA, "B":rB, "C":rC, "BH":bh,
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"atr":avg_atr_pct*100, "c_note":c_note}
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if __name__ == "__main__":
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print("\n🔬 港股 AI v5 — 三版本 A/B/C 对比回测")
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print(f" A: 固定止损{A_FIXED_STOP*100:.0f}%（全局）")
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print(f" B: ATR×{B_ATR_MULT}动态止损（{B_MIN_STOP*100:.0f}%~{B_MAX_STOP*100:.0f}%）")
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print(f" C: 混合自适应 — ATR<5%→固定8% | 5~15%→ATR×2.5 | >15%→ATR×2.0")
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print(f" 仓位分级: 评分1.5-3→30% | 3-5→60% | >5→100%\n")
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results = []
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for i, (name, ticker) in enumerate(STOCKS.items()):
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if i > 0: time.sleep(3)
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r = run_abc(name, ticker)
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if r: results.append(r)
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if results:
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print(f"\n{'='*72}")
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print(" 📋 最终三版本汇总")
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print(f"{'='*72}")
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print(f" {'股票':<12} {'ATR%':>6} {'C策略':<18} {'A':>9} {'B':>9} {'C':>9} {'买持':>9}")
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print(f" {'-'*70}")
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for r in results:
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marks = {k:"★" for k in ["A","B","C"] if r[k]==max(r["A"],r["B"],r["C"])}
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print(f" {r['name']:<12} {r['atr']:>5.1f}% {r['c_note']:<18}"
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f" {r['A']:>+8.1f}%{marks.get('A',''):1}"
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f" {r['B']:>+8.1f}%{marks.get('B',''):1}"
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f" {r['C']:>+8.1f}%{marks.get('C',''):1}"
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f" {r['BH']:>+8.1f}%")
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avg = {k: np.mean([r[k] for r in results]) for k in ["A","B","C","BH"]}
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best_avg = max("A","B","C", key=lambda k: avg[k])
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marks = {k:"★" for k in ["A","B","C"] if k==best_avg}
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print(f" {'平均':<12} {'':>6} {'':18}"
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f" {avg['A']:>+8.1f}%{marks.get('A',''):1}"
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f" {avg['B']:>+8.1f}%{marks.get('B',''):1}"
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f" {avg['C']:>+8.1f}%{marks.get('C',''):1}"
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f" {avg['BH']:>+8.1f}%")
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print()
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