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>
53 lines
1.6 KiB
Python
53 lines
1.6 KiB
Python
"""
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动量突破策略。
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价格突破 N 日新高 → 买入
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价格跌破 N 日均线 → 平仓
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"""
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import pandas as pd
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from backtest.base import BaseStrategy
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from backtest.signal import factor_to_threshold_signal
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class MomentumBreakoutStrategy(BaseStrategy):
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"""动量突破策略。"""
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category = "trend"
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def __init__(self, lookback: int = 20, exit_period: int = 10):
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self.lookback = lookback
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self.exit_period = exit_period
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self.name = f"mom_breakout_{lookback}"
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def generate_signals(self, factor_df: pd.DataFrame) -> pd.Series:
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if "close" not in factor_df.columns:
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raise ValueError("factor_df 缺少 'close' 列")
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close = factor_df["close"]
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# 买入信号：突破 N 日新高
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rolling_high = close.rolling(window=self.lookback, min_periods=self.lookback).max()
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breakout = close >= rolling_high.shift(1)
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# 平仓信号：跌破 exit 日均线
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exit_ma = close.rolling(window=self.exit_period, min_periods=self.exit_period).mean()
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signals = pd.Series(0, index=close.index)
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signals[breakout] = 1
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signals[close < exit_ma] = 0
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return self._dedup(signals)
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@staticmethod
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def _dedup(signals: pd.Series) -> pd.Series:
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"""只保留第一个买入和第一个卖出信号。"""
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result = signals.copy()
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prev = -1
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for i in range(len(result)):
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if result.iloc[i] == prev:
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result.iloc[i] = -1
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else:
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prev = result.iloc[i]
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return result[result != -1].reindex(signals.index).fillna(-1)
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