feat(strategy-management): exit_levels.py - 港美股做T 出场点位算法 (混合公式)
方法 2 (百分比波动率) + 方法 3 (关键价位) 混合算法 feat(intraday-regime-detector): 新 skill - 日内市场状态判别 来源: DeepSeek chat share 26iikphv8h94feze9q 核心: R² + ADF + 历史波动率, 识别趋势市 / 震荡市 / 混乱 推荐: 趋势跟踪 / 网格交易 / 布林带回归 / NO_TRADE
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#!/usr/bin/env python3
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"""
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regime_scan.py - 扫描港美股日内候选的市场状态 + 推荐策略
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不交易, 只判别 + 推 QQ
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"""
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import sys
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import json
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import subprocess
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import re
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from pathlib import Path
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sys.path.insert(0, '/home/openclaw/.hermes/skills/trading/intraday-regime-detector/scripts')
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from intraday_regime import IntradayStrategySelector, MarketRegime, StrategyType
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CANDIDATE_HK = Path('/home/openclaw/.hermes/skills/trading/quant-factor-mining/artifacts/hk_intraday_latest.json')
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CANDIDATE_US = Path('/home/openclaw/.hermes/skills/trading/quant-factor-mining/artifacts/us_intraday_latest.json')
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def fetch_klines_hk(symbol: str, period: str = '5m', count: int = 30) -> list:
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"""港股表格 parser"""
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result = subprocess.run(
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['proxychains4', '-f', '/home/openclaw/.proxychains/proxychains.conf',
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'/home/openclaw/.local/bin/longbridge', '--profile', 'lb_real',
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'candlesticks', symbol, period, '--count', str(count)],
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capture_output=True, text=True, timeout=30,
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)
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klines = []
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pattern = re.compile(
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r'│\s*(\d{4}-\d{2}-\d{2}\s+\d{2}:\d{2})\s*│'
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r'\s*([\d,.]+)\s*│\s*([\d,.]+)\s*│\s*([\d,.]+)\s*│\s*([\d,.]+)\s*│\s*([\d,.]+)\s*│'
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)
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for line in result.stdout.split('\n'):
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m = pattern.search(line)
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if m:
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ts, o, h, l, c, v = m.groups()
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def parse_num(s):
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return float(s.replace(',', ''))
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klines.append({
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'open': parse_num(o),
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'high': parse_num(h),
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'low': parse_num(l),
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'close': parse_num(c),
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'volume': parse_num(v),
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})
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return klines
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def fetch_klines_us(symbol: str, period: str = '5m', count: int = 30) -> list:
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"""美股 JSON"""
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result = subprocess.run(
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['proxychains4', '-f', '/home/openclaw/.proxychains/proxychains.conf',
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'/home/openclaw/.local/bin/longbridge', '--profile', 'lb_real',
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'candlesticks', symbol, period, '--count', str(count), '--json'],
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capture_output=True, text=True, timeout=30,
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)
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start = result.stdout.find('[')
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if start == -1:
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return []
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try:
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data = json.loads(result.stdout[start:])
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return [{
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'open': float(k['open']),
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'high': float(k['high']),
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'low': float(k['low']),
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'close': float(k['close']),
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'volume': float(k.get('volume', 0)),
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} for k in data if 'close' in k]
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except Exception:
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return []
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def fetch_quote(symbol: str) -> dict:
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result = subprocess.run(
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['proxychains4', '-f', '/home/openclaw/.proxychains/proxychains.conf',
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'/home/openclaw/.local/bin/longbridge', '--profile', 'lb_real',
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'quote', symbol, '--json'],
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capture_output=True, text=True, timeout=30,
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)
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text = result.stdout
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start = text.find('[')
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if start == -1:
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return {}
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try:
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return json.loads(text[start:])[0]
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except Exception:
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return {}
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def analyze_market(symbol: str, market: str, klines: list, quote: dict) -> str:
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"""返回单支票分析报告"""
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if not klines or not quote:
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return f"❌ {symbol} 数据缺失"
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try:
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import pandas as pd
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df = pd.DataFrame(klines)
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except ImportError:
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return f"❌ pandas 未装"
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prev_close = quote.get('prev_close', 0)
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current_price = quote['last_done']
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open_p = quote['open']
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gap_pct = ((open_p - prev_close) / prev_close * 100) if prev_close else 0
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selector = IntradayStrategySelector()
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diag = selector.diagnose(df, open_gap_pct=gap_pct)
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# 策略 emoji
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strategy_emoji = {
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StrategyType.TREND_FOLLOWING: '📈',
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StrategyType.GRID_TRADING: '🔲',
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StrategyType.BOLLINGER_REVERSION: '📊',
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StrategyType.NO_TRADE: '⛔',
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}
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regime_short = {
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MarketRegime.STRONG_TREND_UP: '强趋↑',
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MarketRegime.STRONG_TREND_DOWN: '强趋↓',
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MarketRegime.HIGH_VOL_SHAKE: '高波震荡',
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MarketRegime.LOW_VOL_STABLE: '低波震荡',
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MarketRegime.CHAOTIC: '混乱',
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MarketRegime.UNKNOWN: '未知',
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}
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params_str = '\n'.join(f" {k}: {v}" for k, v in diag.strategy_params.items())
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return (
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f"\n{strategy_emoji.get(diag.recommended_strategy, '•')} **{symbol}** ({market}) "
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f"现价 ${current_price:.2f} ({gap_pct:+.2f}%) "
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f"置信度 {diag.confidence:.0%}\n"
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f" 状态: {regime_short.get(diag.regime, diag.regime.value)} | "
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f"R²={diag.r_squared} | 波动率={diag.volatility:.2%} | ADF p={diag.adf_pvalue}\n"
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f" 推荐: {diag.recommended_strategy.value}\n"
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f"{params_str}"
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)
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def scan_market(market: str, candidate_file: Path, fetch_klines_func) -> list:
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"""扫描一个市场"""
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if not candidate_file.exists():
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return [f"⚠️ 候选池不存在: {candidate_file.name}"]
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with open(candidate_file) as f:
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data = json.load(f)
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results = data.get('results', [])[:5] # top 5
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date = data.get('date', '?')[:10]
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if not results:
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return [f"⚠️ {market} 候选池为空"]
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reports = [f"📊 {market} 日内市场状态扫描 ({date})"]
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for entry in results:
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symbol = entry['ticker']
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score = entry['score']
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try:
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quote = fetch_quote(symbol)
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klines = fetch_klines_func(symbol, '5m', 30)
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report = analyze_market(symbol, market, klines, quote)
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reports.append(report)
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except Exception as e:
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reports.append(f"❌ {symbol} 异常: {e}")
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return reports
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def main():
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# 港股 + 美股
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hk_reports = scan_market('HK', CANDIDATE_HK, fetch_klines_hk)
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us_reports = scan_market('US', CANDIDATE_US, fetch_klines_us)
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print(f"📊 日内市场状态扫描 ({hk_reports[0].split('(')[-1].rstrip(')')})\n")
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print('=' * 60)
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print('\n--- 港股 ---')
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for r in hk_reports[1:]:
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print(r)
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print()
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print('\n--- 美股 ---')
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for r in us_reports[1:]:
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print(r)
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if __name__ == '__main__':
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main()
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