增加选股策略

2025-12-12 19:46:38 +08:00
parent 595278100f
commit ad5865d3b4
25 changed files with 4818 additions and 20 deletions
@@ -0,0 +1,277 @@
+#!/usr/bin/env python3
+# -*- coding: utf-8 -*-
+"""
+低价擒牛量化交易策略
+实现基于MA均线的买卖择时策略
+"""
+
+import pandas as pd
+from datetime import datetime, timedelta
+from typing import Dict, List, Optional
+import logging
+
+
+class LowPriceBullStrategy:
+    """低价擒牛量化交易策略"""
+    
+    def __init__(self, initial_capital: float = 1000000.0):
+        """
+        初始化策略
+        
+        Args:
+            initial_capital: 初始资金（默认100万）
+        """
+        self.logger = logging.getLogger(__name__)
+        
+        # 策略参数
+        self.initial_capital = initial_capital
+        self.available_cash = initial_capital
+        self.max_stocks = 4  # 账户最大持股数
+        self.max_position_per_stock = 0.4  # 个股最大持仓比例（4成）
+        self.max_daily_buy = 2  # 单日最大买入数
+        self.holding_period = 5  # 持股周期（天）
+        
+        # 持仓信息
+        self.positions: Dict[str, Dict] = {}  # {股票代码: {买入价, 数量, 买入日期, 持有天数}}
+        self.trade_history: List[Dict] = []  # 交易历史
+        
+        # 当日交易计数
+        self.daily_buy_count = 0
+        self.current_date = None
+    
+    def reset_daily_counter(self, date):
+        """重置当日计数器"""
+        if self.current_date != date:
+            self.current_date = date
+            self.daily_buy_count = 0
+    
+    def can_buy(self, stock_code: str) -> tuple[bool, str]:
+        """
+        检查是否可以买入
+        
+        Returns:
+            (是否可买, 原因)
+        """
+        # 检查是否已持有
+        if stock_code in self.positions:
+            return False, "已持有该股票"
+        
+        # 检查持股数量
+        if len(self.positions) >= self.max_stocks:
+            return False, f"已达最大持股数限制({self.max_stocks}只)"
+        
+        # 检查当日买入数量
+        if self.daily_buy_count >= self.max_daily_buy:
+            return False, f"今日已达最大买入数限制({self.max_daily_buy}只)"
+        
+        # 检查资金
+        if self.available_cash <= 0:
+            return False, "可用资金不足"
+        
+        return True, "可以买入"
+    
+    def calculate_buy_amount(self, stock_price: float) -> tuple[int, float]:
+        """
+        计算买入数量（满仓策略）
+        
+        Args:
+            stock_price: 股票价格
+            
+        Returns:
+            (买入股数, 买入金额)
+        """
+        # 满仓策略：使用所有可用资金
+        max_amount = self.available_cash
+        
+        # 但不能超过个股最大持仓
+        max_per_stock = self.initial_capital * self.max_position_per_stock
+        target_amount = min(max_amount, max_per_stock)
+        
+        # 计算股数（A股100股为1手）
+        shares = int(target_amount / stock_price / 100) * 100
+        
+        if shares < 100:
+            return 0, 0
+        
+        actual_amount = shares * stock_price
+        return shares, actual_amount
+    
+    def buy(self, stock_code: str, stock_name: str, price: float, date: str) -> tuple[bool, str, Optional[Dict]]:
+        """
+        执行买入操作
+        
+        Returns:
+            (是否成功, 消息, 交易详情)
+        """
+        # 重置当日计数
+        self.reset_daily_counter(date)
+        
+        # 检查是否可买入
+        can_buy, reason = self.can_buy(stock_code)
+        if not can_buy:
+            return False, reason, None
+        
+        # 计算买入数量
+        shares, amount = self.calculate_buy_amount(price)
+        
+        if shares == 0:
+            return False, "资金不足，无法买入100股", None
+        
+        # 执行买入
+        self.positions[stock_code] = {
+            'name': stock_name,
+            'shares': shares,
+            'buy_price': price,
+            'buy_date': date,
+            'holding_days': 0
+        }
+        
+        self.available_cash -= amount
+        self.daily_buy_count += 1
+        
+        # 记录交易
+        trade = {
+            'type': 'BUY',
+            'code': stock_code,
+            'name': stock_name,
+            'price': price,
+            'shares': shares,
+            'amount': amount,
+            'date': date,
+            'cash_after': self.available_cash
+        }
+        self.trade_history.append(trade)
+        
+        message = f"✅ 买入成功: {stock_code} {stock_name} | 价格:{price:.2f} | 数量:{shares}股 | 金额:{amount:.2f}元"
+        self.logger.info(message)
+        
+        return True, message, trade
+    
+    def should_sell(self, stock_code: str, ma5: float, ma20: float, current_date: str) -> tuple[bool, str]:
+        """
+        判断是否应该卖出
+        
+        策略：
+        1. MA5下穿MA20时卖出
+        2. 持股满5天强制卖出
+        
+        Returns:
+            (是否卖出, 原因)
+        """
+        if stock_code not in self.positions:
+            return False, "未持有该股票"
+        
+        position = self.positions[stock_code]
+        
+        # 更新持有天数
+        # 简化处理，按交易日计算
+        position['holding_days'] += 1
+        
+        # 检查持股周期
+        if position['holding_days'] >= self.holding_period:
+            return True, f"持股满{self.holding_period}天，到期卖出"
+        
+        # 检查MA5下穿MA20
+        if ma5 is not None and ma20 is not None:
+            if ma5 < ma20:
+                return True, "MA5下穿MA20，技术信号卖出"
+        
+        return False, "持有"
+    
+    def sell(self, stock_code: str, price: float, date: str, reason: str = "") -> tuple[bool, str, Optional[Dict]]:
+        """
+        执行卖出操作
+        
+        Returns:
+            (是否成功, 消息, 交易详情)
+        """
+        if stock_code not in self.positions:
+            return False, "未持有该股票", None
+        
+        position = self.positions[stock_code]
+        shares = position['shares']
+        buy_price = position['buy_price']
+        
+        # 计算盈亏
+        amount = shares * price
+        cost = shares * buy_price
+        profit = amount - cost
+        profit_pct = (profit / cost) * 100 if cost > 0 else 0
+        
+        # 归还资金
+        self.available_cash += amount
+        
+        # 移除持仓
+        del self.positions[stock_code]
+        
+        # 记录交易
+        trade = {
+            'type': 'SELL',
+            'code': stock_code,
+            'name': position['name'],
+            'price': price,
+            'shares': shares,
+            'amount': amount,
+            'date': date,
+            'reason': reason,
+            'buy_price': buy_price,
+            'profit': profit,
+            'profit_pct': profit_pct,
+            'cash_after': self.available_cash
+        }
+        self.trade_history.append(trade)
+        
+        profit_str = f"+{profit:.2f}" if profit >= 0 else f"{profit:.2f}"
+        message = f"✅ 卖出成功: {stock_code} {position['name']} | 价格:{price:.2f} | 数量:{shares}股 | 盈亏:{profit_str}元({profit_pct:+.2f}%) | 原因:{reason}"
+        self.logger.info(message)
+        
+        return True, message, trade
+    
+    def get_portfolio_summary(self) -> Dict:
+        """
+        获取投资组合摘要
+        
+        Returns:
+            组合摘要信息
+        """
+        # 计算持仓市值（需要当前价格，这里用买入价估算）
+        position_value = sum(
+            pos['shares'] * pos['buy_price'] 
+            for pos in self.positions.values()
+        )
+        
+        total_value = self.available_cash + position_value
+        
+        # 计算收益
+        total_profit = total_value - self.initial_capital
+        total_profit_pct = (total_profit / self.initial_capital) * 100
+        
+        return {
+            'initial_capital': self.initial_capital,
+            'available_cash': self.available_cash,
+            'position_value': position_value,
+            'total_value': total_value,
+            'total_profit': total_profit,
+            'total_profit_pct': total_profit_pct,
+            'positions_count': len(self.positions),
+            'max_stocks': self.max_stocks,
+            'trade_count': len(self.trade_history)
+        }
+    
+    def get_positions(self) -> List[Dict]:
+        """获取当前持仓列表"""
+        return [
+            {
+                'code': code,
+                'name': pos['name'],
+                'shares': pos['shares'],
+                'buy_price': pos['buy_price'],
+                'buy_date': pos['buy_date'],
+                'holding_days': pos['holding_days']
+            }
+            for code, pos in self.positions.items()
+        ]
+    
+    def get_trade_history(self) -> List[Dict]:
+        """获取交易历史"""
+        return self.trade_history.copy()