初始提交：高股息策略研究与回测系统
从 Point-in-Time 股票筛选到统一 Web 前端的完整链路： 筛选 → 画像 → 策略 → 回测 → Walk-forward → 绩效分析 → 报告/前端。 架构 - 数据层与策略层分离；策略代码不写 SQL，只经 data/repo.py 取数 - 所有业务阈值集中在 config/*.yml，代码零硬编码（字段写错直接报错） - 报告只做「run_id → SQL → 渲染」，不做任何计算，数字可追溯 - 前后端分离：output/ 静态站点 + hdiv web 提供的 REST API 数据安全 - 只增不删：SQL 钩子拦截 DELETE/DROP/TRUNCATE，并有源码扫描测试守护 - qlib 原有表只读，本项目数据写入 hd_ 前缀表 - 回补使用 INSERT IGNORE，保证既有行零改动 - .env 存密钥且已 gitignore；output/、logs/、.venv/ 不入库 交付物 - 30 张 hd_* 表、7 个 YAML 配置、283 项自动化测试 - 统一 Web 前端（hash 路由 SPA）+ nginx 部署配置与 launchd 托管脚本 如实声明的限制 - 策略缺少稳定的样本外超额收益（Walk-forward 7 窗口均值 -0.95%， 基准 +2.29%）；其价值体现在回撤控制，而非超额收益 - 涨跌停/停牌约束仅覆盖 2019 年起；index_weight 尚未填充 - AI Agent 层（plan.md 第四版 P8）未实现 详见 docs/user-guide.md 与 docs/implementation-status.md。
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-- 全部 hd_* 表结构（幂等）
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-- 生成自 src/hdiv/data/schema.py
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-- 分红送转全明细（plan.md §14/§30 的数据基座）
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CREATE TABLE IF NOT EXISTS `hd_dividend` (
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`id` BIGINT NOT NULL AUTO_INCREMENT,
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`symbol` VARCHAR(12) NOT NULL,
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`end_date` DATE NOT NULL COMMENT '分红对应报告期',
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`ann_date` DATE NULL COMMENT '预案公告日',
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`imp_ann_date` DATE NULL COMMENT '实施公告日 —— PIT 关键字段',
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`div_proc` VARCHAR(16) NOT NULL COMMENT '预案/股东大会通过/实施/取消',
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`dedup_key` VARCHAR(80) NOT NULL COMMENT '去重键：NULL 不参与 MySQL 唯一约束，故显式构造',
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`stk_div` DECIMAL(16,6) NULL COMMENT '每股送转股',
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`stk_bo_rate` DECIMAL(16,6) NULL COMMENT '每股送股比例',
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`stk_co_rate` DECIMAL(16,6) NULL COMMENT '每股转增比例',
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`cash_div` DECIMAL(16,6) NULL COMMENT '每股税后现金分红（元）',
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`cash_div_tax` DECIMAL(16,6) NULL COMMENT '每股税前现金分红（元）—— 连续性判定口径',
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`record_date` DATE NULL COMMENT '股权登记日',
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`ex_date` DATE NULL COMMENT '除权除息日',
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`pay_date` DATE NULL COMMENT '派息日',
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`div_listdate` DATE NULL COMMENT '红股上市日',
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`base_share` DECIMAL(24,4) NULL COMMENT '基准股本（万股）',
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`source` VARCHAR(16) NOT NULL DEFAULT 'tushare',
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`created_at` DATETIME NOT NULL,
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PRIMARY KEY (`id`),
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UNIQUE KEY `uq_hd_div_key` (`dedup_key`),
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KEY `ix_hd_div_ex` (`symbol`,`ex_date`),
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KEY `ix_hd_div_pit` (`symbol`,`imp_ann_date`),
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KEY `ix_hd_div_proc` (`div_proc`,`ex_date`)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='分红送转全明细';
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-- 扩展财务指标（G4；带 announce_date 以支持 PIT）
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CREATE TABLE IF NOT EXISTS `hd_fina_indicator` (
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`id` BIGINT NOT NULL AUTO_INCREMENT,
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`symbol` VARCHAR(12) NOT NULL,
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`end_date` DATE NOT NULL COMMENT '报告期',
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`ann_date` DATE NOT NULL COMMENT '公告日 —— PIT 关键字段',
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`eps` DECIMAL(16,6) NULL,
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`roe` DECIMAL(16,6) NULL COMMENT '净资产收益率 %',
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`roe_waa` DECIMAL(16,6) NULL COMMENT '加权平均 ROE %',
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`roe_dt` DECIMAL(16,6) NULL COMMENT '扣非 ROE %',
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`roa` DECIMAL(16,6) NULL,
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`roic` DECIMAL(16,6) NULL COMMENT '投入资本回报率 %',
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`grossprofit_margin` DECIMAL(16,6) NULL COMMENT '毛利率 %',
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`netprofit_margin` DECIMAL(16,6) NULL COMMENT '净利率 %',
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`debt_to_assets` DECIMAL(16,6) NULL COMMENT '资产负债率 %',
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`current_ratio` DECIMAL(16,6) NULL,
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`quick_ratio` DECIMAL(16,6) NULL,
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`ocf_to_or` DECIMAL(16,6) NULL COMMENT '经营现金流/营收 %',
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`ocf_to_opincome` DECIMAL(16,6) NULL COMMENT '经营现金流/经营利润 %',
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`ocf_to_profit` DECIMAL(16,6) NULL COMMENT '经营现金流/净利润（盈利质量）',
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`netdebt` DECIMAL(24,4) NULL,
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`interestdebt` DECIMAL(24,4) NULL,
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`ebit` DECIMAL(24,4) NULL,
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`ebitda` DECIMAL(24,4) NULL,
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`interest_cover` DECIMAL(16,6) NULL COMMENT '利息保障倍数',
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`fcff` DECIMAL(24,4) NULL COMMENT '企业自由现金流',
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`fcfe` DECIMAL(24,4) NULL COMMENT '股权自由现金流',
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`source` VARCHAR(16) NOT NULL DEFAULT 'tushare',
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`created_at` DATETIME NOT NULL,
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PRIMARY KEY (`id`),
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UNIQUE KEY `uq_hd_fina` (`symbol`,`end_date`,`ann_date`),
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KEY `ix_hd_fina_pit` (`symbol`,`ann_date`),
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KEY `ix_hd_fina_end` (`end_date`)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='扩展财务指标（PIT）';
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-- 现金流量表（G4；FCF 与分红覆盖的来源）
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CREATE TABLE IF NOT EXISTS `hd_cashflow` (
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`id` BIGINT NOT NULL AUTO_INCREMENT,
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`symbol` VARCHAR(12) NOT NULL,
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`end_date` DATE NOT NULL,
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`ann_date` DATE NOT NULL,
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`report_type` VARCHAR(4) NOT NULL DEFAULT '1'
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COMMENT '1=合并报表 2=单季合并 6=母公司；实测全为 1',
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`n_cashflow_act` DECIMAL(24,4) NULL COMMENT '经营活动现金流净额',
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`n_cashflow_inv_act` DECIMAL(24,4) NULL COMMENT '投资活动现金流净额',
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`n_cash_flows_fnc_act` DECIMAL(24,4) NULL COMMENT '筹资活动现金流净额',
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`c_pay_dist_dpcp_int_exp` DECIMAL(24,4) NULL COMMENT '分配股利/利润/偿付利息支付的现金',
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`free_cashflow` DECIMAL(24,4) NULL COMMENT 'Tushare 口径自由现金流',
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`c_fr_sale_sg_ar` DECIMAL(24,4) NULL COMMENT '销售商品收到的现金',
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`source` VARCHAR(16) NOT NULL DEFAULT 'tushare',
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`created_at` DATETIME NOT NULL,
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PRIMARY KEY (`id`),
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UNIQUE KEY `uq_hd_cf_key` (`symbol`,`end_date`,`ann_date`,`report_type`),
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KEY `ix_hd_cf_pit` (`symbol`,`ann_date`)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='现金流量表';
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-- 资产负债表（G4；负债率与净资产判定的来源）
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CREATE TABLE IF NOT EXISTS `hd_balancesheet` (
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`id` BIGINT NOT NULL AUTO_INCREMENT,
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`symbol` VARCHAR(12) NOT NULL,
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`end_date` DATE NOT NULL,
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`ann_date` DATE NOT NULL,
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`report_type` VARCHAR(4) NOT NULL DEFAULT '1'
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COMMENT '1=合并报表 2=单季合并 6=母公司；实测全为 1',
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`total_assets` DECIMAL(24,4) NULL,
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`total_liab` DECIMAL(24,4) NULL,
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`total_hldr_eqy_exc_min_int` DECIMAL(24,4) NULL COMMENT '归母净资产',
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`total_cur_assets` DECIMAL(24,4) NULL,
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`total_cur_liab` DECIMAL(24,4) NULL,
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`money_cap` DECIMAL(24,4) NULL COMMENT '货币资金',
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`goodwill` DECIMAL(24,4) NULL COMMENT '商誉',
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`source` VARCHAR(16) NOT NULL DEFAULT 'tushare',
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`created_at` DATETIME NOT NULL,
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PRIMARY KEY (`id`),
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UNIQUE KEY `uq_hd_bs_key` (`symbol`,`end_date`,`ann_date`,`report_type`),
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KEY `ix_hd_bs_pit` (`symbol`,`ann_date`)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='资产负债表';
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-- 利润表（G4；分红支付率的分母来源）
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CREATE TABLE IF NOT EXISTS `hd_income` (
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`id` BIGINT NOT NULL AUTO_INCREMENT,
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`symbol` VARCHAR(12) NOT NULL,
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`end_date` DATE NOT NULL,
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`ann_date` DATE NOT NULL,
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`report_type` VARCHAR(4) NOT NULL DEFAULT '1'
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COMMENT '1=合并报表 2=单季合并 6=母公司；实测全为 1',
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`total_revenue` DECIMAL(24,4) NULL,
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`revenue` DECIMAL(24,4) NULL,
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`operate_profit` DECIMAL(24,4) NULL,
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`n_income` DECIMAL(24,4) NULL COMMENT '净利润（含少数股东）',
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`n_income_attr_p` DECIMAL(24,4) NULL COMMENT '归母净利润',
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`basic_eps` DECIMAL(16,6) NULL,
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`source` VARCHAR(16) NOT NULL DEFAULT 'tushare',
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`created_at` DATETIME NOT NULL,
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PRIMARY KEY (`id`),
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UNIQUE KEY `uq_hd_inc_key` (`symbol`,`end_date`,`ann_date`,`report_type`),
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KEY `ix_hd_inc_pit` (`symbol`,`ann_date`)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='利润表';
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-- 基准指数行情（G5；plan.md §28.4 基准比较）
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CREATE TABLE IF NOT EXISTS `hd_index_daily` (
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`id` BIGINT NOT NULL AUTO_INCREMENT,
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`index_code` VARCHAR(16) NOT NULL,
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`index_name` VARCHAR(64) NULL,
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`trade_date` DATE NOT NULL,
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`open` DECIMAL(16,4) NULL,
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`high` DECIMAL(16,4) NULL,
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`low` DECIMAL(16,4) NULL,
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`close` DECIMAL(16,4) NULL,
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`pre_close` DECIMAL(16,4) NULL,
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`pct_chg` DECIMAL(12,6) NULL,
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`vol` DECIMAL(24,4) NULL,
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`amount` DECIMAL(24,4) NULL,
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`source` VARCHAR(16) NOT NULL DEFAULT 'tushare',
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`created_at` DATETIME NOT NULL,
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PRIMARY KEY (`id`),
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UNIQUE KEY `uq_hd_idx` (`index_code`,`trade_date`),
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KEY `ix_hd_idx_date` (`trade_date`)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='基准指数行情';
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-- 停牌记录（G6；成交可行性约束）
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CREATE TABLE IF NOT EXISTS `hd_suspend` (
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`id` BIGINT NOT NULL AUTO_INCREMENT,
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`symbol` VARCHAR(12) NOT NULL,
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`trade_date` DATE NOT NULL,
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`suspend_type` VARCHAR(4) NOT NULL COMMENT 'S=停牌 R=复牌',
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`suspend_timing` VARCHAR(48) NULL,
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`source` VARCHAR(16) NOT NULL DEFAULT 'tushare',
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`created_at` DATETIME NOT NULL,
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PRIMARY KEY (`id`),
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UNIQUE KEY `uq_hd_susp` (`symbol`,`trade_date`,`suspend_type`),
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KEY `ix_hd_susp_date` (`trade_date`)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='停牌记录';
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-- 涨跌停价（G6；plan.md §29 成交现实性）
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CREATE TABLE IF NOT EXISTS `hd_limit` (
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`id` BIGINT NOT NULL AUTO_INCREMENT,
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`symbol` VARCHAR(12) NOT NULL,
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`trade_date` DATE NOT NULL,
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`up_limit` DECIMAL(16,4) NULL,
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`down_limit` DECIMAL(16,4) NULL,
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`source` VARCHAR(16) NOT NULL DEFAULT 'tushare',
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`created_at` DATETIME NOT NULL,
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PRIMARY KEY (`id`),
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UNIQUE KEY `uq_hd_limit` (`symbol`,`trade_date`),
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KEY `ix_hd_limit_date` (`trade_date`)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='涨跌停价';
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-- 本项目同步台账（含回补前后行数基线，供审计）
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CREATE TABLE IF NOT EXISTS `hd_sync_log` (
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`id` BIGINT NOT NULL AUTO_INCREMENT,
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`job` VARCHAR(64) NOT NULL COMMENT '同步器名',
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`api` VARCHAR(96) NULL COMMENT 'Tushare 接口名（交错模式为 a+b+c 形式）',
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`params_json` TEXT NULL,
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`started_at` DATETIME NOT NULL,
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`finished_at` DATETIME NULL,
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`status` VARCHAR(16) NOT NULL DEFAULT 'RUNNING' COMMENT 'RUNNING/OK/FAIL/SKIP',
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`rows_written` BIGINT NOT NULL DEFAULT 0,
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`rows_before` BIGINT NULL COMMENT '回补前基线行数',
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`rows_after` BIGINT NULL COMMENT '回补后行数（审计：只增不减）',
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`data_start` DATE NULL,
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`data_end` DATE NULL,
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`failure_reason` TEXT NULL,
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PRIMARY KEY (`id`),
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KEY `ix_hd_synclog_job` (`job`,`started_at`),
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KEY `ix_hd_synclog_status` (`status`)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='同步台账';
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-- 数据完整性问题清单（P0 验收依据）
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CREATE TABLE IF NOT EXISTS `hd_data_audit` (
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`id` BIGINT NOT NULL AUTO_INCREMENT,
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`audit_id` VARCHAR(32) NOT NULL,
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`check_code` VARCHAR(32) NOT NULL COMMENT 'G1..G6 或自定义检查码',
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`check_name` VARCHAR(128) NOT NULL,
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`severity` VARCHAR(16) NOT NULL COMMENT 'OK/WARN/FAIL',
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`table_name` VARCHAR(64) NULL,
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`metric_json` TEXT NULL,
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`message` TEXT NULL,
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`created_at` DATETIME NOT NULL,
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PRIMARY KEY (`id`),
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KEY `ix_hd_audit_run` (`audit_id`),
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KEY `ix_hd_audit_code` (`check_code`,`severity`)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='数据审计结果';
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-- 一次筛选运行（股票池快照头）
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CREATE TABLE IF NOT EXISTS `hd_universe_run` (
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`run_id` VARCHAR(32) NOT NULL,
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`name` VARCHAR(64) NOT NULL,
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`asof_date` DATE NOT NULL,
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`mode` VARCHAR(16) NOT NULL COMMENT 'point_in_time/latest',
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`config_json` MEDIUMTEXT NOT NULL COMMENT '生效配置快照（含 override 后）',
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`config_hash` VARCHAR(64) NOT NULL,
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`data_version` VARCHAR(64) NULL,
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`code_version` VARCHAR(32) NULL,
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`member_count` INT NOT NULL DEFAULT 0,
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`candidate_count` INT NOT NULL DEFAULT 0 COMMENT '进入筛选的候选总数',
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`stats_json` TEXT NULL COMMENT '逐滤网淘汰统计',
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`status` VARCHAR(16) NOT NULL DEFAULT 'OK' COMMENT 'OK/WARN/FAIL',
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`display_name` VARCHAR(128) NULL COMMENT '用户在界面上给这条筛选记录起的名字',
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`notes` VARCHAR(500) NULL COMMENT '用户备注',
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`archived_at` DATETIME NULL COMMENT '归档时间；NULL=未归档',
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`deleted_at` DATETIME NULL COMMENT '软删除时间；NULL=未删除（不做物理删除）',
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`created_at` DATETIME NOT NULL,
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PRIMARY KEY (`run_id`),
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KEY `ix_hd_uni_run_asof` (`asof_date`),
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KEY `ix_hd_uni_run_hash` (`config_hash`),
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KEY `ix_hd_uni_run_state` (`deleted_at`,`archived_at`,`created_at`)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='股票池运行头';
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-- 股票池成员 + 逐滤网命中留痕（可回答「为什么没选上」）
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CREATE TABLE IF NOT EXISTS `hd_universe_member` (
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`id` BIGINT NOT NULL AUTO_INCREMENT,
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`run_id` VARCHAR(32) NOT NULL,
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`symbol` VARCHAR(12) NOT NULL,
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`name` VARCHAR(64) NULL,
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`industry` VARCHAR(64) NULL,
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`passed` TINYINT(1) NOT NULL COMMENT '1=入选 0=被淘汰',
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`fail_stage` VARCHAR(32) NULL COMMENT '首个未通过的滤网',
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`fail_reason` VARCHAR(255) NULL,
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`values_json` TEXT NULL COMMENT '各滤网实际取值快照',
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`filter_json` TEXT NULL COMMENT '各滤网通过位',
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`created_at` DATETIME NOT NULL,
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PRIMARY KEY (`id`),
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UNIQUE KEY `uq_hd_uni_mem` (`run_id`,`symbol`),
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KEY `ix_hd_uni_mem_pass` (`run_id`,`passed`),
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KEY `ix_hd_uni_mem_sym` (`symbol`)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='股票池成员留痕';
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-- 决策时点因子值（长表；避免 1.9 亿行日频面板，见 plan §3.2）
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CREATE TABLE IF NOT EXISTS `hd_factor_snapshot` (
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`id` BIGINT NOT NULL AUTO_INCREMENT,
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`snapshot_id` VARCHAR(32) NOT NULL COMMENT '一次快照（通常绑定 universe run 或 rebalance 日）',
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`asof_date` DATE NOT NULL,
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`symbol` VARCHAR(12) NOT NULL,
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`factor_code` VARCHAR(48) NOT NULL,
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`value` DECIMAL(24,8) NULL,
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`source` VARCHAR(32) NULL COMMENT 'computed/dv_ttm/daily_basic 等口径来源',
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`created_at` DATETIME NOT NULL,
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PRIMARY KEY (`id`),
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UNIQUE KEY `uq_hd_fac` (`snapshot_id`,`symbol`,`factor_code`),
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KEY `ix_hd_fac_asof` (`asof_date`,`factor_code`),
|
||||
KEY `ix_hd_fac_sym` (`symbol`,`factor_code`,`asof_date`)
|
||||
) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='决策时点因子快照';
|
||||
|
||||
-- 画像运行头
|
||||
CREATE TABLE IF NOT EXISTS `hd_profile_run` (
|
||||
`run_id` VARCHAR(32) NOT NULL,
|
||||
`name` VARCHAR(64) NOT NULL,
|
||||
`asof_date` DATE NOT NULL,
|
||||
`universe_run_id` VARCHAR(32) NULL COMMENT '来源股票池 run',
|
||||
`config_json` MEDIUMTEXT NOT NULL,
|
||||
`config_hash` VARCHAR(64) NOT NULL,
|
||||
`data_version` VARCHAR(64) NULL,
|
||||
`symbol_count` INT NOT NULL DEFAULT 0,
|
||||
`status` VARCHAR(16) NOT NULL DEFAULT 'OK',
|
||||
`created_at` DATETIME NOT NULL,
|
||||
PRIMARY KEY (`run_id`),
|
||||
KEY `ix_hd_prof_run_asof` (`asof_date`),
|
||||
KEY `ix_hd_prof_run_hash` (`config_hash`)
|
||||
) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='画像运行头';
|
||||
|
||||
-- 逐股逐指标历史分布统计（plan.md §9 明确要求 P10/P25/P50/P75/P90）
|
||||
CREATE TABLE IF NOT EXISTS `hd_profile_stat` (
|
||||
`id` BIGINT NOT NULL AUTO_INCREMENT,
|
||||
`run_id` VARCHAR(32) NOT NULL,
|
||||
`symbol` VARCHAR(12) NOT NULL,
|
||||
`metric_code` VARCHAR(48) NOT NULL,
|
||||
`window_years` INT NOT NULL DEFAULT 0 COMMENT '0=全历史；NULL 会绕过唯一约束故禁用',
|
||||
`n_obs` INT NOT NULL DEFAULT 0,
|
||||
`min_value` DECIMAL(24,8) NULL,
|
||||
`max_value` DECIMAL(24,8) NULL,
|
||||
`mean_value` DECIMAL(24,8) NULL,
|
||||
`median_value` DECIMAL(24,8) NULL,
|
||||
`std_value` DECIMAL(24,8) NULL,
|
||||
`p10` DECIMAL(24,8) NULL,
|
||||
`p25` DECIMAL(24,8) NULL,
|
||||
`p50` DECIMAL(24,8) NULL,
|
||||
`p75` DECIMAL(24,8) NULL,
|
||||
`p90` DECIMAL(24,8) NULL,
|
||||
`extra_percentiles_json` TEXT NULL COMMENT '配置中超出默认 5 档的分位',
|
||||
`current_value` DECIMAL(24,8) NULL COMMENT 'asof 当日取值',
|
||||
`current_percentile` DECIMAL(12,6) NULL COMMENT '当前值在历史分布中的分位 %',
|
||||
`status` VARCHAR(16) NOT NULL DEFAULT 'OK' COMMENT 'OK/INSUFFICIENT',
|
||||
`created_at` DATETIME NOT NULL,
|
||||
PRIMARY KEY (`id`),
|
||||
UNIQUE KEY `uq_hd_prof_stat` (`run_id`,`symbol`,`metric_code`,`window_years`),
|
||||
KEY `ix_hd_prof_stat_sym` (`symbol`,`metric_code`),
|
||||
KEY `ix_hd_prof_stat_q` (`run_id`,`metric_code`,`current_percentile`)
|
||||
) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='个股历史分布统计';
|
||||
|
||||
-- 画像时间序列（供 HTML 画图；仅筛选后股票，体积可控）
|
||||
CREATE TABLE IF NOT EXISTS `hd_profile_series` (
|
||||
`id` BIGINT NOT NULL AUTO_INCREMENT,
|
||||
`run_id` VARCHAR(32) NOT NULL,
|
||||
`symbol` VARCHAR(12) NOT NULL,
|
||||
`metric_code` VARCHAR(48) NOT NULL,
|
||||
`series_date` DATE NOT NULL,
|
||||
`value` DECIMAL(24,8) NULL,
|
||||
`created_at` DATETIME NOT NULL,
|
||||
PRIMARY KEY (`id`),
|
||||
UNIQUE KEY `uq_hd_prof_ser` (`run_id`,`symbol`,`metric_code`,`series_date`),
|
||||
KEY `ix_hd_prof_ser_sym` (`run_id`,`symbol`,`metric_code`)
|
||||
) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='个股画像序列';
|
||||
|
||||
-- 安全边际分项得分（plan.md §15）
|
||||
CREATE TABLE IF NOT EXISTS `hd_profile_score` (
|
||||
`id` BIGINT NOT NULL AUTO_INCREMENT,
|
||||
`run_id` VARCHAR(32) NOT NULL,
|
||||
`symbol` VARCHAR(12) NOT NULL,
|
||||
`score_code` VARCHAR(48) NOT NULL COMMENT 'dividend_yield/valuation/financial_quality/balance_sheet/dividend_quality/composite',
|
||||
`score` DECIMAL(12,6) NULL,
|
||||
`detail_json` TEXT NULL COMMENT '分项明细与所用锚点',
|
||||
`created_at` DATETIME NOT NULL,
|
||||
PRIMARY KEY (`id`),
|
||||
UNIQUE KEY `uq_hd_prof_score` (`run_id`,`symbol`,`score_code`),
|
||||
KEY `ix_hd_prof_score_v` (`run_id`,`score_code`,`score`)
|
||||
) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='安全边际得分';
|
||||
|
||||
-- 策略身份与版本（plan.md §38/§39 生命周期）
|
||||
CREATE TABLE IF NOT EXISTS `hd_strategy` (
|
||||
`strategy_id` VARCHAR(32) NOT NULL,
|
||||
`name` VARCHAR(64) NOT NULL,
|
||||
`version` VARCHAR(16) NOT NULL,
|
||||
`status` VARCHAR(16) NOT NULL DEFAULT 'DRAFT'
|
||||
COMMENT 'DRAFT/RESEARCH/BACKTEST/VALIDATED/PAPER/LIVE/ARCHIVED',
|
||||
`description` VARCHAR(500) NOT NULL DEFAULT '',
|
||||
`yaml_path` VARCHAR(255) NULL,
|
||||
`config_json` MEDIUMTEXT NOT NULL,
|
||||
`config_hash` VARCHAR(64) NOT NULL,
|
||||
`parent_id` VARCHAR(32) NULL COMMENT '上一版本 strategy_id',
|
||||
`spec_type` VARCHAR(16) NOT NULL DEFAULT 'yaml',
|
||||
`created_at` DATETIME NOT NULL,
|
||||
`updated_at` DATETIME NOT NULL,
|
||||
PRIMARY KEY (`strategy_id`,`version`),
|
||||
UNIQUE KEY `uq_hd_strat_hash` (`config_hash`),
|
||||
KEY `ix_hd_strat_name` (`name`)
|
||||
) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='策略版本';
|
||||
|
||||
-- 策略参数扁平化（path → value），便于跨版本 diff 与敏感性扫描
|
||||
CREATE TABLE IF NOT EXISTS `hd_strategy_param` (
|
||||
`id` BIGINT NOT NULL AUTO_INCREMENT,
|
||||
`strategy_id` VARCHAR(32) NOT NULL,
|
||||
`version` VARCHAR(16) NOT NULL,
|
||||
`param_path` VARCHAR(255) NOT NULL,
|
||||
`param_value` VARCHAR(500) NULL,
|
||||
`value_type` VARCHAR(16) NULL COMMENT 'int/float/str/bool/null',
|
||||
`created_at` DATETIME NOT NULL,
|
||||
PRIMARY KEY (`id`),
|
||||
UNIQUE KEY `uq_hd_sparam` (`strategy_id`,`version`,`param_path`),
|
||||
KEY `ix_hd_sparam_path` (`param_path`)
|
||||
) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='策略参数扁平表';
|
||||
|
||||
-- 回测运行头（plan.md §47 原则 6：可复现四元组）
|
||||
CREATE TABLE IF NOT EXISTS `hd_backtest_run` (
|
||||
`run_id` VARCHAR(32) NOT NULL,
|
||||
`strategy_id` VARCHAR(32) NOT NULL,
|
||||
`strategy_version` VARCHAR(16) NOT NULL,
|
||||
`mode` VARCHAR(16) NOT NULL DEFAULT 'single'
|
||||
COMMENT 'single/in_sample/out_of_sample/walkforward_window',
|
||||
`wf_id` VARCHAR(32) NULL,
|
||||
`window_index` INT NULL,
|
||||
`start_date` DATE NOT NULL,
|
||||
`end_date` DATE NOT NULL,
|
||||
`initial_capital` DECIMAL(24,4) NOT NULL,
|
||||
`final_capital` DECIMAL(24,4) NULL,
|
||||
`total_dividend_net` DECIMAL(24,4) NOT NULL DEFAULT 0 COMMENT '累计现金分红（税后）',
|
||||
`total_dividend_tax` DECIMAL(24,4) NOT NULL DEFAULT 0 COMMENT '累计代扣红利税',
|
||||
`total_fees` DECIMAL(24,4) NOT NULL DEFAULT 0 COMMENT '累计交易费用',
|
||||
`cash_final` DECIMAL(24,4) NULL COMMENT '期末现金（用于资金对账）',
|
||||
`strategy_config_json` MEDIUMTEXT NOT NULL,
|
||||
`config_hash` VARCHAR(64) NOT NULL,
|
||||
`backtest_config_json` TEXT NULL,
|
||||
`cost_json` TEXT NULL,
|
||||
`data_version` VARCHAR(64) NULL,
|
||||
`code_version` VARCHAR(32) NULL,
|
||||
`seed` INT NULL,
|
||||
`status` VARCHAR(16) NOT NULL DEFAULT 'OK' COMMENT 'OK/FAIL/PARTIAL',
|
||||
`unimplemented_json` TEXT NULL COMMENT '未建模部分显式声明（如涨跌停近似）',
|
||||
`display_name` VARCHAR(128) NULL COMMENT '用户命名',
|
||||
`notes` VARCHAR(500) NULL COMMENT '用户备注',
|
||||
`universe_run_id` VARCHAR(32) NULL COMMENT '关联的股票池筛选记录（--universe-run 指定时写入）',
|
||||
`archived_at` DATETIME NULL COMMENT '归档时间；NULL=未归档',
|
||||
`deleted_at` DATETIME NULL COMMENT '软删除时间；NULL=未删除',
|
||||
`created_at` DATETIME NOT NULL,
|
||||
PRIMARY KEY (`run_id`),
|
||||
KEY `ix_hd_bt_strategy` (`strategy_id`,`strategy_version`),
|
||||
KEY `ix_hd_bt_wf` (`wf_id`,`window_index`),
|
||||
KEY `ix_hd_bt_period` (`start_date`,`end_date`),
|
||||
KEY `ix_hd_bt_universe` (`universe_run_id`),
|
||||
KEY `ix_hd_bt_state` (`deleted_at`,`archived_at`,`created_at`)
|
||||
) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='回测运行头';
|
||||
|
||||
-- 逐日净值曲线（含基准对齐，plan.md §28.4）
|
||||
CREATE TABLE IF NOT EXISTS `hd_backtest_equity` (
|
||||
`id` BIGINT NOT NULL AUTO_INCREMENT,
|
||||
`run_id` VARCHAR(32) NOT NULL,
|
||||
`trade_date` DATE NOT NULL,
|
||||
`nav` DECIMAL(24,8) NOT NULL COMMENT '组合净值（初始=1）',
|
||||
`total_value` DECIMAL(24,4) NOT NULL,
|
||||
`cash` DECIMAL(24,4) NOT NULL,
|
||||
`position_value` DECIMAL(24,4) NOT NULL,
|
||||
`daily_return` DECIMAL(18,10) NULL,
|
||||
`cum_return` DECIMAL(18,10) NULL,
|
||||
`drawdown` DECIMAL(18,10) NULL COMMENT '相对历史高点回撤（负值）',
|
||||
`holding_count` INT NOT NULL DEFAULT 0,
|
||||
`benchmark_code` VARCHAR(16) NULL,
|
||||
`benchmark_close` DECIMAL(16,4) NULL,
|
||||
`benchmark_nav` DECIMAL(24,8) NULL,
|
||||
`created_at` DATETIME NOT NULL,
|
||||
PRIMARY KEY (`id`),
|
||||
UNIQUE KEY `uq_hd_bt_eq` (`run_id`,`trade_date`),
|
||||
KEY `ix_hd_bt_eq_date` (`trade_date`)
|
||||
) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='回测净值曲线';
|
||||
|
||||
-- 逐日持仓快照
|
||||
CREATE TABLE IF NOT EXISTS `hd_backtest_position` (
|
||||
`id` BIGINT NOT NULL AUTO_INCREMENT,
|
||||
`run_id` VARCHAR(32) NOT NULL,
|
||||
`trade_date` DATE NOT NULL,
|
||||
`symbol` VARCHAR(12) NOT NULL,
|
||||
`quantity` DECIMAL(20,4) NOT NULL,
|
||||
`avg_cost` DECIMAL(16,4) NULL,
|
||||
`close` DECIMAL(16,4) NULL,
|
||||
`market_value` DECIMAL(24,4) NULL,
|
||||
`weight` DECIMAL(12,8) NULL,
|
||||
`unrealized_pnl` DECIMAL(24,4) NULL,
|
||||
`holding_days` INT NULL,
|
||||
`created_at` DATETIME NOT NULL,
|
||||
PRIMARY KEY (`id`),
|
||||
UNIQUE KEY `uq_hd_bt_pos` (`run_id`,`trade_date`,`symbol`),
|
||||
KEY `ix_hd_bt_pos_sym` (`run_id`,`symbol`)
|
||||
) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='逐日持仓';
|
||||
|
||||
-- 逐笔成交（plan.md §32；reason_json 为 AI 可解释性关键）
|
||||
CREATE TABLE IF NOT EXISTS `hd_backtest_trade` (
|
||||
`id` BIGINT NOT NULL AUTO_INCREMENT,
|
||||
`run_id` VARCHAR(32) NOT NULL,
|
||||
`trade_id` VARCHAR(32) NOT NULL,
|
||||
`symbol` VARCHAR(12) NOT NULL,
|
||||
`signal_date` DATE NOT NULL,
|
||||
`execution_date` DATE NOT NULL,
|
||||
`side` VARCHAR(4) NOT NULL COMMENT 'BUY/SELL',
|
||||
`price` DECIMAL(16,4) NOT NULL,
|
||||
`quantity` DECIMAL(20,4) NOT NULL,
|
||||
`amount` DECIMAL(24,4) NOT NULL,
|
||||
`commission` DECIMAL(16,4) NOT NULL DEFAULT 0,
|
||||
`stamp_tax` DECIMAL(16,4) NOT NULL DEFAULT 0,
|
||||
`transfer_fee` DECIMAL(16,4) NOT NULL DEFAULT 0,
|
||||
`slippage_cost` DECIMAL(16,4) NOT NULL DEFAULT 0,
|
||||
`total_cost` DECIMAL(16,4) NOT NULL DEFAULT 0,
|
||||
`realized_pnl` DECIMAL(24,4) NULL,
|
||||
`holding_days` INT NULL,
|
||||
`reason_json` TEXT NULL COMMENT 'BUY/SELL 的完整理由快照',
|
||||
`created_at` DATETIME NOT NULL,
|
||||
PRIMARY KEY (`id`),
|
||||
UNIQUE KEY `uq_hd_bt_trade` (`run_id`,`trade_id`),
|
||||
KEY `ix_hd_bt_trade_sym` (`run_id`,`symbol`,`execution_date`),
|
||||
KEY `ix_hd_bt_trade_date` (`execution_date`)
|
||||
) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='回测成交流水';
|
||||
|
||||
-- 逐信号（含 executed/skip_reason，用于区分「想买」与「买到了」）
|
||||
CREATE TABLE IF NOT EXISTS `hd_backtest_signal` (
|
||||
`id` BIGINT NOT NULL AUTO_INCREMENT,
|
||||
`run_id` VARCHAR(32) NOT NULL,
|
||||
`symbol` VARCHAR(12) NOT NULL,
|
||||
`signal_date` DATE NOT NULL,
|
||||
`signal_type` VARCHAR(8) NOT NULL COMMENT 'BUY/SELL/HOLD/WATCH',
|
||||
`yield_value` DECIMAL(18,8) NULL COMMENT '触发时的股息率',
|
||||
`yield_percentile` DECIMAL(12,6) NULL COMMENT '触发时的历史分位 %',
|
||||
`target_weight` DECIMAL(12,8) NULL,
|
||||
`price` DECIMAL(16,4) NULL,
|
||||
`executed` TINYINT(1) NOT NULL DEFAULT 0,
|
||||
`skip_reason` VARCHAR(64) NULL COMMENT 'LIMIT_UP/LIMIT_DOWN/SUSPENDED/NO_CASH/MIN_COMMISSION',
|
||||
`reason_json` TEXT NULL,
|
||||
`created_at` DATETIME NOT NULL,
|
||||
PRIMARY KEY (`id`),
|
||||
KEY `ix_hd_bt_sig` (`run_id`,`symbol`,`signal_date`),
|
||||
KEY `ix_hd_bt_sig_type` (`run_id`,`signal_type`,`executed`)
|
||||
) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='回测信号流水';
|
||||
|
||||
-- 绩效指标长表（scope 区分样本内/外/窗口；plan.md §28）
|
||||
CREATE TABLE IF NOT EXISTS `hd_backtest_metric` (
|
||||
`id` BIGINT NOT NULL AUTO_INCREMENT,
|
||||
`run_id` VARCHAR(32) NOT NULL,
|
||||
`scope` VARCHAR(24) NOT NULL COMMENT 'all/train/test/window_k/year_YYYY',
|
||||
`category` VARCHAR(16) NOT NULL COMMENT 'return/risk/trade/benchmark',
|
||||
`metric_code` VARCHAR(48) NOT NULL,
|
||||
`metric_value` DECIMAL(24,8) NULL,
|
||||
`benchmark_code` VARCHAR(16) NOT NULL DEFAULT '' COMMENT '空串=策略自身；NULL 会绕过唯一约束故禁用',
|
||||
`unit` VARCHAR(16) NULL COMMENT 'ratio/pct/money/count/days',
|
||||
`created_at` DATETIME NOT NULL,
|
||||
PRIMARY KEY (`id`),
|
||||
UNIQUE KEY `uq_hd_bt_metric` (`run_id`,`scope`,`metric_code`,`benchmark_code`),
|
||||
KEY `ix_hd_bt_metric_code` (`metric_code`),
|
||||
KEY `ix_hd_bt_metric_scope` (`run_id`,`scope`,`category`)
|
||||
) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='回测绩效指标';
|
||||
|
||||
-- Walk-forward 运行头（plan.md §23）
|
||||
CREATE TABLE IF NOT EXISTS `hd_walkforward_run` (
|
||||
`wf_id` VARCHAR(32) NOT NULL,
|
||||
`strategy_id` VARCHAR(32) NOT NULL,
|
||||
`strategy_version` VARCHAR(16) NOT NULL,
|
||||
`config_json` MEDIUMTEXT NOT NULL,
|
||||
`config_hash` VARCHAR(64) NOT NULL,
|
||||
`scheme` VARCHAR(16) NOT NULL COMMENT 'rolling/expanding',
|
||||
`train_years` INT NOT NULL,
|
||||
`test_years` INT NOT NULL,
|
||||
`step_months` INT NOT NULL,
|
||||
`window_count` INT NOT NULL DEFAULT 0,
|
||||
`data_version` VARCHAR(64) NULL,
|
||||
`code_version` VARCHAR(32) NULL,
|
||||
`status` VARCHAR(16) NOT NULL DEFAULT 'OK',
|
||||
`created_at` DATETIME NOT NULL,
|
||||
PRIMARY KEY (`wf_id`),
|
||||
KEY `ix_hd_wf_strategy` (`strategy_id`,`strategy_version`)
|
||||
) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='Walk-forward 运行头';
|
||||
|
||||
-- Walk-forward 每个窗口（train 定参 → test 冻结，plan.md §25）
|
||||
CREATE TABLE IF NOT EXISTS `hd_walkforward_window` (
|
||||
`id` BIGINT NOT NULL AUTO_INCREMENT,
|
||||
`wf_id` VARCHAR(32) NOT NULL,
|
||||
`window_index` INT NOT NULL,
|
||||
`train_start` DATE NOT NULL,
|
||||
`train_end` DATE NOT NULL,
|
||||
`test_start` DATE NOT NULL,
|
||||
`test_end` DATE NOT NULL,
|
||||
`frozen_params_json` TEXT NOT NULL COMMENT '由 train 段确定、在 test 段冻结的参数',
|
||||
`train_run_id` VARCHAR(32) NULL,
|
||||
`test_run_id` VARCHAR(32) NULL,
|
||||
`created_at` DATETIME NOT NULL,
|
||||
PRIMARY KEY (`id`),
|
||||
UNIQUE KEY `uq_hd_wf_win` (`wf_id`,`window_index`),
|
||||
KEY `ix_hd_wf_win_period` (`test_start`,`test_end`)
|
||||
) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='Walk-forward 窗口';
|
||||
|
||||
-- 参数敏感性扫描（plan.md §27 过拟合控制）
|
||||
CREATE TABLE IF NOT EXISTS `hd_sensitivity_run` (
|
||||
`sens_id` VARCHAR(32) NOT NULL,
|
||||
`base_strategy_id` VARCHAR(32) NOT NULL,
|
||||
`base_version` VARCHAR(16) NOT NULL,
|
||||
`sweep_json` TEXT NOT NULL COMMENT '扫描网格定义',
|
||||
`point_count` INT NOT NULL DEFAULT 0,
|
||||
`period_start` DATE NULL,
|
||||
`period_end` DATE NULL,
|
||||
`data_version` VARCHAR(64) NULL,
|
||||
`code_version` VARCHAR(32) NULL,
|
||||
`status` VARCHAR(16) NOT NULL DEFAULT 'OK',
|
||||
`created_at` DATETIME NOT NULL,
|
||||
PRIMARY KEY (`sens_id`),
|
||||
KEY `ix_hd_sens_strategy` (`base_strategy_id`,`base_version`)
|
||||
) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='敏感性扫描头';
|
||||
|
||||
-- 敏感性扫描的每个参数组合及其绩效
|
||||
CREATE TABLE IF NOT EXISTS `hd_sensitivity_point` (
|
||||
`id` BIGINT NOT NULL AUTO_INCREMENT,
|
||||
`sens_id` VARCHAR(32) NOT NULL,
|
||||
`point_index` INT NOT NULL,
|
||||
`param_values_json` TEXT NOT NULL,
|
||||
`param_key` VARCHAR(128) NULL COMMENT '单参数扫描时的主键（便于画曲线）',
|
||||
`run_id` VARCHAR(32) NULL COMMENT '对应回测 run',
|
||||
`cagr` DECIMAL(18,8) NULL,
|
||||
`total_return` DECIMAL(18,8) NULL,
|
||||
`max_drawdown` DECIMAL(18,8) NULL,
|
||||
`sharpe` DECIMAL(18,8) NULL,
|
||||
`calmar` DECIMAL(18,8) NULL,
|
||||
`sortino` DECIMAL(18,8) NULL,
|
||||
`trade_count` INT NULL,
|
||||
`turnover` DECIMAL(18,8) NULL,
|
||||
`extra_json` TEXT NULL,
|
||||
`created_at` DATETIME NOT NULL,
|
||||
PRIMARY KEY (`id`),
|
||||
UNIQUE KEY `uq_hd_sens_pt` (`sens_id`,`point_index`),
|
||||
KEY `ix_hd_sens_pt_key` (`sens_id`,`param_key`)
|
||||
) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='敏感性扫描点';
|
||||
|
||||
-- 报告元数据（含 SQL 溯源，保证页面数字可复现）
|
||||
CREATE TABLE IF NOT EXISTS `hd_report` (
|
||||
`report_id` VARCHAR(32) NOT NULL,
|
||||
`report_type` VARCHAR(24) NOT NULL COMMENT 'audit/universe/profile/backtest/walkforward/sensitivity/strategy/index',
|
||||
`title` VARCHAR(255) NOT NULL,
|
||||
`html_path` VARCHAR(500) NOT NULL,
|
||||
`source_run_ids` VARCHAR(500) NULL COMMENT '逗号分隔的来源 run_id',
|
||||
`context_json` MEDIUMTEXT NULL COMMENT '渲染上下文快照',
|
||||
`sql_provenance_json` MEDIUMTEXT NULL COMMENT '页面数据的来源 SQL（可复现性）',
|
||||
`data_version` VARCHAR(64) NULL,
|
||||
`generated_at` DATETIME NOT NULL,
|
||||
`file_bytes` BIGINT NULL,
|
||||
PRIMARY KEY (`report_id`),
|
||||
KEY `ix_hd_report_type` (`report_type`,`generated_at`)
|
||||
) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_general_ci COMMENT='报告元数据';
|
||||
Reference in New Issue
Block a user