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>
68 lines
2.3 KiB
Python
68 lines
2.3 KiB
Python
"""
|
|
参数搜索空间定义。
|
|
"""
|
|
|
|
from dataclasses import dataclass, field
|
|
|
|
import optuna
|
|
|
|
|
|
@dataclass
|
|
class SearchSpace:
|
|
"""参数搜索空间。"""
|
|
|
|
params: list[dict] = field(default_factory=list)
|
|
# 每个元素: {"name": str, "type": "int"|"float"|"categorical",
|
|
# "low": float, "high": float, "step": float, "choices": list}
|
|
|
|
def suggest(self, trial: optuna.Trial) -> dict:
|
|
"""从 trial 中采样一组参数。"""
|
|
result = {}
|
|
for p in self.params:
|
|
name = p["name"]
|
|
kind = p["type"]
|
|
if kind == "int":
|
|
low = p.get("low", 0)
|
|
high = p.get("high", 100)
|
|
step = p.get("step", 1)
|
|
result[name] = trial.suggest_int(name, int(low), int(high), step=int(step))
|
|
elif kind == "float":
|
|
low = p.get("low", 0.0)
|
|
high = p.get("high", 1.0)
|
|
result[name] = trial.suggest_float(name, float(low), float(high))
|
|
elif kind == "categorical":
|
|
choices = p.get("choices", [])
|
|
result[name] = trial.suggest_categorical(name, choices)
|
|
return result
|
|
|
|
|
|
# ── 预置搜索空间 ──────────────────────────────────────────
|
|
|
|
sma_cross_space = SearchSpace(params=[
|
|
{"name": "fast", "type": "int", "low": 2, "high": 30, "step": 1},
|
|
{"name": "slow", "type": "int", "low": 15, "high": 120, "step": 5},
|
|
])
|
|
|
|
rsi_revert_space = SearchSpace(params=[
|
|
{"name": "oversold", "type": "int", "low": 10, "high": 45, "step": 1},
|
|
{"name": "overbought", "type": "int", "low": 55, "high": 90, "step": 1},
|
|
])
|
|
|
|
momentum_breakout_space = SearchSpace(params=[
|
|
{"name": "lookback", "type": "int", "low": 10, "high": 60, "step": 5},
|
|
{"name": "exit_period", "type": "int", "low": 5, "high": 30, "step": 1},
|
|
])
|
|
|
|
factor_cross_space = SearchSpace(params=[
|
|
{"name": "buy_threshold", "type": "float", "low": -10.0, "high": 10.0},
|
|
{"name": "sell_threshold", "type": "float", "low": -10.0, "high": 10.0},
|
|
])
|
|
|
|
# 名称 → 空间映射
|
|
SPACES = {
|
|
"sma_cross": sma_cross_space,
|
|
"rsi_revert": rsi_revert_space,
|
|
"momentum_breakout": momentum_breakout_space,
|
|
"factor_cross": factor_cross_space,
|
|
}
|