From bf6baa5483c9c7a0facc0f60c6b91808a6c692fa Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?=E8=A4=9A=E5=AE=8F=E5=85=89?= <542672041@qq.com> Date: Fri, 30 Jan 2026 18:43:37 +0800 Subject: [PATCH] Add scoring module and enhance HTML viewer with standardization - Add scripts/scoring/ module with normalizer, sensitivity analysis, and config - Enhance stock_viewer.html with standardized scoring display - Add integration tests and normalization verification scripts - Add documentation for standardization implementation and usage guides - Add data distribution analysis reports for strength scoring dimensions - Update discussion documents with algorithm optimization plans --- discuss/20260129-讨论.md | 70 +- ... ‡å‡†åŒ–性能优化_线性映射方案.md | 398 ++ discuss/20260130-检测算法优化方案.md | 837 ++++ ...-生产环境性能评估_æ¯æ—¥5000è‚¡.md | 315 ++ ...0130-讨论-收敛三角形函数设计.md | 637 +++ discuss/20260130-讨论.md | 2 + discuss/images/2026-01-29-16-10-44.png | Bin 0 -> 282018 bytes ...ŽHTMLé›†æˆæ ‡å‡†åŒ–_å®žæ–½å®ŒæˆæŠ¥å‘Š.md | 223 ++ ...º¦åˆ†æ ‡å‡†åŒ–优化_å®žæ–½å®ŒæˆæŠ¥å‘Š.md | 259 ++ .../INDEX.md | 160 + ...analyze_distribution_强度分六维度.py | 302 ++ .../boxplots_强度分六维度.png | Bin 0 -> 94013 bytes ...stribution_analysis_强度分六维度.csv | 8 + .../distribution_plots_强度分六维度.png | Bin 0 -> 316701 bytes .../qq_plots_强度分六维度.png | Bin 0 -> 235607 bytes .../强度分优化方案_深度分æž.md | 860 ++++ .../强度分六维度_åˆ†æžæŠ¥å‘Š.md | 332 ++ docs/标准化HTML查看器_使用指å—.md | 175 + docs/预设模å¼å¯¹æ¯”.md | 109 + .../converging_triangles/stock_viewer.html | 3447 ++++++++++++----- scripts/example_scoring_usage.py | 204 + scripts/generate_stock_viewer.py | 688 +++- scripts/scoring/README.md | 352 ++ scripts/scoring/__init__.py | 68 + scripts/scoring/config.py | 470 +++ .../scoring/generate_sensitivity_report.py | 41 + scripts/scoring/normalizer.py | 285 ++ scripts/scoring/sensitivity.py | 385 ++ scripts/verify_normalization.py | 233 ++ test_integration.py | 65 + 30 files changed, 9964 insertions(+), 961 deletions(-) create mode 100644 discuss/20260130-标准化性能优化_线性映射方案.md create mode 100644 discuss/20260130-检测算法优化方案.md create mode 100644 discuss/20260130-生产环境性能评估_æ¯æ—¥5000è‚¡.md create mode 100644 discuss/20260130-讨论-收敛三角形函数设计.md create mode 100644 discuss/20260130-讨论.md create mode 100644 discuss/images/2026-01-29-16-10-44.png create mode 100644 docs/Pipeline与HTMLé›†æˆæ ‡å‡†åŒ–_å®žæ–½å®ŒæˆæŠ¥å‘Š.md create mode 100644 docs/强度分标准化优化_å®žæ–½å®ŒæˆæŠ¥å‘Š.md create mode 100644 docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/INDEX.md create mode 100644 docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/analyze_distribution_强度分六维度.py create mode 100644 docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/boxplots_强度分六维度.png create mode 100644 docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/distribution_analysis_强度分六维度.csv create mode 100644 docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/distribution_plots_强度分六维度.png create mode 100644 docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/qq_plots_强度分六维度.png create mode 100644 docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/强度分优化方案_深度分æž.md create mode 100644 docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/强度分六维度_åˆ†æžæŠ¥å‘Š.md create mode 100644 docs/标准化HTML查看器_使用指å—.md create mode 100644 docs/预设模å¼å¯¹æ¯”.md create mode 100644 scripts/example_scoring_usage.py create mode 100644 scripts/scoring/README.md create mode 100644 scripts/scoring/__init__.py create mode 100644 scripts/scoring/config.py create mode 100644 scripts/scoring/generate_sensitivity_report.py create mode 100644 scripts/scoring/normalizer.py create mode 100644 scripts/scoring/sensitivity.py create mode 100644 scripts/verify_normalization.py create mode 100644 test_integration.py diff --git a/discuss/20260129-讨论.md b/discuss/20260129-讨论.md index 7b4e6dd..f8810d2 100644 --- a/discuss/20260129-讨论.md +++ b/discuss/20260129-讨论.md @@ -11,7 +11,7 @@ - **实现方å¼**:新增"倾斜度分"作为第6个维度 - **æƒé‡åˆ†é…**:从çªç ´å¹…度分中分é…5%(50% → 45%) - **详情**ï¼šè§ `docs/强度分_å¢žåŠ è§’åº¦å‚æ•°_深度分æž.md` -3. **"强度分"å†…æ‰€æœ‰å‚æ•°éœ€ä¿æŒåœ¨ 0-1 区间**,便于 LLM è°ƒå‚ï¼›è¦æ±‚å‡åŒ€/æ­£æ€åˆ†å¸ƒï¼Œé»˜è®¤å€¼ä¸º 0.5。 +3. **"强度分"å†…æ‰€æœ‰å‚æ•°éœ€ä¿æŒåœ¨ 0-1 区间** **ç›®å‰æ‰€æœ‰ 6 ä¸ªå¼ºåº¦åˆ†å‚æ•°éƒ½å·²ç»åœ¨ 0-1 区间内**。以下是å„分é‡çš„å½’ä¸€åŒ–æ–¹å¼æ€»ç»“: | åˆ†é‡ | å½’ä¸€åŒ–æ–¹å¼ | 范围ä¿è¯ | @@ -36,3 +36,71 @@ 两者都严格ä¿è¯è¾“出在 [0, 1] åŒºé—´ï¼Œæ»¡è¶³å¼ºåº¦åˆ†ç³»ç»Ÿçš„è®¾è®¡è¦æ±‚。 --- +![](images/2026-01-29-16-10-44.png) + +4. **åˆ†æžæ—¥å¿—,评估å„个维度的分布:å‡å€¼ã€æ­£æ€æ€§ã€åŽšå°¾** ✅ å·²å®Œæˆ + - **åˆ†æžæ—¶é—´**: 2026-01-29 16:28 + - **样本é‡**: 18,004个有效三角形 (108åªè‚¡ç¥¨ × 500天检测窗å£) + - **分æžå¯¹è±¡**: **强度分系统的6个核心维度** (7个字段: price_score_up/down分开统计) + - **核心å‘现**: + - ⌠**所有7个字段å‡å‘ˆçŽ°éžæ­£æ€åˆ†å¸ƒ** (p≈0) + - âš ï¸ **5/7字段显著厚尾** (è¶…é¢å³°åº¦>0, æžç«¯äº‹ä»¶æ˜¯æ­£æ€åˆ†å¸ƒçš„8-19å€) + - 📊 **4/7字段å³å** (多数普通值+å°‘æ•°æžç«¯å¤§å€¼çš„长尾结构) + - **关键å‘现**: + 1. **çªç ´å¹…度分(å‘上)**: 䏭使•°=0, è¶…é¢å³°åº¦13.38, 尾部15.7å€ â†’ 大多数未çªç ´,强çªç ´ç¨€ç¼ºä½†é¢‘ç¹ + 2. **çªç ´å¹…度分(å‘下)**: 䏭使•°=0, è¶…é¢å³°åº¦45.72 → å‘下çªç ´æœ€ä¸å¯é¢„测 + 3. **æˆäº¤é‡åˆ†**: 䏭使•°=0, 尾部19.1å€ â†’ 放é‡çªç ´æžå…¶ç¨€ç¼º(æ‰€æœ‰ç»´åº¦ä¸­å°¾éƒ¨å€æ•°æœ€é«˜) + 4. **倾斜度分**: è¶…é¢å³°åº¦46.33, Q25=Q75=0.5 → 算法强烈å好对称三角形(75%æ°å¥½=0.5) + 5. **收敛度分**: è¶…é¢å³°åº¦-1.05 → 唯一薄尾维度,分布稳定å¯é  + - **实战建议**: + - ç¦æ­¢ä½¿ç”¨å‡å€¼Â±3σã€t检验等基于正æ€çš„æ–¹æ³• + - 推èä½¿ç”¨ç™¾åˆ†ä½æ•°(P75/P90)ã€éžå‚数检验ã€Bootstrap + - çªç ´å¹…度分阈值: P85-P90≈0.15 (而éžå‡å€¼0.056) + - æˆäº¤é‡åˆ†ä¸ä½œå¿…è¦æ¡ä»¶(䏭使•°=0),仅作加分项 + - **æƒé‡ä¼˜åŒ–建议**: + - 收敛度分: 20%→25% (最稳定å¯é ) + - æˆäº¤é‡åˆ†: 15%→10% (䏭使•°=0导致区分度低) + - å½¢æ€è§„则度: 10%→5% (数值普é过低) + - 价格活跃度: 5%→10% (è¿‘æ­£æ€ä¸”稳定) + - **详细报告**: + - 📄 主报告: `docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/强度分六维度_åˆ†æžæŠ¥å‘Š.md` â­ + - 📑 索引: `docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/INDEX.md` + - ðŸ–¼ï¸ å¯è§†åŒ–: `distribution_plots_强度分六维度.png`, `qq_plots_强度分六维度.png`, `boxplots_强度分六维度.png` + - 📊 æ•°æ®è¡¨: `distribution_analysis_强度分六维度.csv` (7字段统计) + - 💻 脚本: `analyze_distribution_强度分六维度.py` (å¯é‡çް) + +5. **强度分系统优化:等æƒè®¾è®¡+傿•°å¯è°ƒæ€§+平滑性优化** ✅ 深度分æžå®Œæˆ + - **åˆ†æžæ—¶é—´**: 2026-01-29 17:00 + - **核心问题**: + - 维度间ä¸å¯æ¯”æ€§ï¼šä¸­ä½æ•°å·®å¼‚巨大 (0 vs 0.8) + - 零膨胀分布:çªç ´å¹…åº¦åˆ†ã€æˆäº¤é‡åˆ†50%为0 + - 点质é‡åˆ†å¸ƒï¼šå€¾æ–œåº¦åˆ†75%=0.5 + - ç­‰æƒç›¸åŠ ä¼šå¯¼è‡´æ”¶æ•›åº¦åˆ†å’Œå€¾æ–œåº¦åˆ†"åƒæŽ‰"大部分强度分 + - **SOTA方法调研**: + 1. **截é¢åˆ†ä½æ•°æ ‡å‡†åŒ–**: 消除尺度差异,但对零膨胀效果差 + 2. **Power Sorting (2023)**: 专门处ç†åŽšå°¾ï¼Œä¿ç•™æžç«¯å€¼ä¿¡æ¯ + 3. **自适应分组标准化**: æ ¹æ®åˆ†å¸ƒç±»åž‹é€‰æ‹©ä¸åŒç­–ç•¥ + 4. **PID控制论**: 自适应æƒé‡è°ƒæ•´ï¼ŒåŸºäºŽå®žé™…å馈优化 + 5. **端到端ML优化**: è‡ªåŠ¨å­¦ä¹ æœ€ä¼˜å˜æ¢å’Œæƒé‡ + - **æŽ¨èæ–¹æ¡ˆï¼šåˆ†å±‚标准化**: + - 零膨胀分布(çªç ´å¹…度分/æˆäº¤é‡åˆ†): éžé›¶éƒ¨åˆ†æŽ’å,零值设为0.5(中性) + - 点质é‡åˆ†å¸ƒ(倾斜度分): å离中心的值进行拉伸 + - 正常分布(收敛度分/价格活跃度): æ ‡å‡†åˆ†ä½æ•°æ ‡å‡†åŒ– + - 低区分度(å½¢æ€è§„则度): å¯¹æ•°å˜æ¢æ‰©å¤§åŒºåˆ†åº¦ + - **基金ç»ç†è§†è§’评估**: + | 维度 | é‡åŒ–æ„义 | 当å‰é—®é¢˜ | 建议 | + |-----|---------|---------|------| + | çªç ´å¹…度分 | ä¿¡å·å¼ºåº¦/价格动能 | 䏭使•°=0 | 标准化åŽä½¿ç”¨P75+ | + | 收敛度分 | 蓄势程度/多空åšå¼ˆ | ✅稳定 | å¯æé«˜æƒé‡ | + | æˆäº¤é‡åˆ† | 资金确认 | 䏭使•°=0 | ä¸ä½œå¿…è¦æ¡ä»¶ï¼Œä½œåŠ åˆ†é¡¹ | + | å½¢æ€è§„则度 | å½¢æ€è´¨é‡ | æ™®éæžä½Ž | å¯¹æ•°å˜æ¢æ‰©å¤§åŒºåˆ†åº¦ | + | 价格活跃度 | 真实åšå¼ˆ | âœ…è¿‘æ­£æ€ | å¯æé«˜æƒé‡ | + | 倾斜度分 | 趋势一致性 | 75%=0.5 | 釿–°æ ‡å‡†åŒ– | + - **系统评分**: + - 当å‰ç»¼åˆè¯„分: 2.8/5 + - 优化åŽé¢„期: 4.3/5 + - **应用层设计**: + - ç­‰æƒåŸºç¡€ + 预设é…ç½®(激进/ä¿å®ˆ/æ”¾é‡æ¨¡å¼) + - 多维度阈值筛选器 + - æ•æ„Ÿæ€§åˆ†æžå·¥å…· + - **详细报告**: `docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/强度分优化方案_深度分æž.md` â­ \ No newline at end of file diff --git a/discuss/20260130-标准化性能优化_线性映射方案.md b/discuss/20260130-标准化性能优化_线性映射方案.md new file mode 100644 index 0000000..c6012a8 --- /dev/null +++ b/discuss/20260130-标准化性能优化_线性映射方案.md @@ -0,0 +1,398 @@ +# 标准化性能优化:线性映射 vs ç™¾åˆ†ä½æŽ’å + +## 问题背景 + +当剿 ‡å‡†åŒ–系统使用 `series.rank(pct=True)` æ–¹æ³•ï¼Œéœ€è¦æŽ’åºæ“ä½œï¼Œæ—¶é—´å¤æ‚度 O(n log n)。 + +对于大规模数æ®ï¼ˆ18,004个样本,未æ¥å¯èƒ½æ›´å¤šï¼‰ï¼Œè€ƒè™‘使用**线性映射**æ›¿ä»£æ–¹æ¡ˆï¼Œæ—¶é—´å¤æ‚度 O(n)。 + +--- + +## 方案对比 + +### **方案1: 当å‰ç™¾åˆ†ä½æŽ’åæ³• (Rank-based)** + +```python +def normalize_standard(series: pd.Series) -> pd.Series: + """当å‰å®žçް: ç™¾åˆ†ä½æŽ’å""" + return series.rank(pct=True) # O(n log n) +``` + +**特点:** +- ✅ 输出分布å‡åŒ€ï¼Œä¸¥æ ¼å•è°ƒ +- ✅ 对æžç«¯å€¼é²æ£’,异常值ä¸å½±å“整体分布 +- ✅ ä¿è¯ä¸­ä½æ•°ç²¾ç¡®=0.5 +- âŒ æ—¶é—´å¤æ‚度 O(n log n)(排åºï¼‰ +- ⌠大数æ®é›†æ€§èƒ½ç“¶é¢ˆ + +--- + +### **方案2: 线性映射法 (Linear Scaling)** + +#### **2.1 基础版:P5-P95映射** + +```python +def normalize_linear_basic(series: pd.Series) -> pd.Series: + """ + 线性映射标准化:将P5-P95区间映射到[0, 1] + + 策略: + 1. 计算P5å’ŒP95åˆ†ä½æ•° + 2. 线性缩放:y = (x - P5) / (P95 - P5) + 3. Clip到[0, 1]区间 + + æ—¶é—´å¤æ‚度:O(n) + """ + p5 = series.quantile(0.05) # O(n) - numpy.percentile使用快速选择 + p95 = series.quantile(0.95) # O(n) + + if p95 - p5 < 1e-10: + # é¿å…é™¤é›¶ï¼Œæ‰€æœ‰å€¼ç›¸åŒæ—¶è¿”回0.5 + return pd.Series(0.5, index=series.index, dtype=float) + + # 线性缩放 + normalized = (series - p5) / (p95 - p5) + + # Clip到[0, 1] + normalized = normalized.clip(0, 1) + + return normalized +``` + +**特点:** +- ✅ æ—¶é—´å¤æ‚度 O(n)(快速选择算法) +- ✅ 简å•直观,易于ç†è§£ +- âŒ ä¸­ä½æ•°ä¸ä¸€å®š=0.5(除éžåŽŸå§‹æ•°æ®å¯¹ç§°åˆ†å¸ƒï¼‰ +- ⌠对æžç«¯å€¼æ•感(P5/P95ä½ç½®å½±å“整体) +- ⌠输出分布ä¸å‡åŒ€ï¼ˆä¿ç•™åŽŸå§‹åˆ†å¸ƒå½¢çŠ¶ï¼‰ + +#### **2.2 æ”¹è¿›ç‰ˆï¼šä¸­ä½æ•°å¼ºåˆ¶å¯¹é½** + +```python +def normalize_linear_median_aligned(series: pd.Series) -> pd.Series: + """ + 线性映射 + 䏭使•°å¯¹é½åˆ°0.5 + + 策略: + 1. è®¡ç®—ä¸­ä½æ•° M + 2. 上åŠéƒ¨åˆ†æ˜ å°„到[0.5, 1.0] + 3. 下åŠéƒ¨åˆ†æ˜ å°„到[0.0, 0.5] + + æ—¶é—´å¤æ‚度:O(n) + """ + median = series.median() # O(n) + + # è®¡ç®—ä¸Šä¸‹åˆ†ä½æ•°ï¼ˆç”¨äºŽæ˜ å°„范围) + upper_bound = series.quantile(0.95) # O(n) + lower_bound = series.quantile(0.05) # O(n) + + result = pd.Series(0.5, index=series.index, dtype=float) + + # 上åŠéƒ¨åˆ†ï¼š[median, upper_bound] -> [0.5, 1.0] + upper_mask = series >= median + if upper_bound > median: + upper_values = (series[upper_mask] - median) / (upper_bound - median) + result[upper_mask] = 0.5 + 0.5 * upper_values.clip(0, 1) + + # 下åŠéƒ¨åˆ†ï¼š[lower_bound, median] -> [0.0, 0.5] + lower_mask = series < median + if median > lower_bound: + lower_values = (series[lower_mask] - lower_bound) / (median - lower_bound) + result[lower_mask] = 0.5 * lower_values.clip(0, 1) + + return result +``` + +**特点:** +- ✅ æ—¶é—´å¤æ‚度 O(n) +- ✅ 䏭使•°ä¸¥æ ¼=0.5 +- ✅ 对上下åŠéƒ¨åˆ†ç‹¬ç«‹ç¼©æ”¾ï¼Œæ›´çµæ´» +- ⌠上下分布å¯èƒ½ä¸å¯¹ç§° +- ⌠ä»å¯¹æžç«¯å€¼æ•感 + +#### **2.3 æ··åˆç‰ˆï¼šçº¿æ€§æ˜ å°„ + 尾部Clip** + +```python +def normalize_linear_hybrid( + series: pd.Series, + lower_pct: float = 0.05, + upper_pct: float = 0.95 +) -> pd.Series: + """ + æ··åˆæ–¹æ¡ˆï¼šçº¿æ€§æ˜ å°„主体 + 百分ä½Clip尾部 + + 策略: + 1. 使用P5-P95线性映射主体(90%æ•°æ®ï¼‰ + 2. P95的映射到[0.9, 1.0] + 3. åŽå¤„ç†ï¼šå¹³ç§»ä½¿ä¸­ä½æ•°=0.5 + + æ—¶é—´å¤æ‚度:O(n) + """ + p_lower = series.quantile(lower_pct) # O(n) + p_upper = series.quantile(upper_pct) # O(n) + median = series.median() # O(n) + + if p_upper - p_lower < 1e-10: + return pd.Series(0.5, index=series.index, dtype=float) + + # 线性缩放主体 + normalized = (series - p_lower) / (p_upper - p_lower) + + # Clip到[0, 1] + normalized = normalized.clip(0, 1) + + # 计算当å‰ä¸­ä½æ•° + current_median = normalized.median() + + # å¹³ç§»ä½¿ä¸­ä½æ•°=0.5 + shift = 0.5 - current_median + normalized = (normalized + shift).clip(0, 1) + + return normalized +``` + +**特点:** +- ✅ æ—¶é—´å¤æ‚度 O(n) +- ✅ 䏭使•°æŽ¥è¿‘0.5(通过平移调整) +- ✅ 对æžç«¯å€¼æœ‰ä¸€å®šé²æ£’性 +- âš ï¸ å¹³ç§»å¯èƒ½å¯¼è‡´è¾¹ç•Œæº¢å‡ºï¼Œéœ€è¦äºŒæ¬¡Clip + +--- + +## 性能基准测试 + +### æµ‹è¯•ä»£ç  + +```python +import pandas as pd +import numpy as np +import time + +# ç”Ÿæˆæµ‹è¯•æ•°æ® +np.random.seed(42) +sizes = [1_000, 10_000, 100_000, 1_000_000] + +for n in sizes: + # 模拟ä¸åŒåˆ†å¸ƒ + data_normal = pd.Series(np.random.randn(n)) + data_skewed = pd.Series(np.random.exponential(1.0, n)) + data_uniform = pd.Series(np.random.uniform(0, 1, n)) + + for name, data in [("Normal", data_normal), ("Skewed", data_skewed), ("Uniform", data_uniform)]: + print(f"\n{name} Distribution, n={n:,}") + + # 方法1: Rank-based + t0 = time.time() + result1 = data.rank(pct=True) + t1 = time.time() - t0 + median1 = result1.median() + + # 方法2: Linear Basic + t0 = time.time() + p5, p95 = data.quantile(0.05), data.quantile(0.95) + result2 = ((data - p5) / (p95 - p5)).clip(0, 1) + t2 = time.time() - t0 + median2 = result2.median() + + # 方法3: Linear Median-Aligned + t0 = time.time() + result3 = normalize_linear_median_aligned(data) + t3 = time.time() - t0 + median3 = result3.median() + + print(f" Rank-based: {t1*1000:6.2f}ms, median={median1:.4f}") + print(f" Linear Basic: {t2*1000:6.2f}ms, median={median2:.4f}, speedup={t1/t2:.2f}x") + print(f" Linear Aligned: {t3*1000:6.2f}ms, median={median3:.4f}, speedup={t1/t3:.2f}x") +``` + +### 预期结果 + +| æ•°æ®é‡ | Rank-based | Linear Basic | Linear Aligned | 加速比 | +|--------|-----------|--------------|----------------|--------| +| 1K | 0.5ms | 0.2ms | 0.3ms | 2x | +| 10K | 5ms | 1ms | 1.5ms | 4x | +| 100K | 60ms | 8ms | 12ms | 6x | +| 1M | 800ms | 80ms | 120ms | 8x | + +**结论**:数æ®é‡è¶Šå¤§ï¼Œçº¿æ€§æ˜ å°„的优势越明显。 + +--- + +## è´¨é‡è¯„ä¼° + +### 评估指标 + +1. **䏭使•°åå·®**:`|median - 0.5|`,越å°è¶Šå¥½ +2. **分布å‡åŒ€æ€§**:Kolmogorov-Smirnov检验与å‡åŒ€åˆ†å¸ƒçš„è·ç¦» +3. **å•è°ƒæ€§ä¿æŒ**:是å¦ä¿æŒåŽŸå§‹æ•°æ®çš„æŽ’åºå…³ç³» +4. **æžå€¼é²æ£’性**:添加10%æžç«¯å¼‚常值åŽçš„稳定性 + +### è´¨é‡å¯¹æ¯” + +```python +def evaluate_normalization(series: pd.Series, normalized: pd.Series): + """评估标准化质é‡""" + from scipy import stats + + # 1. 䏭使•°åå·® + median_error = abs(normalized.median() - 0.5) + + # 2. 分布å‡åŒ€æ€§ï¼ˆKS检验) + ks_stat, ks_pvalue = stats.kstest(normalized.dropna(), 'uniform', args=(0, 1)) + + # 3. å•调性(Spearman相关系数应该=1) + spearman_corr = stats.spearmanr(series, normalized).correlation + + # 4. æžå€¼é²æ£’性测试 + series_with_outliers = series.copy() + n_outliers = int(len(series) * 0.1) + series_with_outliers.iloc[:n_outliers] = series.max() * 100 # 添加æžç«¯å€¼ + normalized_robust = normalize_function(series_with_outliers) + median_change = abs(normalized_robust.median() - normalized.median()) + + return { + 'median_error': median_error, + 'ks_stat': ks_stat, + 'uniformity': 1 - ks_stat, # 越接近1è¶Šå‡åŒ€ + 'monotonicity': spearman_corr, + 'robustness': 1 - median_change, # 越接近1è¶Šé²æ£’ + } +``` + +### 预期质é‡å¯¹æ¯” + +| 方法 | 䏭使•°åå·® | å‡åŒ€æ€§ | å•调性 | 鲿£’性 | 综åˆè¯„分 | +|------|-----------|--------|--------|--------|----------| +| Rank-based | 0.0000 | **0.98** | 1.00 | **0.95** | **0.98** | +| Linear Basic | 0.05-0.15 | 0.75 | 1.00 | 0.60 | 0.75 | +| Linear Aligned | **0.0000** | 0.80 | 1.00 | 0.70 | 0.83 | +| Linear Hybrid | 0.01-0.03 | 0.85 | 1.00 | 0.80 | 0.88 | + +--- + +## æŽ¨èæ–¹æ¡ˆ + +### 方案A: ä¿æŒçŽ°çŠ¶ï¼ˆæŽ¨è用于生产环境) + +**适用场景**:对质é‡è¦æ±‚é«˜ï¼Œæ€§èƒ½å¯æŽ¥å— + +```python +# ä¸ä¿®æ”¹ï¼Œç»§ç»­ä½¿ç”¨ rank(pct=True) +def normalize_standard(series: pd.Series) -> pd.Series: + return series.rank(pct=True) +``` + +**ç†ç”±**: +- 18,004个样本é‡ä¸‹ï¼Œæ€§èƒ½å·®å¼‚å¯å¿½ç•¥ï¼ˆ<100ms) +- è´¨é‡æœ€ä¼˜ï¼Œä¸­ä½æ•°ä¸¥æ ¼=0.5,分布最å‡åŒ€ +- 已验è¯ç¨³å®šï¼Œä¸å¼•入新风险 + +--- + +### 方案B: æ··åˆç­–略(推è用于实验) + +**适用场景**ï¼šéœ€è¦æ€§èƒ½æå‡ï¼Œå¯æŽ¥å—è½»å¾®è´¨é‡æŸå¤± + +```python +def normalize_standard_fast(series: pd.Series, threshold: int = 50000) -> pd.Series: + """ + 智能选择标准化方法 + - n < threshold: 使用Rank-based(质é‡ä¼˜å…ˆï¼‰ + - n >= threshold: 使用Linear Hybrid(性能优先) + """ + if len(series) < threshold: + return series.rank(pct=True) + else: + return normalize_linear_hybrid(series) +``` + +**ç†ç”±**: +- å°æ•°æ®é›†ï¼ˆ<5万):用Rank-based,性能差异å¯å¿½ç•¥ +- 大数æ®é›†ï¼ˆâ‰¥5万):用Linear Hybrid,性能æå‡æ˜Žæ˜¾ +- 自适应平衡质é‡å’Œæ€§èƒ½ + +--- + +### 方案C: å…¨é¢åˆ‡æ¢ï¼ˆä»…当性能æˆä¸ºç“¶é¢ˆæ—¶ï¼‰ + +**适用场景**ï¼šç™¾ä¸‡çº§æ ·æœ¬ï¼Œæ€§èƒ½æ˜¯ç¡¬çº¦æŸ + +```python +# 免颿›¿æ¢ä¸º Linear Median-Aligned +def normalize_standard(series: pd.Series) -> pd.Series: + return normalize_linear_median_aligned(series) +``` + +**ç†ç”±**: +- 8倿€§èƒ½æå‡ +- 䏭使•°ä¸¥æ ¼=0.5 +- è´¨é‡è¯„分0.83(vs 0.98ï¼‰å¯æŽ¥å— + +**代价**: +- 分布å‡åŒ€æ€§ä¸‹é™ +- 对æžç«¯å€¼æ•感性增加 +- 需è¦å…¨é¢å›žå½’测试 + +--- + +## 实施建议 + +### 短期(1周内) + +1. **性能基准测试**:è¿è¡Œä¸Šè¿°æµ‹è¯•代ç ï¼ŒèŽ·å–å®žé™…æ•°æ® +2. **è´¨é‡è¯„ä¼°**:对18,004样本数æ®é›†è¿›è¡Œè´¨é‡å¯¹æ¯” +3. **决策**:根æ®å®žæµ‹ç»“果决定是å¦ä¼˜åŒ– + +### 中期(1-2月) + +如果性能确实是瓶颈: + +1. **实现方案B**(混åˆç­–略) +2. **A/B测试**ï¼šå¯¹æ¯”ä¸¤ç§æ–¹æ³•的信å·è´¨é‡ +3. **监控指标**:跟踪标准化åŽçš„䏭使•°/分布å˜åŒ– + +### 长期(3-6月) + +如果数æ®é‡æŒç»­å¢žé•¿ï¼ˆç™¾ä¸‡çº§ï¼‰ï¼š + +1. **考虑方案C**(全é¢åˆ‡æ¢ï¼‰ +2. **æˆ–å¼•å…¥å¢žé‡æ ‡å‡†åŒ–**ï¼šé¢„è®¡ç®—åˆ†ä½æ•°ï¼Œå¢žé‡æ›´æ–° +3. **或引入采样标准化**:大数æ®é›†ç”¨é‡‡æ ·ä¼°è®¡åˆ†ä½æ•° + +--- + +## 实验脚本 + +我å¯ä»¥åˆ›å»ºä¸€ä¸ªå®Œæ•´çš„对比脚本,帮你评估: + +```bash +# 在 technical-patterns-lab 项目中 +python scripts/scoring/benchmark_normalization.py +``` + +输出: +- 性能对比表格 +- è´¨é‡è¯„估报告 +- 分布对比图表 +- 推è决策 + +--- + +## 结论 + +**对于当å‰18,004样本的数æ®é›†ï¼Œå»ºè®®ä¿æŒçŽ°çŠ¶ï¼ˆæ–¹æ¡ˆA)**,ç†ç”±ï¼š + +1. ✅ **æ€§èƒ½å¯æŽ¥å—**:rank(pct=True) 在1-2万样本下<100msï¼Œä¸æ˜¯ç“¶é¢ˆ +2. ✅ **è´¨é‡æœ€ä¼˜**ï¼šä¸­ä½æ•°ä¸¥æ ¼=0.5,分布最å‡åŒ€ï¼Œå¯¹æžç«¯å€¼é²æ£’ +3. ✅ **已验è¯ç¨³å®š**:基于此方法的预设模å¼å·²ä¼˜åŒ–,ä¸å¼•入新风险 + +**仅当满足以下æ¡ä»¶ä¹‹ä¸€æ—¶è€ƒè™‘线性映射优化**: + +- æ ·æœ¬é‡ > 10万 +- 标准化耗时 > 500ms +- 需è¦å®žæ—¶è®¡ç®—(在线标准化场景) + +**如果未æ¥éœ€è¦ä¼˜åŒ–ï¼ŒæŽ¨èæ–¹æ¡ˆB(混åˆç­–略)**: +- 平衡质é‡å’Œæ€§èƒ½ +- å‘ä¸‹å…¼å®¹ï¼Œé£Žé™©å¯æŽ§ +- 坿 ¹æ®å®žé™…æ•°æ®é‡è‡ªé€‚应选择 diff --git a/discuss/20260130-检测算法优化方案.md b/discuss/20260130-检测算法优化方案.md new file mode 100644 index 0000000..a08704d --- /dev/null +++ b/discuss/20260130-检测算法优化方案.md @@ -0,0 +1,837 @@ +# 收敛三角形检测算法优化方案 + +## 目标场景 + +- **股票数é‡**: 5000åª +- **è¿è¡Œé¢‘率**: æ¯å¤©æ‰§è¡Œ +- **当å‰è€—æ—¶**: 10-60秒(预估) +- **优化目标**: <5秒(10å€æé€Ÿï¼‰ +- **è´¨é‡è¦æ±‚**: ä¿æŒæ£€æµ‹å‡†ç¡®çއ + +--- + +## æ€§èƒ½ç“¶é¢ˆåˆ†æž + +### 当å‰ç®—法æµç¨‹ + +``` +检测æµç¨‹ï¼ˆæ¯åªè‚¡ç¥¨/æ¯å¤©ï¼‰ï¼š +┌─────────────────────────────────────────────────┠+│ 1. 枢轴点检测 (pivots_fractal_hybrid) 30% │ ↠热点1 +│ 2. è¾¹ç•Œçº¿æ‹Ÿåˆ (fit_pivot_line) 25% │ ↠热点2 +│ 3. å‡ ä½•éªŒè¯ (收敛度/触碰/斜率) 20% │ +│ 4. çªç ´å¼ºåº¦è®¡ç®— (ä»·æ ¼/æˆäº¤é‡) 15% │ +│ 5. DataFrame构建 + æ•°æ®å¤åˆ¶ 10% │ ↠热点3 +└─────────────────────────────────────────────────┘ +``` + +### 关键瓶颈 + +1. **枢轴点检测**: O(n*k) 滑动窗å£ï¼Œé‡å¤è®¡ç®— +2. **边界线拟åˆ**: 迭代离群点移除,多次最å°äºŒä¹˜ +3. **Python循环**: 大é‡stock×dayåŒå±‚循环 +4. **内存分é…**: 频ç¹åˆ›å»ºä¸´æ—¶æ•°ç»„ + +--- + +## 优化方案(分级实施) + +### 🚀 Level 1: å‘é‡åŒ–优化(预期æé€Ÿ2-3å€ï¼‰ + +#### 1.1 枢轴点检测å‘é‡åŒ– + +**当å‰å®žçް** (O(n*k) 滑动窗å£): +```python +def pivots_fractal(high, low, k=15): + """æ»‘åŠ¨çª—å£æŸ¥æ‰¾å±€éƒ¨æžå€¼""" + ph, pl = [], [] + for i in range(k, len(high) - k): + # 检查左å³k个点 + if all(high[i] >= high[j] for j in range(i-k, i+k+1) if j != i): + ph.append(i) + if all(low[i] <= low[j] for j in range(i-k, i+k+1) if j != i): + pl.append(i) + return np.array(ph), np.array(pl) +``` + +**优化方案** (å‘é‡åŒ–): +```python +def pivots_fractal_vectorized(high, low, k=15): + """ + å‘é‡åŒ–枢轴点检测 + + 核心æ€è·¯ï¼š + 1. 使用scipy.signal.argrelextrema一次性找所有æžå€¼ + 2. 或使用å·ç§¯/滚动窗å£å‘é‡åŒ–计算 + + 预期æé€Ÿï¼š3-5å€ + """ + from scipy.signal import argrelextrema + + # 找局部æžå¤§å€¼ï¼ˆé«˜ç‚¹ï¼‰ + ph = argrelextrema(high, np.greater_equal, order=k)[0] + + # 找局部æžå°å€¼ï¼ˆä½Žç‚¹ï¼‰ + pl = argrelextrema(low, np.less_equal, order=k)[0] + + return ph, pl + + +def pivots_fractal_rolling(high, low, k=15): + """ + 使用pandas滚动窗å£å®žçް + + 预期æé€Ÿï¼š2-4å€ + """ + import pandas as pd + + high_series = pd.Series(high) + low_series = pd.Series(low) + + # æ»šåŠ¨çª—å£æ‰¾æœ€å¤§/最å°å€¼ç´¢å¼• + window = 2*k + 1 + high_rolling_max = high_series.rolling(window, center=True).max() + low_rolling_min = low_series.rolling(window, center=True).min() + + # ä¸­å¿ƒç‚¹ç­‰äºŽçª—å£æžå€¼çš„ä½ç½®å³ä¸ºæž¢è½´ç‚¹ + ph = np.where((high_series == high_rolling_max) & (high_series.notna()))[0] + pl = np.where((low_series == low_rolling_min) & (low_series.notna()))[0] + + return ph, pl +``` + +**实施**: +- 文件:`src/converging_triangle.py` +- 函数:`pivots_fractal()` å’Œ `pivots_fractal_hybrid()` +- å‘下兼容:ä¿ç•™åŽŸå‡½æ•°ä½œä¸ºfallback + +--- + +#### 1.2 边界线拟åˆä¼˜åŒ– + +**当å‰å®žçް** (迭代离群点移除): +```python +def fit_pivot_line(pivot_indices, pivot_values, mode="upper", max_iter=10): + """迭代移除离群点,多次最å°äºŒä¹˜æ‹Ÿåˆ""" + for iter in range(max_iter): + a, b = np.polyfit(indices, values, 1) # 最å°äºŒä¹˜ + residuals = values - (a * indices + b) + outliers = find_outliers(residuals) + if no_outliers: break + remove_outliers() + return a, b +``` + +**优化方案A** (预计算+缓存): +```python +def fit_pivot_line_cached(pivot_indices, pivot_values, mode="upper", cache=None): + """ + 缓存中间结果,é¿å…é‡å¤è®¡ç®— + + 场景:相邻日期的枢轴点大部分é‡å  + 策略:缓存最近N天的拟åˆç»“æžœï¼Œå¢žé‡æ›´æ–° + + 预期æé€Ÿï¼š30-50%(针对滚动窗å£åœºæ™¯ï¼‰ + """ + cache_key = (tuple(pivot_indices), tuple(pivot_values), mode) + + if cache and cache_key in cache: + return cache[cache_key] + + # 原有拟åˆé€»è¾‘ + result = _fit_pivot_line_core(pivot_indices, pivot_values, mode) + + if cache is not None: + cache[cache_key] = result + + return result +``` + +**优化方案B** (快速拟åˆç®—法): +```python +def fit_pivot_line_ransac(pivot_indices, pivot_values, mode="upper"): + """ + 使用RANSAC快速拟åˆï¼ˆå¯¹ç¦»ç¾¤ç‚¹é²æ£’) + + sklearn.linear_model.RANSACRegressor + 预期æé€Ÿï¼š2-3å€ + """ + from sklearn.linear_model import RANSACRegressor + + X = pivot_indices.reshape(-1, 1) + y = pivot_values + + ransac = RANSACRegressor( + residual_threshold=threshold, + max_trials=100, + random_state=42 + ) + ransac.fit(X, y) + + a = ransac.estimator_.coef_[0] + b = ransac.estimator_.intercept_ + inlier_mask = ransac.inlier_mask_ + + return a, b, np.where(inlier_mask)[0] +``` + +**推è**: 先实施方案A(缓存),简å•且收益稳定 + +--- + +#### 1.3 消除Python循环 + +**当å‰å®žçް** (åŒå±‚循环): +```python +def detect_converging_triangle_batch(...): + results = [] + for stock_idx in range(n_stocks): + for date_idx in range(start_day, end_day + 1): + result = detect_converging_triangle_single( + stock_idx, date_idx, ... + ) + results.append(result) + return pd.DataFrame(results) +``` + +**优化方案** (å‘é‡åŒ–外层): +```python +def detect_converging_triangle_batch_vectorized(...): + """ + 外层循环å‘é‡åŒ– + + 策略: + 1. 按date_idxåˆ†ç»„ï¼Œä¸€æ¬¡å¤„ç†æ‰€æœ‰è‚¡ç¥¨ + 2. 使用numpy广播并行计算 + + 预期æé€Ÿï¼š1.5-2å€ + """ + all_results = [] + + for date_idx in range(start_day, end_day + 1): + # ä¸€æ¬¡æ€§å¤„ç†æ‰€æœ‰è‚¡ç¥¨åœ¨åŒä¸€å¤©çš„æ£€æµ‹ + # æå–çª—å£æ•°æ®ï¼ˆå‘é‡åŒ–) + window_start = date_idx - window + 1 + high_windows = high_mtx[:, window_start:date_idx+1] # (n_stocks, window) + low_windows = low_mtx[:, window_start:date_idx+1] + + # æ‰¹é‡æ£€æµ‹æž¢è½´ç‚¹ï¼ˆåˆ©ç”¨numpyå‘é‡è¿ç®—) + pivots_batch = detect_pivots_batch(high_windows, low_windows) + + # æ‰¹é‡æ‹Ÿåˆè¾¹ç•Œçº¿ + fits_batch = fit_lines_batch(pivots_batch) + + # 批é‡è®¡ç®—强度 + strengths_batch = calc_strengths_batch(fits_batch, ...) + + all_results.append(strengths_batch) + + return np.vstack(all_results) +``` + +**关键**: 需è¦é‡æž„算法,使å•ä¸ªå‡½æ•°èƒ½å¤„ç† (n_stocks, window) 维度 + +--- + +### âš¡ Level 2: Numba JIT加速(预期æé€Ÿ5-10å€ï¼‰ + +#### 2.1 Numba加速核心函数 + +```python +from numba import jit, prange + +@jit(nopython=True, parallel=True, cache=True) +def pivots_fractal_numba(high, low, k=15): + """ + Numba加速枢轴点检测 + + 优势: + - nopython=True: ç¼–è¯‘ä¸ºæœºå™¨ç  + - parallel=True: 多线程并行 + - cache=True: 缓存编译结果 + + 预期æé€Ÿï¼š10-20å€ï¼ˆç›¸æ¯”纯Python) + """ + n = len(high) + ph_list = [] + pl_list = [] + + for i in prange(k, n - k): # 并行循环 + # 检查是å¦ä¸ºé«˜ç‚¹ + is_high_pivot = True + for j in range(i - k, i + k + 1): + if j != i and high[i] < high[j]: + is_high_pivot = False + break + if is_high_pivot: + ph_list.append(i) + + # 检查是å¦ä¸ºä½Žç‚¹ + is_low_pivot = True + for j in range(i - k, i + k + 1): + if j != i and low[i] > low[j]: + is_low_pivot = False + break + if is_low_pivot: + pl_list.append(i) + + return np.array(ph_list), np.array(pl_list) + + +@jit(nopython=True, cache=True) +def fit_line_numba(x, y): + """Numba加速最å°äºŒä¹˜æ‹Ÿåˆ""" + n = len(x) + x_mean = np.mean(x) + y_mean = np.mean(y) + + numerator = np.sum((x - x_mean) * (y - y_mean)) + denominator = np.sum((x - x_mean) ** 2) + + a = numerator / denominator + b = y_mean - a * x_mean + + return a, b + + +@jit(nopython=True, parallel=True) +def detect_batch_numba( + high_mtx, low_mtx, close_mtx, volume_mtx, + window, k, start_day, end_day +): + """ + NumbaåŠ é€Ÿæ‰¹é‡æ£€æµ‹ + + 核心优化: + - 消除Python对象开销 + - 并行化最外层循环 + - 预分é…结果数组 + + 预期æé€Ÿï¼š5-10å€ + """ + n_stocks, n_days = high_mtx.shape + total_points = n_stocks * (end_day - start_day + 1) + + # 预分é…结果数组 + strength_up = np.zeros(total_points, dtype=np.float64) + strength_down = np.zeros(total_points, dtype=np.float64) + is_valid = np.zeros(total_points, dtype=np.bool_) + + # å¹¶è¡Œå¤„ç†æ¯ä¸ªæ£€æµ‹ç‚¹ + for idx in prange(total_points): + stock_idx = idx // (end_day - start_day + 1) + day_offset = idx % (end_day - start_day + 1) + date_idx = start_day + day_offset + + # æå–çª—å£æ•°æ® + window_start = date_idx - window + 1 + high_win = high_mtx[stock_idx, window_start:date_idx+1] + low_win = low_mtx[stock_idx, window_start:date_idx+1] + + # 检测枢轴点 + ph, pl = pivots_fractal_numba(high_win, low_win, k) + + # ... åŽç»­å¤„ç† ... + + strength_up[idx] = computed_strength_up + strength_down[idx] = computed_strength_down + is_valid[idx] = computed_is_valid + + return strength_up, strength_down, is_valid +``` + +**实施è¦ç‚¹**: +- Numbaè¦æ±‚函数纯数值计算,ä¸èƒ½æœ‰pandas/字典等Python对象 +- 首次è¿è¡Œä¼šæœ‰JIT编译开销(~1-2秒),åŽç»­è°ƒç”¨æžå¿« +- 需è¦å°†ç®—法拆分为纯数值函数 + +--- + +### 🔥 Level 3: 并行化+缓存策略(预期æé€Ÿ10-20å€ï¼‰ + +#### 3.1 多进程并行 + +```python +from multiprocessing import Pool, cpu_count +from functools import partial + +def detect_stock_range(stock_indices, high_mtx, low_mtx, ...): + """处ç†ä¸€æ‰¹è‚¡ç¥¨çš„æ£€æµ‹ä»»åŠ¡""" + results = [] + for stock_idx in stock_indices: + for date_idx in range(start_day, end_day + 1): + result = detect_converging_triangle_single( + stock_idx, date_idx, high_mtx, low_mtx, ... + ) + results.append(result) + return results + + +def detect_converging_triangle_parallel( + high_mtx, low_mtx, close_mtx, volume_mtx, + params, start_day, end_day, + n_workers=None +): + """ + 多进程并行检测 + + 策略: + - å°†5000åªè‚¡ç¥¨åˆ†æˆn_workers组 + - æ¯ä¸ªè¿›ç¨‹å¤„ç†ä¸€ç»„股票 + - 主进程åˆå¹¶ç»“æžœ + + 预期æé€Ÿï¼šæŽ¥è¿‘线性(8核约7å€ï¼‰ + """ + n_stocks = high_mtx.shape[0] + n_workers = n_workers or cpu_count() - 1 + + # 分é…任务(按股票索引分组) + stock_groups = np.array_split(range(n_stocks), n_workers) + + # åˆ›å»ºéƒ¨åˆ†å‡½æ•°ï¼ˆå›ºå®šå‚æ•°ï¼‰ + detect_fn = partial( + detect_stock_range, + high_mtx=high_mtx, + low_mtx=low_mtx, + close_mtx=close_mtx, + volume_mtx=volume_mtx, + params=params, + start_day=start_day, + end_day=end_day + ) + + # 并行执行 + with Pool(n_workers) as pool: + results_groups = pool.map(detect_fn, stock_groups) + + # åˆå¹¶ç»“æžœ + all_results = [] + for group_results in results_groups: + all_results.extend(group_results) + + return pd.DataFrame(all_results) +``` + +**注æ„**: +- 适åˆCPU密集型任务 +- 需è¦è¶³å¤Ÿå†…存(数æ®å¤åˆ¶åˆ°å­è¿›ç¨‹ï¼‰ +- 5000åªè‚¡ç¥¨åœºæ™¯ä¸‹ï¼Œ8-16核最优 + +--- + +#### 3.2 增é‡è®¡ç®—+缓存 + +```python +class IncrementalDetector: + """ + å¢žé‡æ£€æµ‹å™¨ï¼šç¼“存历å²è®¡ç®—结果 + + 场景:æ¯å¤©æ–°å¢žä¸€ä¸ªäº¤æ˜“日,å¤ç”¨åކ岿£€æµ‹ç»“æžœ + 策略: + 1. 缓存最近N天的枢轴点/拟åˆçº¿ + 2. 新增日期时åªè®¡ç®—增é‡éƒ¨åˆ† + 3. LRU淘汰旧缓存 + + 预期收益: + - 首次è¿è¡Œï¼šæ— åŠ é€Ÿ + - åŽç»­æ¯æ—¥ï¼šæé€Ÿ5-10å€ï¼ˆåªéœ€è®¡ç®—最新day) + """ + + def __init__(self, window=240, cache_size=100): + self.window = window + self.pivot_cache = {} # {stock_idx: {date_idx: (ph, pl)}} + self.fit_cache = {} # {stock_idx: {date_idx: fit_result}} + self.cache_size = cache_size + + def detect_incremental(self, stock_idx, new_date_idx, high, low, close, volume): + """ + å¢žé‡æ£€æµ‹ï¼šåˆ©ç”¨ç¼“存快速计算 + + 逻辑: + 1. æ£€æŸ¥ç¼“å­˜ä¸­æ˜¯å¦æœ‰å‰ä¸€å¤©çš„结果 + 2. 如果有,åªéœ€ï¼š + - 更新枢轴点(新增1天数æ®ï¼‰ + - å¤ç”¨åކ岿‹Ÿåˆç»“æžœ + 3. 如果无,全é‡è®¡ç®—并缓存 + """ + prev_date_idx = new_date_idx - 1 + + # å°è¯•从缓存获å–å‰ä¸€å¤©ç»“æžœ + if stock_idx in self.pivot_cache and prev_date_idx in self.pivot_cache[stock_idx]: + # å¢žé‡æ›´æ–°æž¢è½´ç‚¹ + prev_ph, prev_pl = self.pivot_cache[stock_idx][prev_date_idx] + new_ph, new_pl = self._update_pivots_incremental( + prev_ph, prev_pl, high, low, new_date_idx + ) + else: + # å…¨é‡è®¡ç®— + new_ph, new_pl = pivots_fractal(high, low, k=15) + + # 缓存枢轴点 + if stock_idx not in self.pivot_cache: + self.pivot_cache[stock_idx] = {} + self.pivot_cache[stock_idx][new_date_idx] = (new_ph, new_pl) + + # ... åŽç»­å¤„ç† ... + + return result + + def _update_pivots_incremental(self, prev_ph, prev_pl, high, low, new_idx): + """ + å¢žé‡æ›´æ–°æž¢è½´ç‚¹ + + 策略: + 1. 大部分枢轴点ä½ç½®ä¸å˜ï¼ˆç›¸å¯¹ç´¢å¼•+1) + 2. åªéœ€æ£€æŸ¥çª—å£è¾¹ç•Œçš„æ–°å¢ž/移除 + """ + # ç®€åŒ–ç‰ˆï¼šè¿™é‡Œéœ€è¦æ›´å¤æ‚的逻辑 + # 实际应该检查最近k个点是å¦å½¢æˆæ–°æž¢è½´ + k = 15 + last_points = high[-2*k:] + + # 检查最新点是å¦ä¸ºæž¢è½´ + if self._is_pivot_high(last_points, k): + prev_ph = np.append(prev_ph, new_idx) + if self._is_pivot_low(low[-2*k:], k): + prev_pl = np.append(prev_pl, new_idx) + + return prev_ph, prev_pl +``` + +**实施优先级**: +- 中等(适åˆç”Ÿäº§çŽ¯å¢ƒæ¯æ—¥è¿è¡Œï¼‰ +- 首次å¯åŠ¨æ— æ”¶ç›Šï¼ŒåŽç»­æ¯æ—¥æ”¶ç›Šæ˜¾è‘— + +--- + +### 💾 Level 4: æ•°æ®ç»“构优化(预期æé€Ÿ1.5-2å€ï¼‰ + +#### 4.1 使用Numpy结构化数组替代DataFrame + +```python +def detect_converging_triangle_batch_numpy(...): + """ + 使用numpy结构化数组替代pandas DataFrame + + 优势: + - é¿å…pandas对象开销 + - 内存连续,cacheå‹å¥½ + - 直接返回numpy数组供åŽç»­å¤„ç† + + 预期æé€Ÿï¼š30-50%(å‡å°‘内存分é…) + """ + n_stocks, n_days = close_mtx.shape + total_points = n_stocks * (end_day - start_day + 1) + + # 定义结果结构 + dtype = np.dtype([ + ('stock_idx', np.int32), + ('date_idx', np.int32), + ('is_valid', np.bool_), + ('strength_up', np.float32), + ('strength_down', np.float32), + ('convergence_score', np.float32), + ('volume_score', np.float32), + ('geometry_score', np.float32), + ('activity_score', np.float32), + ('tilt_score', np.float32), + ]) + + # 预分é…结果数组 + results = np.empty(total_points, dtype=dtype) + + idx = 0 + for stock_idx in range(n_stocks): + for date_idx in range(start_day, end_day + 1): + result = detect_single(stock_idx, date_idx, ...) + + # 直接写入结构化数组(无中间对象) + results[idx]['stock_idx'] = stock_idx + results[idx]['date_idx'] = date_idx + results[idx]['is_valid'] = result.is_valid + results[idx]['strength_up'] = result.strength_up + # ... + idx += 1 + + return results # åŽç»­å¯è½¬ä¸ºDataFrame: pd.DataFrame(results) +``` + +--- + +#### 4.2 内存映射文件(大规模数æ®ï¼‰ + +```python +def load_data_mmap(data_dir): + """ + ä½¿ç”¨å†…å­˜æ˜ å°„åŠ è½½æ•°æ® + + 适用场景: + - æ•°æ®é‡ > å¯ç”¨å†…å­˜ + - 多进程共享数æ®ï¼ˆé¿å…å¤åˆ¶ï¼‰ + + 预期收益: + - 加载时间:从秒级é™åˆ°æ¯«ç§’级 + - 内存å ç”¨ï¼š0(按需加载页é¢ï¼‰ + """ + import os + + # ä¿å­˜ä¸º.npyæ ¼å¼ï¼ˆæ”¯æŒmmap) + high_mmap = np.load( + os.path.join(data_dir, 'high.npy'), + mmap_mode='r' # åªè¯»æ¨¡å¼ + ) + + return high_mmap # 返回mmapå¯¹è±¡ï¼ŒæŒ‰éœ€åŠ è½½æ•°æ® + + +def save_data_for_mmap(data, filepath): + """ä¿å­˜æ•°æ®ä¸ºmmap兼容格å¼""" + np.save(filepath, data) +``` + +--- + +## 优化实施路线图 + +### Phase 1: 快速收益(1-2周,预期2-3å€æé€Ÿï¼‰ + +**优先级P0**: +1. ✅ 枢轴点检测å‘é‡åŒ–(使用scipy或pandas rolling) +2. ✅ 边界线拟åˆç¼“å­˜ +3. ✅ 消除简å•çš„Python循环(能å‘é‡åŒ–的先å‘é‡åŒ–) + +**预期收益**: +- 耗时:30-60ç§’ → 10-20ç§’ +- 实施难度:低 +- 风险:低(å‘下兼容) + +--- + +### Phase 2: Numba加速(2-3周,预期5-10å€æé€Ÿï¼‰ + +**优先级P1**: +1. ✅ 核心函数Numba化(pivots/fit_line/calc_strength) +2. ✅ æ‰¹é‡æ£€æµ‹ä¸»å¾ªçޝNumba化 +3. âš ï¸ å•å…ƒæµ‹è¯•ï¼ˆç¡®ä¿æ•°å€¼ç²¾åº¦ä¸€è‡´ï¼‰ + +**预期收益**: +- 耗时:10-20ç§’ → 2-5ç§’ +- 实施难度:中 +- 风险:中(需è¦éªŒè¯æ•°å€¼ç¨³å®šæ€§ï¼‰ + +**注æ„事项**: +```python +# Numbaé™åˆ¶ï¼š +# 1. 䏿”¯æŒpandas DataFrame(需改用numpy) +# 2. 䏿”¯æŒå­—å…¸/列表(需改用numpy数组) +# 3. 䏿”¯æŒåЍæ€ç±»åž‹ï¼ˆéœ€æ˜¾å¼ç±»åž‹æ ‡æ³¨ï¼‰ + +# 解决方案: +# - å°†pandas逻辑分离到外层 +# - 核心计算用纯numpy实现 +# - 添加类型标注 +``` + +--- + +### Phase 3: 并行化(1周,预期10-20å€æé€Ÿï¼‰ + +**优先级P2**(如果Phase 2åŽä»éœ€ä¼˜åŒ–): +1. ✅ 多进程并行检测(Pool/ProcessPoolExecutor) +2. ✅ 增é‡è®¡ç®—+ç¼“å­˜ç­–ç•¥ï¼ˆç”Ÿäº§çŽ¯å¢ƒæ¯æ—¥è¿è¡Œï¼‰ + +**预期收益**: +- 耗时:2-5ç§’ → <1ç§’ +- 实施难度:低(如果已完æˆPhase 1-2) +- 风险:低 + +--- + +### Phase 4: æžè‡´ä¼˜åŒ–(按需实施) + +**优先级P3**(仅当å‰é¢ä¼˜åŒ–ä¸å¤Ÿï¼‰ï¼š +1. Cythoné‡å†™æ ¸å¿ƒæ¨¡å—(C扩展) +2. GPU加速(CUDA/cupy) +3. Rust扩展(pyo3) + +**预期收益**: +- 耗时:<1ç§’ → 毫秒级 +- 实施难度:高 +- é£Žé™©ï¼šé«˜ï¼ˆç»´æŠ¤æˆæœ¬ï¼‰ + +--- + +## 基准测试脚本 + +### 使用现有测试脚本 + +```bash +# 当å‰é¡¹ç›®å·²æœ‰æ€§èƒ½æµ‹è¯•脚本 +cd d:\project\technical-patterns-lab + +# è¿è¡Œå°è§„模测试(10åªè‚¡ç¥¨ï¼‰ +python scripts/test_performance.py + +# 查看profiling结果 +pip install snakeviz +snakeviz outputs/performance/profile_*.prof +``` + +### 创建5000股测试脚本 + +```python +# scripts/benchmark_5000_stocks.py +""" +5000åªè‚¡ç¥¨æ€§èƒ½æµ‹è¯• +""" +import time +import numpy as np +from src.converging_triangle import detect_converging_triangle_batch, ConvergingTriangleParams + +def generate_synthetic_data(n_stocks=5000, n_days=500): + """生æˆåˆæˆæ•°æ®ç”¨äºŽæµ‹è¯•""" + np.random.seed(42) + + base_price = 10 + np.random.randn(n_stocks, 1) * 2 + returns = np.random.randn(n_stocks, n_days) * 0.02 + + close = base_price * np.cumprod(1 + returns, axis=1) + high = close * (1 + np.abs(np.random.randn(n_stocks, n_days)) * 0.01) + low = close * (1 - np.abs(np.random.randn(n_stocks, n_days)) * 0.01) + open_ = close * (1 + np.random.randn(n_stocks, n_days) * 0.005) + volume = np.random.randint(100000, 1000000, (n_stocks, n_days)) + + return open_, high, low, close, volume + +def benchmark_5000_stocks(): + print("=" * 80) + print("5000åªè‚¡ç¥¨æ€§èƒ½æµ‹è¯•") + print("=" * 80) + + # ç”Ÿæˆæ•°æ® + print("\nç”Ÿæˆæµ‹è¯•æ•°æ®...") + open_, high, low, close, volume = generate_synthetic_data(5000, 500) + print(f"æ•°æ®å½¢çж: {close.shape}") + + # é…ç½®å‚æ•° + params = ConvergingTriangleParams(window=240, pivot_k=15) + + # 测试 + print("\n开始检测...") + start = time.time() + + df = detect_converging_triangle_batch( + open_mtx=open_, + high_mtx=high, + low_mtx=low, + close_mtx=close, + volume_mtx=volume, + params=params, + start_day=239, + end_day=499, + only_valid=True, + verbose=False + ) + + elapsed = time.time() - start + + # 结果 + print("\n" + "=" * 80) + print("测试结果") + print("=" * 80) + print(f"总耗时: {elapsed:.2f} ç§’") + print(f"检测点数: {5000 * 261}") # (500-239) + print(f"速度: {5000*261/elapsed:.1f} 点/ç§’") + print(f"有效形æ€: {len(df)}") + + # 评估 + print("\n" + "=" * 80) + if elapsed < 5: + print("✅ 性能优秀! (<5ç§’)") + elif elapsed < 10: + print("âœ”ï¸ æ€§èƒ½è‰¯å¥½ (5-10ç§’)") + elif elapsed < 30: + print("âš ï¸ æ€§èƒ½ä¸€èˆ¬ (10-30ç§’), 建议优化") + else: + print("⌠性能较差 (>30ç§’), 急需优化") + +if __name__ == '__main__': + benchmark_5000_stocks() +``` + +--- + +## è´¨é‡ä¿è¯ + +### 回归测试 + +```python +# tests/test_optimization_correctness.py +""" +优化正确性测试:确ä¿ä¼˜åŒ–åŽç»“果一致 +""" +import numpy as np +import pytest + +def test_optimized_vs_original(): + """对比优化版本和原版本的结果""" + # åŠ è½½æµ‹è¯•æ•°æ® + data = load_test_case() + + # 原版本 + result_orig = detect_original(data) + + # 优化版本 + result_opt = detect_optimized(data) + + # 验è¯ç»“果一致(å…è®¸å¾®å°æ•°å€¼è¯¯å·®ï¼‰ + np.testing.assert_allclose( + result_orig['strength_up'], + result_opt['strength_up'], + rtol=1e-5, + atol=1e-8 + ) + + # éªŒè¯æœ‰æ•ˆæ€§æ ‡è®°å®Œå…¨ä¸€è‡´ + assert (result_orig['is_valid'] == result_opt['is_valid']).all() +``` + +--- + +## 预期效果总结 + +| 优化阶段 | 实施难度 | 预期æé€Ÿ | 累计æé€Ÿ | 总耗时(5000è‚¡) | +|---------|---------|---------|---------|---------------| +| **当å‰** | - | - | 1x | 30-60ç§’ | +| Phase 1 | 低 | 2-3x | 2-3x | 10-20ç§’ | +| Phase 2 | 中 | 5-10x | 10-30x | 2-5ç§’ | +| Phase 3 | 低 | 10-20x | 20-60x | <1ç§’ | +| Phase 4 | 高 | 50-100x | 100-300x | 毫秒级 | + +**推è路径**: Phase 1 → Phase 2 → è§‚å¯Ÿæ˜¯å¦æ»¡è¶³éœ€æ±‚ → 按需进入Phase 3 + +--- + +## ç«‹å³è¡ŒåЍ + +### 本周任务 + +1. **åŸºå‡†æµ‹è¯•å½“å‰æ€§èƒ½** + ```bash + python scripts/benchmark_5000_stocks.py + ``` + +2. **确认瓶颈函数** + ```bash + python -m cProfile -o profile.stats scripts/benchmark_5000_stocks.py + python -m pstats profile.stats + # >> stats + # >> sort cumulative + # >> stats 20 + ``` + +3. **优先实施**:枢轴点检测å‘é‡åŒ–(收益最大ã€éš¾åº¦æœ€ä½Žï¼‰ + +--- + +éœ€è¦æˆ‘帮你实现具体的优化代ç å—?比如从枢轴点检测å‘é‡åŒ–开始? diff --git a/discuss/20260130-生产环境性能评估_æ¯æ—¥5000è‚¡.md b/discuss/20260130-生产环境性能评估_æ¯æ—¥5000è‚¡.md new file mode 100644 index 0000000..25f429f --- /dev/null +++ b/discuss/20260130-生产环境性能评估_æ¯æ—¥5000è‚¡.md @@ -0,0 +1,315 @@ +# ç”Ÿäº§çŽ¯å¢ƒæ€§èƒ½è¯„ä¼°ï¼šæ¯æ—¥5000股检测场景 + +## 使用场景 + +**真实需求**: +- 股票数é‡ï¼š5000+åª +- è¿è¡Œé¢‘率:æ¯å¤©æ‰§è¡Œä¸€æ¬¡ +- æ£€æµ‹å‚æ•°ï¼šå¯è‡ªå®šä¹‰ï¼ˆçª—å£ã€æ”¶æ•›åº¦ã€çªç ´é˜ˆå€¼ç­‰ï¼‰ +- è¾“å‡ºè¦æ±‚:标准化强度分 [0,1] + +--- + +## æ€§èƒ½ç“¶é¢ˆåˆ†æž + +### 完整æµç¨‹è€—时分解 + +``` +┌─────────────────────────────────────────────────────────────┠+│ æ¯æ—¥æ£€æµ‹æµç¨‹ │ +├─────────────────────────────────────────────────────────────┤ +│ 1. æ•°æ®åŠ è½½ (load_pkl) ~0.5-2ç§’ (I/O瓶颈) │ +│ 2. ä¸‰è§’å½¢æ‰¹é‡æ£€æµ‹ ~10-60ç§’ (计算密集) │ +│ 3. æ ‡å‡†åŒ–å¤„ç† (7个维度) ~0.05-0.2ç§’ (CPU) │ +│ 4. 强度分计算 (åŠ æƒæ±‚å’Œ) ~0.01ç§’ (å‘é‡è¿ç®—) │ +│ 5. 结果输出/存储 ~0.1-0.5ç§’ (I/O) │ +├─────────────────────────────────────────────────────────────┤ +│ 总耗时:~11-63ç§’/天 │ +└─────────────────────────────────────────────────────────────┘ +``` + +**ç»“è®ºï¼šæ ‡å‡†åŒ–ä¸æ˜¯ç“¶é¢ˆï¼** +- 标准化耗时 < 0.5% 总时间 +- 真正瓶颈:三角形检测算法 (å 90%+) + +--- + +## 关键问题:标准化基准如何选择? + +### 场景A:基于历å²åŸºå‡†ï¼ˆ18,004样本) + +```python +# 预先计算并缓存历å²åŸºå‡† +HISTORICAL_QUANTILES = { + 'price_score_up': {'p5': 0.0, 'p50': 0.0, 'p95': 0.15}, + 'convergence_score': {'p5': 0.45, 'p50': 0.80, 'p95': 0.92}, + # ... 其他维度 +} + +def normalize_with_historical_baseline(today_data): + """æ¯å¤©ç”¨åކå²åŸºå‡†æ ‡å‡†åŒ–今天的5000åªè‚¡ç¥¨""" + for col in columns: + p5, p50, p95 = HISTORICAL_QUANTILES[col].values() + normalized = apply_normalization(today_data[col], p5, p50, p95) + return normalized +``` + +**优点**: +- ✅ 标准化基准稳定,ä¸é𿝿—¥æ•°æ®æ³¢åЍ +- ✅ 预设模å¼é˜ˆå€¼(0.7/0.75)ä»ç„¶æœ‰æ•ˆ +- ✅ ä¸åŒæ—¥æœŸçš„强度分å¯ç›´æŽ¥å¯¹æ¯” +- ✅ æ¯å¤©åªéœ€O(n)线性映射,æžå¿« + +**缺点**: +- ⌠需è¦å®šæœŸæ›´æ–°åކå²åŸºå‡†ï¼ˆå¦‚æ¯å­£åº¦ï¼‰ +- ⌠æžç«¯å¸‚场环境下å¯èƒ½å‡ºçް大é‡å€¼è¶…出[0,1]范围(需clip) + +--- + +### 场景B:基于当天样本(5000åªï¼‰ + +```python +def normalize_with_daily_baseline(today_data): + """æ¯å¤©ç”¨å½“天5000åªè‚¡ç¥¨é‡æ–°è®¡ç®—åˆ†ä½æ•°""" + for col in columns: + p5 = today_data[col].quantile(0.05) + p50 = today_data[col].median() + p95 = today_data[col].quantile(0.95) + normalized = apply_normalization(today_data[col], p5, p50, p95) + return normalized +``` + +**优点**: +- ✅ 自适应市场环境,无需维护历å²åŸºå‡† +- ✅ ä¿è¯å½“天数æ®å®Œå…¨åœ¨[0,1]范围 + +**缺点**: +- ⌠标准化基准æ¯å¤©å˜åŒ–,ä¸åŒæ—¥æœŸå¼ºåº¦åˆ†ä¸å¯æ¯” +- ⌠预设模å¼é˜ˆå€¼å¤±æ•ˆï¼ˆä»Šå¤©0.7 ≠ 明天0.7) +- ⌠牛市/熊市时相对排å被压缩 + +--- + +## æŽ¨èæ–¹æ¡ˆï¼šæ··åˆç­–ç•¥ + +### 方案:历å²åŸºå‡† + 快速线性映射 + +```python +# ========== 离线预计算(æ¯å­£åº¦æ›´æ–°ä¸€æ¬¡ï¼‰ ========== +def compute_historical_baseline(historical_data_18004_samples): + """ + åŸºäºŽåŽ†å²æ•°æ®è®¡ç®—标准化基准 + 输入:18,004ä¸ªåŽ†å²æ ·æœ¬ + 输出:æ¯ä¸ªç»´åº¦çš„P5/P50/P95 + """ + baseline = {} + for col in ['price_score_up', 'price_score_down', ...]: + baseline[col] = { + 'p5': historical_data[col].quantile(0.05), + 'p50': historical_data[col].median(), + 'p95': historical_data[col].quantile(0.95), + 'method': 'zero_inflated' if col in [...] else 'standard' + } + + # ä¿å­˜ä¸ºé…置文件 + save_json('baseline_config.json', baseline) + return baseline + + +# ========== 在线标准化(æ¯å¤©è¿è¡Œï¼‰ ========== +def normalize_daily_fast(today_5000_samples, baseline_config): + """ + 使用历å²åŸºå‡†å¿«é€Ÿæ ‡å‡†åŒ–ä»Šå¤©çš„æ•°æ® + + æ—¶é—´å¤æ‚度:O(n) = O(5000) ≈ 10-20ms + vs ç™¾åˆ†ä½æŽ’å O(n log n) ≈ 50-100ms + """ + result = {} + + for col, config in baseline_config.items(): + p5 = config['p5'] + p50 = config['p50'] + p95 = config['p95'] + method = config['method'] + + if method == 'zero_inflated': + # 零膨胀:零值→0.5,éžé›¶å€¼çº¿æ€§æ˜ å°„到[0.5, 1.0] + is_zero = (today_5000_samples[col] < 1e-6) + result[col] = np.where( + is_zero, + 0.5, + 0.5 + 0.5 * ((today_5000_samples[col] - p5) / (p95 - p5)).clip(0, 1) + ) + elif method == 'median_aligned': + # 䏭使•°å¯¹é½ï¼šä¸ŠåŠ[p50,p95]→[0.5,1.0],下åŠ[p5,p50]→[0.0,0.5] + is_upper = (today_5000_samples[col] >= p50) + upper_norm = 0.5 + 0.5 * ((today_5000_samples[col] - p50) / (p95 - p50)).clip(0, 1) + lower_norm = 0.5 * ((today_5000_samples[col] - p5) / (p50 - p5)).clip(0, 1) + result[col] = np.where(is_upper, upper_norm, lower_norm) + else: + # 标准线性映射 + result[col] = ((today_5000_samples[col] - p5) / (p95 - p5)).clip(0, 1) + + return pd.DataFrame(result) +``` + +--- + +## 性能对比(5000样本/天) + +| 方法 | 耗时 | ç›¸æ¯”å½“å‰ | è´¨é‡ | 夿‚度 | +|------|------|---------|------|--------| +| **当å‰ï¼šrank(pct=True)** | 50-100ms | 基准 | â­â­â­â­â­ | ç®€å• | +| **历å²åŸºå‡†+线性映射** | 10-20ms | **5å€æé€Ÿ** | â­â­â­â­ | 中等 | +| **æ¯æ—¥é‡ç®—baseline** | 15-30ms | 3å€æé€Ÿ | â­â­â­ | 中等 | + +**结论**: +- 对于5000样本,优化收益从 50ms → 20ms,**节çœ30ms** +- 相对于检测算法的10-60秒,**收益微乎其微** (<0.1%) +- **ä¸å»ºè®®ä¼˜åŒ–标准化环节**,应优化检测算法 + +--- + +## 实际生产建议 + +### çŸ­æœŸï¼ˆä¿æŒçŽ°çŠ¶ï¼‰ + +```python +def 收敛三角形_生产环境(today_data_5000_stocks): + """ + æ¯å¤©è¿è¡Œï¼Œä½¿ç”¨åކå²åŸºå‡†æ ‡å‡†åŒ– + """ + # 1. 加载历å²åŸºå‡†ï¼ˆåªéœ€åŠ è½½ä¸€æ¬¡ï¼Œå¸¸é©»å†…å­˜ï¼‰ + baseline = load_cached_baseline() + + # 2. 检测三角形(主è¦è€—时:10-60秒) + detection_result = detect_converging_triangle_batch(today_data_5000_stocks) + + # 3. 使用历å²åŸºå‡†æ ‡å‡†åŒ–(耗时:10-20ms,用线性映射) + normalized = normalize_with_historical_baseline( + detection_result, + baseline + ) + + # 4. 计算强度分(耗时:<10ms) + strength = calculate_strength(normalized, CONFIG_EQUAL) + + return strength +``` + +**关键点**: +1. **历å²åŸºå‡†å¸¸é©»å†…å­˜**,ä¸ç”¨æ¯å¤©é‡ç®— +2. **标准化用线性映射**(历å²åŸºå‡†+快速计算) +3. **优化é‡ç‚¹ï¼šæ£€æµ‹ç®—法**ï¼Œè€Œéžæ ‡å‡†åŒ– + +--- + +### 中期(如果检测算法已优化) + +**场景:检测算法优化到1-2ç§’åŽï¼Œæ ‡å‡†åŒ–æ‰å¯èƒ½æˆä¸ºç“¶é¢ˆ** + +此时å¯è€ƒè™‘: +1. 预编译Numba/Cython加速标准化 +2. 多进程并行化(5000股分æˆ10组并行) +3. GPU加速(如果数æ®é‡è¿›ä¸€æ­¥å¢žå¤§ï¼‰ + +--- + +### 长期(大规模扩展) + +**åœºæ™¯ï¼šè‚¡ç¥¨æ•°é‡ > 1万åªï¼Œæˆ–需è¦åˆ†é’Ÿçº§å®žæ—¶è®¡ç®—** + +```python +# ä½¿ç”¨å¢žé‡æ›´æ–°ç­–ç•¥ +class IncrementalNormalizer: + """å¢žé‡æ ‡å‡†åŒ–器,维护滚动窗å£åŸºå‡†""" + + def __init__(self, window_size=20_days): + self.historical_buffer = deque(maxlen=window_size) + self.baseline = None + + def update(self, today_data): + """æ¯å¤©æ›´æ–°åŸºå‡†""" + self.historical_buffer.append(today_data) + + # 釿–°è®¡ç®—最近20天的基准(采样策略) + if len(self.historical_buffer) == self.window_size: + self.baseline = compute_baseline_fast(self.historical_buffer) + + def normalize(self, today_data): + """O(1)标准化""" + return apply_linear_mapping(today_data, self.baseline) +``` + +--- + +## 决策树 + +``` +是å¦éœ€è¦ä¼˜åŒ–标准化? +│ +├─ 检测算法耗时 > 10秒? +│ ├─ 是 → 先优化检测算法(收益更大) +│ └─ å¦ â†’ 继续往下 +│ +├─ 标准化耗时 > 500ms? +│ ├─ 是 → 考虑优化(使用历å²åŸºå‡†+线性映射) +│ └─ å¦ â†’ ä¸éœ€è¦ä¼˜åŒ– +│ +└─ 总结:对于5000样本/å¤©ï¼Œæ ‡å‡†åŒ–ä¸æ˜¯ç“¶é¢ˆ +``` + +--- + +## 实施建议 + +### ç«‹å³è¡ŒåЍ +1. **基准测试**:实测当å‰5000股的实际耗时 + ```bash + python scripts/benchmark_production.py --stocks 5000 + ``` + +2. **分æžç“¶é¢ˆ**:确认检测算法 vs æ ‡å‡†åŒ–çš„è€—æ—¶å æ¯” + +3. **优先级排åº**: + - P0: 优化检测算法(如果>10秒) + - P1: 优化数æ®åŠ è½½I/O(如果>2秒) + - P2: 优化标准化(如果>500ms) + +### 如果确需优化标准化 + +**步骤:** +1. 离线计算历å²åŸºå‡†ï¼ˆæ¯å­£åº¦æ›´æ–°ï¼‰ +2. 修改标准化函数使用线性映射 +3. A/B测试质é‡å½±å“ +4. ç›‘æŽ§æ¯æ—¥å¼ºåº¦åˆ†åˆ†å¸ƒ + +**代ç ä½ç½®ï¼š** +``` +dunhe_dataServer/src/library/expression/funcs/pattern.py +- 修改 _compute_all_metrics() 中的标准化逻辑 +- 增加 load_historical_baseline() 函数 +- 增加 normalize_with_baseline_fast() 函数 +``` + +--- + +## 结论 + +**对于æ¯å¤©5000åªè‚¡ç¥¨çš„场景:** + +1. ✅ **ä¿æŒå½“剿–¹æ¡ˆ**ï¼ˆç™¾åˆ†ä½æŽ’å) + - 标准化耗时 < 100msï¼Œä¸æ˜¯ç“¶é¢ˆ + - è´¨é‡æœ€ä¼˜ï¼Œç¨³å®šå¯é  + +2. 📊 **如果未æ¥éœ€è¦ä¼˜åŒ–**(检测算法已优化到秒级) + - 使用**历å²åŸºå‡† + 线性映射** + - 5å€æé€Ÿï¼ˆ100ms → 20ms) + - è´¨é‡ç•¥é™ï¼ˆ0.98 → 0.88) + +3. 🎯 **真正应该优化的**: + - 检测算法性能(å 90%+时间) + - æ•°æ®åŠ è½½I/O + - 结果缓存策略 + +**一å¥è¯æ€»ç»“**:标准化优化对æ¯å¤©5000股场景的收益 < 0.1%,ä¸å€¼å¾—投入。应èšç„¦æ£€æµ‹ç®—法优化。 diff --git a/discuss/20260130-讨论-收敛三角形函数设计.md b/discuss/20260130-讨论-收敛三角形函数设计.md new file mode 100644 index 0000000..e7f4593 --- /dev/null +++ b/discuss/20260130-讨论-收敛三角形函数设计.md @@ -0,0 +1,637 @@ +让我查看一下 technical-patterns-lab 项目中关于标准化维度和预设模å¼çš„内容。 + +[10 tools called] + +éžå¸¸å¥½!现在我完全ç†è§£äº†ã€‚你们已ç»å®žçŽ°äº†**标准化维度系统**å’Œ**预设模å¼é…ç½®**ã€‚è®©æˆ‘é‡æ–°è®¾è®¡å‡½æ•°æŽ¥å£,将这些体系整åˆè¿›åŽ»: + +--- + +## 🎯 釿–°è®¾è®¡:å‡½æ•°æŽ¥å£ + 标准化维度 + é¢„è®¾æ¨¡å¼ + +基于你们已ç»å®žçŽ°çš„ `normalizer.py` å’Œ `config.py`,函数应该这样设计: + +### **1. 函数接å£è®¾è®¡(é›†æˆæ ‡å‡†åŒ–+预设模å¼)** + +```python +# ============================================================================ +# 批é‡è®¡ç®—函数(å…¨åŽ†å²æ‰«æ) +# ============================================================================ + +def 收敛三角形( + # === 计算范围 === + 掩ç : Optional[np.ndarray] = None, + 起始日期: int = -1, + ç»“æŸæ—¥æœŸ: int = -1, + + # === æ£€æµ‹å‚æ•° === + 检测窗å£: int = 240, + æœ€å°æ”¶æ•›åº¦: float = 0.45, + çªç ´é˜ˆå€¼: float = 0.005, + 放é‡å€æ•°: float = 1.5, + + # === 强度分é…ç½®(新增) === + 预设模å¼: str = "ç­‰æƒ", # "ç­‰æƒ"|"激进"|"ä¿å®ˆ"|"放é‡"|"自定义" + 自定义æƒé‡: Optional[dict] = None, # 仅当预设模å¼="自定义"时有效 + + # === 输出控制 === + 返回详细维度: bool = False, # True时返回dictåŒ…å«æ‰€æœ‰6个维度 + +) -> Union[np.ndarray, dict]: + """ + å…¨åŽ†å²æ‰¹é‡è®¡ç®—收敛三角形强度分 + + Args: + 掩ç : (n_stocks, n_days) 布尔矩阵,True表示需è¦è®¡ç®—çš„ä½ç½® + 起始日期/ç»“æŸæ—¥æœŸ: 日期索引范围 + + 预设模å¼: 强度分计算模å¼,选择æƒé‡åˆ†é…ç­–ç•¥ + - "ç­‰æƒ": 6个维度å„1/6 (默认,探索性分æž) + - "激进": çªç ´35% + æˆäº¤é‡25% (趋势行情,追涨) + - "ä¿å®ˆ": æ”¶æ•›30% + 活跃25% (震è¡å¸‚,等形æ€å®Œå–„) + - "放é‡": æˆäº¤é‡35% + çªç ´25% (æ•获主力异动) + - "自定义": 使用自定义æƒé‡å­—å…¸ + + 自定义æƒé‡: 当预设模å¼="自定义"æ—¶,ä¼ å…¥æƒé‡å­—å…¸,例如: + { + "çªç ´å¹…度": 0.40, + "收敛度": 0.20, + "æˆäº¤é‡": 0.20, + "å½¢æ€è§„则": 0.05, + "价格活跃": 0.10, + "倾斜度": 0.05 + } + 注æ„:6个æƒé‡ä¹‹å’Œå¿…é¡»=1.0 + + 返回详细维度: 若为True,返回dict包å«: + - "强度分": 综åˆå¼ºåº¦åˆ†çŸ©é˜µ + - "çªç ´å¹…度分_å‘上": 标准化åŽçš„çªç ´å¹…度分(å‘上) + - "çªç ´å¹…度分_å‘下": 标准化åŽçš„çªç ´å¹…度分(å‘下) + - "收敛度分": 标准化åŽçš„æ”¶æ•›åº¦åˆ† + - "æˆäº¤é‡åˆ†": 标准化åŽçš„æˆäº¤é‡åˆ† + - "å½¢æ€è§„则度分": 标准化åŽçš„å½¢æ€è§„则度分 + - "价格活跃度分": 标准化åŽçš„价格活跃度分 + - "倾斜度分": 标准化åŽçš„倾斜度分 + + Returns: + np.ndarray (n_stocks, n_days): 强度分矩阵 + - 范围: [0, 1] (标准化åŽ) + - 正值: å‘上çªç ´å¼ºåº¦ + - 负值: å‘下çªç ´å¼ºåº¦ + - NaN: æ— æœ‰æ•ˆå½¢æ€ æˆ– 掩ç ä¸ºFalseçš„ä½ç½® + + 或 dict (当返回详细维度=Trueæ—¶): + 包å«"强度分"å’Œ6个å­ç»´åº¦çš„æ ‡å‡†åŒ–分数 + + Examples: + # 示例1: ç­‰æƒæ¨¡å¼å…¨å¸‚场扫æ + 强度 = 收敛三角形(预设模å¼="ç­‰æƒ") + 强çªç ´ = 强度 > 0.7 # 标准化åŽé˜ˆå€¼é€šå¸¸åœ¨0.6-0.8 + + # 示例2: 激进模å¼ç­›é€‰çªç ´è‚¡ + 强度 = 收敛三角形(预设模å¼="激进") + # 激进模å¼: çªç ´35%æƒé‡ + æˆäº¤é‡25%æƒé‡ + + # 示例3: 带掩ç çš„定å‘计算 + 沪深300 = 指数æˆåˆ†("000300.SH") + 强度 = 收敛三角形(掩ç =沪深300, 预设模å¼="ä¿å®ˆ") + + # 示例4: 自定义æƒé‡ + 强度 = 收敛三角形( + 预设模å¼="自定义", + 自定义æƒé‡={ + "çªç ´å¹…度": 0.50, + "收敛度": 0.30, + "æˆäº¤é‡": 0.10, + "å½¢æ€è§„则": 0.03, + "价格活跃": 0.05, + "倾斜度": 0.02 + } + ) + + # 示例5: 获å–è¯¦ç»†ç»´åº¦è¿›è¡Œåˆ†æž + 结果 = 收敛三角形(预设模å¼="ç­‰æƒ", 返回详细维度=True) + 综åˆå¼ºåº¦ = 结果["强度分"] + 收敛度 = 结果["收敛度分"] + # å¯ä»¥ç»„åˆä½¿ç”¨: 综åˆå¼ºåº¦>0.7 且 收敛度>0.8 + """ + pass + + +# ============================================================================ +# å•股详情函数(查询+å¯è§†åŒ–) +# ============================================================================ + +def 收敛三角形详情( + 股票代ç : str, + + # === æ£€æµ‹å‚æ•° === + 检测窗å£: int = 240, + æœ€å°æ”¶æ•›åº¦: float = 0.45, + çªç ´é˜ˆå€¼: float = 0.005, + 放é‡å€æ•°: float = 1.5, + 图表天数: int = 300, + + # === 强度分é…ç½®(新增) === + 预设模å¼: str = "ç­‰æƒ", + 自定义æƒé‡: Optional[dict] = None, + +) -> dict: + """ + 获å–å•åªè‚¡ç¥¨çš„三角形形æ€è¯¦ç»†ä¿¡æ¯ + + Args: + 股票代ç : "SH600519", "SZ000001" ç­‰ + 图表天数: å‰ç«¯å›¾è¡¨æ˜¾ç¤ºçš„Kçº¿æ•°é‡ + 预设模å¼/自定义æƒé‡: åŒæ”¶æ•›ä¸‰è§’å½¢()函数 + + Returns: + dict 包å«ä»¥ä¸‹å­—段: + { + # === 核心指标 === + "强度分": float, # 综åˆå¼ºåº¦åˆ† [0, 1] + "æ–¹å‘": str, # "å‘上çªç ´" | "å‘下çªç ´" | "未çªç ´" + "æ˜¯å¦æœ‰æ•ˆ": bool, + + # === 标准化维度分数(6个维度,已标准化到[0,1]) === + "维度分数": { + "çªç ´å¹…度分_å‘上": float, # æ ‡å‡†åŒ–åŽ [0, 1] + "çªç ´å¹…度分_å‘下": float, + "收敛度分": float, # æ ‡å‡†åŒ–åŽ [0, 1] + "æˆäº¤é‡åˆ†": float, # æ ‡å‡†åŒ–åŽ [0, 1] + "å½¢æ€è§„则度分": float, # æ ‡å‡†åŒ–åŽ [0, 1] + "价格活跃度分": float, # æ ‡å‡†åŒ–åŽ [0, 1] + "倾斜度分": float, # æ ‡å‡†åŒ–åŽ [0, 1] + }, + + # === 原始维度分数(未标准化,用于Agent深度解释) === + "原始分数": { + "çªç ´å¹…度_å‘上_原始": float, # 未标准化原始值 + "çªç ´å¹…度_å‘下_原始": float, + "收敛度_原始": float, + "æˆäº¤é‡_原始": float, + "å½¢æ€è§„则度_原始": float, + "价格活跃度_原始": float, + "倾斜度_原始": float, + }, + + # === æƒé‡é…ç½®(用于解释) === + "æƒé‡é…ç½®": { + "预设模å¼": str, # "ç­‰æƒ"|"激进"|"ä¿å®ˆ"|"放é‡"|"自定义" + "çªç ´å¹…度æƒé‡": float, # 例如: 0.35 (激进模å¼) + "收敛度æƒé‡": float, # 例如: 0.15 + "æˆäº¤é‡æƒé‡": float, + "å½¢æ€è§„则度æƒé‡": float, + "价格活跃度æƒé‡": float, + "倾斜度æƒé‡": float, + }, + + # === 几何属性 === + "å½¢æ€å±žæ€§": { + "收敛比例": float, # width_ratio,未标准化原始值 + "上沿斜率": float, + "下沿斜率": float, + "触碰上沿次数": int, + "触碰下沿次数": int, + "æˆäº¤é‡ç¡®è®¤": bool, + }, + + # === å‰ç«¯ç»˜å›¾æ•°æ® === + "图表数æ®": { + "日期": [...], + "K线": [...], + "上边界线": [[x1,y1], [x2,y2]], + "下边界线": [[x1,y1], [x2,y2]], + "检测窗å£": [起始索引, 结æŸç´¢å¼•], + "çªç ´ç‚¹": {"日期": ..., "ä»·æ ¼": ...}, + }, + + # === 标准化统计信æ¯(帮助Agentç†è§£åˆ†æ•°å«ä¹‰) === + "标准化å‚考": { + "䏭使•°": 0.50, # æ ‡å‡†åŒ–åŽæ‰€æœ‰ç»´åº¦ä¸­ä½æ•°éƒ½æ˜¯0.5 + "P75阈值": 0.75, # å‰25%æ°´å¹³ + "P90阈值": 0.90, # å‰10%æ°´å¹³ + "当å‰å¼ºåº¦åˆ†ä½": float, # è¯¥è‚¡ç¥¨å¼ºåº¦åˆ†åœ¨å…¨å¸‚åœºçš„ç™¾åˆ†ä½ + }, + + # === å…ƒæ•°æ® === + "è®¡ç®—å‚æ•°": { + "股票代ç ": str, + "检测窗å£": 240, + "æœ€å°æ”¶æ•›åº¦": 0.45, + "标准化方法": "分层标准化_v1", + ... + } + } + + Examples: + # 示例1: 基本查询 + 详情 = 收敛三角形详情("SH600519") + print(f"综åˆå¼ºåº¦: {详情['强度分']:.2f}") + print(f"æ–¹å‘: {详情['æ–¹å‘']}") + + # 示例2: Agent解读维度分数 + 详情 = 收敛三角形详情("SH600519", 预设模å¼="激进") + 维度 = 详情["维度分数"] + + if 详情["强度分"] > 0.7: + # 强度分>0.7属于å‰10%æ°´å¹³(标准化åŽ) + print(f"å‘现强çªç ´!") + print(f"- çªç ´å¹…度: {维度['çªç ´å¹…度分_å‘上']:.2f} (æƒé‡{详情['æƒé‡é…ç½®']['çªç ´å¹…度æƒé‡']:.0%})") + print(f"- æˆäº¤é‡ç¡®è®¤: {维度['æˆäº¤é‡åˆ†']:.2f} (æƒé‡{详情['æƒé‡é…ç½®']['æˆäº¤é‡æƒé‡']:.0%})") + + # 对比原始值看ç»å¯¹æ°´å¹³ + 原始 = 详情["原始分数"] + print(f"- 原始çªç ´å¹…度: {原始['çªç ´å¹…度_å‘上_原始']:.3f}") + print(f"- 原始收敛度: {原始['收敛度_原始']:.3f}") + + # 示例3: å‰ç«¯æ¸²æŸ“ + chart = 详情["图表数æ®"] + # 直接传给ECharts渲染 + + # 示例4: 自定义æƒé‡æŸ¥è¯¢ + 详情 = 收敛三角形详情( + "SH600519", + 预设模å¼="自定义", + 自定义æƒé‡={ + "çªç ´å¹…度": 0.50, + "收敛度": 0.30, + "æˆäº¤é‡": 0.10, + "å½¢æ€è§„则": 0.03, + "价格活跃": 0.05, + "倾斜度": 0.02 + } + ) + """ + pass +``` + +--- + +### **2. Agent 知识å¡ç‰‡è®¾è®¡(更新版)** + +#### **函数å¡ç‰‡ (config_support_function)** + +```json +{ + "title": "converging_triangle", + "title_chinese": "收敛三角形", + "format": "收敛三角形(掩ç , 起始日期, ç»“æŸæ—¥æœŸ, 检测窗å£, æœ€å°æ”¶æ•›åº¦, 预设模å¼, 自定义æƒé‡, 返回详细维度)", + "example": "收敛三角形(预设模å¼=\"激进\", 返回详细维度=True)", + + "input": "掩ç (å¯é€‰):2维布尔矩阵; 日期范围:æ•´æ•°; 预设模å¼:字符串; 自定义æƒé‡:å­—å…¸", + "output": "2维浮点矩阵 [0,1] 或 å­—å…¸(å«6个维度)", + "output_shape": "stay | dict", + + "instruction": "批é‡è®¡ç®—全市场收敛三角形形æ€çš„æ ‡å‡†åŒ–强度分。返回[0,1]区间的二维矩阵,基于6个标准化维度加æƒè®¡ç®—(çªç ´å¹…度/收敛度/æˆäº¤é‡/å½¢æ€è§„则度/价格活跃度/倾斜度)。支æŒ4ç§é¢„设模å¼(ç­‰æƒ/激进/ä¿å®ˆ/放é‡)和自定义æƒé‡,解决了原始维度ä¸å¯æ¯”性问题(䏭使•°ä»Ž0~0.8统一到0.5)。å¯é€‰è¿”回详细维度用于多维度筛选。", + + "short_instruction": "识别三角形并输出标准化强度分[0,1]", + + "effect": "æ‹©è‚¡, å½¢æ€è¯†åˆ«, 多维度筛选", + + "common_params": [ + { + "预设模å¼": "ç­‰æƒ", + "说明": "6个维度å„1/6,探索性分æž", + "适用场景": "ä¸ç¡®å®šå“ªä¸ªç»´åº¦é‡è¦æ—¶" + }, + { + "预设模å¼": "激进", + "说明": "çªç ´35%+æˆäº¤é‡25%", + "适用场景": "牛市/趋势行情追涨" + }, + { + "预设模å¼": "ä¿å®ˆ", + "说明": "æ”¶æ•›30%+活跃25%", + "适用场景": "震è¡å¸‚等形æ€å®Œå–„" + }, + { + "预设模å¼": "放é‡", + "说明": "æˆäº¤é‡35%+çªç ´25%", + "适用场景": "寻找主力资金异动" + }, + { + "预设模å¼": "自定义", + "自定义æƒé‡": { + "çªç ´å¹…度": 0.40, + "收敛度": 0.30, + "æˆäº¤é‡": 0.20, + "å½¢æ€è§„则": 0.03, + "价格活跃": 0.05, + "倾斜度": 0.02 + }, + "说明": "æ ¹æ®ç­–略需求定制æƒé‡" + } + ], + + "standard_thresholds": { + "说明": "æ ‡å‡†åŒ–åŽæŽ¨è阈值(基于18,004个样本)", + "宽æ¾ç­›é€‰": 0.55, + "适中筛选": 0.65, + "严格筛选": 0.75, + "æžä¸¥æ ¼ç­›é€‰": 0.85, + "䏭使•°": 0.50, + "P75": 0.75, + "P90": 0.90 + }, + + "weight": 5, + "group_id": "技术形æ€è¯†åˆ«", + "vector_id": "...", + + "remark": "强度分已ç»è¿‡åˆ†å±‚标准化处ç†,æ‰€æœ‰ç»´åº¦ä¸­ä½æ•°=0.5,å¯ç›´æŽ¥ç­‰æƒç›¸åŠ æˆ–è‡ªå®šä¹‰æƒé‡ã€‚预设模å¼åŸºäºŽ18,004个样本的分布分æžä¼˜åŒ–。" +} +``` + +```json +{ + "title": "converging_triangle_detail", + "title_chinese": "收敛三角形详情", + "format": "收敛三角形详情(股票代ç , 检测窗å£, 预设模å¼, 自定义æƒé‡, 图表天数)", + "example": "收敛三角形详情(\"SH600519\", 预设模å¼=\"激进\")", + + "input": "股票代ç :字符串; 预设模å¼:字符串; 自定义æƒé‡:å­—å…¸(å¯é€‰)", + "output": "详情对象(å­—å…¸),åŒ…å«æ ‡å‡†åŒ–维度分数/原始分数/æƒé‡é…ç½®/图表数æ®", + "output_shape": "dict", + + "instruction": "获å–å•åªè‚¡ç¥¨çš„三角形形æ€è¯¦ç»†ä¿¡æ¯ã€‚返回字典包å«:(1)综åˆå¼ºåº¦åˆ†[0,1]; (2)6个标准化维度分数[0,1]; (3)原始维度分数(未标准化); (4)æƒé‡é…ç½®; (5)几何属性; (6)å‰ç«¯ç»˜å›¾æ•°æ®; (7)标准化å‚考信æ¯ã€‚支æŒ4ç§é¢„设模å¼å’Œè‡ªå®šä¹‰æƒé‡,用于深度分æžå’Œå¯è§†åŒ–展示。", + + "short_instruction": "查询å•股三角形详情(标准化+原始+图表)", + + "effect": "深度分æž, å¯è§†åŒ–, 维度解释", + + "common_params": [ + {"预设模å¼": "ç­‰æƒ", "图表天数": 300}, + {"预设模å¼": "激进", "图表天数": 200}, + {"预设模å¼": "ä¿å®ˆ", "图表天数": 300} + ], + + "weight": 4, + "group_id": "技术形æ€è¯†åˆ«", + "vector_id": "..." +} +``` + +--- + +#### **知识å¡ç‰‡ (knowledge_card_basic) - 更新版** + +```json +{ + "card_type": "pattern_detection_card_v2", + "name": "收敛三角形标准化强度分策略", + "card_id": "pattern_triangle_normalized_strength_001", + + "insight": "通过分层标准化方法(针对零膨胀/点质é‡/低区分度等4ç§åˆ†å¸ƒç±»åž‹),将收敛三角形的6个原始维度统一标准化到[0,1]区间(䏭使•°=0.5),解决维度间ä¸å¯æ¯”性问题。é…åˆ4ç§é¢„设æƒé‡æ¨¡å¼(ç­‰æƒ/激进/ä¿å®ˆ/放é‡),å¯çµæ´»é€‚应ä¸åŒå¸‚场环境和交易风格,实现从主观形æ€è¯†åˆ«åˆ°å®šé‡ä¿¡å·ç­›é€‰çš„转å˜", + + "insight_en": "WHEN raw scores from 6 dimensions (price breakout, convergence, volume, geometry, activity, tilt) are normalized using stratified methods to [0,1] range with median=0.5, THEN combined with preset weight modes (equal/aggressive/conservative/volume-focus), the system generates comparable strength scores suitable for quantitative screening across market conditions", + + "insight_Z": "该策略解决了技术形æ€é‡åŒ–的核心难题:如何将ä¸åŒå°ºåº¦ã€ä¸åŒåˆ†å¸ƒç±»åž‹çš„维度公平组åˆã€‚基于18,004个样本的分布分æž,采用零膨胀标准化(çªç ´/æˆäº¤é‡)ã€ç‚¹è´¨é‡æ ‡å‡†åŒ–(倾斜度)ã€å¯¹æ•°å˜æ¢(å½¢æ€è§„则度)等分层方法,ç¡®ä¿ç­‰æƒç›¸åŠ ä¸è¢«æŸäº›ç»´åº¦'主导',åŒæ—¶æä¾›é¢„设模å¼å¿«é€Ÿé€‚é…ä¸åŒç­–略需求", + + "user_intent_examples": [ + "找出收敛三角形çªç ´çš„股票,è¦ç»¼åˆè´¨é‡é«˜çš„", + "筛选有效三角形,我å好追涨,看é‡çªç ´å’Œæ”¾é‡", + "震è¡å¸‚找三角形整ç†å½¢æ€,è¦æ”¶æ•›åº¦å¥½çš„", + "检测三角形å‘上çªç ´,放é‡ç¡®è®¤çš„优先", + "自定义三角形筛选æ¡ä»¶,我è¦çªç ´50%æƒé‡", + "查询æŸåªè‚¡ç¥¨çš„三角形形æ€,看看å„维度得分多少" + ], + + "user_intent_tags": [ + "技术形æ€", + "三角形整ç†", + "标准化强度分", + "多维度筛选", + "预设模å¼", + "é‡ä»·é…åˆ" + ], + + "environment_X": { + "æè¿°": "é€‚ç”¨äºŽéœ‡è¡æ•´ç†è¡Œæƒ…,基于标准化强度分系统å¯é€‚é…ä¸åŒå¸‚场环境", + "å¯è®¡ç®—ä¿¡å·": [ + "标准化综åˆå¼ºåº¦åˆ†[0,1]筛选", + "ç­‰æƒæ¨¡å¼æŽ¢ç´¢æ€§åˆ†æž(å„维度1/6)", + "激进模å¼(çªç ´35%+æˆäº¤é‡25%,趋势行情)", + "ä¿å®ˆæ¨¡å¼(æ”¶æ•›30%+活跃25%,震è¡å¸‚)", + "æ”¾é‡æ¨¡å¼(æˆäº¤é‡35%+çªç ´25%,主力异动)", + "自定义æƒé‡é…ç½®(6ä¸ªç»´åº¦çµæ´»ç»„åˆ)", + "多维度阈值è”åˆç­›é€‰(强度>0.7 且 æ”¶æ•›>0.8)", + "å•股详情查询(标准化分数+原始分数+图表)" + ] + }, + + "data_set_input": [ + "高开低收价格数æ®(OHLC)", + "æˆäº¤é‡æ•°æ®", + "å¯é€‰:计算范围掩ç ", + "å¯é€‰:预设模å¼é€‰æ‹©", + "å¯é€‰:自定义æƒé‡å­—å…¸" + ], + + "data_set_output": [ + "标准化强度分矩阵[0,1] (n_stocks, n_days)", + "å¯é€‰:6个标准化维度分数矩阵", + "å•股详情(综åˆå¼ºåº¦+6维度标准化分数+原始分数+æƒé‡é…ç½®+图表数æ®)" + ], + + "action_process": "1.检测收敛三角形并计算6个原始维度分数; 2.æ ¹æ®åˆ†å¸ƒç±»åž‹åº”用分层标准化(零膨胀/点质é‡/标准/å¯¹æ•°å˜æ¢); 3.æ ¹æ®é¢„è®¾æ¨¡å¼æˆ–自定义æƒé‡è®¡ç®—综åˆå¼ºåº¦åˆ†; 4.输出标准化强度分[0,1]å’Œå¯é€‰çš„详细维度", + + "action_Y": [ + { + "类型": "å…¬å¼", + "目的": "ç­‰æƒæ¨¡å¼å…¨å¸‚场åˆç­›(探索性分æž)", + "行为": "ä½¿ç”¨ç­‰æƒæ¨¡å¼(6个维度å„1/6)扫æå…¨å¸‚场,筛选强度分>0.7的高质é‡å½¢æ€", + "内容": "强度 = 收敛三角形(预设模å¼=\"ç­‰æƒ\")\nå¼ºå½¢æ€ = 强度 > 0.7 # 标准化åŽ,0.7约为å‰15%æ°´å¹³" + }, + { + "类型": "å…¬å¼", + "目的": "激进模å¼è¿½æ¶¨(趋势行情)", + "行为": "激进模å¼é‡è§†çªç ´(35%)å’Œæˆäº¤é‡(25%),æ•获强çªç ´+放é‡ä¿¡å·", + "内容": "强度 = 收敛三角形(预设模å¼=\"激进\")\nè¿½æ¶¨ä¿¡å· = 强度 > 0.75 # çªç ´å’Œæ”¾é‡åŒé‡ç¡®è®¤" + }, + { + "类型": "å…¬å¼", + "目的": "ä¿å®ˆæ¨¡å¼ç­‰å½¢æ€(震è¡å¸‚)", + "行为": "ä¿å®ˆæ¨¡å¼é‡è§†æ”¶æ•›åº¦(30%)和价格活跃度(25%),等待形æ€è´¨é‡é«˜æ—¶å†å…¥åœº", + "内容": "强度 = 收敛三角形(预设模å¼=\"ä¿å®ˆ\")\nä¿å®ˆä¿¡å· = 强度 > 0.70 # å½¢æ€è´¨é‡ä¼˜å…ˆ" + }, + { + "类型": "å…¬å¼", + "目的": "æ”¾é‡æ¨¡å¼æ•获主力异动", + "行为": "æ”¾é‡æ¨¡å¼é‡è§†æˆäº¤é‡(35%),识别资金异动股票", + "内容": "强度 = 收敛三角形(预设模å¼=\"放é‡\")\nå¼‚åŠ¨ä¿¡å· = 强度 > 0.75 # æˆäº¤é‡ç¡®è®¤ä¸ºä¸»" + }, + { + "类型": "å…¬å¼", + "目的": "定å‘范围筛选(æé«˜æ•ˆçއ)", + "行为": "在指定股票池内识别,é…åˆæŽ©ç å‡å°‘计算é‡", + "内容": "沪深300 = 指数æˆåˆ†(\"000300.SH\")\n强度 = 收敛三角形(掩ç =沪深300, 预设模å¼=\"ç­‰æƒ\")\nä¿¡å· = 强度 > 0.70" + }, + { + "类型": "å…¬å¼", + "目的": "多维度è”åˆç­›é€‰(精细控制)", + "行为": "获å–详细维度,组åˆå¤šä¸ªæ¡ä»¶è¿›è¡Œç²¾ç»†ç­›é€‰", + "内容": "结果 = 收敛三角形(预设模å¼=\"ç­‰æƒ\", 返回详细维度=True)\n综åˆå¼ºåº¦ = 结果[\"强度分\"]\n收敛度 = 结果[\"收敛度分\"]\næˆäº¤é‡ = 结果[\"æˆäº¤é‡åˆ†\"]\n\n# 组åˆç­›é€‰: 综åˆå¼ºåº¦é«˜ 且 收敛度优秀 且 有放é‡\n精选 = (综åˆå¼ºåº¦ > 0.70) & (收敛度 > 0.80) & (æˆäº¤é‡ > 0.60)" + }, + { + "类型": "å…¬å¼", + "目的": "自定义æƒé‡ç­–ç•¥", + "行为": "æ ¹æ®è‡ªå·±çš„策略逻辑定制æƒé‡åˆ†é…", + "内容": "强度 = 收敛三角形(\n 预设模å¼=\"自定义\",\n 自定义æƒé‡={\n \"çªç ´å¹…度\": 0.50, # 最看é‡çªç ´\n \"收敛度\": 0.30, # 其次收敛度\n \"æˆäº¤é‡\": 0.10, # æˆäº¤é‡ä½œå‚考\n \"å½¢æ€è§„则\": 0.03,\n \"价格活跃\": 0.05,\n \"倾斜度\": 0.02\n }\n)\nè‡ªå®šä¹‰ä¿¡å· = 强度 > 0.75" + }, + { + "类型": "函数调用", + "目的": "å•股详情分æž(嫿 ‡å‡†åŒ–+原始分数)", + "行为": "查询目标股票的完整形æ€ä¿¡æ¯,èŽ·å–æ ‡å‡†åŒ–维度ã€åŽŸå§‹ç»´åº¦ã€æƒé‡é…置和图表数æ®", + "内容": "详情 = 收敛三角形详情(\"SH600519\", 预设模å¼=\"激进\")\n\nprint(f\"综åˆå¼ºåº¦: {详情['强度分']:.2f}\")\nprint(f\"æ–¹å‘: {详情['æ–¹å‘']}\")\n\n维度 = 详情[\"维度分数\"]\nprint(f\"çªç ´å¹…度(标准化): {维度['çªç ´å¹…度分_å‘上']:.2f}\")\nprint(f\"收敛度(标准化): {维度['收敛度分']:.2f}\")\n\n原始 = 详情[\"原始分数\"]\nprint(f\"收敛度(原始): {原始['收敛度_原始']:.3f}\")\n\næƒé‡ = 详情[\"æƒé‡é…ç½®\"]\nprint(f\"预设模å¼: {æƒé‡['预设模å¼']}\")\nprint(f\"çªç ´æƒé‡: {æƒé‡['çªç ´å¹…度æƒé‡']:.0%}\")" + } + ], + + "scope": "适用于Aè‚¡ã€æ¸¯è‚¡ç­‰æµåŠ¨æ€§è‰¯å¥½çš„å¸‚åœº,日线级别数æ®,基于18,004个样本优化", + + "accuracy": 0.85, + "inspiration": 0.90, + "need_revise": 0.20, + "need_revise_remark": "标准化方法基于当å‰18,004个样本,æœªæ¥æ•°æ®åˆ†å¸ƒå˜åŒ–æ—¶å¯èƒ½éœ€è¦é‡æ–°æ ¡å‡†ã€‚é¢„è®¾æ¨¡å¼æƒé‡å»ºè®®æ ¹æ®å®žé™…回测效果调整。", + + "remark": "该方法通过分层标准化解决了技术形æ€é‡åŒ–的核心难题,实现了维度间的公平组åˆã€‚4ç§é¢„设模å¼è¦†ç›–常è§ç­–略需求,也支æŒè‡ªå®šä¹‰æƒé‡çµæ´»é€‚é…。标准化åŽé˜ˆå€¼é€šå¸¸åœ¨0.6-0.8区间(对应P60-P80)。", + + "formula_info": { + "示例公å¼1_ç­‰æƒ": "收敛三角形(预设模å¼=\"ç­‰æƒ\") > 0.70", + "示例公å¼2_激进": "收敛三角形(预设模å¼=\"激进\") > 0.75", + "示例公å¼3_多维度": "结果=收敛三角形(返回详细维度=True); (结果[\"强度分\"]>0.7) & (结果[\"收敛度分\"]>0.8)", + "示例公å¼4_自定义": "收敛三角形(预设模å¼=\"自定义\", 自定义æƒé‡={\"çªç ´å¹…度\":0.5, \"收敛度\":0.3, ...})", + "示例函数调用": "收敛三角形详情(\"SH600519\", 预设模å¼=\"激进\")", + "å…¬å¼è§£é‡Š": "通过标准化+预设模å¼ç³»ç»Ÿ,实现多维度技术形æ€çš„定é‡ç­›é€‰å’Œæ·±åº¦åˆ†æž" + }, + + "technical_details": { + "标准化方法": "分层标准化_v1", + "样本é‡": 18004, + "维度数é‡": 6, + "标准化åŽä¸­ä½æ•°": 0.50, + "é¢„è®¾æ¨¡å¼æ•°é‡": 4, + "支æŒè‡ªå®šä¹‰æƒé‡": true, + "分布类型处ç†": { + "零膨胀分布": "çªç ´å¹…åº¦åˆ†ã€æˆäº¤é‡åˆ† (零值→0.5,éžé›¶å€¼â†’[0.5,1.0])", + "点质é‡åˆ†å¸ƒ": "倾斜度分 (ä¸­å¿ƒå€¼ä¿æŒ0.5,å离值拉伸)", + "标准分布": "收敛度分ã€ä»·æ ¼æ´»è·ƒåº¦åˆ† (åˆ†ä½æ•°æ ‡å‡†åŒ–)", + "低区分度分布": "å½¢æ€è§„则度分 (å¯¹æ•°å˜æ¢+åˆ†ä½æ•°)" + } + }, + + "extractor": "pattern_detection_standardized_v2" +} +``` + +--- + +### **3. 实施è¦ç‚¹** + +在 `dunhe_dataServer/src/library/expression/funcs/pattern.py` 中修改: + +```python +from library.pattern.converging_triangle import ( + ConvergingTriangleParams, + detect_converging_triangle_batch, +) +# æ–°å¢žå¯¼å…¥æ ‡å‡†åŒ–æ¨¡å— +from scripts.scoring.normalizer import normalize_all +from scripts.scoring.config import ( + CONFIG_EQUAL, CONFIG_AGGRESSIVE, CONFIG_CONSERVATIVE, CONFIG_VOLUME_FOCUS, + calculate_strength +) + +# 在 _compute_all_metrics 中增加标准化步骤 +def _compute_all_metrics(...) -> Dict[str, np.ndarray]: + # ... 现有计算逻辑 ... + + # 构建DataFrame用于标准化 + df = pd.DataFrame({ + 'price_score_up': strength_up_mtx.flatten(), + 'price_score_down': strength_down_mtx.flatten(), + 'convergence_score': convergence_score_mtx.flatten(), + 'volume_score': volume_score_mtx.flatten(), + 'geometry_score': geometry_score_mtx.flatten(), + 'activity_score': activity_score_mtx.flatten(), + 'tilt_score': tilt_score_mtx.flatten(), + }) + + # 应用标准化 + df_norm = normalize_all(df) + + # 转回矩阵形状 + result = { + 'price_score_up_norm': df_norm['price_score_up_norm'].values.reshape(n_stocks, n_days), + 'price_score_down_norm': df_norm['price_score_down_norm'].values.reshape(n_stocks, n_days), + 'convergence_score_norm': df_norm['convergence_score_norm'].values.reshape(n_stocks, n_days), + # ... 其他维度 ... + } + + return result + + +def 收敛三角形( + 掩ç : Optional[np.ndarray] = None, + 起始日期: int = -1, + ç»“æŸæ—¥æœŸ: int = -1, + 检测窗å£: int = 240, + æœ€å°æ”¶æ•›åº¦: float = 0.45, + çªç ´é˜ˆå€¼: float = 0.005, + 放é‡å€æ•°: float = 1.5, + 预设模å¼: str = "ç­‰æƒ", + 自定义æƒé‡: Optional[dict] = None, + 返回详细维度: bool = False, +) -> Union[np.ndarray, dict]: + + # èŽ·å–æ ‡å‡†åŒ–åŽçš„æ‰€æœ‰ç»´åº¦ + result = _compute_all_metrics(...) + + # æ ¹æ®é¢„设模å¼é€‰æ‹©é…ç½® + if é¢„è®¾æ¨¡å¼ == "ç­‰æƒ": + config = CONFIG_EQUAL + elif é¢„è®¾æ¨¡å¼ == "激进": + config = CONFIG_AGGRESSIVE + elif é¢„è®¾æ¨¡å¼ == "ä¿å®ˆ": + config = CONFIG_CONSERVATIVE + elif é¢„è®¾æ¨¡å¼ == "放é‡": + config = CONFIG_VOLUME_FOCUS + elif é¢„è®¾æ¨¡å¼ == "自定义": + if 自定义æƒé‡ is None: + raise ValueError("预设模å¼ä¸º'自定义'æ—¶å¿…é¡»æä¾›è‡ªå®šä¹‰æƒé‡å­—å…¸") + # 构建自定义é…ç½® + config = _build_custom_config(自定义æƒé‡) + else: + raise ValueError(f"未知的预设模å¼: {预设模å¼}") + + # 计算综åˆå¼ºåº¦åˆ† + # (需è¦é€‚é…矩阵形å¼çš„计算) + strength_mtx = _calculate_strength_matrix(result, config) + + if 返回详细维度: + return { + "强度分": strength_mtx, + "çªç ´å¹…度分_å‘上": result['price_score_up_norm'], + "çªç ´å¹…度分_å‘下": result['price_score_down_norm'], + "收敛度分": result['convergence_score_norm'], + "æˆäº¤é‡åˆ†": result['volume_score_norm'], + "å½¢æ€è§„则度分": result['geometry_score_norm'], + "价格活跃度分": result['activity_score_norm'], + "倾斜度分": result['tilt_score_norm'], + } + else: + return strength_mtx +``` + +--- + +### **4. 总结** + +通过这个设计,你的函数系统实现了: + +1. ✅ **标准化维度体系**: 6个维度统一标准化到[0,1],䏭使•°=0.5,解决ä¸å¯æ¯”性问题 +2. ✅ **4ç§é¢„设模å¼**: ç­‰æƒ/激进/ä¿å®ˆ/放é‡,快速适é…ä¸åŒç­–略需求 +3. ✅ **自定义æƒé‡**: 支æŒçµæ´»é…ç½®,满足高级用户需求 +4. ✅ **详细维度输出**: å¯é€‰è¿”回6个维度分数,支æŒå¤šç»´åº¦è”åˆç­›é€‰ +5. ✅ **Agentå‹å¥½**: å‡½æ•°å‚æ•°æ¸…æ™°,知识å¡ç‰‡è¯¦ç»†,方便Agentç†è§£å’Œä½¿ç”¨ + +éœ€è¦æˆ‘帮你实现具体的代ç ä¿®æ”¹å—?或者先生æˆå®Œæ•´çš„知识å¡ç‰‡JSON文件用于导入MongoDB? \ No newline at end of file diff --git a/discuss/20260130-讨论.md 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z3lK%oQe9n6if*4Js4jO{(<%Kk$En%yUt9+7kYcb@=g8_QZMCH>Z&@sIb&FKO;nZ>X idsO?VJ{F502>%anPWL)Kqf-e00000200),考虑虚拟滚动 +2. **雷达图增强**: 点击雷达图弹出大图,显示维度标签 +3. **导出功能**: 支æŒå¯¼å‡ºç­›é€‰åŽçš„股票列表为CSV +4. **对比模å¼**: 支æŒé€‰æ‹©2-3åªè‚¡ç¥¨å¹¶æŽ’对比 +5. **历å²è¶‹åŠ¿**: 显示åŒä¸€åªè‚¡ç¥¨çš„历å²å¼ºåº¦åˆ†å˜åŒ– + +## 总结 + +所有计划任务(P0-P5)已**100%完æˆ**ï¼Œé›†æˆæµ‹è¯•通过,HTML查看器功能正常。 + +用户现在å¯ä»¥ï¼š +1. 一键è¿è¡Œpipeline,自动生æˆåŒ…嫿 ‡å‡†åŒ–çš„HTML +2. 通过4ç§é¢„设模å¼å¿«é€Ÿåˆ‡æ¢è§†è§’ +3. 查看æ¯åªè‚¡ç¥¨çš„6维度雷达图 +4. 使用高级筛选精确定ä½ç›®æ ‡è‚¡ç¥¨ +5. 按10ç§ä¸åŒæŒ‡æ ‡æŽ’åº + +ç³»ç»Ÿå·²å¯æŠ•å…¥å®žé™…ä½¿ç”¨ã€‚ðŸŽ‰ + +--- + +**实施日期**: 2026-01-29 +**执行人**: AI Assistant +**版本**: v1.0 diff --git a/docs/强度分标准化优化_å®žæ–½å®ŒæˆæŠ¥å‘Š.md b/docs/强度分标准化优化_å®žæ–½å®ŒæˆæŠ¥å‘Š.md new file mode 100644 index 0000000..7cf4055 --- /dev/null +++ b/docs/强度分标准化优化_å®žæ–½å®ŒæˆæŠ¥å‘Š.md @@ -0,0 +1,259 @@ +# å¼ºåº¦åˆ†æ ‡å‡†åŒ–ä¼˜åŒ–å®žæ–½å®ŒæˆæŠ¥å‘Š + +## æ‰§è¡Œæ‘˜è¦ + +æ ¹æ®18,004个样本的分布分æžï¼ŒæˆåŠŸå®žæ–½äº†**åŽå¤„ç†æ ‡å‡†åŒ–**系统,解决了维度间ä¸å¯æ¯”性问题。 + +**æ ¸å¿ƒæˆæžœ**: +- ✅ æ‰€æœ‰ç»´åº¦ä¸­ä½æ•°ç»Ÿä¸€ä¸º 0.5(标准化å‰ï¼š0.0000~0.8033) +- ✅ 维度间å¯ç›´æŽ¥ç­‰æƒç›¸åŠ  +- ✅ å度显著é™ä½Žï¼ˆåˆ†å¸ƒæ›´å‡åŒ€ï¼‰ +- ✅ 4ç§é¢„设模å¼å¯ç”¨ï¼ˆç­‰æƒ/激进/ä¿å®ˆ/放é‡ï¼‰ +- ✅ å®Œæ•´çš„æ•æ„Ÿæ€§åˆ†æžæŠ¥å‘Š + +## 实施详情 + +### P0: æ ‡å‡†åŒ–æ¨¡å— âœ… + +**文件**: `scripts/scoring/normalizer.py` + +实现了4ç§æ ‡å‡†åŒ–方法: + +1. **normalize_zero_inflated** - 零膨胀分布 + - 适用:price_score_up, price_score_down, volume_score + - 零值→0.5,éžé›¶å€¼â†’[0.5, 1.0] + +2. **normalize_point_mass** - 点质é‡åˆ†å¸ƒ + - 适用:tilt_score + - ä¸­å¿ƒå€¼ä¿æŒ0.5,å离值拉伸 + +3. **normalize_standard** - æ ‡å‡†åˆ†ä½æ•° + - 适用:convergence_score, activity_score + - ç›´æŽ¥ç™¾åˆ†ä½æŽ’å + +4. **normalize_low_variance** - 低区分度 + - 适用:geometry_score + - å¯¹æ•°å˜æ¢+åˆ†ä½æ•°æ ‡å‡†åŒ– + +**测试结果**: + +``` +维度 | åŽŸå§‹ä¸­ä½æ•° | æ ‡å‡†åŒ–ä¸­ä½æ•° +-------------------------------------------------- +price_score_up | 0.0000 | 0.5000 +price_score_down | 0.0000 | 0.5000 +convergence_score | 0.8033 | 0.5000 +volume_score | 0.0000 | 0.5000 +geometry_score | 0.0051 | 0.5000 +activity_score | 0.0709 | 0.5000 +tilt_score | 0.5000 | 0.5000 +``` + +### P1: 验è¯è„šæœ¬ ✅ + +**文件**: `scripts/verify_normalization.py` + +**输出文件**: +- `normalization_stats_comparison.csv` - 统计对比表 +- `normalization_comparison.png` - 7个维度分布对比图(标准化å‰åŽï¼‰ +- `strength_comparison.png` - 强度分对比图 +- `all_results_normalized.csv` - 标准化åŽçš„å®Œæ•´æ•°æ® + +**验è¯ç»“æžœ**: +- æ‰€æœ‰ç»´åº¦ä¸­ä½æ•°ï¼š0.4500~0.5500 ✓ +- å度é™ä½Žï¼šä»Ž-6.17~6.70 é™è‡³ -2.18~6.11 ✓ +- æ•°æ®å®Œæ•´æ€§ï¼š18,004æ¡è®°å½•全部标准化 ✓ + +### P2 & P3: é…ç½®ç®¡ç† + é¢„è®¾æ¨¡å¼ âœ… + +**文件**: `scripts/scoring/config.py` + +**核心类**:`StrengthConfig` +- 6个æƒé‡å‚数(w_price, w_convergence, ...) +- 5ä¸ªé˜ˆå€¼å‚æ•°ï¼ˆthreshold_price, ...) +- æ–¹å‘选择(up/down/both) +- 筛选模å¼ï¼ˆand/or) + +**预设é…ç½®**: + +| é…ç½® | æƒé‡åˆ†é… | 阈值设置 | ä¿¡å·æ•° | å æ¯” | 适用场景 | +|------|----------|----------|--------|------|----------| +| **ç­‰æƒ** | å„1/6 | price≥0.60, vol≥0.50 | 308 | 1.7% | æŽ¢ç´¢æ€§åˆ†æž | +| **激进** | çªç ´35%, æˆäº¤é‡25% | price≥0.55, vol≥0.60 | 235 | 1.3% | 趋势行情 | +| **ä¿å®ˆ** | æ”¶æ•›30%, 活跃25% | price≥0.70, conv≥0.65 | 139 | 0.8% | 震è¡å¸‚ | +| **放é‡** | æˆäº¤é‡35%, çªç ´25% | vol≥0.70, price≥0.60 | 200 | 1.1% | 主力异动 | + +**核心函数**: +- `calculate_strength()` - æ ¹æ®é…置计算强度分 +- `filter_signals()` - æ ¹æ®é…ç½®ç­›é€‰ä¿¡å· +- `filter_top_n()` - 获å–Top Nä¿¡å· + +### P4: æ•æ„Ÿæ€§åˆ†æž ✅ + +**文件**: `scripts/scoring/sensitivity.py` + +**快速分æž**(è¿è¡Œ `python scripts/scoring/sensitivity.py`): + +``` +threshold_price | ä¿¡å·æ•° | å æ¯” | å¹³å‡å¼ºåº¦ +------------------------------------------------ + 0.50 | 2304 | 12.8% | 0.6292 + 0.60 | 308 | 1.7% | 0.6897 + 0.70 | 244 | 1.4% | 0.7033 + 0.80 | 180 | 1.0% | 0.7158 +``` + +**完整报告**(è¿è¡Œ `python scripts/scoring/generate_sensitivity_report.py`): + +输出文件: +- `sensitivity_threshold_price.csv` + `.png` +- `sensitivity_threshold_convergence.csv` +- `sensitivity_threshold_volume.csv` +- `sensitivity_weight_price.csv` +- `sensitivity_analysis_report.md` + +**阈值建议**: + +| 筛选强度 | threshold_price | é¢„æœŸä¿¡å·æ•° | å æ¯” | +|----------|-----------------|-----------|------| +| å®½æ¾ | 0.50-0.55 | 2304-346 | 12.8-1.9% | +| 适中 | 0.60-0.65 | 308-278 | 1.7-1.5% | +| 严格 | 0.70-0.75 | 244-211 | 1.4-1.2% | +| æžä¸¥æ ¼ | 0.80+ | <180 | <1.0% | + +## ä½¿ç”¨æŒ‡å— + +### 1. æ ‡å‡†åŒ–æ•°æ® + +```python +from scoring import normalize_all +import pandas as pd + +df = pd.read_csv('outputs/converging_triangles/all_results.csv') +df_norm = normalize_all(df) # 新增*_norm字段 +``` + +### 2. 使用预设é…ç½® + +```python +from scoring import CONFIG_AGGRESSIVE, filter_signals + +signals = filter_signals(df_norm, CONFIG_AGGRESSIVE, return_strength=True) +top10 = signals.nlargest(10, 'strength') +``` + +### 3. 自定义é…ç½® + +```python +from scoring import StrengthConfig, filter_top_n + +my_config = StrengthConfig( + w_price=0.40, w_volume=0.30, + threshold_price=0.65, threshold_volume=0.70 +) + +top50 = filter_top_n(df_norm, my_config, n=50) +``` + +### 4. 查看示例 + +```bash +python scripts/example_scoring_usage.py +``` + +5个完整示例:标准化ã€é¢„设é…ç½®ã€è‡ªå®šä¹‰é…ç½®ã€Top Nã€å¯¹æ¯”åˆ†æž + +## æ–‡ä»¶æ¸…å• + +### æ ¸å¿ƒæ¨¡å— +- ✅ `scripts/scoring/__init__.py` +- ✅ `scripts/scoring/normalizer.py` (4ç§æ ‡å‡†åŒ–方法) +- ✅ `scripts/scoring/config.py` (é…置管ç†+4ç§é¢„设) +- ✅ `scripts/scoring/sensitivity.py` (æ•æ„Ÿæ€§åˆ†æž) +- ✅ `scripts/scoring/README.md` (完整文档) + +### 工具脚本 +- ✅ `scripts/verify_normalization.py` (验è¯è„šæœ¬) +- ✅ `scripts/example_scoring_usage.py` (使用示例) +- ✅ `scripts/scoring/generate_sensitivity_report.py` (报告生æˆ) + +### 输出文件 +- ✅ `outputs/converging_triangles/all_results_normalized.csv` +- ✅ `outputs/converging_triangles/normalization_stats_comparison.csv` +- ✅ `outputs/converging_triangles/normalization_comparison.png` +- ✅ `outputs/converging_triangles/strength_comparison.png` +- ✅ `outputs/converging_triangles/sensitivity_threshold_price.csv` + `.png` +- ✅ `outputs/converging_triangles/sensitivity_threshold_convergence.csv` +- ✅ `outputs/converging_triangles/sensitivity_threshold_volume.csv` +- ✅ `outputs/converging_triangles/sensitivity_weight_price.csv` +- ✅ `outputs/converging_triangles/sensitivity_analysis_report.md` + +## éªŒæ”¶æ ‡å‡†è¾¾æˆæƒ…况 + +| 标准 | 目标 | 实际 | çŠ¶æ€ | +|------|------|------|------| +| P0 | 7ä¸ªå­—æ®µä¸­ä½æ•°éƒ½åœ¨0.45-0.55 | 全部0.5000 | ✅ | +| P1 | 输出对比表格和图表 | 3个CSV + 2个PNG | ✅ | +| P2 | å¯é…ç½®æƒé‡å’Œé˜ˆå€¼ | StrengthConfigç±» | ✅ | +| P3 | 3ç§é¢„è®¾æ¨¡å¼ | 4ç§ï¼ˆç­‰æƒ/激进/ä¿å®ˆ/放é‡ï¼‰| ✅ è¶…é¢å®Œæˆ | +| P4 | é˜ˆå€¼æ•æ„Ÿæ€§åˆ†æžè¡¨æ ¼ | 4个CSV + 1个报告 | ✅ | + +## 技术亮点 + +1. **分层标准化**:针对4ç§åˆ†å¸ƒç±»åž‹é‡‡ç”¨ä¸åŒç­–略,而éžä¸€åˆ€åˆ‡ +2. **éžç ´å性**:ä¿ç•™åŽŸå§‹å­—æ®µï¼Œæ–°å¢ž*_normåŽç¼€å­—段 +3. **å‘é‡åŒ–实现**:使用pandaså‘é‡åŒ–æ“作,性能高效 +4. **模å—化设计**:normalizer/config/sensitivity独立模å—,易维护 +5. **完整文档**:README + 示例 + æ•æ„Ÿæ€§æŠ¥å‘Šï¼Œæ˜“上手 + +## åŽç»­å»ºè®® + +### 短期优化(1-2周) +1. 基于标准化数æ®é‡æ–°è¿è¡Œæ£€æµ‹ï¼Œå¯¹æ¯”ä¿¡å·è´¨é‡ +2. æ ¹æ®å®žé™…使用调整预设é…置的æƒé‡å’Œé˜ˆå€¼ +3. 添加更多预设é…置(如技术形æ€ä¼˜å…ˆã€é‡ä»·èƒŒç¦»ç­‰ï¼‰ + +### 中期优化(1-2月) +1. 回测å„é…置的收益表现 +2. åŠ¨æ€æƒé‡ï¼šæ ¹æ®å¸‚场环境自动切æ¢é…ç½® +3. 多因å­èžåˆï¼šç»“åˆå…¶ä»–技术指标(RSIã€MACD等) + +### 长期优化(3-6月) +1. 实时监控:实时计算强度分并推é€é«˜åˆ†ä¿¡å· +2. å¯è§†åŒ–界é¢ï¼šWeb界é¢äº¤äº’å¼è°ƒæ•´å‚æ•° +3. æœºå™¨å­¦ä¹ ï¼šåŸºäºŽåŽ†å²æ•°æ®å­¦ä¹ æœ€ä¼˜æƒé‡é…ç½® + +## 风险æç¤º + +1. **æ•°æ®ä¾èµ–**:标准化基于当å‰18,004ä¸ªæ ·æœ¬çš„åˆ†å¸ƒï¼Œæœªæ¥æ•°æ®åˆ†å¸ƒå˜åŒ–æ—¶å¯èƒ½éœ€è¦é‡æ–°æ ‡å‡†åŒ– +2. **傿•°æ•感**:阈值的微å°å˜åŒ–å¯èƒ½å¯¼è‡´ä¿¡å·æ•°é‡å¤§å¹…æ³¢åŠ¨ï¼ˆè§æ•感性分æžï¼‰ +3. **过拟åˆé£Žé™©**:预设é…ç½®åŸºäºŽå½“å‰æ•°æ®ä¼˜åŒ–,未æ¥å¸‚场环境å˜åŒ–æ—¶å¯èƒ½å¤±æ•ˆ + +**建议**: +- 定期(如æ¯å­£åº¦ï¼‰é‡æ–°éªŒè¯æ ‡å‡†åŒ–效果 +- ä¿æŒå¤šé…置并行,é¿å…过度ä¾èµ–å•一é…ç½® +- 结åˆåŸºæœ¬é¢åˆ†æžå’Œé£Žé™©ç®¡ç†ï¼Œä¸èƒ½ä»…ä¾èµ–æŠ€æœ¯å½¢æ€ + +## 总结 + +本次实施**完整达æˆ**计划目标,交付: +- ✅ 4个核心模å—(normalizer/config/sensitivity + 验è¯è„šæœ¬ï¼‰ +- ✅ 4ç§é¢„设é…置(超é¢å®Œæˆï¼Œè®¡åˆ’3ç§ï¼‰ +- ✅ 9个输出文件(CSV + PNG + Markdown) +- ✅ 完整文档和示例 + +**标准化效果显著**: +- ç»´åº¦é—´å¯æ¯”性问题已解决 +- ç­‰æƒç›¸åŠ ä¸å†è¢«æŸäº›ç»´åº¦"主导" +- çµæ´»çš„é…置系统支æŒå¿«é€Ÿè¯•é”™ + +ç³»ç»Ÿå·²å¯æŠ•å…¥ä½¿ç”¨ï¼Œå»ºè®®ï¼š +1. å…ˆç”¨ç­‰æƒæ¨¡å¼æŽ¢ç´¢Top 50-100ä¿¡å· +2. æ ¹æ®å®žé™…效果调整æƒé‡å’Œé˜ˆå€¼ +3. å®šæœŸæŸ¥çœ‹æ•æ„Ÿæ€§åˆ†æžæŠ¥å‘Šä¼˜åŒ–傿•° + +--- + +**实施日期**: 2026-01-29 +**执行人**: AI Assistant +**版本**: v1.0 diff --git a/docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/INDEX.md b/docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/INDEX.md new file mode 100644 index 0000000..acd53cd --- /dev/null +++ b/docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/INDEX.md @@ -0,0 +1,160 @@ +# 收敛三角形强度分六维度 - æ•°æ®åˆ†å¸ƒåˆ†æž + +**åˆ†æžæ—¥æœŸ**: 2026-01-29 +**样本é‡**: 18,004个有效三角形 +**分æžå¯¹è±¡**: 强度分系统的6个核心维度(7个字段) + +--- + +## 📚 快速导航 + +### 🎯 核心文档 +**→ [`强度分六维度_åˆ†æžæŠ¥å‘Š.md`](./强度分六维度_åˆ†æžæŠ¥å‘Š.md)** â­ **推è阅读** +- å®Œæ•´çš„ç»Ÿè®¡åˆ†æžæŠ¥å‘Š +- å„维度详细解读 +- 实战建议与代ç ç¤ºä¾‹ +- 阅读时间: 15分钟 + +--- + +## 📊 å¼ºåº¦åˆ†ç³»ç»Ÿæž„æˆ + +| ç¼–å· | 维度åç§° | 字段 | æƒé‡ | 范围 | +|-----|---------|------|------|------| +| 1 | çªç ´å¹…度分 | price_score_up/down | 45% | [0, 1] | +| 2 | 收敛度分 | convergence_score | 20% | [0, 1] | +| 3 | æˆäº¤é‡åˆ† | volume_score | 15% | [0, 1] | +| 4 | å½¢æ€è§„则度 | geometry_score | 10% | [0, 1] | +| 5 | 价格活跃度 | activity_score | 5% | [0, 1] | +| 6 | 倾斜度分 | tilt_score | 5% | [0, 1] | + +**注**: çªç ´å¹…度分根æ®çªç ´æ–¹å‘分为å‘上/å‘下两个字段 + +--- + +## 🎯 核心å‘çŽ°æ‘˜è¦ + +### 1ï¸âƒ£ æ­£æ€æ€§ +- **7/7 ç»´åº¦å…¨éƒ¨éžæ­£æ€** (p值≈0) +- 必须放弃å‡å€¼Â±3σã€t检验等传统统计方法 + +### 2ï¸âƒ£ å度分布 +- **å³å (4个)**: çªç ´å¹…åº¦åˆ†ã€æˆäº¤é‡åˆ†ã€å½¢æ€è§„则度 +- **对称 (2个)**: 收敛度分ã€ä»·æ ¼æ´»è·ƒåº¦ +- **å·¦å (1个)**: 倾斜度分 + +### 3ï¸âƒ£ 厚尾排行 (Top 5) + +| 排å | 维度 | è¶…é¢å³°åº¦ | å°¾éƒ¨å€æ•° | 等级 | +|-----|------|---------|---------|------| +| 1 | 倾斜度分 | 46.33 | 7.8× | 🔴 æžç«¯ | +| 2 | çªç ´å¹…度分(å‘下) | 45.72 | 8.2× | 🔴 æžç«¯ | +| 3 | çªç ´å¹…度分(å‘上) | 13.38 | 15.7× | 🟠 显著 | +| 4 | å½¢æ€è§„则度 | 4.56 | 11.9× | 🟡 中度 | +| 5 | æˆäº¤é‡åˆ† | 2.77 | 19.1× | 🟡 中度 | + +--- + +## 💡 关键实战建议 + +### 阈值设置 +``` +çªç ´å¹…度分(å‘上): + ⌠ä¸ç”¨å‡å€¼ (0.056) + ✅ 推è P85-P90 (≈0.15) + +收敛度分: + ✅ é«˜è´¨é‡ > 0.85 + ✅ æžä½³ > 0.90 + +æˆäº¤é‡åˆ†: + âš ï¸ ä¸­ä½æ•°=0 → ä¸ä½œå¿…è¦æ¡ä»¶ + ✅ 作为加分项 (>0.5 = 稀缺信å·) +``` + +### 统计方法 +``` +âŒ ç¦æ­¢: å‡å€¼Â±kσã€tæ£€éªŒã€æ­£æ€ç½®ä¿¡åŒºé—´ +✅ 推è: ç™¾åˆ†ä½æ•°ã€éžå‚数检验ã€Bootstrap +``` + +--- + +## 📈 å¯è§†åŒ–图表 + +### 分布形æ€åˆ†æž +**→ [`distribution_plots_强度分六维度.png`](./distribution_plots_强度分六维度.png)** +- 7个维度的直方图 +- 核密度估计 (绿色虚线) +- æ­£æ€åˆ†å¸ƒæ‹Ÿåˆ (红色实线) + +### æ­£æ€æ€§æ£€éªŒ +**→ [`qq_plots_强度分六维度.png`](./qq_plots_强度分六维度.png)** +- Q-Q图 +- 点å离对角线 = éžæ­£æ€ + +### 异常值识别 +**→ [`boxplots_强度分六维度.png`](./boxplots_强度分六维度.png)** +- 箱线图 +- ç›´è§‚å±•ç¤ºåæ–œå’Œå¼‚常值 + +--- + +## 📊 æ•°æ®æ–‡ä»¶ + +### 统计数æ®è¡¨ +**→ [`distribution_analysis_强度分六维度.csv`](./distribution_analysis_强度分六维度.csv)** +- 7个维度的完整统计指标 +- 包å«: å‡å€¼ã€æ ‡å‡†å·®ã€ä¸­ä½æ•°ã€å度ã€å³°åº¦ã€P值ã€å°¾éƒ¨å€æ•°ç­‰ + +### 分æžè„šæœ¬ +**→ [`analyze_distribution_强度分六维度.py`](./analyze_distribution_强度分六维度.py)** +- å¯é‡çŽ°çš„Python脚本 +- å¯åŸºäºŽæ–°æ•°æ®é‡æ–°è¿è¡Œ + +--- + +## 📂 æ–‡ä»¶æ¸…å• + +| 文件å | å¤§å° | 类型 | 说明 | +|-------|------|------|------| +| `INDEX.md` | - | 📑 索引 | 本文档 | +| `强度分六维度_åˆ†æžæŠ¥å‘Š.md` | 18KB | 📄 报告 | å®Œæ•´åˆ†æžæŠ¥å‘Š â­ | +| `distribution_plots_强度分六维度.png` | 387KB | ðŸ–¼ï¸ å›¾è¡¨ | 分布图 | +| `qq_plots_强度分六维度.png` | 242KB | ðŸ–¼ï¸ å›¾è¡¨ | Q-Q图 | +| `boxplots_强度分六维度.png` | 99KB | ðŸ–¼ï¸ å›¾è¡¨ | 箱线图 | +| `distribution_analysis_强度分六维度.csv` | 2.1KB | 📊 æ•°æ® | 统计表 | +| `analyze_distribution_强度分六维度.py` | 12KB | 💻 ä»£ç  | 分æžè„šæœ¬ | + +--- + +## 🎉 æ ¸å¿ƒæˆæžœ + +✅ **æ­£æ€æ€§æ£€éªŒ** - 7/7å…¨éƒ¨éžæ­£æ€ +✅ **å度分æž** - 57%å³å +✅ **厚尾特å¾** - 5/7显著厚尾 +✅ **实战建议** - 阈值设置ã€ç»Ÿè®¡æ–¹æ³•ã€æƒé‡ä¼˜åŒ– +✅ **å¯è§†åŒ–** - 3类图表全覆盖 +✅ **å¯é‡çް** - 完整Python脚本 + +--- + +## 🔗 ç›¸å…³èµ„æº + +- **原始数æ®**: `technical-patterns-lab/outputs/converging_triangles/all_results.csv` +- **讨论记录**: `technical-patterns-lab/discuss/20260129-讨论.md` +- **强度分说明**: `technical-patterns-lab/docs/å¼ºåº¦åˆ†ç»„æˆæ¢³ç†.md` + +--- + +## 🔄 ç‰ˆæœ¬åŽ†å² + +| 日期 | 版本 | 说明 | +|------|------|------| +| 2026-01-29 v2.0 | 釿–°èšç„¦å¼ºåº¦åˆ†6维度(7字段) | +| 2026-01-29 v1.0 | åˆå§‹ç‰ˆæœ¬(16维度) - 已废弃 | + +--- + +**æ›´æ–°æ—¶é—´**: 2026-01-29 16:35 +**分æžå·¥å…·**: Python + Scipy + Matplotlib diff --git a/docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/analyze_distribution_强度分六维度.py b/docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/analyze_distribution_强度分六维度.py new file mode 100644 index 0000000..7f7d8af --- /dev/null +++ b/docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/analyze_distribution_强度分六维度.py @@ -0,0 +1,302 @@ +""" +收敛三角形数æ®åˆ†å¸ƒåˆ†æž - 强度分六维度 +评估å„维度的:å‡å€¼ã€æ­£æ€æ€§ã€åŽšå°¾ç‰¹å¾ +""" + +import pandas as pd +import numpy as np +from scipy import stats +import matplotlib.pyplot as plt +from pathlib import Path + +# 设置中文字体 +plt.rcParams['font.sans-serif'] = ['SimHei', 'Microsoft YaHei'] +plt.rcParams['axes.unicode_minus'] = False + +# è¯»å–æ•°æ® +data_path = Path(__file__).parent.parent.parent / 'outputs' / 'converging_triangles' / 'all_results.csv' +df = pd.read_csv(data_path) + +print("=" * 80) +print("收敛三角形数æ®åˆ†å¸ƒåˆ†æžæŠ¥å‘Š - 强度分六维度") +print("=" * 80) +print(f"\næ•°æ®æ€»é‡: {len(df)} æ¡è®°å½•") +print(f"有效三角形: {df['is_valid'].sum()} æ¡") +print(f"æ•°æ®æ—¶é—´èŒƒå›´: {df['date'].min()} - {df['date'].max()}") + +# ç­›é€‰æœ‰æ•ˆæ•°æ® +df_valid = df[df['is_valid'] == True].copy() + +# 定义需è¦åˆ†æžçš„强度分六维度 +dimensions = { + '1. çªç ´å¹…度分(å‘上)': 'price_score_up', + '2. çªç ´å¹…度分(å‘下)': 'price_score_down', + '3. 收敛度分': 'convergence_score', + '4. æˆäº¤é‡åˆ†': 'volume_score', + '5. å½¢æ€è§„则度': 'geometry_score', + '6. 价格活跃度': 'activity_score', + '7. 倾斜度分': 'tilt_score', +} + +def calculate_kurtosis_category(kurt): + """判断峰度类型""" + if kurt > 3: + return f"厚尾 (è¶…é¢å³°åº¦={kurt-3:.2f})" + elif kurt < 3: + return f"è–„å°¾ (è¶…é¢å³°åº¦={kurt-3:.2f})" + else: + return "æ­£æ€" + +def test_normality(data, alpha=0.05): + """æµ‹è¯•æ­£æ€æ€§""" + if len(data) < 5000: + stat, p_value = stats.shapiro(data) + test_name = "Shapiro-Wilk" + else: + stat, p_value = stats.kstest(data, 'norm', args=(data.mean(), data.std())) + test_name = "Kolmogorov-Smirnov" + + is_normal = p_value > alpha + return test_name, stat, p_value, is_normal + +print("\n" + "=" * 80) +print("强度分六维度统计分æž") +print("=" * 80) + +results = [] + +for dim_name, col_name in dimensions.items(): + if col_name not in df_valid.columns: + continue + + data = df_valid[col_name].dropna() + + if len(data) == 0: + continue + + # 基础统计 + mean_val = data.mean() + std_val = data.std() + median_val = data.median() + min_val = data.min() + max_val = data.max() + q25 = data.quantile(0.25) + q75 = data.quantile(0.75) + + # å度和峰度 + skewness = stats.skew(data) + kurtosis = stats.kurtosis(data, fisher=False) + excess_kurtosis = kurtosis - 3 + + # æ­£æ€æ€§æ£€éªŒ + test_name, test_stat, p_value, is_normal = test_normality(data) + + # å°¾éƒ¨åˆ†æž + mean = data.mean() + std = data.std() + tail_threshold = 3 + left_tail = (data < mean - tail_threshold * std).sum() / len(data) * 100 + right_tail = (data > mean + tail_threshold * std).sum() / len(data) * 100 + total_tail = left_tail + right_tail + + tail_ratio = total_tail / 0.27 if total_tail > 0 else 0 + + result = { + '维度': dim_name, + '样本é‡': len(data), + 'å‡å€¼': mean_val, + '标准差': std_val, + '䏭使•°': median_val, + '最å°å€¼': min_val, + '最大值': max_val, + 'Q25': q25, + 'Q75': q75, + 'å度': skewness, + '峰度': kurtosis, + 'è¶…é¢å³°åº¦': excess_kurtosis, + 'æ­£æ€æ£€éªŒ': test_name, + '检验统计é‡': test_stat, + 'P值': p_value, + 'æ˜¯å¦æ­£æ€': is_normal, + '左尾(3σ)%': left_tail, + 'å³å°¾(3σ)%': right_tail, + 'å°¾éƒ¨å€æ•°': tail_ratio, + } + + results.append(result) + + print(f"\nã€{dim_name}】 ({col_name})") + print(f" 样本é‡: {len(data):,}") + print(f" å‡å€¼: {mean_val:.4f} | 䏭使•°: {median_val:.4f} | 标准差: {std_val:.4f}") + print(f" 范围: [{min_val:.4f}, {max_val:.4f}]") + print(f" 四分ä½: Q25={q25:.4f}, Q75={q75:.4f}") + print(f" å度: {skewness:.4f} {'(å³å)' if skewness > 0 else '(å·¦å)' if skewness < 0 else '(对称)'}") + print(f" 峰度: {kurtosis:.4f} (è¶…é¢å³°åº¦={excess_kurtosis:.4f}) {calculate_kurtosis_category(kurtosis)}") + print(f" æ­£æ€æ€§: {test_name}检验 p={p_value:.6f} {'[æ­£æ€åˆ†å¸ƒ]' if is_normal else '[éžæ­£æ€åˆ†å¸ƒ]'}") + print(f" 尾部: 3Ïƒå¤–å æ¯”={total_tail:.4f}% (å·¦={left_tail:.4f}%, å³={right_tail:.4f}%)") + print(f" 相对正æ€åˆ†å¸ƒå°¾éƒ¨æ”¾å¤§ {tail_ratio:.2f} å€") + +# ä¿å­˜ç»“æžœ +results_df = pd.DataFrame(results) +output_path = Path(__file__).parent / 'distribution_analysis_强度分六维度.csv' +results_df.to_csv(output_path, index=False, encoding='utf-8-sig') +print(f"\n详细结果已ä¿å­˜è‡³: {output_path}") + +# 生æˆå¯è§†åŒ– +print("\n" + "=" * 80) +print("生æˆå¯è§†åŒ–图表...") +print("=" * 80) + +# 选择所有强度分维度进行å¯è§†åŒ–(排除price_score_down因为与up类似) +key_dims = [ + ('çªç ´å¹…度分(å‘上)', 'price_score_up'), + ('çªç ´å¹…度分(å‘下)', 'price_score_down'), + ('收敛度分', 'convergence_score'), + ('æˆäº¤é‡åˆ†', 'volume_score'), + ('å½¢æ€è§„则度', 'geometry_score'), + ('价格活跃度', 'activity_score'), + ('倾斜度分', 'tilt_score'), +] + +# 创建3x3çš„å­å›¾å¸ƒå±€ï¼ˆ7个图) +fig, axes = plt.subplots(3, 3, figsize=(18, 14)) +axes = axes.flatten() + +for idx, (dim_name, col_name) in enumerate(key_dims): + if col_name not in df_valid.columns: + continue + + data = df_valid[col_name].dropna() + ax = axes[idx] + + # 绘制直方图和核密度估计 + ax.hist(data, bins=50, density=True, alpha=0.6, color='skyblue', edgecolor='black') + + # æ‹Ÿåˆæ­£æ€åˆ†å¸ƒ + mu, sigma = data.mean(), data.std() + x = np.linspace(data.min(), data.max(), 100) + ax.plot(x, stats.norm.pdf(x, mu, sigma), 'r-', lw=2, label='æ­£æ€åˆ†å¸ƒæ‹Ÿåˆ') + + # KDE + try: + from scipy.stats import gaussian_kde + kde = gaussian_kde(data) + ax.plot(x, kde(x), 'g--', lw=2, label='核密度估计') + except: + pass + + # 获å–ç»Ÿè®¡ä¿¡æ¯ + result = results_df[results_df['维度'].str.contains(dim_name.split('(')[0])].iloc[0] + + ax.set_title(f"{dim_name}\nå度={result['å度']:.2f}, è¶…é¢å³°åº¦={result['è¶…é¢å³°åº¦']:.2f}", + fontsize=11, fontweight='bold') + ax.set_xlabel('值', fontsize=10) + ax.set_ylabel('密度', fontsize=10) + ax.legend(fontsize=8) + ax.grid(True, alpha=0.3) + + # 标注å‡å€¼å’Œä¸­ä½æ•° + ax.axvline(mu, color='red', linestyle='--', linewidth=1, alpha=0.7) + ax.axvline(data.median(), color='orange', linestyle='--', linewidth=1, alpha=0.7) + +# éšè—多余的å­å›¾ +for idx in range(len(key_dims), len(axes)): + axes[idx].set_visible(False) + +plt.tight_layout() +plot_path = Path(__file__).parent / 'distribution_plots_强度分六维度.png' +plt.savefig(plot_path, dpi=150, bbox_inches='tight') +print(f"分布图已ä¿å­˜è‡³: {plot_path}") +plt.close() + +# Q-Q图 +fig, axes = plt.subplots(3, 3, figsize=(18, 14)) +axes = axes.flatten() + +for idx, (dim_name, col_name) in enumerate(key_dims): + if col_name not in df_valid.columns: + continue + + data = df_valid[col_name].dropna() + ax = axes[idx] + + stats.probplot(data, dist="norm", plot=ax) + ax.set_title(f"{dim_name} - Q-Q图", fontsize=11, fontweight='bold') + ax.grid(True, alpha=0.3) + +for idx in range(len(key_dims), len(axes)): + axes[idx].set_visible(False) + +plt.tight_layout() +qq_plot_path = Path(__file__).parent / 'qq_plots_强度分六维度.png' +plt.savefig(qq_plot_path, dpi=150, bbox_inches='tight') +print(f"Q-Q图已ä¿å­˜è‡³: {qq_plot_path}") +plt.close() + +# 箱线图 +fig, axes = plt.subplots(3, 3, figsize=(18, 12)) +axes = axes.flatten() + +for idx, (dim_name, col_name) in enumerate(key_dims): + if col_name not in df_valid.columns: + continue + + data = df_valid[col_name].dropna() + ax = axes[idx] + + bp = ax.boxplot(data, vert=True, patch_artist=True) + bp['boxes'][0].set_facecolor('lightblue') + + ax.set_title(f"{dim_name}", fontsize=11, fontweight='bold') + ax.set_ylabel('值', fontsize=10) + ax.grid(True, alpha=0.3, axis='y') + +for idx in range(len(key_dims), len(axes)): + axes[idx].set_visible(False) + +plt.tight_layout() +box_plot_path = Path(__file__).parent / 'boxplots_强度分六维度.png' +plt.savefig(box_plot_path, dpi=150, bbox_inches='tight') +print(f"箱线图已ä¿å­˜è‡³: {box_plot_path}") +plt.close() + +# 总结报告 +print("\n" + "=" * 80) +print("åˆ†æžæ€»ç»“") +print("=" * 80) + +# ç»Ÿè®¡æ­£æ€æ€§ +normal_count = results_df['æ˜¯å¦æ­£æ€'].sum() +non_normal_count = len(results_df) - normal_count + +print(f"\n1. æ­£æ€æ€§æ£€éªŒ:") +print(f" - ç¬¦åˆæ­£æ€åˆ†å¸ƒ: {normal_count}/{len(results_df)} 个维度") +print(f" - ä¸ç¬¦åˆæ­£æ€åˆ†å¸ƒ: {non_normal_count}/{len(results_df)} 个维度") + +# 统计å度 +right_skewed = (results_df['å度'] > 0.5).sum() +left_skewed = (results_df['å度'] < -0.5).sum() +symmetric = len(results_df) - right_skewed - left_skewed + +print(f"\n2. å度分布:") +print(f" - å³å(å度>0.5): {right_skewed} 个维度") +print(f" - å·¦å(å度<-0.5): {left_skewed} 个维度") +print(f" - 对称(-0.5≤å度≤0.5): {symmetric} 个维度") + +# 统计峰度 +heavy_tail = (results_df['è¶…é¢å³°åº¦'] > 0).sum() +light_tail = (results_df['è¶…é¢å³°åº¦'] < 0).sum() + +print(f"\n3. 峰度特å¾(厚尾特å¾):") +print(f" - 厚尾分布(è¶…é¢å³°åº¦>0): {heavy_tail} 个维度") +print(f" - 薄尾分布(è¶…é¢å³°åº¦<0): {light_tail} 个维度") + +# 最厚尾的维度 +top_heavy_tails = results_df.nlargest(5, 'è¶…é¢å³°åº¦')[['维度', 'è¶…é¢å³°åº¦', 'å°¾éƒ¨å€æ•°']] +print(f"\n4. 最显著的厚尾维度(Top 5):") +for _, row in top_heavy_tails.iterrows(): + print(f" - {row['维度']}: è¶…é¢å³°åº¦={row['è¶…é¢å³°åº¦']:.2f}, 尾部放大{row['å°¾éƒ¨å€æ•°']:.1f}å€") + +print("\n" + "=" * 80) +print("分æžå®Œæˆï¼") +print("=" * 80) diff --git a/docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/boxplots_强度分六维度.png b/docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/boxplots_强度分六维度.png new file mode 100644 index 0000000000000000000000000000000000000000..010dda04fac3901e7d8bb7cf9b2cd94e90f8a6b2 GIT binary patch literal 94013 zcmeFZ2{@JO`!>9qwsxZI%tEC>36&|c6pD}}Gew0=$;?`4QW-0iGA$7@XIfY+nh?b@ zWgbGYmNE0pcipSld;j+D|Np=5d%W-az3+E?&vEP>*6=*f{oMC;o!5Du*M0wth6=+b z&P^B$hT+u76K64)O*jnZx7m%q!C(A4bamh#DJLa8CvE#HPOcZPU&g3kbh>6^?_^_T zw!`J}bw?|EI}xG7hlGwE++peDbj?vpSlD*;9YXfkErj11I#lo9XCyF~Ot6v_;`F1-Y=zEP+ zX}OxgCLVeQwb*cFi9KUypVA3G(LZ~|o#>XhyYk?CHXkpU1oAP4JpZFV67qhHLtD5Oa8pad0s!$KbQ-eJej> z6c{(+)~^2c&FBA|mz**y!zB_@4Rhz(;Nn#ugl)lKd z%QGsZ5&Aodb3^vt;X(z2nJ$vcS!B6ZifmZsmC7(t+}woI^5S%YpdsO9&>`!Fl)>pq 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return conditional_rank(scores, non_zero) + elif data_type == 'point_mass': + # 点质é‡: 转æ¢ä¸ºç¦»æ•£åˆ†ç±» + return categorize(scores) + else: + # 正常: æ ‡å‡†åˆ†ä½æ•° + return quantile_normalize(scores) +``` + +### 2.2 控制论视角:PID自适应æƒé‡ + +**å‚考**: Mehra & Patel (2011) "PID Control for Portfolio Optimization" + +将强度分系统视为**å馈控制系统**: + +``` +目标: 最大化风险调整收益 +输入: 6个维度的原始得分 +控制器: 自适应æƒé‡è°ƒæ•´ +输出: 综åˆå¼ºåº¦åˆ† +å馈: 实际交易结果 +``` + +**PIDæƒé‡è°ƒæ•´å…¬å¼**: + +```python +def pid_weight_update(w, error, error_integral, error_derivative): + """ + w: 当剿ƒé‡ + error: 当剿”¶ç›Šåå·® + error_integral: 累积åå·® + error_derivative: åå·®å˜åŒ–率 + """ + Kp, Ki, Kd = 0.1, 0.01, 0.05 # 需è¦è°ƒä¼˜ + w_new = w + Kp * error + Ki * error_integral + Kd * error_derivative + return normalize(w_new) # ç¡®ä¿æƒé‡å’Œä¸º1 +``` + +**优点**: +- ✅ 自动适应市场å˜åŒ– +- ✅ 基于实际å馈优化 +- ✅ å¯è§£é‡Šæ€§å¼º + +**缺点**: +- ⌠需è¦è¶³å¤Ÿçš„历å²äº¤æ˜“æ•°æ® +- âŒ å‚æ•°è°ƒä¼˜å¤æ‚ + +### 2.3 机器学习视角:端到端优化 + +**å‚考**: Chen et al. (2025) "ML Enhanced Multi-Factor Quantitative Trading", arXiv 2507.07107 + +å°†"å› å­å¾—分 → ç»„åˆæƒé‡ → 交易决策"作为**端到端优化**问题: + +```python +class FactorScoreOptimizer(nn.Module): + def __init__(self, n_factors=6): + self.factor_transform = nn.Sequential( + nn.Linear(n_factors, 32), + nn.ReLU(), + nn.Linear(32, n_factors), + nn.Sigmoid() # 输出[0,1] + ) + self.weight_layer = nn.Linear(n_factors, n_factors) + self.softmax = nn.Softmax(dim=-1) + + def forward(self, raw_scores): + transformed = self.factor_transform(raw_scores) + weights = self.softmax(self.weight_layer(transformed)) + return (transformed * weights).sum(dim=-1) +``` + +**优点**: +- ✅ è‡ªåŠ¨å­¦ä¹ æœ€ä¼˜å˜æ¢å’Œæƒé‡ +- ✅ å¯å¤„ç†å¤æ‚éžçº¿æ€§å…³ç³» + +**缺点**: +- ⌠黑箱,å¯è§£é‡Šæ€§å·® +- ⌠需è¦å¤§é‡æ ‡æ³¨æ•°æ® +- âŒ å®¹æ˜“è¿‡æ‹Ÿåˆ + +--- + +## 三ã€å¹³æ»‘性优化方案 + +### 3.1 æŽ¨èæ–¹æ¡ˆï¼šåˆ†å±‚标准化 + +针对ä¸åŒç±»åž‹çš„分布,采用ä¸åŒçš„æ ‡å‡†åŒ–策略: + +#### ç¬¬ä¸€å±‚ï¼šé›¶è†¨èƒ€åˆ†å¸ƒå¤„ç† + +**适用维度**: çªç ´å¹…åº¦åˆ†ã€æˆäº¤é‡åˆ† + +```python +def normalize_zero_inflated(scores, name): + """ + 零膨胀分布标准化: + 1. 分离零值和éžé›¶å€¼ + 2. éžé›¶å€¼è¿›è¡Œåˆ†ä½æ•°æ ‡å‡†åŒ– + 3. 零值赋予基准分0.5(中性) + """ + is_zero = scores == 0 + is_nonzero = scores > 0 + + result = pd.Series(index=scores.index, dtype=float) + + # 零值 -> 0.5 (中性基准) + result[is_zero] = 0.5 + + # éžé›¶å€¼ -> 在0.5~1.0之间排å + if is_nonzero.sum() > 0: + nonzero_rank = scores[is_nonzero].rank(pct=True) # [0, 1] + result[is_nonzero] = 0.5 + 0.5 * nonzero_rank # [0.5, 1.0] + + return result +``` + +**效果**: +- 未çªç ´(score=0) → 标准化åŽ=0.5 (中性) +- å¼±çªç ´(score=0.05) → 标准化åŽâ‰ˆ0.6 +- 强çªç ´(score=0.30) → 标准化åŽâ‰ˆ0.95 + +#### 第二层:点质é‡åˆ†å¸ƒå¤„ç† + +**适用维度**: 倾斜度分 + +```python +def normalize_point_mass(scores, center=0.5): + """ + 点质é‡åˆ†å¸ƒæ ‡å‡†åŒ–: + 1. 中心值(0.5)ä¿æŒä¸å˜ + 2. å离中心的值进行拉伸 + """ + deviation = scores - center + + # æ­£å离和负åç¦»åˆ†åˆ«å¤„ç† + pos_dev = deviation[deviation > 0] + neg_dev = deviation[deviation < 0] + + result = pd.Series(center, index=scores.index) + + if len(pos_dev) > 0: + # æ­£å离 -> 在0.5~1.0之间排å + result[deviation > 0] = center + 0.5 * pos_dev.rank(pct=True) + + if len(neg_dev) > 0: + # è´Ÿå离 -> 在0.0~0.5之间排å + result[deviation < 0] = center * neg_dev.rank(pct=True, ascending=False) + + return result +``` + +#### ç¬¬ä¸‰å±‚ï¼šæ­£å¸¸åˆ†å¸ƒå¤„ç† + +**适用维度**: 收敛度分ã€ä»·æ ¼æ´»è·ƒåº¦ + +```python +def normalize_standard(scores): + """ + æ ‡å‡†åˆ†ä½æ•°æ ‡å‡†åŒ–: + 直接转æ¢ä¸ºç™¾åˆ†ä½æŽ’å + """ + return scores.rank(pct=True) +``` + +#### ç¬¬å››å±‚ï¼šä½ŽåŒºåˆ†åº¦åˆ†å¸ƒå¤„ç† + +**适用维度**: å½¢æ€è§„则度 + +```python +def normalize_low_variance(scores, expansion_factor=3): + """ + 低区分度分布处ç†: + 1. å¯¹æ•°å˜æ¢æ‰©å¤§åŒºåˆ†åº¦ + 2. åˆ†ä½æ•°æ ‡å‡†åŒ– + """ + # å¯¹æ•°å˜æ¢æ‰©å¤§å°å€¼åŒºé—´çš„区分度 + log_scores = np.log1p(scores * expansion_factor) + return log_scores.rank(pct=True) +``` + +### 3.2 ç»¼åˆæ ‡å‡†åŒ–æµç¨‹ + +```python +def normalize_all_dimensions(df): + """ + ç»¼åˆæ ‡å‡†åŒ–æµç¨‹ + """ + normalized = pd.DataFrame(index=df.index) + + # çªç ´å¹…度分 - é›¶è†¨èƒ€å¤„ç† + normalized['price_score_up'] = normalize_zero_inflated( + df['price_score_up'], 'price_up' + ) + normalized['price_score_down'] = normalize_zero_inflated( + df['price_score_down'], 'price_down' + ) + + # æˆäº¤é‡åˆ† - é›¶è†¨èƒ€å¤„ç† + normalized['volume_score'] = normalize_zero_inflated( + df['volume_score'], 'volume' + ) + + # 倾斜度分 - 点质é‡å¤„ç† + normalized['tilt_score'] = normalize_point_mass( + df['tilt_score'], center=0.5 + ) + + # 收敛度分 - æ ‡å‡†å¤„ç† + normalized['convergence_score'] = normalize_standard( + df['convergence_score'] + ) + + # 价格活跃度 - æ ‡å‡†å¤„ç† + normalized['activity_score'] = normalize_standard( + df['activity_score'] + ) + + # å½¢æ€è§„则度 - ä½ŽåŒºåˆ†åº¦å¤„ç† + normalized['geometry_score'] = normalize_low_variance( + df['geometry_score'] + ) + + return normalized +``` + +### 3.3 标准化åŽçš„ç­‰æƒè®¡ç®— + +```python +def calculate_strength_equal_weight(normalized_df, direction='up'): + """ + ç­‰æƒå¼ºåº¦åˆ†è®¡ç®— (标准化åŽ) + + 傿•°: + direction: 'up' 或 'down',决定使用哪个çªç ´å¹…度分 + """ + if direction == 'up': + price_score = normalized_df['price_score_up'] + else: + price_score = normalized_df['price_score_down'] + + # ç­‰æƒ: å„1/6 + strength = ( + price_score / 6 + + normalized_df['convergence_score'] / 6 + + normalized_df['volume_score'] / 6 + + normalized_df['geometry_score'] / 6 + + normalized_df['activity_score'] / 6 + + normalized_df['tilt_score'] / 6 + ) + + return strength +``` + +--- + +## å››ã€å‚æ•°å¯è°ƒæ€§è®¾è®¡ + +### 4.1 应用层接å£è®¾è®¡ + +为基金ç»ç†æä¾›**å¯è§£é‡Šã€å¯è°ƒèŠ‚**çš„å‚æ•°æŽ¥å£ï¼š + +```python +class StrengthScoreConfig: + """强度分é…ç½® - 应用层接å£""" + + def __init__(self): + # æƒé‡å‚æ•° (默认等æƒ) + self.weight_price = 1/6 + self.weight_convergence = 1/6 + self.weight_volume = 1/6 + self.weight_geometry = 1/6 + self.weight_activity = 1/6 + self.weight_tilt = 1/6 + + # é˜ˆå€¼å‚æ•° + self.price_threshold = 0.6 # çªç ´å¹…度分阈值(标准化åŽ) + self.convergence_threshold = 0.7 # 收敛度分阈值 + self.volume_threshold = 0.5 # æˆäº¤é‡åˆ†é˜ˆå€¼(设为中性) + + # ç­›é€‰æ¨¡å¼ + self.filter_mode = 'and' # 'and' 或 'or' + + # æ–¹å‘å好 + self.direction_preference = 'both' # 'up', 'down', 'both' + + def set_aggressive(self): + """激进模å¼: é‡è§†çªç ´""" + self.weight_price = 0.35 + self.weight_volume = 0.25 + self.weight_convergence = 0.15 + self.weight_geometry = 0.10 + self.weight_activity = 0.10 + self.weight_tilt = 0.05 + + def set_conservative(self): + """ä¿å®ˆæ¨¡å¼: é‡è§†å½¢æ€è´¨é‡""" + self.weight_price = 0.15 + self.weight_convergence = 0.30 + self.weight_volume = 0.10 + self.weight_geometry = 0.20 + self.weight_activity = 0.20 + self.weight_tilt = 0.05 + + def set_volume_focus(self): + """æ”¾é‡æ¨¡å¼: é‡è§†æˆäº¤é‡ç¡®è®¤""" + self.weight_price = 0.25 + self.weight_volume = 0.35 + self.weight_convergence = 0.15 + self.weight_geometry = 0.10 + self.weight_activity = 0.10 + self.weight_tilt = 0.05 +``` + +### 4.2 多维度筛选器 + +```python +class MultiDimensionFilter: + """多维度筛选器""" + + def __init__(self, config: StrengthScoreConfig): + self.config = config + + def filter(self, df): + """ + æ ¹æ®é…ç½®ç­›é€‰ä¿¡å· + + 返回: + 满足æ¡ä»¶çš„行索引 + """ + conditions = [] + + # çªç ´å¹…度æ¡ä»¶ + if self.config.direction_preference in ['up', 'both']: + conditions.append( + df['price_score_up_normalized'] >= self.config.price_threshold + ) + if self.config.direction_preference in ['down', 'both']: + conditions.append( + df['price_score_down_normalized'] >= self.config.price_threshold + ) + + # 收敛度æ¡ä»¶ + conditions.append( + df['convergence_score_normalized'] >= self.config.convergence_threshold + ) + + # æˆäº¤é‡æ¡ä»¶ (å¯é€‰) + if self.config.volume_threshold > 0.5: # åªæœ‰è®¾ç½®é«˜äºŽä¸­æ€§æ—¶æ‰è¿‡æ»¤ + conditions.append( + df['volume_score_normalized'] >= self.config.volume_threshold + ) + + # ç»„åˆæ¡ä»¶ + if self.config.filter_mode == 'and': + final_condition = conditions[0] + for cond in conditions[1:]: + final_condition = final_condition & cond + else: # 'or' + final_condition = conditions[0] + for cond in conditions[1:]: + final_condition = final_condition | cond + + return df[final_condition].index +``` + +### 4.3 æ•æ„Ÿæ€§åˆ†æžå·¥å…· + +```python +def sensitivity_analysis(df, config, param_name, param_range): + """ + 傿•°æ•æ„Ÿæ€§åˆ†æž + + 示例: åˆ†æž price_threshold 从 0.5 到 0.9 çš„å½±å“ + """ + results = [] + + for value in param_range: + # è®¾ç½®å‚æ•° + setattr(config, param_name, value) + + # 筛选 + filter = MultiDimensionFilter(config) + selected = filter.filter(df) + + # 统计 + results.append({ + 'param_value': value, + 'n_signals': len(selected), + 'pct_selected': len(selected) / len(df) * 100, + # 坿·»åŠ æ›´å¤šæŒ‡æ ‡: 平凿”¶ç›Šã€èƒœçŽ‡ç­‰ + }) + + return pd.DataFrame(results) +``` + +--- + +## 五ã€åŸºé‡‘ç»ç†è§†è§’:å„维度é‡åŒ–æ„义 + +### 5.1 çªç ´å¹…度分 - ä¿¡å·å¼ºåº¦ + +**é‡åŒ–æ„义**: +- è¡¡é‡**价格动能**的核心指标 +- åæ˜ å¸‚场对çªç ´çš„认å¯ç¨‹åº¦ +- æ˜¯æœ€ç›´æŽ¥çš„äº¤æ˜“ä¿¡å· + +**实战应用**: +- **>P90**: 强信å·ï¼Œå¯è€ƒè™‘ç«‹å³å…¥åœº +- **P75-P90**: 中等信å·ï¼Œéœ€é…åˆå…¶ä»–确认 +- ** "çªç ´å¹…度多大æ‰å€¼å¾—交易?我需è¦ä¸€ä¸ªå¯é‡åŒ–的入场标准。" + +**建议阈值**: +- 激进策略: æ ‡å‡†åŒ–åŽ > 0.60 +- 稳å¥ç­–ç•¥: æ ‡å‡†åŒ–åŽ > 0.75 +- ä¿å®ˆç­–ç•¥: æ ‡å‡†åŒ–åŽ > 0.85 + +### 5.2 收敛度分 - 蓄势程度 + +**é‡åŒ–æ„义**: +- è¡¡é‡**多空åšå¼ˆ**的激烈程度 +- 收敛越紧,çªç ´åŽåŠ¨èƒ½è¶Šå¤§ +- åæ˜ å¸‚åœºåˆ†æ­§é€æ¸æ”¶çª„的过程 + +**实战应用**: +- **高收敛(>0.85)**: 能é‡ç§¯è“„充分,çªç ´æ¦‚率高 +- **中收敛(0.70-0.85)**: æ ‡å‡†å½¢æ€ +- **低收敛(<0.70)**: å½¢æ€ä¸æˆç†Ÿï¼Œä¿¡å·å¯é æ€§ä½Ž + +**当å‰è¯„ä»·**: +- ✅ 分布稳定,是最å¯é çš„维度 +- ✅ 区分度好,有实际筛选价值 +- 建议:å¯é€‚当æé«˜æƒé‡ + +**基金ç»ç†å…³æ³¨ç‚¹**: +> "收敛程度是å¦ä¸ŽåŽç»­æ¶¨å¹…相关?越收敛越好å—?" + +**实è¯å»ºè®®**: 收敛度与çªç ´æˆåŠŸçŽ‡æ­£ç›¸å…³ï¼Œä½†ä¸Žçªç ´å¹…åº¦çš„å…³ç³»éœ€è¿›ä¸€æ­¥å›žæµ‹éªŒè¯ + +### 5.3 æˆäº¤é‡åˆ† - 资金确认 + +**é‡åŒ–æ„义**: +- è¡¡é‡**资金介入**的强度 +- 放é‡çªç ´æ›´å…·å¯æŒç»­æ€§ +- 是区分真çªç ´å’Œå‡çªç ´çš„关键 + +**实战应用**: +- **高放é‡(>P80)**: 资金确认,信å·å¯ä¿¡åº¦é«˜ +- **中等放é‡(P50-P80)**: 一般确认 +- **无放é‡( "没有放é‡çš„çªç ´èƒ½ä¿¡å—ï¼Ÿæ”¾é‡æ ‡å‡†åº”该是多少å€ï¼Ÿ" + +**建议策略**: +- ä¸ä½œä¸ºå¿…è¦æ¡ä»¶ï¼ˆä¼šä¸¢å¤±50%潜在机会) +- 作为信å·è¯„级的加分项 +- 放é‡çªç ´ → åŠ ä»“æˆ–å»¶é•¿æŒæœ‰æœŸ + +### 5.4 å½¢æ€è§„则度 - å½¢æ€è´¨é‡ + +**é‡åŒ–æ„义**: +- è¡¡é‡å½¢æ€çš„**几何标准性** +- 高规则度æ„味ç€å¸‚åœºå¯¹å…³é”®ä»·ä½æœ‰å…±è¯† +- åæ˜ å½¢æ€æ˜¯å¦"教科书级别" + +**实战应用**: +- **高规则度(>P80)**: 教科书形æ€ï¼Œäº¤æ˜“员容易识别 +- **中规则度(P50-P80)**: æ ‡å‡†å½¢æ€ +- **低规则度( "å½¢æ€è¶Šæ ‡å‡†è¶Šå¥½å—ï¼Ÿéžæ ‡å‡†å½¢æ€æ˜¯å¦ä¹Ÿæœ‰äº¤æ˜“价值?" + +**æ€è€ƒ**: 过于"完美"的形æ€å¯èƒ½æ˜¯å¸‚场共识过高,å而需è¦è­¦æƒ•。建议: +- 规则度作为辅助å‚考,æƒé‡ä¸å®œè¿‡é«˜ +- éžæ ‡å‡†å½¢æ€ä¸åº”直接排除 + +### 5.5 价格活跃度 - 真实åšå¼ˆ + +**é‡åŒ–æ„义**: +- è¡¡é‡ä»·æ ¼**振è¡å……分性** +- 区分真实åšå¼ˆ vs åƒµå°¸å½¢æ€ +- åæ˜ å¸‚场å‚与度 + +**实战应用**: +- **高活跃度(>P75)**: 市场å‚ä¸Žå……åˆ†ï¼Œå½¢æ€æœ‰æ•ˆ +- **中活跃度(P25-P75)**: 正常情况 +- **低活跃度( "如何区分'å¥åº·çš„æ”¶æ•›'å’Œ'无人问津的死股'?" + +**价格活跃度正是解决这个问题的关键指标** + +### 5.6 倾斜度分 - 趋势一致性 + +**é‡åŒ–æ„义**: +- è¡¡é‡çªç ´æ–¹å‘与形æ€è¶‹åŠ¿çš„**一致性** +- 顺势çªç ´æ›´å¯é ï¼Œé€†åŠ¿çªç ´éœ€è°¨æ…Ž +- 区分上å‡/下é™/对称三角形 + +**实战应用**: +- **高倾斜度(>0.6)**: 强趋势一致,高置信度 +- **中性(≈0.5)**: 对称三角形,方å‘䏿˜Žç¡® +- **低倾斜度(<0.4)**: 逆势çªç ´ï¼Œéœ€é¢å¤–确认 + +**当å‰é—®é¢˜**: +- ⌠75%的值=0.5,几乎无区分度 +- ⌠算法强烈å好对称三角形 +- å»ºè®®ï¼šé‡æ–°æ ‡å‡†åŒ–æˆ–è°ƒæ•´ç®—æ³•å‚æ•° + +**基金ç»ç†å…³æ³¨ç‚¹**: +> "上å‡ä¸‰è§’å½¢å‘上çªç ´ vs 下é™ä¸‰è§’å½¢å‘上çªç ´ï¼ŒèƒœçŽ‡æœ‰å·®å¼‚å—?" + +**实è¯å»ºè®®**: 需è¦å›žæµ‹éªŒè¯ï¼Œä½†ç›´è§‰ä¸Šé¡ºåŠ¿çªç ´åº”该更å¯é  + +--- + +## å…­ã€æ•´ä½“刻画准确性评估 + +### 6.1 当å‰ç³»ç»Ÿçš„优点 + +1. **覆盖维度全é¢**: + - ✅ 价格维度: çªç ´å¹…åº¦ã€æ”¶æ•›åº¦ + - ✅ é‡èƒ½ç»´åº¦: æˆäº¤é‡ + - ✅ å½¢æ€ç»´åº¦: 几何规则度ã€å€¾æ–œåº¦ + - ✅ 行为维度: 价格活跃度 + +2. **归一化方å¼åˆç†**: + - ✅ 所有维度输出在[0, 1]区间 + - ✅ 使用tanhã€expç­‰éžçº¿æ€§å˜æ¢ + +3. **æƒé‡å¯é…ç½®**: + - ✅ ä»£ç æ”¯æŒæƒé‡å‚数调整 + - ✅ çªç ´å¹…åº¦ä½œä¸ºä¸»è¦æƒé‡æ˜¯åˆç†çš„ + +### 6.2 当å‰ç³»ç»Ÿçš„ä¸è¶³ + +1. **维度间ä¸å¯æ¯”**: + - ⌠原始得分直接加æƒï¼Œæœªè€ƒè™‘分布差异 + - âŒ ä¸­ä½æ•°å·®å¼‚巨大(0 vs 0.8) + +2. **零膨胀问题未处ç†**: + - ⌠çªç ´å¹…åº¦åˆ†ã€æˆäº¤é‡åˆ†50%为0 + - ⌠这些0值å‚与加æƒè®¡ç®—ä¼šç¨€é‡Šä¿¡å· + +3. **点质é‡é—®é¢˜æœªå¤„ç†**: + - ⌠倾斜度分75%为0.5 + - ⌠无法区分真正的对称三角形和算法å好 + +4. **ç¼ºä¹æˆªé¢æ ‡å‡†åŒ–**: + - ⌠未考虑åŒä¸€æ—¶ç‚¹ä¸åŒè‚¡ç¥¨çš„相对排å + - ⌠强度分的ç»å¯¹å€¼ç¼ºä¹å‚ç…§ç³» + +### 6.3 刻画准确性评分 + +| 评估维度 | 当å‰è¯„分 | 优化åŽé¢„期 | +|---------|---------|----------| +| 维度完整性 | â­â­â­â­â­ (5/5) | 5/5 | +| 归一化åˆç†æ€§ | â­â­â­â˜†â˜† (3/5) | 4/5 | +| ç»´åº¦å¯æ¯”性 | â­â­â˜†â˜†â˜† (2/5) | 4/5 | +| 分布平滑性 | â­â­â˜†â˜†â˜† (2/5) | 4/5 | +| 傿•°å¯è°ƒæ€§ | â­â­â­â˜†â˜† (3/5) | 5/5 | +| 实战å¯ç”¨æ€§ | â­â­â­â˜†â˜† (3/5) | 4/5 | +| **综åˆè¯„分** | **2.8/5** | **4.3/5** | + +--- + +## 七ã€ä¼˜åŒ–建议总结 + +### 7.1 短期优化(立å³å¯åšï¼‰ + +1. **实施分层标准化** + - 对çªç ´å¹…åº¦åˆ†ã€æˆäº¤é‡åˆ†ä½¿ç”¨é›¶è†¨èƒ€å¤„ç† + - 对倾斜度分使用点质é‡å¤„ç† + - å¯¹å…¶ä»–ç»´åº¦ä½¿ç”¨åˆ†ä½æ•°æ ‡å‡†åŒ– + +2. **调整æƒé‡åˆ†é…** + ``` + å½“å‰ â†’ 建议(ç­‰æƒåŸºç¡€): + çªç ´å¹…度分: 45% → 16.67% (标准化åŽç­‰æƒ) + 收敛度分: 15% → 16.67% + æˆäº¤é‡åˆ†: 10% → 16.67% + å½¢æ€è§„则度: 10% → 16.67% + 价格活跃度: 15% → 16.67% + 倾斜度分: 5% → 16.67% + ``` + +3. **æä¾›é¢„设é…ç½®** + - 激进模å¼ã€ä¿å®ˆæ¨¡å¼ã€æ”¾é‡æ¨¡å¼ç­‰ + - 让用户å¯ä»¥å¿«é€Ÿåˆ‡æ¢ + +### 7.2 中期优化(需è¦å¼€å‘) + +1. **æˆªé¢æ ‡å‡†åŒ–** + - 在æ¯ä¸ªæ—¶é—´ç‚¹å¯¹æ‰€æœ‰è‚¡ç¥¨æŽ’å + - æä¾›"相对强度"而éž"ç»å¯¹å¼ºåº¦" + +2. **æ•æ„Ÿæ€§åˆ†æžå·¥å…·** + - 傿•°å˜åŒ–å¯¹ä¿¡å·æ•°é‡çš„å½±å“ + - 傿•°å˜åŒ–å¯¹å›žæµ‹æ”¶ç›Šçš„å½±å“ + +3. **åŠ¨æ€æƒé‡è°ƒæ•´** + - 基于市场状æ€è‡ªåŠ¨è°ƒæ•´æƒé‡ + - 牛市/熊市/震è¡å¸‚ä¸åŒé…ç½® + +### 7.3 长期优化(研究方å‘) + +1. **机器学习优化** + - ç«¯åˆ°ç«¯å­¦ä¹ æœ€ä¼˜å˜æ¢å’Œæƒé‡ + - éœ€è¦æž„建完整的回测框架 + +2. **控制论框架** + - PID自适应æƒé‡è°ƒæ•´ + - 基于实际交易å馈优化 + +3. **å› å­æœ‰æ•ˆæ€§éªŒè¯** + - å„ç»´åº¦ä¸Žæœªæ¥æ”¶ç›Šçš„ICåˆ†æž + - 剔除无效因å­ï¼Œä¿ç•™æœ‰æ•ˆå› å­ + +--- + +## å…«ã€ä»£ç å®žçŽ°å»ºè®® + +### 8.1 目录结构 + +``` +technical-patterns-lab/ +├── src/ +│ ├── scoring/ +│ │ ├── normalizer.py # æ ‡å‡†åŒ–æ¨¡å— +│ │ ├── strength_score.py # 强度分计算 +│ │ ├── config.py # é…ç½®ç®¡ç† +│ │ └── filter.py # 多维度筛选 +│ └── analysis/ +│ ├── sensitivity.py # æ•æ„Ÿæ€§åˆ†æž +│ └── backtest.py # 回测框架 +└── configs/ + ├── aggressive.yaml # 激进é…ç½® + ├── conservative.yaml # ä¿å®ˆé…ç½® + └── volume_focus.yaml # 放é‡é…ç½® +``` + +### 8.2 核心类设计 + +```python +# scoring/normalizer.py +class FactorNormalizer: + """å› å­æ ‡å‡†åŒ–器""" + + def normalize_zero_inflated(self, series): ... + def normalize_point_mass(self, series): ... + def normalize_standard(self, series): ... + def normalize_low_variance(self, series): ... + + def normalize_all(self, df) -> pd.DataFrame: ... + +# scoring/strength_score.py +class StrengthScoreCalculator: + """强度分计算器""" + + def __init__(self, config: Config): + self.config = config + self.normalizer = FactorNormalizer() + + def calculate(self, raw_df) -> pd.Series: ... + def calculate_with_details(self, raw_df) -> pd.DataFrame: ... + +# scoring/filter.py +class MultiDimensionFilter: + """多维度筛选器""" + + def filter(self, df, config) -> pd.Index: ... + def filter_top_n(self, df, n, config) -> pd.Index: ... +``` + +--- + +## ä¹ã€ä¸‹ä¸€æ­¥è¡ŒåŠ¨è®¡åˆ’ + +### ç«‹å³è¡ŒåЍ +1. ✅ 实现分层标准化函数 +2. ✅ 创建等æƒå¼ºåº¦åˆ†è®¡ç®— +3. ✅ æä¾›3ç§é¢„设é…ç½® + +### 短期计划 +4. ðŸ“ å®žçŽ°æ•æ„Ÿæ€§åˆ†æžå·¥å…· +5. 📠对标准化åŽçš„æ•°æ®é‡æ–°è¿›è¡Œåˆ†å¸ƒåˆ†æž +6. ðŸ“ éªŒè¯æ ‡å‡†åŒ–效果 + +### 中期计划 +7. 🔬 å®žçŽ°æˆªé¢æ ‡å‡†åŒ– +8. 🔬 构建简å•回测框架 +9. 🔬 验è¯å„维度的预测能力 + +### 长期研究 +10. 🔮 探索机器学习优化 +11. 🔮 探索控制论框架 +12. 🔮 å‘表研究报告 + +--- + +## å‚考文献 + +1. Hübner et al. (2023). "Power Sorting". SSRN 4552208. +2. Chen et al. (2025). "Machine Learning Enhanced Multi-Factor Quantitative Trading". arXiv 2507.07107. +3. Mehra & Patel (2011). "PID Control for Portfolio Optimization". InTech. +4. Lo et al. (2000). "Foundations of Technical Analysis". SSRN 228099. + +--- + +**报告创建时间**: 2026-01-29 +**作者**: AIé‡åŒ–研究助手 +**版本**: v1.0 diff --git a/docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/强度分六维度_åˆ†æžæŠ¥å‘Š.md b/docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/强度分六维度_åˆ†æžæŠ¥å‘Š.md new file mode 100644 index 0000000..fc55a9e --- /dev/null +++ b/docs/收敛三角形_æ•°æ®åˆ†å¸ƒåˆ†æž_20260129/强度分六维度_åˆ†æžæŠ¥å‘Š.md @@ -0,0 +1,332 @@ +# 收敛三角形强度分六维度 - æ•°æ®åˆ†å¸ƒåˆ†æž + +**åˆ†æžæ—¥æœŸ**: 2026-01-29 +**样本é‡**: 18,004个有效三角形 +**分æžå¯¹è±¡**: 强度分系统的6个核心维度 + çªç ´æ–¹å‘分类 + +--- + +## 📊 å¼ºåº¦åˆ†ç³»ç»Ÿæž„æˆ + +收敛三角形的强度评分由以下6个维度组æˆï¼Œæ¯ä¸ªç»´åº¦èŒƒå›´å‡ä¸º [0, 1]: + +| ç¼–å· | 维度åç§° | 英文字段 | æƒé‡å æ¯” | 测é‡å†…容 | +|-----|---------|---------|---------|---------| +| 1 | **çªç ´å¹…度分** | price_score | 45% | çªç ´åŽä»·æ ¼å˜åŒ–幅度 | +| 2 | **收敛度分** | convergence_score | 20% | 三角形收敛程度 | +| 3 | **æˆäº¤é‡åˆ†** | volume_score | 15% | çªç ´æ—¶æˆäº¤é‡æ”¾å¤§ | +| 4 | **å½¢æ€è§„则度** | geometry_score | 10% | 枢轴点拟åˆè´´åˆåº¦ | +| 5 | **价格活跃度** | activity_score | 5% | 通é“空间利用率 | +| 6 | **倾斜度分** | tilt_score | 5% | 三角形倾斜程度 | + +**注**: çªç ´å¹…度分分为å‘上(price_score_up)å’Œå‘下(price_score_down)两个字段 + +--- + +## 🎯 核心å‘现 + +### 1ï¸âƒ£ æ­£æ€æ€§: å…¨éƒ¨éžæ­£æ€ ⌠+ +**7/7 ç»´åº¦å…¨éƒ¨æ‹’ç»æ­£æ€åˆ†å¸ƒå‡è®¾** (p值≈0) + +| 维度 | æ­£æ€æ£€éªŒ | P值 | 结论 | +|-----|---------|-----|------| +| çªç ´å¹…度分(å‘上) | KS检验 | 0.000 | éžæ­£æ€ | +| çªç ´å¹…度分(å‘下) | KS检验 | 0.000 | éžæ­£æ€ | +| 收敛度分 | KS检验 | 7.3e-74 | éžæ­£æ€ | +| æˆäº¤é‡åˆ† | KS检验 | 0.000 | éžæ­£æ€ | +| å½¢æ€è§„则度 | KS检验 | 0.000 | éžæ­£æ€ | +| 价格活跃度 | KS检验 | 1.4e-29 | éžæ­£æ€ | +| 倾斜度分 | KS检验 | 0.000 | éžæ­£æ€ | + +### 2ï¸âƒ£ å度分布 + +| 类型 | 维度数 | å æ¯” | 典型维度 | +|-----|-------|------|---------| +| **å³å** (>0.5) | 4 | 57% | çªç ´å¹…åº¦åˆ†ã€æˆäº¤é‡åˆ†ã€å½¢æ€è§„则度 | +| 对称 (-0.5~0.5) | 2 | 29% | 收敛度分ã€ä»·æ ¼æ´»è·ƒåº¦ | +| **å·¦å** (<-0.5) | 1 | 14% | 倾斜度分 | + +**å³åå«ä¹‰**: "å¤šæ•°å¼±ä¿¡å· + 少数强信å·"的长尾结构 + +### 3ï¸âƒ£ åŽšå°¾ç‰¹å¾æŽ’è¡Œ + +| 排å | 维度 | è¶…é¢å³°åº¦ | å°¾éƒ¨å€æ•°* | 等级 | +|-----|------|---------|---------|------| +| 1 🔴 | **倾斜度分** | 46.33 | 7.8× | æžç«¯åŽšå°¾ | +| 2 🔴 | **çªç ´å¹…度分(å‘下)** | 45.72 | 8.2× | æžç«¯åŽšå°¾ | +| 3 🟠 | **çªç ´å¹…度分(å‘上)** | 13.38 | 15.7× | 显著厚尾 | +| 4 🟡 | **å½¢æ€è§„则度** | 4.56 | 11.9× | 中度厚尾 | +| 5 🟡 | **æˆäº¤é‡åˆ†** | 2.77 | 19.1× | 中度厚尾 | +| 6 🟢 | **收敛度分** | -1.05 | 0× | è–„å°¾ | +| 7 🟢 | **价格活跃度** | -0.25 | 0.6× | è¿‘æ­£æ€ | + +\* å°¾éƒ¨å€æ•° = 实际3σ外数æ®å æ¯” ÷ æ­£æ€åˆ†å¸ƒ3Ïƒå¤–å æ¯”(0.27%) + +--- + +## 📈 å„维度详细统计 + +### 1. çªç ´å¹…度分(å‘上) - price_score_up + +``` +å‡å€¼: 0.0556 | 䏭使•°: 0.0000 âš ï¸ | 标准差: 0.1932 +范围: [0.000, 1.000] | 四分ä½: [0.000, 0.000] +å度: 3.77 (强å³å) | è¶…é¢å³°åº¦: 13.38 (显著厚尾) +å°¾éƒ¨å€æ•°: 15.7× (æžç«¯å€¼é¢‘ç¹!) +``` + +**解读**: +- 🔴 **䏭使•°=0**: 超过50%的三角形尚未å‘上çªç ´ +- 📊 **Q25=Q75=0**: 至少75%的数æ®=0(未çªç ´æˆ–å¼±çªç ´ï¼‰ +- âš ï¸ **尾部15.7å€**: 强çªç ´äº‹ä»¶æ˜¯æ­£æ€åˆ†å¸ƒé¢„测的15.7å€ +- 💡 **实战建议**: + - ä¸è¦ç”¨å‡å€¼(0.056)作为阈值 + - 建议筛选: price_score_up > 0.15 (约P85-P90) + - æžå¼ºçªç ´: > 0.3 + +### 2. çªç ´å¹…度分(å‘下) - price_score_down + +``` +å‡å€¼: 0.0194 | 䏭使•°: 0.0000 | 标准差: 0.1163 +范围: [0.000, 1.000] | 四分ä½: [0.000, 0.000] +å度: 6.70 (æžå¼ºå³å!) | è¶…é¢å³°åº¦: 45.72 (æžç«¯åŽšå°¾!) +å°¾éƒ¨å€æ•°: 8.2× +``` + +**解读**: +- 🔴 **å‘下çªç ´æ›´ç¨€ç¼º**: 䏭使•°=0, Q75=0 +- 📊 **最æžç«¯çš„å³å**: å度6.70,仅次于倾斜度分 +- âš ï¸ **超级厚尾**: è¶…é¢å³°åº¦45.72,第2高 +- 💡 **实战æ„义**: + - å‘下çªç ´æ¯”å‘上çªç ´æ›´ä¸å¯é¢„测 + - æžç«¯å‘下çªç ´æ˜¯çœŸæ­£çš„黑天鹅事件 + +### 3. 收敛度分 - convergence_score + +``` +å‡å€¼: 0.7980 | 䏭使•°: 0.8033 | 标准差: 0.1226 +范围: [0.550, 1.000] | 四分ä½: [0.702, 0.906] +å度: -0.23 (基本对称) | è¶…é¢å³°åº¦: -1.05 (è–„å°¾!) +å°¾éƒ¨å€æ•°: 0× (æ— æžç«¯å€¼) +``` + +**解读**: +- ✅ **高质é‡ç»´åº¦**: 大多数值在0.7-0.9之间 +- 📊 **薄尾分布**: 唯一的薄尾维度,接近å‡åŒ€åˆ†å¸ƒ +- 💡 **实战建议**: + - é«˜è´¨é‡æ”¶æ•›: > 0.85 (约P60-P70) + - æžä½³æ”¶æ•›: > 0.90 (约P75+) + +### 4. æˆäº¤é‡åˆ† - volume_score + +``` +å‡å€¼: 0.1505 | 䏭使•°: 0.0000 âš ï¸ | 标准差: 0.2829 +范围: [0.000, 1.000] | 四分ä½: [0.000, 0.166] +å度: 1.99 (å³å) | è¶…é¢å³°åº¦: 2.77 (中度厚尾) +å°¾éƒ¨å€æ•°: 19.1× (最高!) +``` + +**解读**: +- 🔴 **50%无放é‡**: 䏭使•°=0 +- 📊 **尾部放大最严é‡**: 19.1å€ï¼Œæ˜¯æ‰€æœ‰ç»´åº¦ä¸­æœ€é«˜ +- âš ï¸ **放é‡çªç ´æ˜¯ç¨€ç¼ºäº‹ä»¶**: ä»…25%有明显放é‡(Q75=0.166) +- 💡 **策略建议**: + - ⌠ä¸ä½œä¸ºå¿…è¦æ¡ä»¶ (会过滤掉50%有效信å·) + - ✅ 作为加分项 (volume_score > 0.5 = 顶级信å·) + +### 5. å½¢æ€è§„则度 - geometry_score + +``` +å‡å€¼: 0.0519 | 䏭使•°: 0.0051 | 标准差: 0.0959 +范围: [0.000, 0.492] | 四分ä½: [0.000, 0.052] +å度: 2.28 (å³å) | è¶…é¢å³°åº¦: 4.56 (中度厚尾) +å°¾éƒ¨å€æ•°: 11.9× +``` + +**解读**: +- 📊 **大多数形æ€ä¸å¤Ÿè§„则**: 䏭使•°ä»…0.005 +- âš ï¸ **高规则度稀缺**: Q75=0.052 +- 💡 **建议**: 此维度ä¸é€‚åˆä½œä¸ºç¡¬æ€§ç­›é€‰æ¡ä»¶ + +### 6. 价格活跃度 - activity_score + +``` +å‡å€¼: 0.0688 | 䏭使•°: 0.0709 | 标准差: 0.0211 +范围: [0.006, 0.150] | 四分ä½: [0.055, 0.083] +å度: -0.20 (对称) | è¶…é¢å³°åº¦: -0.25 (è¿‘æ­£æ€!) +å°¾éƒ¨å€æ•°: 0.6× (无厚尾) +``` + +**解读**: +- ✅ **最接近正æ€çš„维度**: è¶…é¢å³°åº¦ä»…-0.25 +- 📊 **分布稳定**: 标准差å°(0.021),å˜å¼‚性低 +- 💡 **特点**: 相对"正常"的维度,å¯é æ€§è¾ƒé«˜ + +### 7. 倾斜度分 - tilt_score + +``` +å‡å€¼: 0.4969 | 䏭使•°: 0.5000 | 标准差: 0.0171 +范围: [0.344, 0.630] | 四分ä½: [0.500, 0.500] âš ï¸ +å度: -6.17 (æžå¼ºå·¦å!) | è¶…é¢å³°åº¦: 46.33 (æžç«¯åŽšå°¾!) +å°¾éƒ¨å€æ•°: 7.8× +``` + +**解读**: +- 🔴 **最æžç«¯çš„分布**: Q25=Q75=0.5,75%æ•°æ®å®Œå…¨ç›¸åŒ +- 📊 **算法强å好对称三角形**: 0.5代表完全对称 +- âš ï¸ **上å‡/下é™ä¸‰è§’形稀缺**: 仅在长尾中出现 +- 💡 **å¯ç¤º**: + - 如需识别上å‡/下é™ä¸‰è§’å½¢ï¼Œéœ€è°ƒæ•´ç®—æ³•å‚æ•° + - 当å‰ç®—法设计就是为对称三角形优化的 + +--- + +## 💡 实战建议 + +### ✅ 阈值设置 (åŸºäºŽç™¾åˆ†ä½æ•°) + +```python +# çªç ´å¹…度分(å‘上) - 三档筛选 +宽æ¾: price_score_up > 0.10 # 约P80 +适中: price_score_up > 0.15 # 约P85-P90 â­æŽ¨è +严格: price_score_up > 0.30 # 约P95+ + +# 收敛度分 - é«˜è´¨é‡æ”¶æ•› +高质é‡: convergence_score > 0.85 # 约P60 +æžä½³: convergence_score > 0.90 # 约P75+ + +# æˆäº¤é‡åˆ† - 作为加分项 +有放é‡: volume_score > 0.2 # 约P70 +强放é‡: volume_score > 0.5 # 约P85 (稀缺信å·) +``` + +### âŒ ç¦æ­¢çš„åšæ³• + +```python +# 错误1: 使用å‡å€¼ä½œä¸ºé˜ˆå€¼ +threshold = df['price_score_up'].mean() # 0.056, 被æžç«¯å€¼æ‹‰é«˜ + +# 错误2: å‡è®¾æ­£æ€åˆ†å¸ƒ +mu = df['price_score_up'].mean() +sigma = df['price_score_up'].std() +threshold = mu + 2*sigma # 基于正æ€å‡è®¾ï¼Œä¼šå¤±æ•ˆ + +# 错误3: è¦æ±‚å¿…é¡»æ”¾é‡ +signals = df[df['volume_score'] > 0] # 会过滤掉50%æœ‰æ•ˆä¿¡å· +``` + +### ✅ 推è的策略 + +```python +# ç­–ç•¥1: 多维度组åˆ(ANDæ¡ä»¶) +high_quality = ( + (df['price_score_up'] > 0.15) & # 强çªç ´ + (df['convergence_score'] > 0.85) & # 高收敛 + (df['activity_score'] > 0.06) # 正常活跃度 +) + +# ç­–ç•¥2: 放é‡ä½œä¸ºåŠ åˆ†é¡¹ +premium_signals = high_quality & (df['volume_score'] > 0.5) +regular_signals = high_quality & (df['volume_score'] <= 0.5) + +# ç­–ç•¥3: 动æ€ç™¾åˆ†ä½æ•° +def get_dynamic_threshold(df, percentile=90): + return df['price_score_up'].quantile(percentile/100) +``` + +--- + +## 📊 维度æƒé‡åˆç†æ€§åˆ†æž + +### 当剿ƒé‡åˆ†é… + +| 维度 | æƒé‡ | æ•°æ®ç‰¹å¾ | æƒé‡åˆç†æ€§ | +|-----|------|---------|-----------| +| çªç ´å¹…度分 | 45% | æžç«¯å³å+厚尾 | ✅ åˆç† - 最é‡è¦çš„ä¿¡å· | +| 收敛度分 | 20% | 对称+è–„å°¾ | ✅ åˆç† - 稳定å¯é  | +| æˆäº¤é‡åˆ† | 15% | 䏭使•°=0 | âš ï¸ å高 - 建议é™è‡³10% | +| å½¢æ€è§„则度 | 10% | 䏭使•°æžä½Ž | âš ï¸ å高 - 建议é™è‡³5% | +| 价格活跃度 | 5% | è¿‘æ­£æ€ | ✅ åˆç† - 稳定但区分度低 | +| 倾斜度分 | 5% | æžç«¯åæ–œ | ✅ åˆç† - 低æƒé‡é€‚åˆå好型指标 | + +### 建议调整 + +``` +çªç ´å¹…度分: 45% (ä¿æŒ) +收敛度分: 25% (↑5%) - 最稳定å¯é çš„维度 +æˆäº¤é‡åˆ†: 10% (↓5%) - 䏭使•°=0导致区分度低 +å½¢æ€è§„则度: 5% (↓5%) - 数值普é过低 +价格活跃度: 10% (↑5%) - è¿‘æ­£æ€ä¸”稳定 +倾斜度分: 5% (ä¿æŒ) - 作为辅助指标 +``` + +--- + +## 🔠异常å‘现与解释 + +### 1. 为什么çªç ´å¹…åº¦åˆ†çš„ä¸­ä½æ•°æ˜¯0? + +**原因**: +- 大多数三角形检测时尚未çªç ´æˆ–刚çªç ´ +- price_score仅在明显çªç ´æ—¶>0 +- 检测窗å£å†…包å«å¤§é‡"å½¢æˆä¸­"的三角形 + +**䏿˜¯Bug**: è¿™æ˜¯æ­£å¸¸çŽ°è±¡ï¼Œåæ˜ äº†çœŸå®žå¸‚åœºçŠ¶æ€ + +### 2. 为什么倾斜度分如此æžç«¯? + +**原因**: +- 算法设计就是为识别**对称三角形**优化的 +- 对称三角形(tilt_score=0.5)是主æµå½¢æ€ +- 上å‡/下é™ä¸‰è§’形被视为特例 + +**å¯ç¤º**: 如需平衡识别三ç§ç±»åž‹ï¼Œéœ€è°ƒæ•´ç®—法æƒé‡ + +### 3. 为什么æˆäº¤é‡åˆ†å°¾éƒ¨å€æ•°æœ€é«˜(19.1×)? + +**原因**: +- æˆäº¤é‡æ˜¯æœ€ä¸å¯é¢„测的å˜é‡ +- 放é‡çªç ´æ˜¯å…¸åž‹çš„"黑天鹅"事件 +- 大多数时候无放é‡ï¼Œä½†ä¸€æ—¦æ”¾é‡å°±æš´å¢ž + +**æ„义**: 放é‡ç¡®è®¤çš„ä¿¡å·ç¡®å®žéžå¸¸ç¨€ç¼º + +--- + +## ðŸ“ æ–‡ä»¶æ¸…å• + +本次分æžç”Ÿæˆä»¥ä¸‹æ–‡ä»¶ï¼š + +| 文件å | 说明 | +|-------|------| +| `distribution_analysis_强度分六维度.csv` | 统计数æ®è¡¨ | +| `distribution_plots_强度分六维度.png` | 7个维度分布图 | +| `qq_plots_强度分六维度.png` | Q-Q图(æ­£æ€æ€§æ£€éªŒ) | +| `boxplots_强度分六维度.png` | 箱线图(异常值识别) | +| `analyze_distribution_强度分六维度.py` | 分æžè„šæœ¬ | +| `强度分六维度_åˆ†æžæŠ¥å‘Š.md` | 本文档 | + +--- + +## 🎯 最é‡è¦çš„3个结论 + +### 1. 所有强度分维度å‡éžæ­£æ€ → 必须改å˜ç»Ÿè®¡æ–¹æ³• +- 传统的å‡å€¼Â±kσã€t检验**全部失效** +- ç«‹å³åˆ‡æ¢åˆ°ç™¾åˆ†ä½æ•°å’Œéžå‚数方法 + +### 2. çªç ´å¹…度分和æˆäº¤é‡åˆ†çš„æžç«¯ä¸¤æžåˆ†åŒ– +- 䏭使•°=0 (大多数无çªç ´/无放é‡) +- ä½†å°¾éƒ¨å€æ•°15-19× (æžç«¯äº‹ä»¶é¢‘ç¹) +- **ç­–ç•¥**: èšç„¦é«˜ç™¾åˆ†ä½æ•°(P85-P95) + +### 3. 倾斜度分的æžç«¯å好 → 算法特性 +- 75%æ°å¥½=0.5 (对称三角形) +- è¿™ä¸æ˜¯Bug,是Feature +- 当å‰ç®—法就是为对称三角形设计的 + +--- + +**ç”Ÿæˆæ—¶é—´**: 2026-01-29 +**æ•°æ®ç‰ˆæœ¬**: converging_triangles v1原版 +**分æžå·¥å…·**: Python + Scipy + Matplotlib diff --git a/docs/标准化HTML查看器_使用指å—.md b/docs/标准化HTML查看器_使用指å—.md new file mode 100644 index 0000000..782c1a2 --- /dev/null +++ b/docs/标准化HTML查看器_使用指å—.md @@ -0,0 +1,175 @@ +# 标准化HTML查看器 - å¿«é€Ÿä½¿ç”¨æŒ‡å— + +## 一键è¿è¡Œ + +```bash +python scripts/pipeline_converging_triangle.py --clean --all-stocks +``` + +è¿™å°†ç”Ÿæˆ `outputs/converging_triangles/stock_viewer.html`,用æµè§ˆå™¨æ‰“å¼€å³å¯ã€‚ + +## 界é¢åŠŸèƒ½ + +### 1. 预设模å¼ï¼ˆé¡¶éƒ¨ï¼‰ + +点击切æ¢4ç§åˆ†æžæ¨¡å¼ï¼š + +- **ç­‰æƒæ¨¡å¼**: å„维度æƒé‡1/6ï¼Œé€‚åˆæŽ¢ç´¢æ€§åˆ†æž +- **激进模å¼**: é‡è§†çªç ´(35%)å’Œæˆäº¤é‡(25%),适åˆè¶‹åŠ¿è¡Œæƒ… +- **ä¿å®ˆæ¨¡å¼**: é‡è§†æ”¶æ•›åº¦(30%)和活跃度(25%),适åˆéœ‡è¡å¸‚ +- **æ”¾é‡æ¨¡å¼**: é‡è§†æˆäº¤é‡(35%),æ•获主力异动 + +### 2. æœç´¢å’ŒæŽ’åº + +- **æœç´¢æ¡†**: è¾“å…¥è‚¡ç¥¨ä»£ç æˆ–åç§°å¿«é€Ÿå®šä½ +- **排åºé€‰æ‹©**: 10ç§æŽ’åºæ–¹å¼ + - 5ç§å¼ºåº¦åˆ†ï¼ˆåŽŸå§‹/ç­‰æƒ/激进/ä¿å®ˆ/放é‡ï¼‰ + - 3ç§å½¢æ€æŒ‡æ ‡ï¼ˆå®½åº¦æ¯”/触碰次数) + - 3ç§æ ‡å‡†åŒ–维度(收敛度/æˆäº¤é‡/å½¢æ€è§„则度) + +### 3. 基础筛选 + +- **çªç ´æ–¹å‘**: 全部/å‘上/å‘下/æ—  +- **放é‡ç¡®è®¤**: 全部/已确认/未确认 +- **强度阈值**: 拖动滑å—设置最低强度分 + +### 4. 高级维度筛选(å¯å±•开) + +点击"高级维度筛选"展开,设置6个标准化维度的最低阈值: +- çªç ´å¹…度 ≥ +- 收敛度 ≥ +- æˆäº¤é‡ ≥ +- å½¢æ€è§„则度 ≥ +- 活跃度 ≥ +- 倾斜度 ≥ + +**使用场景示例**: +``` +场景1:寻找高质é‡å½¢æ€ + - 收敛度 ≥ 0.70 + - å½¢æ€è§„则度 ≥ 0.60 + +场景2:寻找放é‡çªç ´ + - çªç ´å¹…度 ≥ 0.70 + - æˆäº¤é‡ ≥ 0.70 + +场景3:寻找对称三角形 + - 倾斜度 ≥ 0.80 (接近0.5表示对称) + - 收敛度 ≥ 0.60 +``` + +### 5. 股票å¡ç‰‡ + +æ¯å¼ å¡ç‰‡æ˜¾ç¤ºï¼š +- **头部**: 股票åç§°ã€ä»£ç ã€å½“剿¨¡å¼å¼ºåº¦åˆ† +- **指标网格**: çªç ´æ–¹å‘ã€å®½åº¦æ¯”ã€è§¦ç¢°æ¬¡æ•°ã€æ”¾é‡ç¡®è®¤ã€æ´»è·ƒåº¦ã€å€¾æ–œåº¦ +- **æ ‡å‡†åŒ–ç»´åº¦é¢æ¿**: 6ä¸ªç»´åº¦çš„è¿›åº¦æ¡ + 迷你雷达图 +- **图表**: 收敛三角形å¯è§†åŒ–(点击放大) + +### 6. 迷你雷达图 + +å³ä¸Šè§’çš„å°é›·è¾¾å›¾ç›´è§‚展示6个维度: +- 12点方å‘: çªç ´å¹…度 +- 2点方å‘: 收敛度 +- 4点方å‘: æˆäº¤é‡ +- 6点方å‘: å½¢æ€è§„则 +- 8点方å‘: 活跃度 +- 10点方å‘: 倾斜度 + +**雷达图越满 = å½¢æ€è´¨é‡è¶Šé«˜** + +## 典型使用æµç¨‹ + +### æµç¨‹1: 快速筛选高分股票 + +1. 选择**ç­‰æƒæ¨¡å¼** +2. 拖动**强度阈值**到0.70 +3. 查看Top 10股票 +4. 点击图表查看详情 + +### æµç¨‹2: 寻找激进çªç ´ä¿¡å· + +1. 选择**激进模å¼** +2. 设置**çªç ´æ–¹å‘** = å‘上 +3. 设置**放é‡ç¡®è®¤** = 已确认 +4. 展开高级筛选: + - çªç ´å¹…度 ≥ 0.70 + - æˆäº¤é‡ ≥ 0.70 +5. æŒ‰æ¿€è¿›å¼ºåº¦åˆ†æŽ’åº + +### æµç¨‹3: 对比ä¸åŒæ¨¡å¼ + +1. è®°å½•ç­‰æƒæ¨¡å¼Top 10股票 +2. 切æ¢åˆ°æ¿€è¿›æ¨¡å¼ï¼Œè§‚察排åºå˜åŒ– +3. 切æ¢åˆ°ä¿å®ˆæ¨¡å¼ï¼Œè§‚察哪些股票æŒç»­é«˜åˆ† +4. **æŒç»­é«˜åˆ†çš„股票 = 全方ä½ä¼˜è´¨å½¢æ€** + +### æµç¨‹4: 研究特定股票 + +1. 在æœç´¢æ¡†è¾“入股票代ç /åç§° +2. 查看雷达图,识别优势/劣势维度 +3. 查看标准化维度进度æ¡ï¼Œäº†è§£å…·ä½“分值 +4. 切æ¢ä¸åŒæ¨¡å¼ï¼Œè§‚察ä¸åŒè§†è§’下的评分 + +## æ•°æ®è§£è¯» + +### 标准化维度å«ä¹‰ + +所有维度都标准化到0-1èŒƒå›´ï¼Œä¸­ä½æ•°=0.5: + +| 维度 | å«ä¹‰ | 0.5以下 | 0.5-0.7 | 0.7以上 | +|------|------|---------|---------|---------| +| çªç ´å¹…度 | çªç ´çº¿çš„强度 | å¼±/未çªç ´ | 适中 | 强çªç ´ | +| 收敛度 | 三角形收敛程度 | æ¾æ•£ | 一般 | 收敛良好 | +| æˆäº¤é‡ | 放é‡ç¨‹åº¦ | 缩é‡/æ— æ”¾é‡ | 适中 | æ˜Žæ˜¾æ”¾é‡ | +| å½¢æ€è§„则 | 三角形规整度 | ä¸è§„则 | 一般 | æ ‡å‡†å½¢æ€ | +| 活跃度 | 价格波动活跃度 | 平淡 | 适中 | 活跃 | +| 倾斜度 | 0.5=对称 | 下倾 | 对称 | 上倾 | + +### 强度分å«ä¹‰ + +| 分值范围 | å«ä¹‰ | +|----------|------| +| 0.0-0.3 | å½¢æ€è´¨é‡å·®ï¼Œä¸å»ºè®®å…³æ³¨ | +| 0.3-0.5 | å½¢æ€ä¸€èˆ¬ï¼Œéœ€ç»“åˆå…¶ä»–指标 | +| 0.5-0.7 | å½¢æ€è‰¯å¥½ï¼Œå¯ä»¥å…³æ³¨ | +| 0.7-0.85 | å½¢æ€ä¼˜ç§€ï¼Œé‡ç‚¹å…³æ³¨ | +| 0.85+ | å½¢æ€æžä¼˜ï¼Œé«˜åº¦é‡ç‚¹å…³æ³¨ | + +## å¿«æ·é”® + +- `Esc`: 关闭图表放大视图 + +## 性能æç¤º + +- 首次加载å¯èƒ½éœ€è¦1-2秒(绘制所有雷达图) +- ç­›é€‰å’ŒæŽ’åºæ˜¯å®žæ—¶çš„ +- 建议先用基础筛选缩å°èŒƒå›´ï¼Œå†ç”¨é«˜çº§ç­›é€‰ç²¾ç¡®å®šä½ + +## 故障排除 + +**问题**: 强度分都是原始值,没有等æƒ/æ¿€è¿›ç­‰æ¨¡å¼ + +**原因**: scoringæ¨¡å—æœªæ­£ç¡®å¯¼å…¥ + +**解决**: ç¡®ä¿è¿è¡Œpipelineæ—¶æ²¡æœ‰é”™è¯¯ä¿¡æ¯ + +--- + +**问题**: é›·è¾¾å›¾ä¸æ˜¾ç¤º + +**原因**: æµè§ˆå™¨ä¸æ”¯æŒCanvas或JavaScript被ç¦ç”¨ + +**解决**: 使用现代æµè§ˆå™¨ï¼ˆChrome/Edge/Firefox) + +--- + +**问题**: 维度进度æ¡éƒ½æ˜¯0 + +**原因**: æ•°æ®æœªæ ‡å‡†åŒ– + +**解决**: 釿–°è¿è¡Œpipeline生æˆHTML + +## 更多帮助 + +查看完整文档: `docs/Pipeline与HTMLé›†æˆæ ‡å‡†åŒ–_å®žæ–½å®ŒæˆæŠ¥å‘Š.md` diff --git a/docs/预设模å¼å¯¹æ¯”.md b/docs/预设模å¼å¯¹æ¯”.md new file mode 100644 index 0000000..d7c2885 --- /dev/null +++ b/docs/预设模å¼å¯¹æ¯”.md @@ -0,0 +1,109 @@ +# 预设模å¼å¯¹æ¯” + +## 工作æµç¨‹ + +``` +åŽŸå§‹æ•°æ® (CSV) + ↓ +æ ‡å‡†åŒ–å¤„ç† (normalizer.py) + ↓ +应用æƒé‡è®¡ç®— (config.py) + ↓ +生æˆHTML (generate_stock_viewer.py) +``` + +所有预设模å¼éƒ½æ˜¯åŸºäºŽ**标准化åŽçš„æ•°æ®**进行计算的。 + +--- + +## 一ã€4ç§åŸºç¡€é¢„è®¾æ¨¡å¼ + +### æƒé‡åˆ†é…对比 + +| 维度 | ç­‰æƒæ¨¡å¼ | æ¿€è¿›æ¨¡å¼ | ä¿å®ˆæ¨¡å¼ | æ”¾é‡æ¨¡å¼ | +|-----|---------|---------|---------|---------| +| **çªç ´å¹…度** | 16.7% | **35%** | 15% | 25% | +| **收敛度** | 16.7% | 15% | **30%** | 15% | +| **æˆäº¤é‡** | 16.7% | 25% | 10% | **35%** | +| **å½¢æ€è§„则** | 16.7% | 10% | 15% | 10% | +| **活跃度** | 16.7% | 10% | **25%** | 10% | +| **倾斜度** | 16.7% | 5% | 5% | 5% | + +### 儿¨¡å¼ç‰¹ç‚¹ + +#### 1. ç­‰æƒæ¨¡å¼ï¼ˆé»˜è®¤ï¼‰ +- æƒé‡ï¼šæ¯ä¸ªç»´åº¦ 1/6 = 16.7% +- 特点:ä¸åå‘任何维度,探索性分æžç”¨ +- 适用:åˆç­›ã€å…¨é¢è¯„ä¼° + +#### 2. æ¿€è¿›æ¨¡å¼ +- æƒé‡ï¼šçªç ´å¹…度 35% + æˆäº¤é‡ 25% = 60% +- 特点:最看é‡"是å¦çªç ´"å’Œ"æ˜¯å¦æ”¾é‡" +- é€‚ç”¨ï¼šè¶‹åŠ¿è¡Œæƒ…ï¼Œè¿½æ¶¨ä¿¡å· +- 筛选策略:çªç ´é˜ˆå€¼è¾ƒä½Žï¼ˆ0.55),æˆäº¤é‡é˜ˆå€¼è¾ƒé«˜ï¼ˆ0.60) + +#### 3. ä¿å®ˆæ¨¡å¼ +- æƒé‡ï¼šæ”¶æ•›åº¦ 30% + 活跃度 25% = 55% +- 特点:最看é‡"å½¢æ€è´¨é‡"å’Œ"价格活跃" +- 适用:震è¡å¸‚,等待形æ€å®Œå–„åŽå†å…¥åœº +- 筛选策略:çªç ´é˜ˆå€¼è¾ƒé«˜ï¼ˆ0.70),收敛度阈值较高(0.65) + +#### 4. æ”¾é‡æ¨¡å¼ +- æƒé‡ï¼šæˆäº¤é‡ 35% + çªç ´å¹…度 25% = 60% +- 特点:最看é‡"æˆäº¤é‡",æ•获主力异动 +- 适用:å‘çŽ°å¼‚åŠ¨è‚¡ç¥¨ï¼Œèµ„é‡‘å…³æ³¨ä¿¡å· +- 筛选策略:æˆäº¤é‡é˜ˆå€¼æœ€é«˜ï¼ˆ0.70) + +--- + +## 二ã€6ç§å•维度测试模å¼ï¼ˆ50%主导) + +æ¯ä¸ªæ¨¡å¼å°†**一个维度设为50%æƒé‡**,其余5个维度å„10%。 + +### æƒé‡åˆ†é…对比 + +| 维度 | çªç ´ä¸»å¯¼ | 收敛主导 | æˆäº¤é‡ä¸»å¯¼ | å½¢æ€ä¸»å¯¼ | 活跃主导 | 倾斜主导 | +|-----|---------|---------|----------|---------|---------|---------| +| **çªç ´å¹…度** | **50%** | 10% | 10% | 10% | 10% | 10% | +| **收敛度** | 10% | **50%** | 10% | 10% | 10% | 10% | +| **æˆäº¤é‡** | 10% | 10% | **50%** | 10% | 10% | 10% | +| **å½¢æ€è§„则** | 10% | 10% | 10% | **50%** | 10% | 10% | +| **活跃度** | 10% | 10% | 10% | 10% | **50%** | 10% | +| **倾斜度** | 10% | 10% | 10% | 10% | 10% | **50%** | + +### 测试用途 + +è¿™6ç§æ¨¡å¼ç”¨äºŽæµ‹è¯•**å•个维度对排åºçš„å½±å“**: + +1. **观察排åºå˜åŒ–**:æŸç»´åº¦æƒé‡æé«˜åˆ°50%åŽï¼Œè‚¡ç¥¨æŽ’åºå¦‚何å˜åŒ– +2. **å‘现潜力股**:找出æŸç»´åº¦å¾—分高但综åˆå¾—分低的股票 +3. **验è¯åŒºåˆ†åº¦**:检验å„维度的实际区分能力 +4. **对比分æž**:åŒä¸€è‚¡ç¥¨åœ¨ä¸åŒä¸»å¯¼æ¨¡å¼ä¸‹çš„æŽ’åå˜åŒ– + +### 使用示例 + +å‡è®¾æŸè‚¡ç¥¨åœ¨ç­‰æƒæ¨¡å¼ä¸‹æŽ’å第20,但在"收敛主导"模å¼ä¸‹æŽ’å第3: +- 说明该股票的**收敛度得分很高** +- ä½†å…¶ä»–ç»´åº¦å¾—åˆ†è¾ƒä½Žï¼Œæ‹‰ä½Žäº†ç»¼åˆæŽ’å +- 如果你é‡è§†æ”¶æ•›åº¦ï¼Œå¯ä»¥å…³æ³¨è¿™åªè‚¡ç¥¨ + +--- + +## 三ã€ä½¿ç”¨å»ºè®® + +| 场景 | æŽ¨èæ¨¡å¼ | +|-----|---------| +| ä¸ç¡®å®šé€‰å“ªä¸ªï¼Ÿ | **ç­‰æƒæ¨¡å¼** | +| 牛市/上涨趋势 | **激进模å¼** | +| 震è¡å¸‚/谨慎选股 | **ä¿å®ˆæ¨¡å¼** | +| 寻找主力资金异动 | **æ”¾é‡æ¨¡å¼** | +| 测试å•ç»´åº¦å½±å“ | **6ç§æµ‹è¯•模å¼** | +| 寻找åšç©ºæœºä¼š | ä»»æ„æ¨¡å¼ + æ–¹å‘选"å‘下" | + +--- + +## å››ã€ä»£ç ä½ç½® + +- é…置定义:`scripts/scoring/config.py` +- 标准化处ç†ï¼š`scripts/scoring/normalizer.py` +- HTML生æˆï¼š`scripts/generate_stock_viewer.py` diff --git a/outputs/converging_triangles/stock_viewer.html b/outputs/converging_triangles/stock_viewer.html index bce79f2..2ad9089 100644 --- a/outputs/converging_triangles/stock_viewer.html +++ b/outputs/converging_triangles/stock_viewer.html @@ -960,12 +960,32 @@

收敛三角形选股系统

æ•°æ®æ—¥æœŸ: 20260120 - 监控股票: 108 + 监控股票: 58
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活跃主导
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@@ -1079,6 +1136,43 @@ "tiltScore": 0.5118548082524743, "date": 20260120, "hasTriangle": true, + "priceUpNorm": 0.9, + "priceDownNorm": 0.5, + "convergenceNorm": 0.7931034482758621, + "volumeNorm": 0.8793103448275862, + "geometryNorm": 0.39655172413793105, + "activityNorm": 0.8103448275862069, + "tiltNorm": 1.0, + "strengthEqualUp": 0.7965517241379311, + "strengthEqualDown": 0.7298850574712642, + "strengthAggressiveUp": 0.8244827586206898, + "strengthAggressiveDown": 0.6844827586206897, + "strengthConservativeUp": 0.7729310344827587, + "strengthConservativeDown": 0.7129310344827586, + "strengthVolumeUp": 0.8224137931034483, + "strengthVolumeDown": 0.7224137931034483, + "strengthTestPriceUp": 0.8379310344827586, + "strengthTestPriceDown": 0.6379310344827586, + "strengthTestConvergenceUp": 0.7951724137931035, + "strengthTestConvergenceDown": 0.7551724137931035, + "strengthTestVolumeUp": 0.829655172413793, + "strengthTestVolumeDown": 0.7896551724137931, + "strengthTestGeometryUp": 0.636551724137931, + "strengthTestGeometryDown": 0.596551724137931, + "strengthTestActivityUp": 0.8020689655172414, + "strengthTestActivityDown": 0.7620689655172413, + "strengthTestTiltUp": 0.8779310344827587, + "strengthTestTiltDown": 0.8379310344827586, + "strengthEqual": 0.7965517241379311, + "strengthAggressive": 0.8244827586206898, + "strengthConservative": 0.7729310344827587, + "strengthVolume": 0.8224137931034483, + "strengthTestPrice": 0.8379310344827586, + "strengthTestConvergence": 0.7951724137931035, + "strengthTestVolume": 0.829655172413793, + "strengthTestGeometry": 0.636551724137931, + "strengthTestActivity": 0.8020689655172414, + "strengthTestTilt": 0.8779310344827587, "strength": 0.26552211680191823, "chartPath": "charts/20260120_SH603379_三美股份.png", "chartPathDetail": "charts/20260120_SH603379_三美股份_detail.png" @@ -1098,6 +1192,43 @@ "tiltScore": 0.4941072370149417, "date": 20260120, "hasTriangle": true, + "priceUpNorm": 1.0, + "priceDownNorm": 0.5, + "convergenceNorm": 0.15517241379310345, + "volumeNorm": 0.9741379310344828, + "geometryNorm": 0.9655172413793104, + "activityNorm": 0.1206896551724138, + "tiltNorm": 0.16666666666666669, + "strengthEqualUp": 0.5636973180076628, + "strengthEqualDown": 0.48036398467432945, + "strengthAggressiveUp": 0.7337643678160919, + "strengthAggressiveDown": 0.5587643678160918, + "strengthConservativeUp": 0.47729885057471266, + "strengthConservativeDown": 0.40229885057471265, + "strengthVolumeUp": 0.7311781609195401, + "strengthVolumeDown": 0.6061781609195401, + "strengthTestPriceUp": 0.7382183908045976, + "strengthTestPriceDown": 0.4882183908045977, + "strengthTestConvergenceUp": 0.40028735632183915, + "strengthTestConvergenceDown": 0.3502873563218391, + "strengthTestVolumeUp": 0.7278735632183908, + "strengthTestVolumeDown": 0.6778735632183908, + "strengthTestGeometryUp": 0.724425287356322, + "strengthTestGeometryDown": 0.6744252873563219, + "strengthTestActivityUp": 0.38649425287356326, + "strengthTestActivityDown": 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"date": 20260120, - "chartPath": "charts/20260120_SZ301225_æ’勃股份.png", - "chartPathDetail": "charts/20260120_SZ301225_æ’勃股份_detail.png", - "hasTriangle": false - }, - { - "idx": 106, - "code": "SZ301355", - "name": "å—王科技", - "strengthUp": 0.0, - "strengthDown": 0.0, - "strength": 0.0, - "direction": "none", - "widthRatio": 0.0, - "touchesUpper": 0, - "touchesLower": 0, - "volumeConfirmed": "", - "boundaryUtilization": 0.0, - "date": 20260120, - "chartPath": "charts/20260120_SZ301355_å—王科技.png", - "chartPathDetail": "charts/20260120_SZ301355_å—王科技_detail.png", - "hasTriangle": false } ]; let currentThreshold = 0; @@ -3073,9 +4376,16 @@ // 筛选和排åºçŠ¶æ€ let filters = { direction: 'all', // 'all', 'up', 'down', 'none' - volume: 'all' // 'all', 'true', 'false' + volume: 'all', // 'all', 'true', 'false' + priceNorm: 0, // çªç ´å¹…度阈值 + convergenceNorm: 0, // 收敛度阈值 + volumeNorm: 0, // æˆäº¤é‡é˜ˆå€¼ + geometryNorm: 0, // å½¢æ€è§„则度阈值 + activityNorm: 0, // 活跃度阈值 + tiltNorm: 0 // 倾斜度阈值 }; - let sortBy = 'strength'; // 'strength', 'widthRatio', 'touches' + let currentPresetMode = 'equal'; // 'equal', 'aggressive', 'conservative', 'volume' + let sortBy = 'current_mode'; // 'current_mode', 'strength', 'widthRatio', 'touches', etc. let sortOrder = 'desc'; // 'desc', 'asc' let searchQuery = ''; @@ -3144,6 +4454,32 @@ filterAndDisplayStocks(); }); + // 预设模å¼åˆ‡æ¢ï¼ˆä¸¤ç»„按钮互斥) + const presetModes = document.getElementById('presetModes'); + const presetModes2 = document.getElementById('presetModes2'); + + function handlePresetModeClick(e, currentGroup, otherGroup) { + if (e.target.classList.contains('filter-chip')) { + // å–æ¶ˆå½“å‰ç»„所有选中 + currentGroup.querySelectorAll('.filter-chip').forEach(chip => chip.classList.remove('active')); + // å–æ¶ˆå¦ä¸€ç»„所有选中 + otherGroup.querySelectorAll('.filter-chip').forEach(chip => chip.classList.remove('active')); + // 选中当å‰ç‚¹å‡»çš„ + e.target.classList.add('active'); + currentPresetMode = e.target.dataset.mode; + // åˆ‡æ¢æ¨¡å¼æ—¶åˆ·æ–°æ˜¾ç¤ºï¼ˆæŽ’åºä¼šæ ¹æ®current_mode自动使用新模å¼ï¼‰ + filterAndDisplayStocks(); + } + } + + presetModes.addEventListener('click', function(e) { + handlePresetModeClick(e, presetModes, presetModes2); + }); + + presetModes2.addEventListener('click', function(e) { + handlePresetModeClick(e, presetModes2, presetModes); + }); + // æ–¹å‘筛选芯片 const directionFilter = document.getElementById('directionFilter'); directionFilter.addEventListener('click', function(e) { @@ -3169,6 +4505,29 @@ // é‡ç½®æŒ‰é’® document.getElementById('resetBtn').addEventListener('click', resetFilters); + // é«˜çº§ç­›é€‰æ»‘å— + const advancedSliders = [ + { id: 'priceThreshold', valueId: 'priceThresholdValue', key: 'priceNorm' }, + { id: 'convergenceThreshold', valueId: 'convergenceThresholdValue', key: 'convergenceNorm' }, + { id: 'volumeThreshold', valueId: 'volumeThresholdValue', key: 'volumeNorm' }, + { id: 'geometryThreshold', valueId: 'geometryThresholdValue', key: 'geometryNorm' }, + { id: 'activityThreshold', valueId: 'activityThresholdValue', key: 'activityNorm' }, + { id: 'tiltThreshold', valueId: 'tiltThresholdValue', key: 'tiltNorm' } + ]; + + advancedSliders.forEach(slider => { + const element = document.getElementById(slider.id); + const valueDisplay = document.getElementById(slider.valueId); + if (element && valueDisplay) { + element.addEventListener('input', function() { + const value = parseFloat(this.value); + filters[slider.key] = value; + valueDisplay.textContent = value.toFixed(2); + filterAndDisplayStocks(); + }); + } + }); + // æ¨¡æ€æ¡† document.getElementById('imageModal').addEventListener('click', function(e) { if (e.target === this) closeModal(); @@ -3178,10 +4537,20 @@ function resetFilters() { // é‡ç½®æ‰€æœ‰ç­›é€‰å’ŒæŽ’åºçŠ¶æ€ currentThreshold = 0; - filters = { direction: 'all', volume: 'all' }; - sortBy = 'strength'; + filters = { + direction: 'all', + volume: 'all', + priceNorm: 0, + convergenceNorm: 0, + volumeNorm: 0, + geometryNorm: 0, + activityNorm: 0, + tiltNorm: 0 + }; + sortBy = 'current_mode'; sortOrder = 'desc'; searchQuery = ''; + currentPresetMode = 'equal'; // é‡ç½®é¢„设模å¼ä¸ºç­‰æƒ // é‡ç½®UI document.getElementById('strengthSlider').value = 0; @@ -3191,7 +4560,15 @@ document.getElementById('searchInput').value = ''; document.querySelector('.search-box').classList.remove('has-value'); - document.getElementById('sortSelect').value = 'strength'; + document.getElementById('sortSelect').value = 'current_mode'; + + // é‡ç½®é¢„è®¾æ¨¡å¼æŒ‰é’® + document.querySelectorAll('#presetModes .filter-chip').forEach((chip, i) => { + chip.classList.toggle('active', i === 0); // é€‰ä¸­ç¬¬ä¸€ä¸ªï¼ˆç­‰æƒæ¨¡å¼ï¼‰ + }); + document.querySelectorAll('#presetModes2 .filter-chip').forEach(chip => { + chip.classList.remove('active'); + }); const sortOrderBtn = document.getElementById('sortOrder'); sortOrderBtn.textContent = '↓'; sortOrderBtn.classList.add('active'); @@ -3205,9 +4582,35 @@ chip.classList.toggle('active', i === 0); }); filters.volume = 'all'; + + // é‡ç½®é«˜çº§ç­›é€‰æ»‘å— + const advancedSliders = ['priceThreshold', 'convergenceThreshold', 'volumeThreshold', + 'geometryThreshold', 'activityThreshold', 'tiltThreshold']; + const valueIds = ['priceThresholdValue', 'convergenceThresholdValue', 'volumeThresholdValue', + 'geometryThresholdValue', 'activityThresholdValue', 'tiltThresholdValue']; + advancedSliders.forEach((id, i) => { + const slider = document.getElementById(id); + const valueDisplay = document.getElementById(valueIds[i]); + if (slider && valueDisplay) { + slider.value = 0; + valueDisplay.textContent = '0.00'; + } + }); filterAndDisplayStocks(); } + + function toggleAdvancedFilters() { + const panel = document.getElementById('advancedFilters'); + const icon = document.getElementById('advancedToggleIcon'); + if (panel.style.display === 'none') { + panel.style.display = 'block'; + icon.style.transform = 'rotate(180deg)'; + } else { + panel.style.display = 'none'; + icon.style.transform = 'rotate(0deg)'; + } + } function filterAndDisplayStocks() { let result = [...allStocks]; @@ -3225,6 +4628,26 @@ const value = filters.volume === 'true'; result = result.filter(stock => stock.volumeConfirmed === (value ? 'True' : 'False')); } + + // 高级维度筛选 + if (filters.priceNorm > 0) { + result = result.filter(stock => (stock.priceUpNorm || 0) >= filters.priceNorm); + } + if (filters.convergenceNorm > 0) { + result = result.filter(stock => (stock.convergenceNorm || 0) >= filters.convergenceNorm); + } + if (filters.volumeNorm > 0) { + result = result.filter(stock => (stock.volumeNorm || 0) >= filters.volumeNorm); + } + if (filters.geometryNorm > 0) { + result = result.filter(stock => (stock.geometryNorm || 0) >= filters.geometryNorm); + } + if (filters.activityNorm > 0) { + result = result.filter(stock => (stock.activityNorm || 0) >= filters.activityNorm); + } + if (filters.tiltNorm > 0) { + result = result.filter(stock => (stock.tiltNorm || 0) >= filters.tiltNorm); + } // æœç´¢ if (searchQuery) { @@ -3235,10 +4658,28 @@ ); } - // æŽ’åº + // æŽ’åº - æ ¹æ®å½“剿¨¡å¼åЍæ€è޷喿ޒåºå­—段 + const modeToKeyMap = { + 'equal': 'strengthEqual', + 'aggressive': 'strengthAggressive', + 'conservative': 'strengthConservative', + 'volume': 'strengthVolume', + 'test_price': 'strengthTestPrice', + 'test_convergence': 'strengthTestConvergence', + 'test_volume': 'strengthTestVolume', + 'test_geometry': 'strengthTestGeometry', + 'test_activity': 'strengthTestActivity', + 'test_tilt': 'strengthTestTilt' + }; + result.sort((a, b) => { let aVal, bVal; - if (sortBy === 'strength') { + if (sortBy === 'current_mode') { + // æ ¹æ®å½“å‰é¢„设模å¼èŽ·å–对应的强度分字段 + const key = modeToKeyMap[currentPresetMode] || 'strengthEqual'; + aVal = a[key] || 0; + bVal = b[key] || 0; + } else if (sortBy === 'strength') { aVal = a.strength; bVal = b.strength; } else if (sortBy === 'widthRatio') { @@ -3247,6 +4688,15 @@ } else if (sortBy === 'touches') { aVal = a.touchesUpper + a.touchesLower; bVal = b.touchesUpper + b.touchesLower; + } else if (sortBy === 'convergenceNorm') { + aVal = a.convergenceNorm || 0; + bVal = b.convergenceNorm || 0; + } else if (sortBy === 'volumeNorm') { + aVal = a.volumeNorm || 0; + bVal = b.volumeNorm || 0; + } else { + aVal = a.strength; + bVal = b.strength; } return sortOrder === 'desc' ? bVal - aVal : aVal - bVal; }); @@ -3266,15 +4716,47 @@ grid.style.display = 'grid'; emptyState.style.display = 'none'; grid.innerHTML = stocks.map(stock => createStockCard(stock)).join(''); + + // 绘制所有雷达图 + setTimeout(() => { + document.querySelectorAll('.radar-canvas').forEach(canvas => { + const valuesStr = canvas.dataset.values; + if (valuesStr) { + const values = valuesStr.split(',').map(v => parseFloat(v) || 0); + drawMiniRadar(canvas, values); + } + }); + }, 0); } } function updateStats(filteredStocks) { document.getElementById('totalStocks').textContent = allStocks.length; document.getElementById('displayedStocks').textContent = filteredStocks.length; - const avgStrength = filteredStocks.length > 0 - ? filteredStocks.reduce((sum, s) => sum + s.strength, 0) / filteredStocks.length - : 0; + + // æ ¹æ®å½“剿¨¡å¼è®¡ç®—å¹³å‡å¼ºåº¦ + const modeKeyMap = { + 'equal': 'strengthEqual', + 'aggressive': 'strengthAggressive', + 'conservative': 'strengthConservative', + 'volume': 'strengthVolume', + 'test_price': 'strengthTestPrice', + 'test_convergence': 'strengthTestConvergence', + 'test_volume': 'strengthTestVolume', + 'test_geometry': 'strengthTestGeometry', + 'test_activity': 'strengthTestActivity', + 'test_tilt': 'strengthTestTilt' + }; + + let avgStrength = 0; + if (filteredStocks.length > 0) { + const key = modeKeyMap[currentPresetMode]; + if (key) { + avgStrength = filteredStocks.reduce((sum, s) => sum + (s[key] || 0), 0) / filteredStocks.length; + } else { + avgStrength = filteredStocks.reduce((sum, s) => sum + s.strength, 0) / filteredStocks.length; + } + } document.getElementById('avgStrength').textContent = avgStrength.toFixed(3); } @@ -3287,6 +4769,27 @@ stock.volumeConfirmed === 'False' ? '✗' : '—'; const chartPath = showDetailCharts ? stock.chartPathDetail : stock.chartPath; const fallbackPath = showDetailCharts ? stock.chartPath : stock.chartPathDetail; + + // æ ¹æ®å½“剿¨¡å¼é€‰æ‹©å¼ºåº¦åˆ† + let displayStrength = stock.strength; + let modeName = '原始'; + const modeMap = { + 'equal': { key: 'strengthEqual', name: 'ç­‰æƒ' }, + 'aggressive': { key: 'strengthAggressive', name: '激进' }, + 'conservative': { key: 'strengthConservative', name: 'ä¿å®ˆ' }, + 'volume': { key: 'strengthVolume', name: '放é‡' }, + 'test_price': { key: 'strengthTestPrice', name: 'çªç ´ä¸»å¯¼' }, + 'test_convergence': { key: 'strengthTestConvergence', name: '收敛主导' }, + 'test_volume': { key: 'strengthTestVolume', name: 'æˆäº¤é‡ä¸»å¯¼' }, + 'test_geometry': { key: 'strengthTestGeometry', name: 'å½¢æ€ä¸»å¯¼' }, + 'test_activity': { key: 'strengthTestActivity', name: '活跃主导' }, + 'test_tilt': { key: 'strengthTestTilt', name: '倾斜主导' } + }; + + if (modeMap[currentPresetMode]) { + displayStrength = stock[modeMap[currentPresetMode].key] || stock.strength; + modeName = modeMap[currentPresetMode].name; + } return `
@@ -3296,8 +4799,8 @@ ${stock.code}
-
${stock.strength.toFixed(3)}
-
强度分
+
${displayStrength.toFixed(3)}
+
${modeName}强度分
@@ -3327,6 +4830,27 @@ ${(stock.tiltScore || 0).toFixed(2)}
+ + +
+
+
标准化维度
+ +
+
+ ${createDimensionBar('çªç ´å¹…度', stock.priceUpNorm || 0, stock.direction === 'up')} + ${createDimensionBar('收敛度', stock.convergenceNorm || 0)} + ${createDimensionBar('æˆäº¤é‡', stock.volumeNorm || 0)} + ${createDimensionBar('å½¢æ€è§„则', stock.geometryNorm || 0)} + ${createDimensionBar('活跃度', stock.activityNorm || 0)} + ${createDimensionBar('倾斜度', stock.tiltNorm || 0)} +
+
+
${stock.name} `; } + + function createDimensionBar(label, value, highlight = false) { + const percentage = (value * 100).toFixed(0); + const color = highlight ? 'var(--accent-primary)' : 'var(--accent-secondary)'; + return ` +
+
+ ${label} + ${value.toFixed(2)} +
+
+
+
+
+ `; + } function handleImageError(img) { const fallbackSrc = img.dataset.fallbackSrc; @@ -3369,6 +4909,85 @@ function closeModal() { document.getElementById('imageModal').classList.remove('show'); } + + // 绘制迷你雷达图 + function drawMiniRadar(canvas, values) { + const ctx = canvas.getContext('2d'); + const centerX = canvas.width / 2; + const centerY = canvas.height / 2; + const radius = Math.min(centerX, centerY) - 10; + const angleStep = (Math.PI * 2) / 6; + + // 清空画布 + ctx.clearRect(0, 0, canvas.width, canvas.height); + + // 绘制背景网格 + ctx.strokeStyle = 'rgba(139, 146, 168, 0.2)'; + ctx.lineWidth = 1; + for (let i = 1; i <= 3; i++) { + ctx.beginPath(); + const r = radius * (i / 3); + for (let j = 0; j <= 6; j++) { + const angle = j * angleStep - Math.PI / 2; + const x = centerX + r * Math.cos(angle); + const y = centerY + r * Math.sin(angle); + if (j === 0) ctx.moveTo(x, y); + else ctx.lineTo(x, y); + } + ctx.closePath(); + ctx.stroke(); + } + + // 绘制轴线 + ctx.strokeStyle = 'rgba(139, 146, 168, 0.3)'; + for (let i = 0; i < 6; i++) { + const angle = i * angleStep - Math.PI / 2; + ctx.beginPath(); + ctx.moveTo(centerX, centerY); + ctx.lineTo( + centerX + radius * Math.cos(angle), + centerY + radius * Math.sin(angle) + ); + ctx.stroke(); + } + + // 绘制数æ®å¤šè¾¹å½¢ + ctx.fillStyle = 'rgba(0, 212, 170, 0.2)'; + ctx.strokeStyle = 'rgba(0, 212, 170, 0.8)'; + ctx.lineWidth = 2; + ctx.beginPath(); + for (let i = 0; i <= 6; i++) { + const angle = i * angleStep - Math.PI / 2; + const value = values[i % 6] || 0; + const r = radius * value; + const x = centerX + r * Math.cos(angle); + const y = centerY + r * Math.sin(angle); + if (i === 0) ctx.moveTo(x, y); + else ctx.lineTo(x, y); + } + ctx.closePath(); + ctx.fill(); + ctx.stroke(); + + // 绘制数æ®ç‚¹ + ctx.fillStyle = '#00d4aa'; + for (let i = 0; i < 6; i++) { + const angle = i * angleStep - Math.PI / 2; + const value = values[i] || 0; + const r = radius * value; + const x = centerX + r * Math.cos(angle); + const y = centerY + r * Math.sin(angle); + ctx.beginPath(); + ctx.arc(x, y, 3, 0, Math.PI * 2); + ctx.fill(); + } + } + + // 切æ¢é›·è¾¾å›¾/进度æ¡è§†å›¾ï¼ˆå¯é€‰åŠŸèƒ½ï¼Œæš‚ä¸å®žçŽ°ï¼‰ + function toggleRadarView(code) { + // å¯ä»¥å®žçŽ°ç‚¹å‡»é›·è¾¾å›¾æ”¾å¤§æŸ¥çœ‹ + console.log('Toggle radar view for:', code); + } document.addEventListener('keydown', function(e) { if (e.key === 'Escape') closeModal(); diff --git a/scripts/example_scoring_usage.py b/scripts/example_scoring_usage.py new file mode 100644 index 0000000..0f8d939 --- /dev/null +++ b/scripts/example_scoring_usage.py @@ -0,0 +1,204 @@ +""" +强度分标准化系统使用示例 + +展示如何使用 scoring 模å—进行标准化ã€ç­›é€‰å’Œåˆ†æžã€‚ +""" + +import pandas as pd +from pathlib import Path +import sys + +# 添加路径 +sys.path.insert(0, str(Path(__file__).parent / 'scoring')) + +from scoring import ( + normalize_all, + CONFIG_EQUAL, CONFIG_AGGRESSIVE, CONFIG_CONSERVATIVE, CONFIG_VOLUME_FOCUS, + filter_signals, calculate_strength, filter_top_n +) + + +def example_1_basic_normalization(): + """示例1:基础标准化""" + print("=" * 80) + print("示例1:基础标准化") + print("=" * 80) + + # åŠ è½½åŽŸå§‹æ•°æ® + data_path = Path(__file__).parent.parent / 'outputs' / 'converging_triangles' / 'all_results.csv' + df = pd.read_csv(data_path) + df = df[df['is_valid'] == True] + + print(f"\n原始数æ®: {len(df)} æ¡è®°å½•") + print(f"原始字段: {df.columns.tolist()[:10]}...") + + # 标准化 + df_norm = normalize_all(df) + + print(f"\næ ‡å‡†åŒ–åŽæ–°å¢žå­—段:") + new_cols = df_norm.columns.difference(df.columns).tolist() + for col in new_cols: + print(f" - {col}") + + # 对比统计 + print(f"\n标准化效果对比:") + print(f"{'维度':<20s} | {'åŽŸå§‹ä¸­ä½æ•°':>10s} | {'æ ‡å‡†åŒ–ä¸­ä½æ•°':>12s}") + print("-" * 50) + for col in ['price_score_up', 'convergence_score', 'volume_score']: + before = df[col].median() + after = df_norm[f'{col}_norm'].median() + print(f"{col:<20s} | {before:>10.4f} | {after:>12.4f}") + + +def example_2_preset_configs(): + """示例2:使用预设é…置筛选信å·""" + print("\n" + "=" * 80) + print("示例2:使用预设é…置筛选信å·") + print("=" * 80) + + # åŠ è½½æ ‡å‡†åŒ–æ•°æ® + data_path = Path(__file__).parent.parent / 'outputs' / 'converging_triangles' / 'all_results_normalized.csv' + df = pd.read_csv(data_path) + + # 测试å„ç§é…ç½® + configs = [ + CONFIG_EQUAL, + CONFIG_AGGRESSIVE, + CONFIG_CONSERVATIVE, + CONFIG_VOLUME_FOCUS, + ] + + print(f"\n总样本数: {len(df)}") + print("\né…ç½®åç§° | ä¿¡å·æ•° | å æ¯” | 主è¦ç‰¹ç‚¹") + print("-" * 80) + + for config in configs: + filtered = filter_signals(df, config) + pct = len(filtered) / len(df) * 100 + + # èŽ·å–æœ€é«˜æƒé‡çš„维度 + weights = [ + ('çªç ´', config.w_price), + ('æ”¶æ•›', config.w_convergence), + ('æˆäº¤é‡', config.w_volume), + ] + weights.sort(key=lambda x: x[1], reverse=True) + top_weights = ', '.join([f"{k}{v:.0%}" for k, v in weights[:2]]) + + print(f"{config.name:<20s} | {len(filtered):>6d} | {pct:>4.1f}% | {top_weights}") + + +def example_3_custom_config(): + """示例3:自定义é…ç½®""" + print("\n" + "=" * 80) + print("示例3:自定义é…ç½®") + print("=" * 80) + + from scoring.config import StrengthConfig + + # 创建自定义é…ç½® + my_config = StrengthConfig( + name="我的é…ç½®", + w_price=0.40, # é‡è§†çªç ´40% + w_volume=0.30, # é‡è§†æ”¾é‡30% + w_convergence=0.15, + w_geometry=0.05, + w_activity=0.05, + w_tilt=0.05, + threshold_price=0.65, # 中等çªç ´é˜ˆå€¼ + threshold_volume=0.70, # 高放é‡è¦æ±‚ + direction='up', + ) + + # 打å°é…ç½®æ‘˜è¦ + print("\n" + my_config.summary()) + + # 加载数æ®å¹¶ç­›é€‰ + data_path = Path(__file__).parent.parent / 'outputs' / 'converging_triangles' / 'all_results_normalized.csv' + df = pd.read_csv(data_path) + + filtered = filter_signals(df, my_config, return_strength=True) + + print(f"\n筛选结果: {len(filtered)} ä¸ªä¿¡å· ({len(filtered)/len(df)*100:.1f}%)") + + # 显示Top 5 + print("\nTop 5 ä¿¡å·:") + print("è‚¡ç¥¨ä»£ç  | 日期 | 强度 | çªç ´ | æˆäº¤é‡") + print("-" * 60) + for _, row in filtered.head(5).iterrows(): + print(f"{row['stock_code']:10s} | {int(row['date'])} | {row['strength']:.4f} | " + f"{row['price_score_up_norm']:.4f} | {row['volume_score_norm']:.4f}") + + +def example_4_top_n_signals(): + """示例4:获å–Top Nä¿¡å·""" + print("\n" + "=" * 80) + print("示例4:获å–Top Nä¿¡å·") + print("=" * 80) + + data_path = Path(__file__).parent.parent / 'outputs' / 'converging_triangles' / 'all_results_normalized.csv' + df = pd.read_csv(data_path) + + # 获å–ç­‰æƒé…置下的Top 20ä¿¡å· + top20 = filter_top_n(df, CONFIG_EQUAL, n=20) + + print(f"\nç­‰æƒæ¨¡å¼ - Top 20 ä¿¡å·:") + print("\n排å | è‚¡ç¥¨ä»£ç  | 日期 | 强度 | çªç ´ | æ”¶æ•› | 放é‡") + print("-" * 80) + + for idx, (_, row) in enumerate(top20.iterrows(), 1): + print(f"{idx:>4d} | {row['stock_code']:10s} | {int(row['date'])} | " + f"{row['strength']:.4f} | {row['price_score_up_norm']:.4f} | " + f"{row['convergence_score_norm']:.4f} | {row['volume_score_norm']:.4f}") + + +def example_5_compare_configs(): + """示例5:对比ä¸åŒé…置的结果""" + print("\n" + "=" * 80) + print("示例5:对比ä¸åŒé…置的Topä¿¡å·") + print("=" * 80) + + data_path = Path(__file__).parent.parent / 'outputs' / 'converging_triangles' / 'all_results_normalized.csv' + df = pd.read_csv(data_path) + + configs = [ + CONFIG_EQUAL, + CONFIG_AGGRESSIVE, + CONFIG_CONSERVATIVE, + ] + + for config in configs: + print(f"\n{config.name} - Top 3:") + print("-" * 60) + + top3 = filter_top_n(df, config, n=3) + for idx, (_, row) in enumerate(top3.iterrows(), 1): + print(f" {idx}. {row['stock_code']} ({int(row['date'])}) - 强度: {row['strength']:.4f}") + + +def main(): + """è¿è¡Œæ‰€æœ‰ç¤ºä¾‹""" + try: + example_1_basic_normalization() + example_2_preset_configs() + example_3_custom_config() + example_4_top_n_signals() + example_5_compare_configs() + + print("\n" + "=" * 80) + print("所有示例è¿è¡Œå®Œæˆï¼") + print("=" * 80) + + print("\n更多功能:") + print(" 1. æŸ¥çœ‹æ•æ„Ÿæ€§åˆ†æž: python scripts/scoring/sensitivity.py") + print(" 2. 完整报告: outputs/converging_triangles/sensitivity_analysis_report.md") + print(" 3. 对比图表: outputs/converging_triangles/normalization_comparison.png") + + except Exception as e: + print(f"\n错误: {e}") + import traceback + traceback.print_exc() + + +if __name__ == "__main__": + main() diff --git a/scripts/generate_stock_viewer.py b/scripts/generate_stock_viewer.py index 8a7477a..105763f 100644 --- a/scripts/generate_stock_viewer.py +++ b/scripts/generate_stock_viewer.py @@ -16,6 +16,31 @@ import json import sys import pickle import numpy as np +import pandas as pd + +# 添加scoring模å—路径 +sys.path.insert(0, os.path.join(os.path.dirname(__file__), 'scoring')) +try: + from scoring import ( + normalize_all, + calculate_strength, + CONFIG_EQUAL, + CONFIG_AGGRESSIVE, + CONFIG_CONSERVATIVE, + CONFIG_VOLUME_FOCUS, + # å•ç»´åº¦æµ‹è¯•æ¨¡å¼ + CONFIG_TEST_PRICE, + CONFIG_TEST_CONVERGENCE, + CONFIG_TEST_VOLUME, + CONFIG_TEST_GEOMETRY, + CONFIG_TEST_ACTIVITY, + CONFIG_TEST_TILT, + ) + SCORING_AVAILABLE = True +except ImportError as e: + print(f"警告: 无法导入scoring模å—: {e}") + print("将使用原始强度分,ä¸è¿›è¡Œæ ‡å‡†åŒ–") + SCORING_AVAILABLE = False def load_all_stocks_list(data_dir: str) -> tuple: """从close.pkl加载所有股票列表""" @@ -30,7 +55,7 @@ def load_all_stocks_list(data_dir: str) -> tuple: return data['tkrs'], data['tkrs_name'] def load_stock_data(csv_path: str, target_date: int = None, all_stocks_mode: bool = False, data_dir: str = 'data') -> tuple: - """从CSV加载股票数æ®""" + """从CSV加载股票数æ®å¹¶è¿›è¡Œæ ‡å‡†åŒ–处ç†""" stocks_map = {} max_date = 0 @@ -48,6 +73,7 @@ def load_stock_data(csv_path: str, target_date: int = None, all_stocks_mode: boo use_date = target_date if target_date else max_date # 从CSVè¯»å–æœ‰å¼ºåº¦åˆ†çš„股票 + rows_list = [] with open(csv_path, 'r', encoding='utf-8-sig') as f: reader = csv.DictReader(f) for row in reader: @@ -55,38 +81,215 @@ def load_stock_data(csv_path: str, target_date: int = None, all_stocks_mode: boo date = int(row.get('date', '0')) if date != use_date: continue - - stock_code = row.get('stock_code', '') - stock = { - 'idx': int(row.get('stock_idx', '0')), - 'code': stock_code, - 'name': row.get('stock_name', ''), - 'strengthUp': float(row.get('breakout_strength_up', '0')), - 'strengthDown': float(row.get('breakout_strength_down', '0')), - 'direction': row.get('breakout_dir', ''), - 'widthRatio': float(row.get('width_ratio', '0')), - 'touchesUpper': int(row.get('touches_upper', '0')), - 'touchesLower': int(row.get('touches_lower', '0')), - 'volumeConfirmed': row.get('volume_confirmed', ''), - 'activityScore': float(row.get('activity_score', '0')), - 'tiltScore': float(row.get('tilt_score', '0')), # 新增:倾斜度分 - 'date': date, - 'hasTriangle': True # æ ‡è®°ä¸ºæœ‰ä¸‰è§’å½¢å½¢æ€ - } - - stock['strength'] = max(stock['strengthUp'], stock['strengthDown']) - - # æ¸…ç†æ–‡ä»¶åä¸­çš„éžæ³•字符 - clean_name = stock['name'].replace('*', '').replace('?', '').replace('"', '').replace('<', '').replace('>', '').replace('|', '').replace(':', '').replace('/', '').replace('\\', '') - stock['chartPath'] = f"charts/{date}_{stock_code}_{clean_name}.png" - stock['chartPathDetail'] = f"charts/{date}_{stock_code}_{clean_name}_detail.png" - - if stock_code not in stocks_map or stocks_map[stock_code]['strength'] < stock['strength']: - stocks_map[stock_code] = stock - - except Exception as e: + rows_list.append(row) + except: continue + # 转æ¢ä¸ºDataFrame以进行标准化 + if rows_list and SCORING_AVAILABLE: + df = pd.DataFrame(rows_list) + # è½¬æ¢æ•°å€¼åˆ— + numeric_cols = ['breakout_strength_up', 'breakout_strength_down', + 'price_score_up', 'price_score_down', 'convergence_score', + 'volume_score', 'geometry_score', 'activity_score', 'tilt_score'] + for col in numeric_cols: + if col in df.columns: + df[col] = pd.to_numeric(df[col], errors='coerce').fillna(0) + + # 执行标准化 + df_norm = normalize_all(df) + + # 计算4ç§é¢„设模å¼çš„强度分 (分别计算upå’Œdown) + from dataclasses import replace + + # ç­‰æƒæ¨¡å¼ + config_equal_up = replace(CONFIG_EQUAL, direction='up') + config_equal_down = replace(CONFIG_EQUAL, direction='down') + df_norm['strength_equal_up'] = calculate_strength(df_norm, config_equal_up) + df_norm['strength_equal_down'] = calculate_strength(df_norm, config_equal_down) + + # æ¿€è¿›æ¨¡å¼ + config_agg_up = replace(CONFIG_AGGRESSIVE, direction='up') + config_agg_down = replace(CONFIG_AGGRESSIVE, direction='down') + df_norm['strength_aggressive_up'] = calculate_strength(df_norm, config_agg_up) + df_norm['strength_aggressive_down'] = calculate_strength(df_norm, config_agg_down) + + # ä¿å®ˆæ¨¡å¼ + config_cons_up = replace(CONFIG_CONSERVATIVE, direction='up') + config_cons_down = replace(CONFIG_CONSERVATIVE, direction='down') + df_norm['strength_conservative_up'] = calculate_strength(df_norm, config_cons_up) + df_norm['strength_conservative_down'] = calculate_strength(df_norm, config_cons_down) + + # æ”¾é‡æ¨¡å¼ + config_vol_up = replace(CONFIG_VOLUME_FOCUS, direction='up') + config_vol_down = replace(CONFIG_VOLUME_FOCUS, direction='down') + df_norm['strength_volume_up'] = calculate_strength(df_norm, config_vol_up) + df_norm['strength_volume_down'] = calculate_strength(df_norm, config_vol_down) + + # å•维度测试模å¼ï¼ˆ50%主导) + # çªç ´ä¸»å¯¼ + config_test_price_up = replace(CONFIG_TEST_PRICE, direction='up') + config_test_price_down = replace(CONFIG_TEST_PRICE, direction='down') + df_norm['strength_test_price_up'] = calculate_strength(df_norm, config_test_price_up) + df_norm['strength_test_price_down'] = calculate_strength(df_norm, config_test_price_down) + + # 收敛主导 + config_test_conv_up = replace(CONFIG_TEST_CONVERGENCE, direction='up') + config_test_conv_down = replace(CONFIG_TEST_CONVERGENCE, direction='down') + df_norm['strength_test_convergence_up'] = calculate_strength(df_norm, config_test_conv_up) + df_norm['strength_test_convergence_down'] = calculate_strength(df_norm, config_test_conv_down) + + # æˆäº¤é‡ä¸»å¯¼ + config_test_vol_up = replace(CONFIG_TEST_VOLUME, direction='up') + config_test_vol_down = replace(CONFIG_TEST_VOLUME, direction='down') + df_norm['strength_test_volume_up'] = calculate_strength(df_norm, config_test_vol_up) + df_norm['strength_test_volume_down'] = calculate_strength(df_norm, config_test_vol_down) + + # å½¢æ€ä¸»å¯¼ + config_test_geo_up = replace(CONFIG_TEST_GEOMETRY, direction='up') + config_test_geo_down = replace(CONFIG_TEST_GEOMETRY, direction='down') + df_norm['strength_test_geometry_up'] = calculate_strength(df_norm, config_test_geo_up) + df_norm['strength_test_geometry_down'] = calculate_strength(df_norm, config_test_geo_down) + + # 活跃主导 + config_test_act_up = replace(CONFIG_TEST_ACTIVITY, direction='up') + config_test_act_down = replace(CONFIG_TEST_ACTIVITY, direction='down') + df_norm['strength_test_activity_up'] = calculate_strength(df_norm, config_test_act_up) + df_norm['strength_test_activity_down'] = calculate_strength(df_norm, config_test_act_down) + + # 倾斜主导 + config_test_tilt_up = replace(CONFIG_TEST_TILT, direction='up') + config_test_tilt_down = replace(CONFIG_TEST_TILT, direction='down') + df_norm['strength_test_tilt_up'] = calculate_strength(df_norm, config_test_tilt_up) + df_norm['strength_test_tilt_down'] = calculate_strength(df_norm, config_test_tilt_down) + else: + df_norm = None + + # 构建stocks_map + for idx, row in enumerate(rows_list): + try: + stock_code = row.get('stock_code', '') + stock = { + 'idx': int(row.get('stock_idx', '0')), + 'code': stock_code, + 'name': row.get('stock_name', ''), + 'strengthUp': float(row.get('breakout_strength_up', '0')), + 'strengthDown': float(row.get('breakout_strength_down', '0')), + 'direction': row.get('breakout_dir', ''), + 'widthRatio': float(row.get('width_ratio', '0')), + 'touchesUpper': int(row.get('touches_upper', '0')), + 'touchesLower': int(row.get('touches_lower', '0')), + 'volumeConfirmed': row.get('volume_confirmed', ''), + 'activityScore': float(row.get('activity_score', '0')), + 'tiltScore': float(row.get('tilt_score', '0')), + 'date': use_date, + 'hasTriangle': True + } + + # 添加标准化字段 + if df_norm is not None: + norm_row = df_norm.iloc[idx] + stock['priceUpNorm'] = float(norm_row.get('price_score_up_norm', 0)) + stock['priceDownNorm'] = float(norm_row.get('price_score_down_norm', 0)) + stock['convergenceNorm'] = float(norm_row.get('convergence_score_norm', 0)) + stock['volumeNorm'] = float(norm_row.get('volume_score_norm', 0)) + stock['geometryNorm'] = float(norm_row.get('geometry_score_norm', 0)) + stock['activityNorm'] = float(norm_row.get('activity_score_norm', 0)) + stock['tiltNorm'] = float(norm_row.get('tilt_score_norm', 0)) + + # 添加预设模å¼å¼ºåº¦åˆ† + stock['strengthEqualUp'] = float(norm_row.get('strength_equal_up', 0)) + stock['strengthEqualDown'] = float(norm_row.get('strength_equal_down', 0)) + stock['strengthAggressiveUp'] = float(norm_row.get('strength_aggressive_up', 0)) + stock['strengthAggressiveDown'] = float(norm_row.get('strength_aggressive_down', 0)) + stock['strengthConservativeUp'] = float(norm_row.get('strength_conservative_up', 0)) + stock['strengthConservativeDown'] = float(norm_row.get('strength_conservative_down', 0)) + stock['strengthVolumeUp'] = float(norm_row.get('strength_volume_up', 0)) + stock['strengthVolumeDown'] = float(norm_row.get('strength_volume_down', 0)) + + # 添加å•维度测试模å¼å¼ºåº¦åˆ† + stock['strengthTestPriceUp'] = float(norm_row.get('strength_test_price_up', 0)) + stock['strengthTestPriceDown'] = float(norm_row.get('strength_test_price_down', 0)) + stock['strengthTestConvergenceUp'] = float(norm_row.get('strength_test_convergence_up', 0)) + stock['strengthTestConvergenceDown'] = float(norm_row.get('strength_test_convergence_down', 0)) + stock['strengthTestVolumeUp'] = float(norm_row.get('strength_test_volume_up', 0)) + stock['strengthTestVolumeDown'] = float(norm_row.get('strength_test_volume_down', 0)) + stock['strengthTestGeometryUp'] = float(norm_row.get('strength_test_geometry_up', 0)) + stock['strengthTestGeometryDown'] = float(norm_row.get('strength_test_geometry_down', 0)) + stock['strengthTestActivityUp'] = float(norm_row.get('strength_test_activity_up', 0)) + stock['strengthTestActivityDown'] = float(norm_row.get('strength_test_activity_down', 0)) + stock['strengthTestTiltUp'] = float(norm_row.get('strength_test_tilt_up', 0)) + stock['strengthTestTiltDown'] = float(norm_row.get('strength_test_tilt_down', 0)) + + # æ ¹æ®æ–¹å‘选择强度分 + if stock['direction'] == 'up': + stock['strengthEqual'] = stock['strengthEqualUp'] + stock['strengthAggressive'] = stock['strengthAggressiveUp'] + stock['strengthConservative'] = stock['strengthConservativeUp'] + stock['strengthVolume'] = stock['strengthVolumeUp'] + stock['strengthTestPrice'] = stock['strengthTestPriceUp'] + stock['strengthTestConvergence'] = stock['strengthTestConvergenceUp'] + stock['strengthTestVolume'] = stock['strengthTestVolumeUp'] + stock['strengthTestGeometry'] = stock['strengthTestGeometryUp'] + stock['strengthTestActivity'] = stock['strengthTestActivityUp'] + stock['strengthTestTilt'] = stock['strengthTestTiltUp'] + elif stock['direction'] == 'down': + stock['strengthEqual'] = stock['strengthEqualDown'] + stock['strengthAggressive'] = stock['strengthAggressiveDown'] + stock['strengthConservative'] = stock['strengthConservativeDown'] + stock['strengthVolume'] = stock['strengthVolumeDown'] + stock['strengthTestPrice'] = stock['strengthTestPriceDown'] + stock['strengthTestConvergence'] = stock['strengthTestConvergenceDown'] + stock['strengthTestVolume'] = stock['strengthTestVolumeDown'] + stock['strengthTestGeometry'] = stock['strengthTestGeometryDown'] + stock['strengthTestActivity'] = stock['strengthTestActivityDown'] + stock['strengthTestTilt'] = stock['strengthTestTiltDown'] + else: + # æ— æ–¹å‘æ—¶å–两者最大值 + stock['strengthEqual'] = max(stock['strengthEqualUp'], stock['strengthEqualDown']) + stock['strengthAggressive'] = max(stock['strengthAggressiveUp'], stock['strengthAggressiveDown']) + stock['strengthConservative'] = max(stock['strengthConservativeUp'], stock['strengthConservativeDown']) + stock['strengthVolume'] = max(stock['strengthVolumeUp'], stock['strengthVolumeDown']) + stock['strengthTestPrice'] = max(stock['strengthTestPriceUp'], stock['strengthTestPriceDown']) + stock['strengthTestConvergence'] = max(stock['strengthTestConvergenceUp'], stock['strengthTestConvergenceDown']) + stock['strengthTestVolume'] = max(stock['strengthTestVolumeUp'], stock['strengthTestVolumeDown']) + stock['strengthTestGeometry'] = max(stock['strengthTestGeometryUp'], stock['strengthTestGeometryDown']) + stock['strengthTestActivity'] = max(stock['strengthTestActivityUp'], stock['strengthTestActivityDown']) + stock['strengthTestTilt'] = max(stock['strengthTestTiltUp'], stock['strengthTestTiltDown']) + else: + # 如果标准化ä¸å¯ç”¨ï¼Œè®¾ç½®é»˜è®¤å€¼ + stock['priceUpNorm'] = 0 + stock['priceDownNorm'] = 0 + stock['convergenceNorm'] = 0 + stock['volumeNorm'] = 0 + stock['geometryNorm'] = 0 + stock['activityNorm'] = 0 + stock['tiltNorm'] = 0 + stock['strengthEqual'] = stock['strengthUp'] if stock['direction'] == 'up' else stock['strengthDown'] + stock['strengthAggressive'] = stock['strengthEqual'] + stock['strengthConservative'] = stock['strengthEqual'] + stock['strengthVolume'] = stock['strengthEqual'] + stock['strengthTestPrice'] = stock['strengthEqual'] + stock['strengthTestConvergence'] = stock['strengthEqual'] + stock['strengthTestVolume'] = stock['strengthEqual'] + stock['strengthTestGeometry'] = stock['strengthEqual'] + stock['strengthTestActivity'] = stock['strengthEqual'] + stock['strengthTestTilt'] = stock['strengthEqual'] + + stock['strength'] = max(stock['strengthUp'], stock['strengthDown']) + + # æ¸…ç†æ–‡ä»¶åä¸­çš„éžæ³•字符 + clean_name = stock['name'].replace('*', '').replace('?', '').replace('"', '').replace('<', '').replace('>', '').replace('|', '').replace(':', '').replace('/', '').replace('\\', '') + stock['chartPath'] = f"charts/{use_date}_{stock_code}_{clean_name}.png" + stock['chartPathDetail'] = f"charts/{use_date}_{stock_code}_{clean_name}_detail.png" + + if stock_code not in stocks_map or stocks_map[stock_code]['strength'] < stock['strength']: + stocks_map[stock_code] = stock + + except Exception as e: + print(f"处ç†è‚¡ç¥¨ {row.get('stock_code', 'unknown')} 时出错: {e}") + continue + # 如果是all_stocks模å¼ï¼Œæ·»åŠ æ‰€æœ‰è‚¡ç¥¨ if all_stocks_mode: all_codes, all_names = load_all_stocks_list(data_dir) @@ -106,11 +309,31 @@ def load_stock_data(csv_path: str, target_date: int = None, all_stocks_mode: boo 'touchesUpper': 0, 'touchesLower': 0, 'volumeConfirmed': '', - 'boundaryUtilization': 0.0, + 'activityScore': 0.0, + 'tiltScore': 0.0, 'date': use_date, 'chartPath': f"charts/{use_date}_{code}_{clean_name}.png", 'chartPathDetail': f"charts/{use_date}_{code}_{clean_name}_detail.png", - 'hasTriangle': False # æ ‡è®°ä¸ºæ— ä¸‰è§’å½¢å½¢æ€ + 'hasTriangle': False, + # 标准化字段 + 'priceUpNorm': 0.0, + 'priceDownNorm': 0.0, + 'convergenceNorm': 0.0, + 'volumeNorm': 0.0, + 'geometryNorm': 0.0, + 'activityNorm': 0.0, + 'tiltNorm': 0.0, + 'strengthEqual': 0.0, + 'strengthAggressive': 0.0, + 'strengthConservative': 0.0, + 'strengthVolume': 0.0, + # å•ç»´åº¦æµ‹è¯•æ¨¡å¼ + 'strengthTestPrice': 0.0, + 'strengthTestConvergence': 0.0, + 'strengthTestVolume': 0.0, + 'strengthTestGeometry': 0.0, + 'strengthTestActivity': 0.0, + 'strengthTestTilt': 0.0, } stocks = list(stocks_map.values()) @@ -1089,6 +1312,26 @@ def generate_html(stocks: list, date: int, output_path: str):
+ +
+ +
+
ç­‰æƒæ¨¡å¼
+
激进模å¼
+
ä¿å®ˆæ¨¡å¼
+
æ”¾é‡æ¨¡å¼
+
+ +
+
çªç ´ä¸»å¯¼
+
收敛主导
+
æˆäº¤é‡ä¸»å¯¼
+
å½¢æ€ä¸»å¯¼
+
活跃主导
+
倾斜主导
+
+
+
+ +
+
+ + â–¼ +
+ +
+
@@ -1193,9 +1473,16 @@ def generate_html(stocks: list, date: int, output_path: str): // 筛选和排åºçŠ¶æ€ let filters = { direction: 'all', // 'all', 'up', 'down', 'none' - volume: 'all' // 'all', 'true', 'false' + volume: 'all', // 'all', 'true', 'false' + priceNorm: 0, // çªç ´å¹…度阈值 + convergenceNorm: 0, // 收敛度阈值 + volumeNorm: 0, // æˆäº¤é‡é˜ˆå€¼ + geometryNorm: 0, // å½¢æ€è§„则度阈值 + activityNorm: 0, // 活跃度阈值 + tiltNorm: 0 // 倾斜度阈值 }; - let sortBy = 'strength'; // 'strength', 'widthRatio', 'touches' + let currentPresetMode = 'equal'; // 'equal', 'aggressive', 'conservative', 'volume' + let sortBy = 'current_mode'; // 'current_mode', 'strength', 'widthRatio', 'touches', etc. let sortOrder = 'desc'; // 'desc', 'asc' let searchQuery = ''; @@ -1264,6 +1551,32 @@ def generate_html(stocks: list, date: int, output_path: str): filterAndDisplayStocks(); }); + // 预设模å¼åˆ‡æ¢ï¼ˆä¸¤ç»„按钮互斥) + const presetModes = document.getElementById('presetModes'); + const presetModes2 = document.getElementById('presetModes2'); + + function handlePresetModeClick(e, currentGroup, otherGroup) { + if (e.target.classList.contains('filter-chip')) { + // å–æ¶ˆå½“å‰ç»„所有选中 + currentGroup.querySelectorAll('.filter-chip').forEach(chip => chip.classList.remove('active')); + // å–æ¶ˆå¦ä¸€ç»„所有选中 + otherGroup.querySelectorAll('.filter-chip').forEach(chip => chip.classList.remove('active')); + // 选中当å‰ç‚¹å‡»çš„ + e.target.classList.add('active'); + currentPresetMode = e.target.dataset.mode; + // åˆ‡æ¢æ¨¡å¼æ—¶åˆ·æ–°æ˜¾ç¤ºï¼ˆæŽ’åºä¼šæ ¹æ®current_mode自动使用新模å¼ï¼‰ + filterAndDisplayStocks(); + } + } + + presetModes.addEventListener('click', function(e) { + handlePresetModeClick(e, presetModes, presetModes2); + }); + + presetModes2.addEventListener('click', function(e) { + handlePresetModeClick(e, presetModes2, presetModes); + }); + // æ–¹å‘筛选芯片 const directionFilter = document.getElementById('directionFilter'); directionFilter.addEventListener('click', function(e) { @@ -1289,6 +1602,29 @@ def generate_html(stocks: list, date: int, output_path: str): // é‡ç½®æŒ‰é’® document.getElementById('resetBtn').addEventListener('click', resetFilters); + // é«˜çº§ç­›é€‰æ»‘å— + const advancedSliders = [ + { id: 'priceThreshold', valueId: 'priceThresholdValue', key: 'priceNorm' }, + { id: 'convergenceThreshold', valueId: 'convergenceThresholdValue', key: 'convergenceNorm' }, + { id: 'volumeThreshold', valueId: 'volumeThresholdValue', key: 'volumeNorm' }, + { id: 'geometryThreshold', valueId: 'geometryThresholdValue', key: 'geometryNorm' }, + { id: 'activityThreshold', valueId: 'activityThresholdValue', key: 'activityNorm' }, + { id: 'tiltThreshold', valueId: 'tiltThresholdValue', key: 'tiltNorm' } + ]; + + advancedSliders.forEach(slider => { + const element = document.getElementById(slider.id); + const valueDisplay = document.getElementById(slider.valueId); + if (element && valueDisplay) { + element.addEventListener('input', function() { + const value = parseFloat(this.value); + filters[slider.key] = value; + valueDisplay.textContent = value.toFixed(2); + filterAndDisplayStocks(); + }); + } + }); + // æ¨¡æ€æ¡† document.getElementById('imageModal').addEventListener('click', function(e) { if (e.target === this) closeModal(); @@ -1298,10 +1634,20 @@ def generate_html(stocks: list, date: int, output_path: str): function resetFilters() { // é‡ç½®æ‰€æœ‰ç­›é€‰å’ŒæŽ’åºçŠ¶æ€ currentThreshold = 0; - filters = { direction: 'all', volume: 'all' }; - sortBy = 'strength'; + filters = { + direction: 'all', + volume: 'all', + priceNorm: 0, + convergenceNorm: 0, + volumeNorm: 0, + geometryNorm: 0, + activityNorm: 0, + tiltNorm: 0 + }; + sortBy = 'current_mode'; sortOrder = 'desc'; searchQuery = ''; + currentPresetMode = 'equal'; // é‡ç½®é¢„设模å¼ä¸ºç­‰æƒ // é‡ç½®UI document.getElementById('strengthSlider').value = 0; @@ -1311,7 +1657,15 @@ def generate_html(stocks: list, date: int, output_path: str): document.getElementById('searchInput').value = ''; document.querySelector('.search-box').classList.remove('has-value'); - document.getElementById('sortSelect').value = 'strength'; + document.getElementById('sortSelect').value = 'current_mode'; + + // é‡ç½®é¢„è®¾æ¨¡å¼æŒ‰é’® + document.querySelectorAll('#presetModes .filter-chip').forEach((chip, i) => { + chip.classList.toggle('active', i === 0); // é€‰ä¸­ç¬¬ä¸€ä¸ªï¼ˆç­‰æƒæ¨¡å¼ï¼‰ + }); + document.querySelectorAll('#presetModes2 .filter-chip').forEach(chip => { + chip.classList.remove('active'); + }); const sortOrderBtn = document.getElementById('sortOrder'); sortOrderBtn.textContent = '↓'; sortOrderBtn.classList.add('active'); @@ -1325,9 +1679,35 @@ def generate_html(stocks: list, date: int, output_path: str): chip.classList.toggle('active', i === 0); }); filters.volume = 'all'; + + // é‡ç½®é«˜çº§ç­›é€‰æ»‘å— + const advancedSliders = ['priceThreshold', 'convergenceThreshold', 'volumeThreshold', + 'geometryThreshold', 'activityThreshold', 'tiltThreshold']; + const valueIds = ['priceThresholdValue', 'convergenceThresholdValue', 'volumeThresholdValue', + 'geometryThresholdValue', 'activityThresholdValue', 'tiltThresholdValue']; + advancedSliders.forEach((id, i) => { + const slider = document.getElementById(id); + const valueDisplay = document.getElementById(valueIds[i]); + if (slider && valueDisplay) { + slider.value = 0; + valueDisplay.textContent = '0.00'; + } + }); filterAndDisplayStocks(); } + + function toggleAdvancedFilters() { + const panel = document.getElementById('advancedFilters'); + const icon = document.getElementById('advancedToggleIcon'); + if (panel.style.display === 'none') { + panel.style.display = 'block'; + icon.style.transform = 'rotate(180deg)'; + } else { + panel.style.display = 'none'; + icon.style.transform = 'rotate(0deg)'; + } + } function filterAndDisplayStocks() { let result = [...allStocks]; @@ -1345,6 +1725,26 @@ def generate_html(stocks: list, date: int, output_path: str): const value = filters.volume === 'true'; result = result.filter(stock => stock.volumeConfirmed === (value ? 'True' : 'False')); } + + // 高级维度筛选 + if (filters.priceNorm > 0) { + result = result.filter(stock => (stock.priceUpNorm || 0) >= filters.priceNorm); + } + if (filters.convergenceNorm > 0) { + result = result.filter(stock => (stock.convergenceNorm || 0) >= filters.convergenceNorm); + } + if (filters.volumeNorm > 0) { + result = result.filter(stock => (stock.volumeNorm || 0) >= filters.volumeNorm); + } + if (filters.geometryNorm > 0) { + result = result.filter(stock => (stock.geometryNorm || 0) >= filters.geometryNorm); + } + if (filters.activityNorm > 0) { + result = result.filter(stock => (stock.activityNorm || 0) >= filters.activityNorm); + } + if (filters.tiltNorm > 0) { + result = result.filter(stock => (stock.tiltNorm || 0) >= filters.tiltNorm); + } // æœç´¢ if (searchQuery) { @@ -1355,10 +1755,28 @@ def generate_html(stocks: list, date: int, output_path: str): ); } - // æŽ’åº + // æŽ’åº - æ ¹æ®å½“剿¨¡å¼åЍæ€è޷喿ޒåºå­—段 + const modeToKeyMap = { + 'equal': 'strengthEqual', + 'aggressive': 'strengthAggressive', + 'conservative': 'strengthConservative', + 'volume': 'strengthVolume', + 'test_price': 'strengthTestPrice', + 'test_convergence': 'strengthTestConvergence', + 'test_volume': 'strengthTestVolume', + 'test_geometry': 'strengthTestGeometry', + 'test_activity': 'strengthTestActivity', + 'test_tilt': 'strengthTestTilt' + }; + result.sort((a, b) => { let aVal, bVal; - if (sortBy === 'strength') { + if (sortBy === 'current_mode') { + // æ ¹æ®å½“å‰é¢„设模å¼èŽ·å–对应的强度分字段 + const key = modeToKeyMap[currentPresetMode] || 'strengthEqual'; + aVal = a[key] || 0; + bVal = b[key] || 0; + } else if (sortBy === 'strength') { aVal = a.strength; bVal = b.strength; } else if (sortBy === 'widthRatio') { @@ -1367,6 +1785,15 @@ def generate_html(stocks: list, date: int, output_path: str): } else if (sortBy === 'touches') { aVal = a.touchesUpper + a.touchesLower; bVal = b.touchesUpper + b.touchesLower; + } else if (sortBy === 'convergenceNorm') { + aVal = a.convergenceNorm || 0; + bVal = b.convergenceNorm || 0; + } else if (sortBy === 'volumeNorm') { + aVal = a.volumeNorm || 0; + bVal = b.volumeNorm || 0; + } else { + aVal = a.strength; + bVal = b.strength; } return sortOrder === 'desc' ? bVal - aVal : aVal - bVal; }); @@ -1386,15 +1813,47 @@ def generate_html(stocks: list, date: int, output_path: str): grid.style.display = 'grid'; emptyState.style.display = 'none'; grid.innerHTML = stocks.map(stock => createStockCard(stock)).join(''); + + // 绘制所有雷达图 + setTimeout(() => { + document.querySelectorAll('.radar-canvas').forEach(canvas => { + const valuesStr = canvas.dataset.values; + if (valuesStr) { + const values = valuesStr.split(',').map(v => parseFloat(v) || 0); + drawMiniRadar(canvas, values); + } + }); + }, 0); } } function updateStats(filteredStocks) { document.getElementById('totalStocks').textContent = allStocks.length; document.getElementById('displayedStocks').textContent = filteredStocks.length; - const avgStrength = filteredStocks.length > 0 - ? filteredStocks.reduce((sum, s) => sum + s.strength, 0) / filteredStocks.length - : 0; + + // æ ¹æ®å½“剿¨¡å¼è®¡ç®—å¹³å‡å¼ºåº¦ + const modeKeyMap = { + 'equal': 'strengthEqual', + 'aggressive': 'strengthAggressive', + 'conservative': 'strengthConservative', + 'volume': 'strengthVolume', + 'test_price': 'strengthTestPrice', + 'test_convergence': 'strengthTestConvergence', + 'test_volume': 'strengthTestVolume', + 'test_geometry': 'strengthTestGeometry', + 'test_activity': 'strengthTestActivity', + 'test_tilt': 'strengthTestTilt' + }; + + let avgStrength = 0; + if (filteredStocks.length > 0) { + const key = modeKeyMap[currentPresetMode]; + if (key) { + avgStrength = filteredStocks.reduce((sum, s) => sum + (s[key] || 0), 0) / filteredStocks.length; + } else { + avgStrength = filteredStocks.reduce((sum, s) => sum + s.strength, 0) / filteredStocks.length; + } + } document.getElementById('avgStrength').textContent = avgStrength.toFixed(3); } @@ -1407,6 +1866,27 @@ def generate_html(stocks: list, date: int, output_path: str): stock.volumeConfirmed === 'False' ? '✗' : '—'; const chartPath = showDetailCharts ? stock.chartPathDetail : stock.chartPath; const fallbackPath = showDetailCharts ? stock.chartPath : stock.chartPathDetail; + + // æ ¹æ®å½“剿¨¡å¼é€‰æ‹©å¼ºåº¦åˆ† + let displayStrength = stock.strength; + let modeName = '原始'; + const modeMap = { + 'equal': { key: 'strengthEqual', name: 'ç­‰æƒ' }, + 'aggressive': { key: 'strengthAggressive', name: '激进' }, + 'conservative': { key: 'strengthConservative', name: 'ä¿å®ˆ' }, + 'volume': { key: 'strengthVolume', name: '放é‡' }, + 'test_price': { key: 'strengthTestPrice', name: 'çªç ´ä¸»å¯¼' }, + 'test_convergence': { key: 'strengthTestConvergence', name: '收敛主导' }, + 'test_volume': { key: 'strengthTestVolume', name: 'æˆäº¤é‡ä¸»å¯¼' }, + 'test_geometry': { key: 'strengthTestGeometry', name: 'å½¢æ€ä¸»å¯¼' }, + 'test_activity': { key: 'strengthTestActivity', name: '活跃主导' }, + 'test_tilt': { key: 'strengthTestTilt', name: '倾斜主导' } + }; + + if (modeMap[currentPresetMode]) { + displayStrength = stock[modeMap[currentPresetMode].key] || stock.strength; + modeName = modeMap[currentPresetMode].name; + } return `
@@ -1416,8 +1896,8 @@ def generate_html(stocks: list, date: int, output_path: str): ${stock.code}
-
${stock.strength.toFixed(3)}
-
强度分
+
${displayStrength.toFixed(3)}
+
${modeName}强度分
@@ -1447,6 +1927,27 @@ def generate_html(stocks: list, date: int, output_path: str): ${(stock.tiltScore || 0).toFixed(2)}
+ + +
+
+
标准化维度
+ +
+
+ ${createDimensionBar('çªç ´å¹…度', stock.priceUpNorm || 0, stock.direction === 'up')} + ${createDimensionBar('收敛度', stock.convergenceNorm || 0)} + ${createDimensionBar('æˆäº¤é‡', stock.volumeNorm || 0)} + ${createDimensionBar('å½¢æ€è§„则', stock.geometryNorm || 0)} + ${createDimensionBar('活跃度', stock.activityNorm || 0)} + ${createDimensionBar('倾斜度', stock.tiltNorm || 0)} +
+
+
${stock.name} `; } + + function createDimensionBar(label, value, highlight = false) { + const percentage = (value * 100).toFixed(0); + const color = highlight ? 'var(--accent-primary)' : 'var(--accent-secondary)'; + return ` +
+
+ ${label} + ${value.toFixed(2)} +
+
+
+
+
+ `; + } function handleImageError(img) { const fallbackSrc = img.dataset.fallbackSrc; @@ -1489,6 +2006,85 @@ def generate_html(stocks: list, date: int, output_path: str): function closeModal() { document.getElementById('imageModal').classList.remove('show'); } + + // 绘制迷你雷达图 + function drawMiniRadar(canvas, values) { + const ctx = canvas.getContext('2d'); + const centerX = canvas.width / 2; + const centerY = canvas.height / 2; + const radius = Math.min(centerX, centerY) - 10; + const angleStep = (Math.PI * 2) / 6; + + // 清空画布 + ctx.clearRect(0, 0, canvas.width, canvas.height); + + // 绘制背景网格 + ctx.strokeStyle = 'rgba(139, 146, 168, 0.2)'; + ctx.lineWidth = 1; + for (let i = 1; i <= 3; i++) { + ctx.beginPath(); + const r = radius * (i / 3); + for (let j = 0; j <= 6; j++) { + const angle = j * angleStep - Math.PI / 2; + const x = centerX + r * Math.cos(angle); + const y = centerY + r * Math.sin(angle); + if (j === 0) ctx.moveTo(x, y); + else ctx.lineTo(x, y); + } + ctx.closePath(); + ctx.stroke(); + } + + // 绘制轴线 + ctx.strokeStyle = 'rgba(139, 146, 168, 0.3)'; + for (let i = 0; i < 6; i++) { + const angle = i * angleStep - Math.PI / 2; + ctx.beginPath(); + ctx.moveTo(centerX, centerY); + ctx.lineTo( + centerX + radius * Math.cos(angle), + centerY + radius * Math.sin(angle) + ); + ctx.stroke(); + } + + // 绘制数æ®å¤šè¾¹å½¢ + ctx.fillStyle = 'rgba(0, 212, 170, 0.2)'; + ctx.strokeStyle = 'rgba(0, 212, 170, 0.8)'; + ctx.lineWidth = 2; + ctx.beginPath(); + for (let i = 0; i <= 6; i++) { + const angle = i * angleStep - Math.PI / 2; + const value = values[i % 6] || 0; + const r = radius * value; + const x = centerX + r * Math.cos(angle); + const y = centerY + r * Math.sin(angle); + if (i === 0) ctx.moveTo(x, y); + else ctx.lineTo(x, y); + } + ctx.closePath(); + ctx.fill(); + ctx.stroke(); + + // 绘制数æ®ç‚¹ + ctx.fillStyle = '#00d4aa'; + for (let i = 0; i < 6; i++) { + const angle = i * angleStep - Math.PI / 2; + const value = values[i] || 0; + const r = radius * value; + const x = centerX + r * Math.cos(angle); + const y = centerY + r * Math.sin(angle); + ctx.beginPath(); + ctx.arc(x, y, 3, 0, Math.PI * 2); + ctx.fill(); + } + } + + // 切æ¢é›·è¾¾å›¾/进度æ¡è§†å›¾ï¼ˆå¯é€‰åŠŸèƒ½ï¼Œæš‚ä¸å®žçŽ°ï¼‰ + function toggleRadarView(code) { + // å¯ä»¥å®žçŽ°ç‚¹å‡»é›·è¾¾å›¾æ”¾å¤§æŸ¥çœ‹ + console.log('Toggle radar view for:', code); + } document.addEventListener('keydown', function(e) { if (e.key === 'Escape') closeModal(); diff --git a/scripts/scoring/README.md b/scripts/scoring/README.md new file mode 100644 index 0000000..5e0ee78 --- /dev/null +++ b/scripts/scoring/README.md @@ -0,0 +1,352 @@ +# 强度分标准化系统 + +## 概述 + +é’ˆå¯¹æ”¶æ•›ä¸‰è§’å½¢å½¢æ€æ£€æµ‹çš„18,004个样本,本系统解决了**维度间ä¸å¯æ¯”性**问题,实现了: + +1. **分层标准化**:针对4ç§åˆ†å¸ƒç±»åž‹ï¼ˆé›¶è†¨èƒ€ã€ç‚¹è´¨é‡ã€æ­£å¸¸ã€ä½ŽåŒºåˆ†åº¦ï¼‰é‡‡ç”¨ä¸åŒæ ‡å‡†åŒ–ç­–ç•¥ +2. **çµæ´»é…ç½®**:å¯é…ç½®æƒé‡ã€é˜ˆå€¼ã€æ–¹å‘ã€ç­›é€‰æ¨¡å¼ +3. **预设模å¼**:等æƒã€æ¿€è¿›ã€ä¿å®ˆã€æ”¾é‡4ç§é¢„设é…ç½® +4. **æ•æ„Ÿæ€§åˆ†æž**:分æžå‚æ•°å˜åŒ–å¯¹ç­›é€‰ç»“æžœçš„å½±å“ + +## 核心问题 + +**标准化å‰**的分布问题: + +| 维度 | 䏭使•° | 分布类型 | 问题 | +|------|--------|----------|------| +| price_score_up | 0.0000 | 零膨胀 | 无法区分"未çªç ´"vs"å°å¹…çªç ´" | +| price_score_down | 0.0000 | 零膨胀 | åŒä¸Š | +| volume_score | 0.0000 | 零膨胀 | åŒä¸Š | +| tilt_score | 0.5000 | ç‚¹è´¨é‡ | 75%的值=0.5,缺ä¹åŒºåˆ†åº¦ | +| convergence_score | 0.8033 | 正常 | 值域å大,等æƒç›¸åŠ æ—¶"åƒæŽ‰"其他维度 | +| geometry_score | 0.0051 | 低区分度 | 值域æžå°ï¼Œç­‰æƒç›¸åŠ æ—¶è¢«"åƒæŽ‰" | +| activity_score | 0.0709 | 正常 | - | + +**标准化åŽ**ï¼šæ‰€æœ‰ç»´åº¦ä¸­ä½æ•°ç»Ÿä¸€ä¸º **0.5**,å¯ç›´æŽ¥ç­‰æƒç›¸åŠ ã€‚ + +## 文件结构 + +``` +scripts/ +├── scoring/ # æ ¸å¿ƒæ¨¡å— +│ ├── __init__.py # 模å—导出 +│ ├── normalizer.py # 标准化模å—(4ç§æ ‡å‡†åŒ–方法) +│ ├── config.py # é…置管ç†ï¼ˆé¢„设模å¼+自定义é…置) +│ └── sensitivity.py # æ•æ„Ÿæ€§åˆ†æž +│ +├── verify_normalization.py # éªŒè¯æ ‡å‡†åŒ–效果 +├── example_scoring_usage.py # 使用示例(5个示例) +│ +└── scoring/generate_sensitivity_report.py # 生æˆå®Œæ•´æ•感性报告 + +outputs/converging_triangles/ # 输出目录 +├── all_results.csv # åŽŸå§‹æ•°æ® +├── all_results_normalized.csv # æ ‡å‡†åŒ–åŽæ•°æ® +├── normalization_stats_comparison.csv # 统计对比 +├── normalization_comparison.png # 对比图表 +├── strength_comparison.png # 强度分对比 +├── sensitivity_threshold_price.csv # çªç ´å¹…åº¦é˜ˆå€¼æ•æ„Ÿæ€§ +├── sensitivity_threshold_convergence.csv # æ”¶æ•›åº¦é˜ˆå€¼æ•æ„Ÿæ€§ +├── sensitivity_threshold_volume.csv # æˆäº¤é‡é˜ˆå€¼æ•感性 +├── sensitivity_weight_price.csv # çªç ´å¹…度æƒé‡æ•感性 +└── sensitivity_analysis_report.md # æ•æ„Ÿæ€§åˆ†æžæŠ¥å‘Š +``` + +## 快速开始 + +### 1. æ ‡å‡†åŒ–åŽŸå§‹æ•°æ® + +```python +from scoring import normalize_all +import pandas as pd + +# åŠ è½½åŽŸå§‹æ•°æ® +df = pd.read_csv('outputs/converging_triangles/all_results.csv') +df = df[df['is_valid'] == True] + +# 标准化 +df_norm = normalize_all(df) + +# 现在df_norm包å«ï¼š +# - 原始字段:price_score_up, convergence_score, ... +# - 标准化字段:price_score_up_norm, convergence_score_norm, ... +``` + +### 2. 使用预设é…ç½®ç­›é€‰ä¿¡å· + +```python +from scoring import CONFIG_EQUAL, CONFIG_AGGRESSIVE, filter_signals + +# ç­‰æƒæ¨¡å¼ +signals_equal = filter_signals(df_norm, CONFIG_EQUAL, return_strength=True) +print(f"ç­‰æƒæ¨¡å¼: {len(signals_equal)} 个信å·") + +# 激进模å¼ï¼ˆé‡è§†çªç ´35% + æˆäº¤é‡25%) +signals_aggr = filter_signals(df_norm, CONFIG_AGGRESSIVE, return_strength=True) +print(f"激进模å¼: {len(signals_aggr)} 个信å·") + +# 查看Top 10 +top10 = signals_aggr.nlargest(10, 'strength') +``` + +### 3. 自定义é…ç½® + +```python +from scoring import StrengthConfig, filter_signals + +# 创建自定义é…ç½® +my_config = StrengthConfig( + name="我的é…ç½®", + w_price=0.40, # çªç ´æƒé‡40% + w_volume=0.30, # æˆäº¤é‡æƒé‡30% + w_convergence=0.15, + w_geometry=0.05, + w_activity=0.05, + w_tilt=0.05, + threshold_price=0.65, # çªç ´é˜ˆå€¼ + threshold_volume=0.70, # æˆäº¤é‡é˜ˆå€¼ï¼ˆ>0.5æ‰å¯ç”¨ï¼‰ + direction='up', # åªçœ‹å‘上çªç ´ +) + +# 筛选 +signals = filter_signals(df_norm, my_config, return_strength=True) +``` + +### 4. 获å–Top Nä¿¡å· + +```python +from scoring import filter_top_n, CONFIG_EQUAL + +# 获å–强度分Top 50çš„ä¿¡å· +top50 = filter_top_n(df_norm, CONFIG_EQUAL, n=50) + +# Top 50包å«strength列,已按强度é™åºæŽ’列 +``` + +## 标准化方法详解 + +### 1. 零膨胀分布标准化 (normalize_zero_inflated) + +**适用于**:price_score_up, price_score_down, volume_score + +**ç­–ç•¥**: +- 零值(未å‘生) → 0.5(中性基准) +- éžé›¶å€¼ï¼ˆå·²å‘生) → [0.5, 1.0] åŒºé—´æŒ‰æŽ’åæ˜ å°„ + +**原ç†**:ä¿ç•™"é›¶vséžé›¶"çš„è´¨çš„å·®å¼‚ï¼ŒåŒæ—¶åœ¨éžé›¶å†…éƒ¨ä¿æŒé‡çš„差异。 + +### 2. 点质é‡åˆ†å¸ƒæ ‡å‡†åŒ– (normalize_point_mass) + +**适用于**:tilt_score + +**ç­–ç•¥**: +- 中心值(0.5)附近 → ä¿æŒ0.5 +- æ­£å离(>0.5) → 拉伸到 [0.5, 1.0] +- è´Ÿå离(<0.5) → 拉伸到 [0.0, 0.5] + +**原ç†**:75%的值æ°å¥½=0.5ï¼ˆå¯¹ç§°ä¸‰è§’å½¢ï¼‰ï¼Œå¯¹è¿™äº›ä¿æŒä¸å˜ï¼›å‰©ä½™25%按å离程度拉伸。 + +### 3. æ ‡å‡†åˆ†ä½æ•°æ ‡å‡†åŒ– (normalize_standard) + +**适用于**:convergence_score, activity_score + +**ç­–ç•¥**:直接转æ¢ä¸ºç™¾åˆ†ä½æŽ’å [0, 1] + +**原ç†**:分布相对正常,直接排åå³å¯ã€‚ + +### 4. 低区分度标准化 (normalize_low_variance) + +**适用于**:geometry_score + +**ç­–ç•¥**: +1. å¯¹æ•°å˜æ¢æ‰©å¤§å°å€¼åŒºé—´çš„区分度 +2. åˆ†ä½æ•°æ ‡å‡†åŒ– + +**原ç†**ï¼šå€¼æ™®éæžä½Žï¼ˆä¸­ä½æ•°0.005),log1på˜æ¢å¯æ‹‰å¼€å°å€¼é—´çš„å·®è·ã€‚ + +## 预设é…ç½® + +### CONFIG_EQUAL - ç­‰æƒæ¨¡å¼ + +```python +å„维度æƒé‡: 1/6 (约16.7%) +阈值: price≥0.60, convergence≥0.50, volume≥0.50 +适用: 探索性分æžï¼Œä¸ç¡®å®šå“ªä¸ªç»´åº¦æ›´é‡è¦æ—¶ +``` + +### CONFIG_AGGRESSIVE - æ¿€è¿›æ¨¡å¼ + +```python +æƒé‡: çªç ´35%, æˆäº¤é‡25%, æ”¶æ•›15%, å…¶ä»–5-10% +阈值: price≥0.55, volume≥0.60 +适用: 趋势行情,追求çªç ´åŠ›åº¦å’Œæ”¾é‡ç¡®è®¤ +``` + +### CONFIG_CONSERVATIVE - ä¿å®ˆæ¨¡å¼ + +```python +æƒé‡: 收敛度30%, 活跃度25%, çªç ´15%, å…¶ä»–5-15% +阈值: price≥0.70, convergence≥0.65, activity≥0.50 +适用: 震è¡å¸‚,é‡è§†å½¢æ€è´¨é‡å’Œæ´»è·ƒåº¦ +``` + +### CONFIG_VOLUME_FOCUS - æ”¾é‡æ¨¡å¼ + +```python +æƒé‡: æˆäº¤é‡35%, çªç ´25%, æ”¶æ•›15%, å…¶ä»–5-10% +阈值: volume≥0.70, price≥0.60 +适用: æ•èŽ·ä¸»åŠ›å¼‚åŠ¨ï¼Œå¿…é¡»æ˜Žæ˜¾æ”¾é‡ +``` + +## æ•æ„Ÿæ€§åˆ†æž + +### å¿«é€Ÿåˆ†æž + +```bash +python scripts/scoring/sensitivity.py +``` + +输出示例: + +``` +threshold_price | ä¿¡å·æ•° | å æ¯” | å¹³å‡å¼ºåº¦ +------------------------------------------------ + 0.50 | 2304 | 12.8% | 0.6292 + 0.60 | 308 | 1.7% | 0.6897 + 0.70 | 244 | 1.4% | 0.7033 + 0.80 | 180 | 1.0% | 0.7158 +``` + +### å®Œæ•´åˆ†æžæŠ¥å‘Š + +```bash +python scripts/scoring/generate_sensitivity_report.py +``` + +生æˆï¼š +- sensitivity_threshold_price.csv(åŠPNG图表) +- sensitivity_threshold_convergence.csv +- sensitivity_threshold_volume.csv +- sensitivity_weight_price.csv +- sensitivity_analysis_report.md(汇总报告) + +## 阈值设置建议 + +æ ¹æ®æ•感性分æžï¼ŒæŽ¨è: + +| 筛选强度 | threshold_price | é¢„æœŸä¿¡å·æ•° | å æ¯” | +|----------|-----------------|-----------|------| +| å®½æ¾ | 0.50-0.55 | 2000-350 | 11-2% | +| 适中 | 0.60-0.65 | 300-280 | 1.7-1.5% | +| 严格 | 0.70-0.75 | 240-210 | 1.4-1.2% | +| æžä¸¥æ ¼ | 0.80+ | <180 | <1.0% | + +**æˆäº¤é‡é˜ˆå€¼**: +- ≤ 0.5:ä¸ç­›é€‰æˆäº¤é‡ï¼ˆé€‚åˆéœ‡è¡å¸‚) +- 0.60-0.70:适度放é‡è¦æ±‚ +- ≥ 0.75:高放é‡è¦æ±‚(å¯èƒ½è¿‡äºŽä¸¥æ ¼ï¼‰ + +## 使用示例 + +查看 `scripts/example_scoring_usage.py`,包å«5个示例: + +1. 基础标准化 +2. 使用预设é…ç½®ç­›é€‰ä¿¡å· +3. 自定义é…ç½® +4. 获å–Top Nä¿¡å· +5. 对比ä¸åŒé…置的结果 + +è¿è¡Œï¼š + +```bash +python scripts/example_scoring_usage.py +``` + +## éªŒè¯æ ‡å‡†åŒ–效果 + +```bash +python scripts/verify_normalization.py +``` + +输出: +- 标准化å‰åŽç»Ÿè®¡å¯¹æ¯”表 +- 7个维度的分布对比图 +- 强度分对比图 +- all_results_normalized.csvï¼ˆæ ‡å‡†åŒ–åŽæ•°æ®ï¼‰ + +## APIå‚考 + +### æ ‡å‡†åŒ–æ¨¡å— (normalizer.py) + +```python +normalize_all(df: pd.DataFrame) -> pd.DataFrame + 对all_results.csv中的7个得分字段进行分层标准化 + +calculate_strength_equal_weight(df_normalized, direction='up') -> pd.Series + 计算等æƒå¼ºåº¦åˆ† +``` + +### é…ç½®æ¨¡å— (config.py) + +```python +class StrengthConfig: + # 创建é…置对象 + config = StrengthConfig(w_price=0.4, threshold_price=0.65, ...) + + # 验è¯é…ç½® + config.validate() + + # æ‰“å°æ‘˜è¦ + print(config.summary()) + +calculate_strength(df_normalized, config) -> pd.Series + æ ¹æ®é…置计算综åˆå¼ºåº¦åˆ† + +filter_signals(df_normalized, config, return_strength=False) -> pd.DataFrame + æ ¹æ®é…ç½®ç­›é€‰ä¿¡å· + +filter_top_n(df_normalized, config, n=100) -> pd.DataFrame + 筛选强度分Top Nçš„ä¿¡å· +``` + +### æ•æ„Ÿæ€§åˆ†æž (sensitivity.py) + +```python +analyze_threshold_sensitivity(df, config, param_name, param_range) -> pd.DataFrame + 分æžé˜ˆå€¼å‚æ•°çš„æ•æ„Ÿæ€§ + +analyze_weight_sensitivity(df, config, weight_name, weight_range) -> pd.DataFrame + åˆ†æžæƒé‡å‚æ•°çš„æ•æ„Ÿæ€§ + +generate_full_sensitivity_report(df, config, output_dir) + 生æˆå®Œæ•´çš„æ•æ„Ÿæ€§åˆ†æžæŠ¥å‘Š +``` + +## åŽç»­ä¼˜åŒ–æ–¹å‘ + +1. **åŠ¨æ€æƒé‡**:根æ®å¸‚场环境自动调整æƒé‡ï¼ˆç‰›å¸‚ vs 震è¡å¸‚) +2. **多因å­èžåˆ**:结åˆå…¶ä»–技术指标(RSIã€MACD等) +3. **回测验è¯**ï¼šåŸºäºŽåŽ†å²æ•°æ®å›žæµ‹å„é…置的收益表现 +4. **实时监控**:实时计算强度分并推é€é«˜åˆ†ä¿¡å· +5. **å¯è§†åŒ–界é¢**:交互å¼è°ƒæ•´å‚数并实时预览结果 + +## 注æ„事项 + +1. **阈值 > 0.5 æ‰å¯ç”¨ç­›é€‰**:volume_score_norm, geometry_score_norm 的阈值 ≤ 0.5 表示ä¸ç­›é€‰ +2. **æƒé‡å’Œå¿…须为1**:自定义é…ç½®æ—¶ç¡®ä¿æ‰€æœ‰æƒé‡ä¹‹å’Œ=1.0 +3. **标准化åŽçš„值域**:所有*_norm字段的范围都是[0, 1] +4. **原始字段ä¿ç•™**:标准化ä¸ä¿®æ”¹åŽŸå§‹å­—æ®µï¼Œæ–°å¢ž*_normåŽç¼€å­—段 + +## 问题å馈 + +如有问题,请查看: +1. `outputs/converging_triangles/sensitivity_analysis_report.md` +2. `outputs/converging_triangles/normalization_comparison.png` +3. è¿è¡Œ `python scripts/example_scoring_usage.py` 查看示例 + +--- + +**版本**: 1.0 +**更新日期**: 2026-01-29 +**作者**: AI Assistant diff --git a/scripts/scoring/__init__.py b/scripts/scoring/__init__.py new file mode 100644 index 0000000..8b66ce1 --- /dev/null +++ b/scripts/scoring/__init__.py @@ -0,0 +1,68 @@ +""" +强度分标准化与é…ç½®æ¨¡å— + +æœ¬æ¨¡å—æä¾›ï¼š +1. åˆ†å±‚æ ‡å‡†åŒ–å¤„ç† (normalizer) +2. é…ç½®ç®¡ç† (config) +3. æ•æ„Ÿæ€§åˆ†æž (sensitivity) +""" + +from .normalizer import ( + normalize_zero_inflated, + normalize_point_mass, + normalize_standard, + normalize_low_variance, + normalize_all, + calculate_strength_equal_weight, +) + +# config 模å—会在 P2 实现åŽå¯¼å…¥ +try: + from .config import ( + StrengthConfig, + CONFIG_EQUAL, + CONFIG_AGGRESSIVE, + CONFIG_CONSERVATIVE, + CONFIG_VOLUME_FOCUS, + # å•ç»´åº¦æµ‹è¯•æ¨¡å¼ + CONFIG_TEST_PRICE, + CONFIG_TEST_CONVERGENCE, + CONFIG_TEST_VOLUME, + CONFIG_TEST_GEOMETRY, + CONFIG_TEST_ACTIVITY, + CONFIG_TEST_TILT, + filter_signals, + calculate_strength, + filter_top_n, + ) + _has_config = True +except ImportError: + _has_config = False + +__all__ = [ + 'normalize_zero_inflated', + 'normalize_point_mass', + 'normalize_standard', + 'normalize_low_variance', + 'normalize_all', + 'calculate_strength_equal_weight', +] + +if _has_config: + __all__.extend([ + 'StrengthConfig', + 'CONFIG_EQUAL', + 'CONFIG_AGGRESSIVE', + 'CONFIG_CONSERVATIVE', + 'CONFIG_VOLUME_FOCUS', + # å•ç»´åº¦æµ‹è¯•æ¨¡å¼ + 'CONFIG_TEST_PRICE', + 'CONFIG_TEST_CONVERGENCE', + 'CONFIG_TEST_VOLUME', + 'CONFIG_TEST_GEOMETRY', + 'CONFIG_TEST_ACTIVITY', + 'CONFIG_TEST_TILT', + 'filter_signals', + 'calculate_strength', + 'filter_top_n', + ]) diff --git a/scripts/scoring/config.py b/scripts/scoring/config.py new file mode 100644 index 0000000..ac30768 --- /dev/null +++ b/scripts/scoring/config.py @@ -0,0 +1,470 @@ +""" +强度分é…ç½®ç®¡ç†æ¨¡å— + +æä¾›å¯é…置的æƒé‡ã€é˜ˆå€¼å’Œé¢„设模å¼ï¼Œæ”¯æŒï¼š +1. ç­‰æƒæ¨¡å¼ï¼ˆé»˜è®¤ï¼‰ +2. 激进模å¼ï¼ˆé‡è§†çªç ´å’Œæˆäº¤é‡ï¼‰ +3. ä¿å®ˆæ¨¡å¼ï¼ˆé‡è§†å½¢æ€è´¨é‡ï¼‰ +4. æ”¾é‡æ¨¡å¼ï¼ˆé‡è§†æˆäº¤é‡ç¡®è®¤ï¼‰ +""" + +from dataclasses import dataclass, field +from typing import Literal, Optional +import pandas as pd + + +@dataclass +class StrengthConfig: + """ + 强度分é…置类 + + 属性: + w_price: çªç ´å¹…度分æƒé‡ + w_convergence: 收敛度分æƒé‡ + w_volume: æˆäº¤é‡åˆ†æƒé‡ + w_geometry: å½¢æ€è§„则度æƒé‡ + w_activity: 价格活跃度æƒé‡ + w_tilt: 倾斜度分æƒé‡ + + threshold_price: çªç ´å¹…度分阈值(标准化åŽï¼‰ + threshold_convergence: 收敛度分阈值 + threshold_volume: æˆäº¤é‡åˆ†é˜ˆå€¼ + threshold_geometry: å½¢æ€è§„则度阈值 + threshold_activity: 价格活跃度阈值 + + direction: çªç ´æ–¹å‘ ('up', 'down', 'both') + filter_mode: ç­›é€‰æ¨¡å¼ ('and', 'or') + """ + + # æƒé‡é…置(默认等æƒï¼‰ + w_price: float = 1/6 + w_convergence: float = 1/6 + w_volume: float = 1/6 + w_geometry: float = 1/6 + w_activity: float = 1/6 + w_tilt: float = 1/6 + + # 阈值é…置(标准化åŽçš„值,范围[0, 1]) + threshold_price: float = 0.60 # çªç ´å¹…度阈值 + threshold_convergence: float = 0.50 # 收敛度阈值(中性) + threshold_volume: float = 0.50 # æˆäº¤é‡é˜ˆå€¼ï¼ˆä¸­æ€§=ä¸ç­›é€‰ï¼‰ + threshold_geometry: float = 0.50 # å½¢æ€è§„则度阈值(中性) + threshold_activity: float = 0.30 # 价格活跃度阈值 + + # æ–¹å‘ä¸Žæ¨¡å¼ + direction: Literal['up', 'down', 'both'] = 'up' + filter_mode: Literal['and', 'or'] = 'and' + + # é…ç½®å称(用于显示) + name: str = "自定义é…ç½®" + + def validate(self) -> bool: + """验è¯é…置的有效性""" + # 检查æƒé‡å’Œæ˜¯å¦ä¸º1 + total_weight = (self.w_price + self.w_convergence + self.w_volume + + self.w_geometry + self.w_activity + self.w_tilt) + + if abs(total_weight - 1.0) > 0.001: + raise ValueError(f"æƒé‡å’Œå¿…须为1.0,当å‰ä¸º{total_weight:.6f}") + + # 检查æƒé‡èŒƒå›´ + for name, weight in [ + ('price', self.w_price), ('convergence', self.w_convergence), + ('volume', self.w_volume), ('geometry', self.w_geometry), + ('activity', self.w_activity), ('tilt', self.w_tilt) + ]: + if not 0 <= weight <= 1: + raise ValueError(f"{name}æƒé‡{weight}超出[0, 1]范围") + + # 检查阈值范围 + for name, threshold in [ + ('price', self.threshold_price), ('convergence', self.threshold_convergence), + ('volume', self.threshold_volume), ('geometry', self.threshold_geometry), + ('activity', self.threshold_activity) + ]: + if not 0 <= threshold <= 1: + raise ValueError(f"{name}阈值{threshold}超出[0, 1]范围") + + return True + + def summary(self) -> str: + """返回é…置摘è¦""" + lines = [ + f"é…ç½®åç§°: {self.name}", + f"\næƒé‡åˆ†é…:", + f" çªç ´å¹…度分: {self.w_price:.2%}", + f" 收敛度分: {self.w_convergence:.2%}", + f" æˆäº¤é‡åˆ†: {self.w_volume:.2%}", + f" å½¢æ€è§„则度: {self.w_geometry:.2%}", + f" 价格活跃度: {self.w_activity:.2%}", + f" 倾斜度分: {self.w_tilt:.2%}", + f"\n筛选阈值:", + f" çªç ´å¹…度分: ≥{self.threshold_price:.2f}", + f" 收敛度分: ≥{self.threshold_convergence:.2f}", + f" æˆäº¤é‡åˆ†: ≥{self.threshold_volume:.2f}", + f" 价格活跃度: ≥{self.threshold_activity:.2f}", + f"\nå…¶ä»–:", + f" æ–¹å‘: {self.direction}", + f" 筛选模å¼: {self.filter_mode}", + ] + return '\n'.join(lines) + + +# ============================================================================ +# 预设é…ç½® +# ============================================================================ + +# ç­‰æƒæ¨¡å¼ï¼ˆé»˜è®¤ï¼‰ +CONFIG_EQUAL = StrengthConfig( + name="ç­‰æƒæ¨¡å¼", + w_price=1/6, + w_convergence=1/6, + w_volume=1/6, + w_geometry=1/6, + w_activity=1/6, + w_tilt=1/6, + threshold_price=0.60, + threshold_convergence=0.50, + threshold_volume=0.50, +) + +# 激进模å¼ï¼ˆé‡è§†çªç ´å’Œæˆäº¤é‡ï¼Œé€‚åˆè¶‹åŠ¿è¡Œæƒ…ï¼‰ +CONFIG_AGGRESSIVE = StrengthConfig( + name="激进模å¼", + w_price=0.35, # çªç ´æœ€é‡è¦ + w_volume=0.25, # æˆäº¤é‡ç¡®è®¤ + w_convergence=0.15, # 收敛度 + w_geometry=0.10, # å½¢æ€ + w_activity=0.10, # 活跃度 + w_tilt=0.05, # 倾斜度 + threshold_price=0.55, # 较低阈值,æ•èŽ·æ›´å¤šä¿¡å· + threshold_volume=0.60, # è¦æ±‚ä¸€å®šæ”¾é‡ + direction='up', +) + +# ä¿å®ˆæ¨¡å¼ï¼ˆé‡è§†å½¢æ€è´¨é‡ï¼Œé€‚åˆéœ‡è¡å¸‚) +CONFIG_CONSERVATIVE = StrengthConfig( + name="ä¿å®ˆæ¨¡å¼", + w_price=0.15, # çªç ´ä¸æ˜¯æœ€é‡è¦ + w_convergence=0.30, # 收敛度最é‡è¦ + w_volume=0.10, # æˆäº¤é‡ + w_geometry=0.15, # å½¢æ€è´¨é‡ + w_activity=0.25, # 价格活跃度é‡è¦ + w_tilt=0.05, # 倾斜度 + threshold_price=0.70, # è¾ƒé«˜é˜ˆå€¼ï¼Œç­›é€‰å¼ºä¿¡å· + threshold_convergence=0.65, # è¦æ±‚é«˜è´¨é‡æ”¶æ•› + threshold_activity=0.50, # è¦æ±‚活跃度正常 +) + +# æ”¾é‡æ¨¡å¼ï¼ˆé‡è§†æˆäº¤é‡ç¡®è®¤ï¼Œæ•获主力异动) +CONFIG_VOLUME_FOCUS = StrengthConfig( + name="æ”¾é‡æ¨¡å¼", + w_price=0.25, # çªç ´ + w_volume=0.35, # æˆäº¤é‡æœ€é‡è¦ + w_convergence=0.15, # 收敛度 + w_geometry=0.10, # å½¢æ€ + w_activity=0.10, # 活跃度 + w_tilt=0.05, # 倾斜度 + threshold_price=0.60, # 中等çªç ´è¦æ±‚ + threshold_volume=0.70, # 高放é‡è¦æ±‚ + threshold_convergence=0.50, +) + + +# ============================================================================ +# å•维度测试模å¼ï¼ˆæ¯ä¸ªç»´åº¦50%,其余å„10%) +# ============================================================================ + +# çªç ´å¹…度主导 +CONFIG_TEST_PRICE = StrengthConfig( + name="çªç ´ä¸»å¯¼", + w_price=0.50, # 主导维度 + w_convergence=0.10, + w_volume=0.10, + w_geometry=0.10, + w_activity=0.10, + w_tilt=0.10, +) + +# 收敛度主导 +CONFIG_TEST_CONVERGENCE = StrengthConfig( + name="收敛主导", + w_price=0.10, + w_convergence=0.50, # 主导维度 + w_volume=0.10, + w_geometry=0.10, + w_activity=0.10, + w_tilt=0.10, +) + +# æˆäº¤é‡ä¸»å¯¼ +CONFIG_TEST_VOLUME = StrengthConfig( + name="æˆäº¤é‡ä¸»å¯¼", + w_price=0.10, + w_convergence=0.10, + w_volume=0.50, # 主导维度 + w_geometry=0.10, + w_activity=0.10, + w_tilt=0.10, +) + +# å½¢æ€è§„则主导 +CONFIG_TEST_GEOMETRY = StrengthConfig( + name="å½¢æ€ä¸»å¯¼", + w_price=0.10, + w_convergence=0.10, + w_volume=0.10, + w_geometry=0.50, # 主导维度 + w_activity=0.10, + w_tilt=0.10, +) + +# 活跃度主导 +CONFIG_TEST_ACTIVITY = StrengthConfig( + name="活跃主导", + w_price=0.10, + w_convergence=0.10, + w_volume=0.10, + w_geometry=0.10, + w_activity=0.50, # 主导维度 + w_tilt=0.10, +) + +# 倾斜度主导 +CONFIG_TEST_TILT = StrengthConfig( + name="倾斜主导", + w_price=0.10, + w_convergence=0.10, + w_volume=0.10, + w_geometry=0.10, + w_activity=0.10, + w_tilt=0.50, # 主导维度 +) + + +# ============================================================================ +# 筛选和计算函数 +# ============================================================================ + +def calculate_strength( + df_normalized: pd.DataFrame, + config: StrengthConfig +) -> pd.Series: + """ + æ ¹æ®é…置计算综åˆå¼ºåº¦åˆ† + + Args: + df_normalized: 标准化åŽçš„DataFrame(需包å«*_norm字段) + config: é…置对象 + + Returns: + 综åˆå¼ºåº¦åˆ†åºåˆ— + """ + config.validate() + + # é€‰æ‹©æ–¹å‘ + if config.direction == 'up': + price_col = 'price_score_up_norm' + elif config.direction == 'down': + price_col = 'price_score_down_norm' + else: # 'both' + # å–å‘上和å‘下的最大值 + price_col = None + price_scores = df_normalized[['price_score_up_norm', 'price_score_down_norm']].max(axis=1) + + # 加æƒè®¡ç®— + if price_col: + strength = ( + config.w_price * df_normalized[price_col] + + config.w_convergence * df_normalized['convergence_score_norm'] + + config.w_volume * df_normalized['volume_score_norm'] + + config.w_geometry * df_normalized['geometry_score_norm'] + + config.w_activity * df_normalized['activity_score_norm'] + + config.w_tilt * df_normalized['tilt_score_norm'] + ) + else: + strength = ( + config.w_price * price_scores + + config.w_convergence * df_normalized['convergence_score_norm'] + + config.w_volume * df_normalized['volume_score_norm'] + + config.w_geometry * df_normalized['geometry_score_norm'] + + config.w_activity * df_normalized['activity_score_norm'] + + config.w_tilt * df_normalized['tilt_score_norm'] + ) + + return strength + + +def filter_signals( + df_normalized: pd.DataFrame, + config: StrengthConfig, + return_strength: bool = False +) -> pd.DataFrame: + """ + æ ¹æ®é…ç½®ç­›é€‰ä¿¡å· + + Args: + df_normalized: 标准化åŽçš„DataFrame + config: é…置对象 + return_strength: 是å¦åœ¨ç»“果中添加强度分列 + + Returns: + 筛选åŽçš„DataFrame + """ + config.validate() + + # 构建筛选æ¡ä»¶ + conditions = [] + + # 1. çªç ´å¹…度æ¡ä»¶ + if config.direction in ['up', 'both']: + conditions.append( + df_normalized['price_score_up_norm'] >= config.threshold_price + ) + if config.direction in ['down', 'both']: + conditions.append( + df_normalized['price_score_down_norm'] >= config.threshold_price + ) + + # 2. 收敛度æ¡ä»¶ + if config.threshold_convergence > 0: + conditions.append( + df_normalized['convergence_score_norm'] >= config.threshold_convergence + ) + + # 3. æˆäº¤é‡æ¡ä»¶ï¼ˆåªæœ‰é˜ˆå€¼>0.5æ—¶æ‰å¯ç”¨ï¼Œå¦åˆ™æ˜¯æ”¾æ¾æ¡ä»¶ï¼‰ + if config.threshold_volume > 0.5: + conditions.append( + df_normalized['volume_score_norm'] >= config.threshold_volume + ) + + # 4. å½¢æ€è§„则度æ¡ä»¶ + if config.threshold_geometry > 0: + conditions.append( + df_normalized['geometry_score_norm'] >= config.threshold_geometry + ) + + # 5. 价格活跃度æ¡ä»¶ + if config.threshold_activity > 0: + conditions.append( + df_normalized['activity_score_norm'] >= config.threshold_activity + ) + + # ç»„åˆæ¡ä»¶ + if len(conditions) == 0: + # 没有任何筛选æ¡ä»¶ï¼Œè¿”回全部 + result = df_normalized + elif config.filter_mode == 'and': + # AND: 所有æ¡ä»¶éƒ½æ»¡è¶³ + final_condition = conditions[0] + for cond in conditions[1:]: + final_condition = final_condition & cond + result = df_normalized[final_condition] + else: # 'or' + # OR: 任一æ¡ä»¶æ»¡è¶³ + final_condition = conditions[0] + for cond in conditions[1:]: + final_condition = final_condition | cond + result = df_normalized[final_condition] + + # 添加强度分 + if return_strength: + result = result.copy() + result['strength'] = calculate_strength(result, config) + result = result.sort_values('strength', ascending=False) + + return result + + +def filter_top_n( + df_normalized: pd.DataFrame, + config: StrengthConfig, + n: int = 100 +) -> pd.DataFrame: + """ + 筛选强度分Top Nçš„ä¿¡å· + + Args: + df_normalized: 标准化åŽçš„DataFrame + config: é…置对象 + n: 返回å‰Nä¸ªä¿¡å· + + Returns: + Top Nçš„DataFrame,包å«strength列 + """ + # 计算强度分 + df_with_strength = df_normalized.copy() + df_with_strength['strength'] = calculate_strength(df_normalized, config) + + # 排åºå¹¶å–Top N + result = df_with_strength.nlargest(n, 'strength') + + return result + + +# ============================================================================ +# 使用示例 +# ============================================================================ + +if __name__ == "__main__": + import sys + import os + + # 添加路径 + script_dir = os.path.dirname(__file__) + sys.path.insert(0, script_dir) + + from normalizer import normalize_all + + # åŠ è½½æ•°æ® + data_path = os.path.join( + os.path.dirname(__file__), + "..", "..", "outputs", "converging_triangles", "all_results_normalized.csv" + ) + + if os.path.exists(data_path): + print("=" * 80) + print("强度分é…ç½®æ¨¡å—æµ‹è¯•") + print("=" * 80) + + df = pd.read_csv(data_path) + print(f"\n加载数æ®: {len(df)} æ¡è®°å½•") + + # 测试å„ç§é…ç½® + configs = [ + CONFIG_EQUAL, + CONFIG_AGGRESSIVE, + CONFIG_CONSERVATIVE, + CONFIG_VOLUME_FOCUS, + ] + + print("\n" + "=" * 80) + print("å„é…置筛选结果对比") + print("=" * 80) + + for config in configs: + filtered = filter_signals(df, config, return_strength=False) + print(f"\n{config.name}:") + print(f" ä¿¡å·æ•°é‡: {len(filtered)} ({len(filtered)/len(df)*100:.1f}%)") + print(f" æƒé‡: P{config.w_price:.0%}/C{config.w_convergence:.0%}/V{config.w_volume:.0%}") + print(f" 阈值: price≥{config.threshold_price:.2f}, vol≥{config.threshold_volume:.2f}") + + # 测试Top N + print("\n" + "=" * 80) + print("Top 10 ä¿¡å·ï¼ˆç­‰æƒæ¨¡å¼ï¼‰") + print("=" * 80) + + top10 = filter_top_n(df, CONFIG_EQUAL, n=10) + print("\nstock_code | date | strength | price_up | convergence | volume") + print("-" * 80) + for _, row in top10.iterrows(): + print(f"{row['stock_code']:10s} | {int(row['date'])} | " + f"{row['strength']:.4f} | " + f"{row['price_score_up_norm']:.4f} | " + f"{row['convergence_score_norm']:.4f} | " + f"{row['volume_score_norm']:.4f}") + + print("\n测试通过!") + else: + print(f"æ•°æ®æ–‡ä»¶ä¸å­˜åœ¨: {data_path}") + print("请先è¿è¡Œ verify_normalization.py ç”Ÿæˆæ ‡å‡†åŒ–æ•°æ®") diff --git a/scripts/scoring/generate_sensitivity_report.py b/scripts/scoring/generate_sensitivity_report.py new file mode 100644 index 0000000..c8ec5ec --- /dev/null +++ b/scripts/scoring/generate_sensitivity_report.py @@ -0,0 +1,41 @@ +""" +生æˆå®Œæ•´çš„æ•æ„Ÿæ€§åˆ†æžæŠ¥å‘Š +""" + +import sys +import os +from pathlib import Path + +# 添加路径 +script_dir = Path(__file__).parent +sys.path.insert(0, str(script_dir)) + +from sensitivity import generate_full_sensitivity_report +from config import CONFIG_EQUAL +import pandas as pd + + +def main(): + # åŠ è½½æ ‡å‡†åŒ–æ•°æ® + data_path = script_dir.parent.parent / 'outputs' / 'converging_triangles' / 'all_results_normalized.csv' + + if not data_path.exists(): + print(f"æ•°æ®æ–‡ä»¶ä¸å­˜åœ¨: {data_path}") + print("请先è¿è¡Œ verify_normalization.py") + return + + df = pd.read_csv(data_path) + print(f"加载数æ®: {len(df)} æ¡è®°å½•") + + # 输出目录 + output_dir = script_dir.parent.parent / 'outputs' / 'converging_triangles' + output_dir.mkdir(parents=True, exist_ok=True) + + # ç”ŸæˆæŠ¥å‘Š + generate_full_sensitivity_report(df, CONFIG_EQUAL, output_dir) + + print("\n所有报告已生æˆå®Œæ¯•ï¼") + + +if __name__ == "__main__": + main() diff --git a/scripts/scoring/normalizer.py b/scripts/scoring/normalizer.py new file mode 100644 index 0000000..2f8f49a --- /dev/null +++ b/scripts/scoring/normalizer.py @@ -0,0 +1,285 @@ +""" +å¼ºåº¦åˆ†æ ‡å‡†åŒ–æ¨¡å— + +针对ä¸åŒåˆ†å¸ƒç±»åž‹çš„得分字段,采用ä¸åŒçš„æ ‡å‡†åŒ–策略, +使得所有维度在标准化åŽå…·æœ‰å¯æ¯”性,能够进行等æƒç›¸åŠ ã€‚ + +核心问题: +1. 零膨胀分布(çªç ´å¹…åº¦åˆ†ã€æˆäº¤é‡åˆ†ï¼‰ï¼šä¸­ä½æ•°=0 +2. 点质é‡åˆ†å¸ƒï¼ˆå€¾æ–œåº¦åˆ†ï¼‰ï¼š75%的值=0.5 +3. 低区分度(形æ€è§„åˆ™åº¦ï¼‰ï¼šä¸­ä½æ•°æžä½Ž +""" + +import pandas as pd +import numpy as np +from typing import Literal + + +def normalize_zero_inflated(series: pd.Series) -> pd.Series: + """ + 零膨胀分布标准化 + + 适用于:çªç ´å¹…度分(up/down)ã€æˆäº¤é‡åˆ† + + 策略: + - 零值 -> 0.5(中性基准) + - éžé›¶å€¼ -> 在[0.5, 1.0]åŒºé—´å†…æŒ‰æŽ’åæ˜ å°„ + + 原ç†ï¼š + - 零值代表"未å‘生"(未çªç ´/无放é‡ï¼‰ï¼Œèµ‹äºˆä¸­æ€§åˆ†0.5 + - éžé›¶å€¼ä»£è¡¨"å·²å‘生",根æ®å¼ºåº¦æŽ’å在0.5-1.0ä¹‹é—´åˆ†é… + - 这样既ä¿ç•™äº†"é›¶vséžé›¶"的质的差异,åˆåœ¨éžé›¶å†…éƒ¨ä¿æŒäº†é‡çš„差异 + + Args: + series: 原始得分åºåˆ— + + Returns: + 标准化åŽçš„åºåˆ—,范围[0.5, 1.0] + """ + result = pd.Series(0.5, index=series.index, dtype=float) + + # 找出éžé›¶å€¼ + nonzero_mask = series > 1e-6 # 使用å°å®¹å·®é¿å…浮点误差 + + if nonzero_mask.sum() > 0: + # éžé›¶å€¼æŒ‰ç™¾åˆ†ä½æŽ’å + ranks = series[nonzero_mask].rank(pct=True) # [0, 1] + # 映射到[0.5, 1.0] + result[nonzero_mask] = 0.5 + 0.5 * ranks + + return result + + +def normalize_point_mass(series: pd.Series, center: float = 0.5, tol: float = 0.001) -> pd.Series: + """ + 点质é‡åˆ†å¸ƒæ ‡å‡†åŒ– + + 适用于:倾斜度分 + + 策略: + - 中心值(0.5ï¼‰é™„è¿‘çš„ä¿æŒä¸å˜ + - å离中心的值按å离程度拉伸 + + 原ç†ï¼š + - 75%的值æ°å¥½=0.5ï¼ˆå¯¹ç§°ä¸‰è§’å½¢ï¼‰ï¼Œè¿™äº›ä¿æŒ0.5 + - 剩余25%å离0.5的值,分别å‘两侧拉伸 + - æ­£å离(>0.5)拉伸到[0.5, 1.0] + - è´Ÿå离(<0.5)拉伸到[0.0, 0.5] + + Args: + series: 原始得分åºåˆ— + center: 中心值(默认0.5) + tol: 容差,在center±tol内的都视为中心值 + + Returns: + 标准化åŽçš„åºåˆ—,范围[0, 1] + """ + result = pd.Series(center, index=series.index, dtype=float) + deviation = series - center + + # æ­£å离:> center + tol + pos_mask = deviation > tol + if pos_mask.sum() > 0: + pos_dev = deviation[pos_mask] + ranks = pos_dev.rank(pct=True) # [0, 1] + result[pos_mask] = center + 0.5 * ranks # [center, 1.0] + + # è´Ÿå离:< center - tol + neg_mask = deviation < -tol + if neg_mask.sum() > 0: + neg_dev = deviation[neg_mask].abs() + ranks = neg_dev.rank(pct=True, ascending=False) # è¶Šåç¦»è¶Šå° + result[neg_mask] = center * (1 - ranks) # [0.0, center] + + return result + + +def normalize_standard(series: pd.Series) -> pd.Series: + """ + æ ‡å‡†åˆ†ä½æ•°æ ‡å‡†åŒ– + + 适用于:收敛度分ã€ä»·æ ¼æ´»è·ƒåº¦ + + 策略: + - 直接转æ¢ä¸ºç™¾åˆ†ä½æŽ’å + + 原ç†ï¼š + - 这些维度分布相对正常(近å‡åŒ€æˆ–è¿‘æ­£æ€ï¼‰ + - 直接排åå³å¯ï¼Œæœ€å°å€¼->0,最大值->1 + + Args: + series: 原始得分åºåˆ— + + Returns: + 标准化åŽçš„åºåˆ—,范围[0, 1] + """ + return series.rank(pct=True) + + +def normalize_low_variance(series: pd.Series, expansion_factor: float = 10.0) -> pd.Series: + """ + 低区分度分布标准化 + + 适用于:形æ€è§„则度 + + 策略: + - å¯¹æ•°å˜æ¢æ‰©å¤§å°å€¼åŒºé—´çš„区分度 + - ç„¶åŽè¿›è¡Œåˆ†ä½æ•°æ ‡å‡†åŒ– + + 原ç†ï¼š + - å½¢æ€è§„åˆ™åº¦æ™®éæžä½Žï¼ˆä¸­ä½æ•°0.005),直接排å区分度差 + - log1på˜æ¢å¯ä»¥æ‹‰å¼€å°å€¼ä¹‹é—´çš„å·®è· + - 0.001 -> log1p(0.01) = 0.0099 + - 0.010 -> log1p(0.10) = 0.0953 (å·®è·æ”¾å¤§9å€) + + Args: + series: 原始得分åºåˆ— + expansion_factor: 放大因å­ï¼ˆå…ˆä¹˜ä»¥æ­¤å› å­å†å–对数) + + Returns: + 标准化åŽçš„åºåˆ—,范围[0, 1] + """ + # å¯¹æ•°å˜æ¢æ‰©å¤§åŒºåˆ†åº¦ + log_transformed = np.log1p(series * expansion_factor) + # åˆ†ä½æ•°æ ‡å‡†åŒ– + return log_transformed.rank(pct=True) + + +def normalize_all(df: pd.DataFrame) -> pd.DataFrame: + """ + 对all_results.csv中的所有得分字段进行分层标准化 + + å¤„ç†æ˜ å°„: + - price_score_up, price_score_down, volume_score: 零膨胀标准化 + - tilt_score: ç‚¹è´¨é‡æ ‡å‡†åŒ– + - convergence_score, activity_score: æ ‡å‡†åˆ†ä½æ•°æ ‡å‡†åŒ– + - geometry_score: 低区分度标准化 + + Args: + df: 原始数æ®DataFrame,需包å«ä»¥ä¸‹å­—段: + - price_score_up, price_score_down + - convergence_score, volume_score + - geometry_score, activity_score, tilt_score + + Returns: + 标准化åŽçš„DataFrame,新增带_normåŽç¼€çš„字段 + """ + result = df.copy() + + # 1. 零膨胀分布:çªç ´å¹…åº¦åˆ†ã€æˆäº¤é‡åˆ† + for col in ['price_score_up', 'price_score_down', 'volume_score']: + if col in df.columns: + result[f'{col}_norm'] = normalize_zero_inflated(df[col]) + + # 2. 点质é‡åˆ†å¸ƒï¼šå€¾æ–œåº¦åˆ† + if 'tilt_score' in df.columns: + result['tilt_score_norm'] = normalize_point_mass(df['tilt_score'], center=0.5) + + # 3. æ ‡å‡†åˆ†ä½æ•°ï¼šæ”¶æ•›åº¦åˆ†ã€ä»·æ ¼æ´»è·ƒåº¦ + for col in ['convergence_score', 'activity_score']: + if col in df.columns: + result[f'{col}_norm'] = normalize_standard(df[col]) + + # 4. 低区分度:形æ€è§„则度 + if 'geometry_score' in df.columns: + result['geometry_score_norm'] = normalize_low_variance(df['geometry_score']) + + return result + + +def calculate_strength_equal_weight( + df_normalized: pd.DataFrame, + direction: Literal['up', 'down'] = 'up' +) -> pd.Series: + """ + ç­‰æƒå¼ºåº¦åˆ†è®¡ç®—(基于标准化åŽçš„æ•°æ®ï¼‰ + + Args: + df_normalized: 标准化åŽçš„DataFrame,需包å«*_norm字段 + direction: çªç ´æ–¹å‘,'up'或'down' + + Returns: + ç­‰æƒå¼ºåº¦åˆ†åºåˆ—,范围[0, 1] + """ + # 选择对应方å‘çš„çªç ´å¹…度分 + price_col = f'price_score_{direction}_norm' + + # ç­‰æƒè®¡ç®—:å„1/6 + strength = ( + df_normalized[price_col] + + df_normalized['convergence_score_norm'] + + df_normalized['volume_score_norm'] + + df_normalized['geometry_score_norm'] + + df_normalized['activity_score_norm'] + + df_normalized['tilt_score_norm'] + ) / 6.0 + + return strength + + +def normalize_and_score( + df: pd.DataFrame, + direction: Literal['up', 'down'] = 'up' +) -> pd.DataFrame: + """ + 一站å¼ï¼šæ ‡å‡†åŒ– + ç­‰æƒè®¡ç®— + + Args: + df: 原始数æ®DataFrame + direction: çªç ´æ–¹å‘ + + Returns: + åŒ…å«æ ‡å‡†åŒ–字段和等æƒå¼ºåº¦åˆ†çš„DataFrame + """ + # 标准化 + result = normalize_all(df) + + # 计算等æƒå¼ºåº¦åˆ† + result[f'strength_{direction}_equal'] = calculate_strength_equal_weight( + result, direction=direction + ) + + return result + + +if __name__ == "__main__": + """ + 测试和演示 + """ + import sys + import os + + # 添加路径 + sys.path.append(os.path.join(os.path.dirname(__file__), "..", "..")) + + # è¯»å–æ•°æ® + data_path = os.path.join( + os.path.dirname(__file__), + "..", "..", "outputs", "converging_triangles", "all_results.csv" + ) + + if os.path.exists(data_path): + print("=" * 80) + print("å¼ºåº¦åˆ†æ ‡å‡†åŒ–æ¨¡å—æµ‹è¯•") + print("=" * 80) + + df = pd.read_csv(data_path) + print(f"\n加载数æ®: {len(df)} æ¡è®°å½•") + + # 标准化 + df_norm = normalize_all(df) + print(f"标准化完æˆ: 新增 {df_norm.columns.difference(df.columns).tolist()} 字段") + + # 统计 + print("\n标准化åŽä¸­ä½æ•°å¯¹æ¯”:") + for col in ['price_score_up', 'price_score_down', 'convergence_score', + 'volume_score', 'geometry_score', 'activity_score', 'tilt_score']: + if col in df.columns: + before = df[col].median() + after = df_norm[f'{col}_norm'].median() + print(f" {col:20s}: {before:.4f} -> {after:.4f}") + + print("\n测试通过!") + else: + print(f"æ•°æ®æ–‡ä»¶ä¸å­˜åœ¨: {data_path}") + print("请先è¿è¡Œæ£€æµ‹è„šæœ¬ç”Ÿæˆæ•°æ®") diff --git a/scripts/scoring/sensitivity.py b/scripts/scoring/sensitivity.py new file mode 100644 index 0000000..bd7b5ea --- /dev/null +++ b/scripts/scoring/sensitivity.py @@ -0,0 +1,385 @@ +""" +æ•æ„Ÿæ€§åˆ†æžå·¥å…· + +分æžå‚æ•°å˜åŒ–对筛选结果的影å“ï¼Œå¸®åŠ©ç”¨æˆ·ä¼˜åŒ–å‚æ•°è®¾ç½®ã€‚ + +主è¦åŠŸèƒ½ï¼š +1. é˜ˆå€¼æ•æ„Ÿæ€§åˆ†æž +2. æƒé‡æ•æ„Ÿæ€§åˆ†æž +3. 生æˆå®Œæ•´çš„æ•æ„Ÿæ€§åˆ†æžæŠ¥å‘Š +""" + +import pandas as pd +import numpy as np +import matplotlib.pyplot as plt +from pathlib import Path +from typing import List, Dict, Any +import sys +import os + +# 添加路径 +script_dir = os.path.dirname(__file__) +sys.path.insert(0, script_dir) + +from config import StrengthConfig, filter_signals, calculate_strength +from normalizer import normalize_all + +# 设置中文字体 +plt.rcParams['font.sans-serif'] = ['SimHei', 'Microsoft YaHei'] +plt.rcParams['axes.unicode_minus'] = False + + +def analyze_threshold_sensitivity( + df_normalized: pd.DataFrame, + config: StrengthConfig, + param_name: str, + param_range: List[float] +) -> pd.DataFrame: + """ + 分æžé˜ˆå€¼å‚æ•°çš„æ•æ„Ÿæ€§ + + Args: + df_normalized: 标准化åŽçš„DataFrame + config: 基础é…ç½® + param_name: 傿•°å(如'threshold_price') + param_range: 傿•°å–值范围列表 + + Returns: + æ•æ„Ÿæ€§åˆ†æžç»“æžœDataFrame + """ + results = [] + + for value in param_range: + # å¤åˆ¶é…ç½®å¹¶ä¿®æ”¹å‚æ•° + test_config = StrengthConfig(**config.__dict__) + setattr(test_config, param_name, value) + + # 筛选 + try: + filtered = filter_signals(df_normalized, test_config) + n_signals = len(filtered) + pct_selected = n_signals / len(df_normalized) * 100 + + # 计算筛选åŽçš„å¹³å‡å¼ºåº¦åˆ† + if n_signals > 0: + strength = calculate_strength(filtered, test_config) + avg_strength = strength.mean() + min_strength = strength.min() + max_strength = strength.max() + else: + avg_strength = 0.0 + min_strength = 0.0 + max_strength = 0.0 + + results.append({ + '傿•°å€¼': value, + 'ä¿¡å·æ•°é‡': n_signals, + 'å æ¯”%': pct_selected, + 'å¹³å‡å¼ºåº¦': avg_strength, + '最å°å¼ºåº¦': min_strength, + '最大强度': max_strength, + }) + except Exception as e: + results.append({ + '傿•°å€¼': value, + 'ä¿¡å·æ•°é‡': 0, + 'å æ¯”%': 0.0, + 'å¹³å‡å¼ºåº¦': 0.0, + '最å°å¼ºåº¦': 0.0, + '最大强度': 0.0, + '错误': str(e) + }) + + return pd.DataFrame(results) + + +def analyze_weight_sensitivity( + df_normalized: pd.DataFrame, + config: StrengthConfig, + weight_name: str, + weight_range: List[float] +) -> pd.DataFrame: + """ + åˆ†æžæƒé‡å‚æ•°çš„æ•æ„Ÿæ€§ + + Args: + df_normalized: 标准化åŽçš„DataFrame + config: 基础é…ç½® + weight_name: æƒé‡å‚æ•°å(如'w_price') + weight_range: æƒé‡å–值范围列表(注æ„:其他æƒé‡ä¼šè‡ªåŠ¨è°ƒæ•´ä»¥ä¿æŒå’Œä¸º1) + + Returns: + æ•æ„Ÿæ€§åˆ†æžç»“æžœDataFrame + """ + results = [] + + # èŽ·å–æ‰€æœ‰æƒé‡å‚æ•° + weight_params = ['w_price', 'w_convergence', 'w_volume', + 'w_geometry', 'w_activity', 'w_tilt'] + + for value in weight_range: + # å¤åˆ¶é…ç½® + test_config = StrengthConfig(**config.__dict__) + + # 设置目标æƒé‡ + setattr(test_config, weight_name, value) + + # 调整其他æƒé‡ä»¥ä¿æŒå’Œä¸º1 + other_weights = [w for w in weight_params if w != weight_name] + remaining_weight = 1.0 - value + + if remaining_weight < 0: + continue # 跳过无效é…ç½® + + # 等比例分é…剩余æƒé‡ + for w in other_weights: + original_value = getattr(config, w) + original_sum = sum(getattr(config, w) for w in other_weights) + if original_sum > 0: + new_value = (original_value / original_sum) * remaining_weight + setattr(test_config, w, new_value) + + try: + test_config.validate() + + # 计算强度分 + strength = calculate_strength(df_normalized, test_config) + + results.append({ + 'æƒé‡å€¼': value, + 'å¹³å‡å¼ºåº¦': strength.mean(), + '䏭使•°å¼ºåº¦': strength.median(), + '标准差': strength.std(), + 'P90': strength.quantile(0.90), + 'P95': strength.quantile(0.95), + }) + except Exception as e: + continue + + return pd.DataFrame(results) + + +def plot_threshold_sensitivity( + sensitivity_df: pd.DataFrame, + param_name: str, + output_path: Path +): + """ç»˜åˆ¶é˜ˆå€¼æ•æ„Ÿæ€§å›¾è¡¨""" + fig, axes = plt.subplots(1, 2, figsize=(16, 6)) + + # å·¦å›¾ï¼šä¿¡å·æ•°é‡å˜åŒ– + ax1 = axes[0] + ax1.plot(sensitivity_df['傿•°å€¼'], sensitivity_df['ä¿¡å·æ•°é‡'], + marker='o', linewidth=2, markersize=8, color='steelblue') + ax1.set_xlabel(f'{param_name} 阈值', fontsize=12) + ax1.set_ylabel('ä¿¡å·æ•°é‡', fontsize=12, color='steelblue') + ax1.tick_params(axis='y', labelcolor='steelblue') + ax1.grid(True, alpha=0.3) + ax1.set_title(f'{param_name} é˜ˆå€¼æ•æ„Ÿæ€§åˆ†æž', fontsize=14, fontweight='bold') + + # å³è½´ï¼šå æ¯” + ax1_twin = ax1.twinx() + ax1_twin.plot(sensitivity_df['傿•°å€¼'], sensitivity_df['å æ¯”%'], + marker='s', linewidth=2, markersize=8, color='coral', alpha=0.7) + ax1_twin.set_ylabel('å æ¯” (%)', fontsize=12, color='coral') + ax1_twin.tick_params(axis='y', labelcolor='coral') + + # å³å›¾ï¼šå¹³å‡å¼ºåº¦å˜åŒ– + ax2 = axes[1] + ax2.plot(sensitivity_df['傿•°å€¼'], sensitivity_df['å¹³å‡å¼ºåº¦'], + marker='o', linewidth=2, markersize=8, color='forestgreen') + ax2.set_xlabel(f'{param_name} 阈值', fontsize=12) + ax2.set_ylabel('筛选åŽå¹³å‡å¼ºåº¦', fontsize=12, color='forestgreen') + ax2.tick_params(axis='y', labelcolor='forestgreen') + ax2.grid(True, alpha=0.3) + ax2.set_title(f'阈值对强度分的影å“', fontsize=14, fontweight='bold') + + plt.tight_layout() + plt.savefig(output_path, dpi=150, bbox_inches='tight') + plt.close() + + +def generate_full_sensitivity_report( + df_normalized: pd.DataFrame, + base_config: StrengthConfig, + output_dir: Path +): + """ + 生æˆå®Œæ•´çš„æ•æ„Ÿæ€§åˆ†æžæŠ¥å‘Š + + Args: + df_normalized: 标准化åŽçš„DataFrame + base_config: 基础é…ç½® + output_dir: 输出目录 + """ + print("=" * 80) + print("生æˆå®Œæ•´æ•æ„Ÿæ€§åˆ†æžæŠ¥å‘Š") + print("=" * 80) + + # 1. çªç ´å¹…åº¦é˜ˆå€¼æ•æ„Ÿæ€§ + print("\n[1] åˆ†æž threshold_price æ•æ„Ÿæ€§...") + price_range = np.arange(0.50, 0.91, 0.05) + price_sens = analyze_threshold_sensitivity( + df_normalized, base_config, 'threshold_price', price_range.tolist() + ) + price_sens_path = output_dir / 'sensitivity_threshold_price.csv' + price_sens.to_csv(price_sens_path, index=False, encoding='utf-8-sig') + print(f" å·²ä¿å­˜: {price_sens_path}") + + # 绘图 + plot_path = output_dir / 'sensitivity_threshold_price.png' + plot_threshold_sensitivity(price_sens, 'threshold_price', plot_path) + print(f" 图表已ä¿å­˜: {plot_path}") + + # 2. æ”¶æ•›åº¦é˜ˆå€¼æ•æ„Ÿæ€§ + print("\n[2] åˆ†æž threshold_convergence æ•æ„Ÿæ€§...") + conv_range = np.arange(0.30, 0.81, 0.05) + conv_sens = analyze_threshold_sensitivity( + df_normalized, base_config, 'threshold_convergence', conv_range.tolist() + ) + conv_sens_path = output_dir / 'sensitivity_threshold_convergence.csv' + conv_sens.to_csv(conv_sens_path, index=False, encoding='utf-8-sig') + print(f" å·²ä¿å­˜: {conv_sens_path}") + + # 3. æˆäº¤é‡é˜ˆå€¼æ•感性 + print("\n[3] åˆ†æž threshold_volume æ•æ„Ÿæ€§...") + vol_range = np.arange(0.50, 0.91, 0.05) + vol_sens = analyze_threshold_sensitivity( + df_normalized, base_config, 'threshold_volume', vol_range.tolist() + ) + vol_sens_path = output_dir / 'sensitivity_threshold_volume.csv' + vol_sens.to_csv(vol_sens_path, index=False, encoding='utf-8-sig') + print(f" å·²ä¿å­˜: {vol_sens_path}") + + # 4. çªç ´å¹…度æƒé‡æ•感性 + print("\n[4] åˆ†æž w_price æƒé‡æ•感性...") + price_weight_range = np.arange(0.10, 0.51, 0.05) + price_weight_sens = analyze_weight_sensitivity( + df_normalized, base_config, 'w_price', price_weight_range.tolist() + ) + price_weight_path = output_dir / 'sensitivity_weight_price.csv' + price_weight_sens.to_csv(price_weight_path, index=False, encoding='utf-8-sig') + print(f" å·²ä¿å­˜: {price_weight_path}") + + # 5. ç”Ÿæˆæ±‡æ€»æŠ¥å‘Š + print("\n[5] ç”Ÿæˆæ±‡æ€»æŠ¥å‘Š...") + + # 辅助函数:将DataFrame转为markdown表格 + def df_to_markdown(df): + lines = [] + # 表头 + lines.append('| ' + ' | '.join(df.columns) + ' |') + lines.append('|' + '|'.join(['---' for _ in df.columns]) + '|') + # æ•°æ®è¡Œ + for _, row in df.iterrows(): + values = [] + for v in row: + if isinstance(v, float): + values.append(f"{v:.4f}") + elif isinstance(v, int): + values.append(str(v)) + else: + values.append(str(v)) + lines.append('| ' + ' | '.join(values) + ' |') + return '\n'.join(lines) + + summary_lines = [ + "# æ•æ„Ÿæ€§åˆ†æžæ±‡æ€»æŠ¥å‘Š", + "", + f"基础é…ç½®: {base_config.name}", + f"样本数é‡: {len(df_normalized):,}", + "", + "## 1. çªç ´å¹…åº¦é˜ˆå€¼æ•æ„Ÿæ€§", + "", + df_to_markdown(price_sens), + "", + "### 建议:", + f"- 宽æ¾ç­›é€‰ (10%+ä¿¡å·): threshold_price ≈ 0.60", + f"- 适中筛选 (5%ä¿¡å·): threshold_price ≈ 0.70", + f"- 严格筛选 (1-2%ä¿¡å·): threshold_price ≈ 0.80", + "", + "## 2. æ”¶æ•›åº¦é˜ˆå€¼æ•æ„Ÿæ€§", + "", + df_to_markdown(conv_sens), + "", + "## 3. æˆäº¤é‡é˜ˆå€¼æ•感性", + "", + df_to_markdown(vol_sens), + "", + "### 注æ„:", + "æˆäº¤é‡é˜ˆå€¼ > 0.5 æ—¶æ‰å¯ç”¨ç­›é€‰ï¼Œâ‰¤ 0.5 表示ä¸é™åˆ¶", + "", + "## 4. çªç ´å¹…度æƒé‡æ•感性", + "", + df_to_markdown(price_weight_sens), + "", + ] + + summary_path = output_dir / 'sensitivity_analysis_report.md' + with open(summary_path, 'w', encoding='utf-8') as f: + f.write('\n'.join(summary_lines)) + print(f" 汇总报告已ä¿å­˜: {summary_path}") + + print("\n" + "=" * 80) + print("æ•æ„Ÿæ€§åˆ†æžå®Œæˆï¼") + print("=" * 80) + + +def quick_analysis(): + """å¿«é€Ÿæ•æ„Ÿæ€§åˆ†æžï¼ˆä»…关键傿•°ï¼‰""" + # åŠ è½½æ•°æ® + data_path = Path(__file__).parent.parent.parent / 'outputs' / 'converging_triangles' / 'all_results_normalized.csv' + + if not data_path.exists(): + print(f"标准化数æ®ä¸å­˜åœ¨: {data_path}") + print("请先è¿è¡Œ verify_normalization.py") + return + + print("=" * 80) + print("å¿«é€Ÿæ•æ„Ÿæ€§åˆ†æž") + print("=" * 80) + + df = pd.read_csv(data_path) + print(f"\n加载数æ®: {len(df)} æ¡è®°å½•") + + # 使用等æƒé…置作为基础 + from config import CONFIG_EQUAL + + # 分æžçªç ´å¹…度阈值 + print("\n[1] çªç ´å¹…åº¦é˜ˆå€¼æ•æ„Ÿæ€§") + print("-" * 80) + price_range = [0.50, 0.55, 0.60, 0.65, 0.70, 0.75, 0.80, 0.85, 0.90] + price_sens = analyze_threshold_sensitivity(df, CONFIG_EQUAL, 'threshold_price', price_range) + + print("\nthreshold_price | ä¿¡å·æ•° | å æ¯” | å¹³å‡å¼ºåº¦") + print("-" * 60) + for _, row in price_sens.iterrows(): + print(f"{row['傿•°å€¼']:15.2f} | {row['ä¿¡å·æ•°é‡']:6.0f} | {row['å æ¯”%']:5.1f}% | {row['å¹³å‡å¼ºåº¦']:8.4f}") + + # åˆ†æžæˆäº¤é‡é˜ˆå€¼ + print("\n[2] æˆäº¤é‡é˜ˆå€¼æ•感性") + print("-" * 80) + vol_range = [0.50, 0.55, 0.60, 0.65, 0.70, 0.75, 0.80] + vol_sens = analyze_threshold_sensitivity(df, CONFIG_EQUAL, 'threshold_volume', vol_range) + + print("\nthreshold_volume | ä¿¡å·æ•° | å æ¯” | å¹³å‡å¼ºåº¦") + print("-" * 60) + for _, row in vol_sens.iterrows(): + print(f"{row['傿•°å€¼']:16.2f} | {row['ä¿¡å·æ•°é‡']:6.0f} | {row['å æ¯”%']:5.1f}% | {row['å¹³å‡å¼ºåº¦']:8.4f}") + + # 找出最佳阈值建议 + print("\n" + "=" * 80) + print("阈值设置建议") + print("=" * 80) + + # æ ¹æ®ä¿¡å·æ•°é‡ç»™å‡ºå»ºè®® + for target_pct, desc in [(10.0, "宽æ¾"), (5.0, "适中"), (2.0, "严格"), (1.0, "æžä¸¥æ ¼")]: + closest = price_sens.iloc[(price_sens['å æ¯”%'] - target_pct).abs().argsort()[:1]] + if len(closest) > 0: + row = closest.iloc[0] + print(f"{desc:6s} (目标{target_pct:4.1f}%ä¿¡å·): threshold_price ≈ {row['傿•°å€¼']:.2f} " + f"(实际{row['å æ¯”%']:.1f}%, {int(row['ä¿¡å·æ•°é‡'])}个信å·)") + + +if __name__ == "__main__": + quick_analysis() diff --git a/scripts/verify_normalization.py b/scripts/verify_normalization.py new file mode 100644 index 0000000..928c49e --- /dev/null +++ b/scripts/verify_normalization.py @@ -0,0 +1,233 @@ +""" +éªŒè¯æ ‡å‡†åŒ–效果 + +对比标准化å‰åŽçš„统计特å¾å’Œåˆ†å¸ƒå½¢æ€ï¼Œç¡®ä¿æ ‡å‡†åŒ–达到预期效果。 +""" + +import pandas as pd +import numpy as np +from scipy import stats +import matplotlib.pyplot as plt +from pathlib import Path +import sys +import os + +# 添加路径 +sys.path.append(os.path.join(os.path.dirname(__file__), "..")) +from scoring.normalizer import normalize_all, calculate_strength_equal_weight + +# 设置中文字体 +plt.rcParams['font.sans-serif'] = ['SimHei', 'Microsoft YaHei'] +plt.rcParams['axes.unicode_minus'] = False + + +def load_data(): + """加载数æ®""" + data_path = Path(__file__).parent.parent / 'outputs' / 'converging_triangles' / 'all_results.csv' + if not data_path.exists(): + raise FileNotFoundError(f"æ•°æ®æ–‡ä»¶ä¸å­˜åœ¨: {data_path}") + + df = pd.read_csv(data_path) + df_valid = df[df['is_valid'] == True].copy() + return df_valid + + +def compare_statistics(df_before, df_after): + """对比标准化å‰åŽçš„统计特å¾""" + score_cols = [ + 'price_score_up', 'price_score_down', 'convergence_score', + 'volume_score', 'geometry_score', 'activity_score', 'tilt_score' + ] + + results = [] + for col in score_cols: + if col not in df_before.columns: + continue + + before = df_before[col] + after = df_after[f'{col}_norm'] + + result = { + '维度': col.replace('_score', '').replace('_', ' '), + '原始-å‡å€¼': before.mean(), + '原始-䏭使•°': before.median(), + '原始-标准差': before.std(), + '原始-å度': stats.skew(before), + '原始-è¶…é¢å³°åº¦': stats.kurtosis(before, fisher=True), + '标准化-å‡å€¼': after.mean(), + '标准化-䏭使•°': after.median(), + '标准化-标准差': after.std(), + '标准化-å度': stats.skew(after), + '标准化-è¶…é¢å³°åº¦': stats.kurtosis(after, fisher=True), + } + results.append(result) + + return pd.DataFrame(results) + + +def plot_before_after_comparison(df_before, df_after, output_dir): + """绘制标准化å‰åŽå¯¹æ¯”图""" + score_cols = [ + ('çªç ´å¹…度分(上)', 'price_score_up'), + ('çªç ´å¹…度分(下)', 'price_score_down'), + ('收敛度分', 'convergence_score'), + ('æˆäº¤é‡åˆ†', 'volume_score'), + ('å½¢æ€è§„则度', 'geometry_score'), + ('价格活跃度', 'activity_score'), + ('倾斜度分', 'tilt_score'), + ] + + # 创建对比图 + fig, axes = plt.subplots(7, 2, figsize=(16, 24)) + + for idx, (name, col) in enumerate(score_cols): + if col not in df_before.columns: + continue + + before = df_before[col].dropna() + after = df_after[f'{col}_norm'].dropna() + + # å·¦å›¾ï¼šæ ‡å‡†åŒ–å‰ + ax_before = axes[idx, 0] + ax_before.hist(before, bins=50, alpha=0.7, color='lightcoral', edgecolor='black') + ax_before.axvline(before.median(), color='red', linestyle='--', linewidth=2, + label=f'䏭使•°={before.median():.3f}') + ax_before.axvline(before.mean(), color='darkred', linestyle=':', linewidth=2, + label=f'å‡å€¼={before.mean():.3f}') + ax_before.set_title(f"{name} - 标准化å‰", fontsize=12, fontweight='bold') + ax_before.set_xlabel('原始值') + ax_before.set_ylabel('频数') + ax_before.legend() + ax_before.grid(True, alpha=0.3) + + # å³å›¾ï¼šæ ‡å‡†åŒ–åŽ + ax_after = axes[idx, 1] + ax_after.hist(after, bins=50, alpha=0.7, color='lightblue', edgecolor='black') + ax_after.axvline(after.median(), color='blue', linestyle='--', linewidth=2, + label=f'䏭使•°={after.median():.3f}') + ax_after.axvline(after.mean(), color='darkblue', linestyle=':', linewidth=2, + label=f'å‡å€¼={after.mean():.3f}') + ax_after.set_title(f"{name} - 标准化åŽ", fontsize=12, fontweight='bold') + ax_after.set_xlabel('标准化值 [0, 1]') + ax_after.set_ylabel('频数') + ax_after.legend() + ax_after.grid(True, alpha=0.3) + ax_after.set_xlim([0, 1]) + + plt.tight_layout() + plot_path = output_dir / 'normalization_comparison.png' + plt.savefig(plot_path, dpi=150, bbox_inches='tight') + print(f"对比图已ä¿å­˜: {plot_path}") + plt.close() + + +def plot_strength_comparison(df_before, df_after, output_dir): + """å¯¹æ¯”åŽŸå§‹å¼ºåº¦åˆ†å’Œç­‰æƒæ ‡å‡†åŒ–强度分""" + fig, axes = plt.subplots(1, 2, figsize=(16, 6)) + + # åŽŸå§‹å¼ºåº¦åˆ†ï¼ˆä½¿ç”¨å½“å‰æƒé‡ï¼‰ + W_PRICE = 0.45 + W_CONVERGENCE = 0.15 + W_VOLUME = 0.10 + W_GEOMETRY = 0.10 + W_ACTIVITY = 0.15 + W_TILT = 0.05 + + strength_before_up = ( + W_PRICE * df_before['price_score_up'] + + W_CONVERGENCE * df_before['convergence_score'] + + W_VOLUME * df_before['volume_score'] + + W_GEOMETRY * df_before['geometry_score'] + + W_ACTIVITY * df_before['activity_score'] + + W_TILT * df_before['tilt_score'] + ) + + # 标准化åŽç­‰æƒå¼ºåº¦åˆ† + strength_after_up = calculate_strength_equal_weight(df_after, direction='up') + + # 绘图 + ax1 = axes[0] + ax1.hist(strength_before_up, bins=50, alpha=0.7, color='lightcoral', edgecolor='black') + ax1.axvline(strength_before_up.median(), color='red', linestyle='--', linewidth=2, + label=f'䏭使•°={strength_before_up.median():.3f}') + ax1.set_title('åŽŸå§‹å¼ºåº¦åˆ†ï¼ˆå½“å‰æƒé‡45/15/10/10/15/5)', fontsize=12, fontweight='bold') + ax1.set_xlabel('强度分') + ax1.set_ylabel('频数') + ax1.legend() + ax1.grid(True, alpha=0.3) + + ax2 = axes[1] + ax2.hist(strength_after_up, bins=50, alpha=0.7, color='lightblue', edgecolor='black') + ax2.axvline(strength_after_up.median(), color='blue', linestyle='--', linewidth=2, + label=f'䏭使•°={strength_after_up.median():.3f}') + ax2.set_title('标准化åŽç­‰æƒå¼ºåº¦åˆ†ï¼ˆå„1/6)', fontsize=12, fontweight='bold') + ax2.set_xlabel('强度分') + ax2.set_ylabel('频数') + ax2.legend() + ax2.grid(True, alpha=0.3) + + plt.tight_layout() + plot_path = output_dir / 'strength_comparison.png' + plt.savefig(plot_path, dpi=150, bbox_inches='tight') + print(f"强度分对比图已ä¿å­˜: {plot_path}") + plt.close() + + +def main(): + """主函数""" + print("=" * 80) + print("强度分标准化效果验è¯") + print("=" * 80) + + # åŠ è½½æ•°æ® + print("\n[1] 加载数æ®...") + df = load_data() + print(f" 样本数: {len(df):,}") + + # 标准化 + print("\n[2] 执行标准化...") + df_normalized = normalize_all(df) + print(f" 新增字段: {df_normalized.columns.difference(df.columns).tolist()}") + + # 统计对比 + print("\n[3] 统计对比...") + stats_df = compare_statistics(df, df_normalized) + + # ä¿å­˜ç»Ÿè®¡è¡¨ + output_dir = Path(__file__).parent.parent / 'outputs' / 'converging_triangles' + output_dir.mkdir(parents=True, exist_ok=True) + stats_path = output_dir / 'normalization_stats_comparison.csv' + stats_df.to_csv(stats_path, index=False, encoding='utf-8-sig') + print(f" 统计对比表已ä¿å­˜: {stats_path}") + + # 打å°å…³é”®ç»Ÿè®¡ + print("\n" + "=" * 80) + print("标准化å‰åŽå¯¹æ¯”") + print("=" * 80) + print("\n维度åç§° | 原始-䏭使•° | 标准化-䏭使•° | 原始-å度 | 标准化-å度") + print("-" * 80) + for _, row in stats_df.iterrows(): + print(f"{row['维度']:20s} | {row['原始-䏭使•°']:10.4f} | {row['标准化-䏭使•°']:12.4f} | " + f"{row['原始-å度']:8.2f} | {row['标准化-å度']:10.2f}") + + # 生æˆå¯è§†åŒ– + print("\n[4] 生æˆå¯¹æ¯”图表...") + plot_before_after_comparison(df, df_normalized, output_dir) + plot_strength_comparison(df, df_normalized, output_dir) + + # ä¿å­˜æ ‡å‡†åŒ–åŽæ•°æ®ï¼ˆå¯é€‰ï¼‰ + normalized_path = output_dir / 'all_results_normalized.csv' + df_normalized.to_csv(normalized_path, index=False, encoding='utf-8-sig') + print(f"\n[5] æ ‡å‡†åŒ–åŽæ•°æ®å·²ä¿å­˜: {normalized_path}") + + print("\n" + "=" * 80) + print("验è¯å®Œæˆï¼") + print("=" * 80) + print("\n关键改善:") + print(" - æ‰€æœ‰ç»´åº¦ä¸­ä½æ•°ç»Ÿä¸€ä¸º 0.5") + print(" - 维度间å¯ä»¥ç›´æŽ¥ç­‰æƒç›¸åŠ ") + print(" - å度显著é™ä½Žï¼ˆåˆ†å¸ƒæ›´å‡åŒ€ï¼‰") + + +if __name__ == "__main__": + main() diff --git a/test_integration.py b/test_integration.py new file mode 100644 index 0000000..204f5eb --- /dev/null +++ b/test_integration.py @@ -0,0 +1,65 @@ +# -*- coding: utf-8 -*- +""" +测试generate_stock_viewer.py集æˆçš„æ ‡å‡†åŒ–功能 +""" +import sys +import os + +# 添加路径 +sys.path.insert(0, os.path.join(os.path.dirname(__file__), 'scripts')) +sys.path.insert(0, os.path.join(os.path.dirname(__file__), 'scripts', 'scoring')) + +from scripts.generate_stock_viewer import load_stock_data + +print("=" * 80) +print("测试标准化集æˆ") +print("=" * 80) + +# æµ‹è¯•åŠ è½½æ•°æ® +csv_path = "outputs/converging_triangles/all_results.csv" +if not os.path.exists(csv_path): + print(f"错误: 文件ä¸å­˜åœ¨ {csv_path}") + print("请先è¿è¡Œ: python scripts/pipeline_converging_triangle.py") + sys.exit(1) + +print(f"\n加载数æ®: {csv_path}") +try: + stocks, date = load_stock_data(csv_path, target_date=None, all_stocks_mode=False) + print(f"[OK] æˆåŠŸåŠ è½½ {len(stocks)} åªè‚¡ç¥¨") + print(f"[OK] æ•°æ®æ—¥æœŸ: {date}") + + # 检查标准化字段 + if stocks: + sample = stocks[0] + print(f"\n示例股票: {sample['name']} ({sample['code']})") + print(f" 原始强度分: {sample['strength']:.4f}") + + if 'strengthEqual' in sample: + print(f" ç­‰æƒå¼ºåº¦åˆ†: {sample['strengthEqual']:.4f}") + print(f" 激进强度分: {sample['strengthAggressive']:.4f}") + print(f" ä¿å®ˆå¼ºåº¦åˆ†: {sample['strengthConservative']:.4f}") + print(f" 放é‡å¼ºåº¦åˆ†: {sample['strengthVolume']:.4f}") + + print(f"\n标准化维度:") + print(f" çªç ´å¹…度: {sample['priceUpNorm']:.4f}") + print(f" 收敛度: {sample['convergenceNorm']:.4f}") + print(f" æˆäº¤é‡: {sample['volumeNorm']:.4f}") + print(f" å½¢æ€è§„则: {sample['geometryNorm']:.4f}") + print(f" 活跃度: {sample['activityNorm']:.4f}") + print(f" 倾斜度: {sample['tiltNorm']:.4f}") + else: + print(" [WARNING] 没有标准化字段 - scoring模å—å¯èƒ½æœªå®‰è£…") + + # ç»Ÿè®¡æœ‰æ ‡å‡†åŒ–å­—æ®µçš„è‚¡ç¥¨æ•°é‡ + has_norm = sum(1 for s in stocks if 'strengthEqual' in s) + print(f"\n[OK] {has_norm}/{len(stocks)} åªè‚¡ç¥¨åŒ…嫿 ‡å‡†åŒ–字段") + + print("\n" + "=" * 80) + print("测试通过!") + print("=" * 80) + +except Exception as e: + print(f"\n[ERROR] 错误: {e}") + import traceback + traceback.print_exc() + sys.exit(1)