simonandClaude Opus 4.7
271a9343a5
7 Sprints 全部完成: Sprint 0: 基础设施 (DataManager + MariaDB) Sprint 1: 因子引擎 (34因子/12分类) Sprint 2: VectorBT 回测 (5策略+截面) Sprint 3: Optuna 优化 (+Walk-Forward) Sprint 4: ML 模型 (LightGBM+CatBoost) Sprint 5: Qwen 情绪因子 (三源新闻+日期对齐) Sprint 6: Agent 系统 (4Agent+日报.md/.html) 生产加固 (15项): Tushare双源fallback, SSH自动恢复, pool_pre_ping, save_daily先删后插, load_dotenv绝对路径, 日报5d/20d修复, RiskAgent改上证指数, 昨日对比+数据截止, mac_report utf8mb4, CLAUDE-*.md 9条已知Bug, demo全参数化, djapi数据源归一化, indexDatas API修正 Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
56 lines
2.4 KiB
Markdown
56 lines
2.4 KiB
Markdown
# CLAUDE-factors.md — 因子引擎 + 情绪因子
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## FactorEngine (`finance/factors/engine.py`)
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```python
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from factors.registry import get_factor, list_factors
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from factors.engine import FactorEngine
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fe = FactorEngine(dm, sentiment_engine=sent)
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factor_df = fe.compute("000001.SZ", [get_factor("momentum_20"), get_factor("rsi_14")])
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# → DataFrame: index=trade_date, columns=[momentum_20, rsi_14]
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cross = fe.compute_universe(factors, date="20250630", ts_codes=[...])
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```
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因子路由：`factor.category == "sentiment"` → SentimentEngine；`isinstance(f, FUNDAMENTAL_FACTOR_TYPES)` → 注入财务数据。
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## 因子注册表 (`finance/factors/registry.py`)
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34 因子 / 12 分类：动量、RSI、MACD、量价、布林、ATR、均线、波动率、换手率、振幅、基本面、情绪。
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```python
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list_factors("动量") # → ['momentum_5','momentum_10','momentum_20','momentum_60']
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get_factor("rsi_14") # → RSIFactor(period=14)
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```
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## 技术因子 (`finance/factors/technical/`)
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10 类。每个继承 `BaseFactor`，实现 `calculate(df) → pd.Series`。停牌跳过，新股不足 N 日返回 NaN。
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## 基本面因子 (`finance/factors/fundamental/`)
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- `roe.py` — ROEFactor（同花顺 `stock_financial_abstract_ths`）
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- `pe_pb.py` — PEFactor/PBFactor/EPFactor（close + 财务 EPS/BVPS map to daily）
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## 情绪因子 (`finance/factors/sentiment/`)
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### SentimentEngine (`sentiment_engine.py`)
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```python
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sent = SentimentEngine(dm, qwen_client=client, news_source=news_src)
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sent_df = sent.compute("000001.SZ", max_news=30)
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# → DataFrame: news_sent_5, news_conf_5, sent_delta_5
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```
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### 新闻源 (`news_source.py`)
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三数据源聚合：AkShare `stock_news_em` + DB `xwlb_daily_ext` + MCP `trendradar-news`。
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xwlb 日期处理：DB `news_date +1day`（晚间播出→次日影响）→ `align_news_to_trading_days`。
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AkShare 限频 → 自动 fallback。LIMIT 按日期跨度动态计算。
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### Qwen 客户端 (`qwen_client.py`)
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双后端：DashScope API + 本地 Ollama。金融情绪专家 prompt，返回 `{sentiment_score, confidence, impact_duration, key_topics}`。配置：`.env` 中的 `QWEN_API_KEY` 或 `QWEN_LOCAL_BASE_URL`。
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### 情绪因子 (`sentiment_factor.py`)
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- `NewsSentimentFactor(window, decay)` — 时间衰减加权情绪
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- `SentimentConfidenceFactor(window)` — score × confidence 加权
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- `SentimentMomentumFactor(period)` — 情绪变化方向
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