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>
36 lines
1.0 KiB
Python
36 lines
1.0 KiB
Python
"""
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RSI 均值回归策略。
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RSI 低于超卖线 → 买入
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RSI 高于超买线 → 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 RSIMeanRevertStrategy(BaseStrategy):
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"""RSI 超买超卖反转策略。"""
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category = "mean_revert"
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def __init__(self, oversold: float = 30, overbought: float = 70, rsi_column: str = "rsi_14"):
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self.oversold = oversold
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self.overbought = overbought
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self.rsi_column = rsi_column
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self.name = f"rsi_revert_{int(oversold)}_{int(overbought)}"
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def generate_signals(self, factor_df: pd.DataFrame) -> pd.Series:
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if self.rsi_column not in factor_df.columns:
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raise ValueError(f"factor_df 缺少 '{self.rsi_column}' 列")
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rsi = factor_df[self.rsi_column]
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return factor_to_threshold_signal(
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rsi,
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buy_threshold=self.oversold,
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sell_threshold=self.overbought,
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cross_direction="down", # RSI 向下跌破 oversold → 买入
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)
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