feat: strategy-management 加 --strategy 参数 + 新建 A 股 calc_cn_levels.py

2026-07-23 10:28:12 +08:00
parent b660debd06
commit 2b78639b9e
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+---
+name: hk-scan
+description: "港股日内做T点位扫描 — 拉候选池 top 5 + 实时 quote + 5min K, 算 SL/TP1/TP2 推 QQ (不交易, 仅参考)"
+---
+
+"""
+港股日内做T点位扫描 (cron 模板)
+- 拉候选池 top 5 (artifact hk_intraday_latest.json)
+- 拉实时 quote + 5min K 线
+- 算 SL/TP1/TP2 用 calc_exit_levels()
+- 三级输出: ✅ R:R≥1.5 / ⚠️ R:R 1.0 / ❌ 否决
+- 推 QQ (origin delivery)
+
+用法:
+    python3 calc_hk_levels.py             # 跑 (cron 默认)
+    python3 calc_hk_levels.py --top 3     # 只看 top 3
+    python3 calc_hk_levels.py --period 60m  # 用 60min K
+"""
+import argparse
+import json
+import os
+import re
+import subprocess
+import sys
+from pathlib import Path
+
+# 添加 strategy-management scripts 到 path
+sys.path.insert(0, str(Path(__file__).parent))
+from exit_levels import calc_exit_levels
+from indicators import atr as calc_atr, vwap as calc_vwap
+
+# === 常量 ===
+HERMES_HOME = '/home/openclaw'
+CANDIDATE_FILE = f'{HERMES_HOME}/.hermes/skills/trading/quant-factor-mining/artifacts/hk_intraday_latest.json'
+PROXYCHAINS = ['proxychains4', '-f', f'{HERMES_HOME}/.proxychains/proxychains.conf']
+LONGBRIDGE = ['/home/openclaw/.local/bin/longbridge', '--profile', 'lb_real']
+
+
+# === 长桥数据拉取 ===
+
+def fetch_quote(symbol: str) -> dict:
+    """港美股 quote, JSON 格式 (港美都支持)"""
+    result = subprocess.run(
+        PROXYCHAINS + LONGBRIDGE + ['quote', symbol, '--json'],
+        capture_output=True, text=True, timeout=30,
+    )
+    start = result.stdout.find('[')
+    if start == -1:
+        return {}
+    try:
+        return json.loads(result.stdout[start:])[0]
+    except Exception:
+        return {}
+
+
+def fetch_klines_hk(symbol: str, period: str = '5m', count: int = 30) -> list:
+    """
+    港股 K 线 (表格 parser, 6 列, 不用 --json)
+    - 分隔符 │ (U+2502), 不是 |
+    - 表头中文: 时间/开盘/最高/最低/收盘/成交量
+    - 时间格式: '2026-07-10 10:30' (空格分隔)
+    - 数字带千分位逗号: '1,190,430'
+    """
+    result = subprocess.run(
+        PROXYCHAINS + LONGBRIDGE + ['candlesticks', symbol, period, '--count', str(count)],
+        capture_output=True, text=True, timeout=30,
+    )
+    klines = []
+    pattern = re.compile(
+        r'│\s*(\d{4}-\d{2}-\d{2}\s+\d{2}:\d{2})\s*│'
+        r'\s*([\d,.]+)\s*│\s*([\d,.]+)\s*│\s*([\d,.]+)\s*│\s*([\d,.]+)\s*│\s*([\d,.]+)\s*│'
+    )
+    for line in result.stdout.split('\n'):
+        m = pattern.search(line)
+        if m:
+            ts, o, h, l, c, v = m.groups()
+            def parse_num(s):
+                return float(s.replace(',', ''))
+            klines.append({
+                'timestamp': ts.replace(' ', 'T'),
+                'open': parse_num(o),
+                'high': parse_num(h),
+                'low': parse_num(l),
+                'close': parse_num(c),
+                'volume': parse_num(v),
+            })
+    return klines
+
+
+# === 业务逻辑 ===
+
+def calc_levels(symbol: str, klines: list, quote: dict, side: str, min_rr: float,
+                strategy: str = 'rsi2_revert'):
+    """
+    strategy: 'rsi2_revert' | 'vwap_revert' | 'early_bird' | 'turtle_breakout'
+    每个策略用不同的 vol_multi 参数组
+    """
+    if not klines or not quote:
+        return None, '数据缺失'
+    closes = [k['close'] for k in klines]
+    highs = [k['high'] for k in klines]
+    lows = [k['low'] for k in klines]
+    volumes = [k['volume'] for k in klines]
+
+    atr_vals = calc_atr(highs, lows, closes, 14)
+    current_atr = atr_vals[-1]
+    if not current_atr:
+        return None, 'ATR 失败'
+
+    vwaps = calc_vwap(closes, volumes)
+    current_vwap = vwaps[-1]
+
+    current_price = quote['last_done']
+
+    # ── 策略参数映射 ──
+    if strategy == 'turtle_breakout':
+        vol_sl_multi, vol_tp1_multi, vol_tp2_multi = 2.0, 4.0, 8.0
+        eff_min_rr = min(min_rr, 1.0)
+        use_vwap = False
+    elif strategy == 'vwap_revert':
+        vol_sl_multi, vol_tp1_multi, vol_tp2_multi = 1.0, 2.0, 3.0
+        eff_min_rr = max(min_rr, 1.5)
+        use_vwap = True
+    elif strategy == 'early_bird':
+        vol_sl_multi, vol_tp1_multi, vol_tp2_multi = 1.5, 2.0, 3.0
+        eff_min_rr = min_rr
+        use_vwap = False
+    else:  # rsi2_revert
+        vol_sl_multi, vol_tp1_multi, vol_tp2_multi = 1.5, 2.0, 3.0
+        eff_min_rr = min_rr
+        use_vwap = True
+
+    eff_vwap = current_vwap if use_vwap else None
+    return calc_exit_levels(
+        entry=current_price,
+        atr=current_atr,
+        current_price=current_price,
+        day_high=quote['high'],
+        day_low=quote['low'],
+        prev_high=max(highs),
+        prev_low=min(lows),
+        vwap=eff_vwap,
+        side=side,
+        min_rr=eff_min_rr,
+        vol_sl_multi=vol_sl_multi,
+        vol_tp1_multi=vol_tp1_multi,
+        vol_tp2_multi=vol_tp2_multi,
+    ), strategy
+
+
+def format_qq_output(levels, change, current_price, side, symbol, score, adr, mode):
+    """格式化为 QQ 推送文本 (单条)"""
+    if mode == 'strict':
+        return (
+            f"\n📈 **{symbol}** (score {score}, ADR {adr}%)\n"
+            f"现价 ${current_price:.2f} ({change:+.2f}%) | {side.upper()}\n"
+            f"SL ${levels.sl:.2f} ({levels.sl_method})\n"
+            f"TP1 ${levels.tp1:.2f} ({levels.tp_method})\n"
+            f"TP2 ${levels.tp2:.2f}\n"
+            f"R:R 1:{levels.rr_ratio:.2f} ✅"
+        )
+    elif mode == 'relaxed':
+        return (
+            f"\n📈 **{symbol}** (score {score}, ADR {adr}%)\n"
+            f"现价 ${current_price:.2f} ({change:+.2f}%) | {side.upper()} [R:R 1.0 宽松]\n"
+            f"SL ${levels.sl:.2f}\n"
+            f"TP1 ${levels.tp1:.2f}\n"
+            f"TP2 ${levels.tp2:.2f}\n"
+            f"R:R 1:{levels.rr_ratio:.2f} ⚠️"
+        )
+    else:  # atr_adj
+        return (
+            f"\n📈 **{symbol}** (score {score}, ADR {adr}%)\n"
+            f"现价 ${current_price:.2f} ({change:+.2f}%) | {side.upper()} [ATR 调整]\n"
+            f"SL ${levels.sl:.2f}\n"
+            f"TP1 ${levels.tp1:.2f}\n"
+            f"TP2 ${levels.tp2:.2f}\n"
+            f"R:R 1:{levels.rr_ratio:.2f} ⚠️"
+        )
+
+
+def main():
+    ap = argparse.ArgumentParser()
+    ap.add_argument('--top', type=int, default=5, help='候选池 top N (default 5)')
+    ap.add_argument('--period', default='5m', help='K 线周期 (default 5m)')
+    ap.add_argument('--strategy', default='rsi2_revert',
+                   choices=['rsi2_revert', 'vwap_revert', 'early_bird', 'turtle_breakout'],
+                   help='策略 (default rsi2_revert)')
+    args = ap.parse_args()
+
+    if not os.path.exists(CANDIDATE_FILE):
+        print(f"[skip] 候选池不存在: {CANDIDATE_FILE}")
+        return
+
+    with open(CANDIDATE_FILE) as f:
+        candidate_data = json.load(f)
+
+    top = candidate_data.get('results', [])[:args.top]
+    date = candidate_data.get('date', '?')[:10]
+
+    print(f"📊 港股日内做T点位扫描 (候选池 {date}, top {args.top})")
+    print(f"📋 共扫描 {len(top)} 支\n")
+
+    output_lines = []
+
+    for entry in top:
+        symbol = entry['ticker']
+        score = entry['score']
+        avg_adr = entry['avg_adr']
+
+        print(f"--- {symbol} (score {score}, ADR {avg_adr}%) ---")
+
+        quote = fetch_quote(symbol)
+        if not quote:
+            print(f"  ❌ quote 拉取失败")
+            continue
+
+        klines = fetch_klines_hk(symbol, args.period, 30)
+        if not klines:
+            print(f"  ❌ K线 拉取失败")
+            continue
+
+        current_price = quote['last_done']
+        change = (current_price - quote['prev_close']) / quote['prev_close'] * 100
+        print(f"  现价: ${current_price:.2f} ({change:+.2f}%)")
+
+        # 顺势方向
+        side = 'long' if change > 0 else 'short'
+
+        # 三级尝试: 严格 / 宽松 / ATR 调整
+        levels, _ = calc_levels(symbol, klines, quote, side, min_rr=1.5, strategy=args.strategy)
+        if levels:
+            print(f"  ✅ R:R 1.5 [{args.strategy}] → SL=${levels.sl:.2f} TP1=${levels.tp1:.2f} TP2=${levels.tp2:.2f} R:R=1:{levels.rr_ratio:.2f}")
+            output_lines.append(format_qq_output(levels, change, current_price, side, symbol, score, avg_adr, 'strict'))
+        else:
+            # 场景 B: 宽松
+            levels_relaxed, _ = calc_levels(symbol, klines, quote, side, min_rr=1.0, strategy=args.strategy)
+            if levels_relaxed:
+                print(f"  ⚠️ R:R 1.5 否决, 1.0 通过 → R:R=1:{levels_relaxed.rr_ratio:.2f}")
+                output_lines.append(format_qq_output(levels_relaxed, change, current_price, side, symbol, score, avg_adr, 'relaxed'))
+            else:
+                # 场景 C: ATR 倍数调整 (SL=1.5 ATR, TP1=3.0 ATR)
+                closes = [k['close'] for k in klines]
+                highs = [k['high'] for k in klines]
+                lows = [k['low'] for k in klines]
+                volumes = [k['volume'] for k in klines]
+                atr_v = calc_atr(highs, lows, closes, 14)[-1]
+                vwaps = calc_vwap(closes, volumes)
+                levels_alt = calc_exit_levels(
+                    entry=current_price, atr=atr_v, current_price=current_price,
+                    day_high=quote['high'], day_low=quote['low'],
+                    prev_high=max(highs), prev_low=min(lows),
+                    vwap=vwaps[-1], side=side, min_rr=1.5,
+                    vol_sl_multi=1.5, vol_tp1_multi=3.0,
+                )
+                if levels_alt:
+                    print(f"  ⚠️ ATR 调整 → R:R=1:{levels_alt.rr_ratio:.2f}")
+                    output_lines.append(format_qq_output(levels_alt, change, current_price, side, symbol, score, avg_adr, 'atr_adj'))
+                else:
+                    print(f"  ❌ 全部场景否决")
+
+        print()
+
+    if output_lines:
+        header = f"📊 港股日内做T点位 ({date})\n⚠️ 仅参考, 不交易\n"
+        print("\n=== QQ 推送内容 ===")
+        print(header + "\n---\n".join(output_lines))
+    else:
+        print("\n💤 全部场景否决, 无输出")
+
+
+if __name__ == '__main__':
+    main()