Simon
6acf938caf
- 删除 11 个残留文件: continuation.md, init_plan.md, reasonix.toml, djapi/continuation.md, djapi/.serena/, djapi/.claude/, djapi/.mcp.json, .claude/skills/, docs/usage.html, docs/db_schema.md, docs/report_db_design.md - 7 个 CLAUDE-*.md 移入 docs/ 并重命名去 CLAUDE- 前缀 - 新增 4 个文档: architecture.md, development.md, api.md, deployment.md - 重写 usage.md, README.md - 修复所有过时引用和交叉链接
2.3 KiB
2.3 KiB
因子引擎 + 情绪因子
FactorEngine (finance/factors/engine.py)
from factors.registry import get_factor, list_factors
from factors.engine import FactorEngine
fe = FactorEngine(dm, sentiment_engine=sent)
factor_df = fe.compute("000001.SZ", [get_factor("momentum_20"), get_factor("rsi_14")])
# → DataFrame: index=trade_date, columns=[momentum_20, rsi_14]
cross = fe.compute_universe(factors, date="20250630", ts_codes=[...])
因子路由：factor.category == "sentiment" → SentimentEngine；isinstance(f, FUNDAMENTAL_FACTOR_TYPES) → 注入财务数据。
因子注册表 (finance/factors/registry.py)
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。
list_factors("动量") # → ['momentum_5','momentum_10','momentum_20','momentum_60']
get_factor("rsi_14") # → RSIFactor(period=14)
技术因子 (finance/factors/technical/)
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。
基本面因子 (finance/factors/fundamental/)
roe.py— ROEFactor（同花顺stock_financial_abstract_ths）pe_pb.py— PEFactor/PBFactor/EPFactor（close + 财务 EPS/BVPS map to daily）
情绪因子 (finance/factors/sentiment/)
SentimentEngine (sentiment_engine.py)
sent = SentimentEngine(dm, qwen_client=client, news_source=news_src)
sent_df = sent.compute("000001.SZ", max_news=30)
# → DataFrame: news_sent_5, news_conf_5, sent_delta_5
新闻源 (news_source.py)
三数据源聚合：AkShare stock_news_em + DB xwlb_daily_ext + MCP trendradar-news。
xwlb 日期处理：DB news_date +1day（晚间播出→次日影响）→ align_news_to_trading_days。
AkShare 限频 → 自动 fallback。LIMIT 按日期跨度动态计算。
Qwen 客户端 (qwen_client.py)
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。
情绪因子 (sentiment_factor.py)
NewsSentimentFactor(window, decay)— 时间衰减加权情绪SentimentConfidenceFactor(window)— score × confidence 加权SentimentMomentumFactor(period)— 情绪变化方向