542 lines
18 KiB
Python
542 lines
18 KiB
Python
"""趋势突破三阶段扫描管道
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Phase 1: 全市场批量预筛 — get_daily_all × 5 天 + get_daily_basic → ~300 候选
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Phase 2: 资金流批量过滤 — get_moneyflow_batch → ~80 候选
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Phase 3: 逐股深度分析 — get_stock_daily(120d) + 入场信号 + 供需评分 → ~20 推荐
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"""
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import logging
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from datetime import datetime, timedelta
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import numpy as np
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import pandas as pd
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from app.config import settings
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from app.data.tushare_client import tushare_client
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from app.analysis.technical import add_all_indicators
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from app.analysis.breakout_signals import (
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classify_entry_signal,
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score_supply_demand,
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analyze_volume_pattern,
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EntrySignal,
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)
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logger = logging.getLogger(__name__)
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async def scan_trend_breakout(
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trade_date: str = None,
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market_temp=None,
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hot_sectors: list = None,
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intraday: bool = False,
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) -> list[dict]:
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"""统一趋势突破扫描 — 三阶段管道
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Returns:
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list[dict] — 每个字典包含:
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ts_code, name, sector, entry_signal_type, entry_signal_score,
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trend_timing_score, supply_demand_score, capital_score,
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main_net_inflow, inflow_ratio, turnover_rate, volume_ratio,
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circ_mv, pe, pb, volume_trend, demand_supply_ratio
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"""
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if not trade_date:
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trade_date = tushare_client.get_latest_trade_date()
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logger.info(f"=== 趋势突破扫描 (trade_date={trade_date}) ===")
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# Phase 1: 批量预筛
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candidates = _bulk_pre_filter(trade_date)
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if candidates.empty:
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logger.info("Phase 1 预筛无候选")
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return []
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logger.info(f"Phase 1 预筛: {len(candidates)} 只候选")
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# Phase 2: 资金流过滤
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candidates = _bulk_capital_filter(candidates, trade_date)
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if candidates.empty:
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logger.info("Phase 2 资金过滤后无候选")
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return []
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logger.info(f"Phase 2 资金过滤: {len(candidates)} 只候选")
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# Phase 3: 逐股深度分析
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results = await _deep_analysis(candidates, trade_date, market_temp, hot_sectors or [], intraday)
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logger.info(f"Phase 3 深度分析: {len(results)} 只推荐")
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return results
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def _bulk_pre_filter(trade_date: str) -> pd.DataFrame:
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"""Phase 1: 批量预筛
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利用 get_daily_all × 5 天构建迷你时序，用 5 日趋势初筛。
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合并 get_daily_basic 过滤市值/换手率。
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排除 ST 和次新股。
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"""
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# 获取交易日历
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dates = tushare_client.get_trade_dates()
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if not dates:
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logger.warning("Phase 1: 无法获取交易日历")
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return pd.DataFrame()
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# 取最近 5 个交易日（含当日）
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recent_dates = dates[-5:] if len(dates) >= 5 else dates
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if trade_date not in recent_dates:
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recent_dates = recent_dates[-4:] + [trade_date] if len(recent_dates) >= 4 else [trade_date]
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logger.info(f"Phase 1: 使用交易日 {recent_dates}")
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# 获取多日全市场数据
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daily_frames = []
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for d in recent_dates:
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df = tushare_client.get_daily_all(d)
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if not df.empty:
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daily_frames.append(df)
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logger.debug(f"Phase 1: {d} 获取到 {len(df)} 只股票数据")
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else:
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logger.warning(f"Phase 1: {d} 无数据")
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if len(daily_frames) < 2:
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# 至少需要 2 天数据做趋势判断
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if daily_frames:
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logger.info("Phase 1: 仅有1天数据，跳过趋势筛选")
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return _filter_daily_basic(daily_frames[0], trade_date)
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logger.warning("Phase 1: 完全无数据")
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return pd.DataFrame()
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# 拼接多日数据
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all_daily = pd.concat(daily_frames, ignore_index=True)
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logger.info(f"Phase 1: 拼接后总记录数 {len(all_daily)}")
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# 计算每只股票的 5 日趋势
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stock_groups = all_daily.groupby("ts_code")
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# 分步统计
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total_stocks = len(stock_groups)
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count_has_data = 0
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count_main_board = 0
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count_no_limit = 0
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count_positive_return = 0
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count_above_avg = 0
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count_near_high = 0
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trend_data = []
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for ts_code, group in stock_groups:
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if len(group) < 2:
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continue
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count_has_data += 1
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group = group.sort_values("trade_date")
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latest = group.iloc[-1]
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# 排除非主板（只保留 00/30/60 开头）
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code_prefix = ts_code[:2]
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if code_prefix not in ("00", "30", "60"):
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continue
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count_main_board += 1
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# 排除涨跌停
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pct = latest["pct_chg"]
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if pd.isna(pct) or abs(pct) > 9.5:
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continue
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count_no_limit += 1
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# 5 日涨幅
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first_close = group.iloc[0]["close"]
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last_close = latest["close"]
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if first_close <= 0:
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continue
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ret_5d = (last_close - first_close) / first_close * 100
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# 条件：5 日涨幅 > -2%（允许小幅回调） 且 < 20%（未过热）
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if ret_5d <= -2 or ret_5d >= 20:
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continue
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count_positive_return += 1
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# 5 日均价
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avg_close = group["close"].mean()
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if avg_close <= 0:
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continue
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# 收盘价 >= 5 日均价 * 0.98（允许略低于均线）
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if last_close < avg_close * 0.98:
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continue
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count_above_avg += 1
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# 距 5 日高点 < 8%（放宽，不要求紧贴高点）
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high_5d = group["high"].max()
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if high_5d <= 0:
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continue
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dist_from_high = (high_5d - last_close) / high_5d * 100
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if dist_from_high > 8:
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continue
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count_near_high += 1
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trend_data.append({
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"ts_code": ts_code,
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"close": last_close,
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"pct_chg_today": pct,
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"return_5d": round(ret_5d, 2),
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"dist_from_high_5d": round(dist_from_high, 2),
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"vol_today": latest["vol"],
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})
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logger.info(
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f"Phase 1 趋势筛选: "
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f"总{total_stocks} → 有数据{count_has_data} → 主板{count_main_board} → "
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f"非涨跌停{count_no_limit} → 5日涨幅>-2%{count_positive_return} → "
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f"近均线{count_above_avg} → 近高点{count_near_high}"
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)
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if not trend_data:
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return pd.DataFrame()
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candidates = pd.DataFrame(trend_data)
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# 合并 daily_basic 过滤（使用更宽松的换手率）
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return _filter_daily_basic(candidates, trade_date)
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def _filter_daily_basic(candidates: pd.DataFrame, trade_date: str) -> pd.DataFrame:
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"""使用 daily_basic 过滤市值、换手率，排除 ST 和次新"""
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basic = tushare_client.get_daily_basic(trade_date)
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if basic.empty:
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logger.warning("Phase 1: daily_basic 无数据")
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return candidates
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# 股票基本信息（排除 ST 和次新）
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stock_basic = tushare_client.get_stock_basic()
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exclude_codes = set()
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if not stock_basic.empty:
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# ST
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st_codes = set(stock_basic[stock_basic["name"].str.contains("ST", na=False)]["ts_code"])
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exclude_codes.update(st_codes)
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# 次新
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cutoff = (datetime.now() - timedelta(days=settings.min_list_days)).strftime("%Y%m%d")
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new_codes = set(stock_basic[stock_basic["list_date"] > cutoff]["ts_code"])
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exclude_codes.update(new_codes)
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# Tushare circ_mv 单位是万元，转为亿元
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basic["circ_mv"] = basic["circ_mv"] / 10000
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# Phase 1 使用更宽松的换手率门槛（2%）以保留更多候选
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min_tr = min(settings.min_turnover_rate, 2.0)
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basic_filtered = basic[
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(basic["circ_mv"] >= settings.min_circ_mv) &
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(basic["circ_mv"] <= settings.max_circ_mv) &
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(basic["turnover_rate"] >= min_tr) &
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(basic["turnover_rate"] <= settings.max_turnover_rate) &
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(~basic["ts_code"].isin(exclude_codes))
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].copy()
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logger.info(
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f"Phase 1 daily_basic: 全市场{len(basic)}只 → "
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f"过滤后{len(basic_filtered)}只 "
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f"(circ_mv {settings.min_circ_mv}-{settings.max_circ_mv}亿, "
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f"turnover >={min_tr}%)"
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)
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if basic_filtered.empty:
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return pd.DataFrame()
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# 合并候选和 basic 数据
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if "circ_mv" in candidates.columns:
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merged = candidates
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else:
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# candidates 没有 basic 列，通过 ts_code 合并
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basic_subset = basic_filtered[["ts_code", "turnover_rate", "volume_ratio",
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"circ_mv", "pe", "pb"]].drop_duplicates("ts_code")
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# 如果 candidates 有 ts_code 列
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if "ts_code" in candidates.columns:
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merged = candidates.merge(basic_subset, on="ts_code", how="inner")
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else:
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# candidates 是 get_daily_all 返回的原始 df
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merged = basic_subset
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logger.info(f"Phase 1 合并后: {len(merged)} 只候选")
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return merged
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def _bulk_capital_filter(candidates: pd.DataFrame, trade_date: str) -> pd.DataFrame:
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"""Phase 2: 资金流批量过滤
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硬条件：主力净流入 > 0（特大单 + 大单净买为正）
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"""
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mf = tushare_client.get_moneyflow_batch(trade_date)
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if mf.empty:
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return candidates
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# 计算主力净流入 = (特大单买入-特大单卖出) + (大单买入-大单卖出)
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mf["main_net_inflow"] = (
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(mf["buy_elg_amount"] - mf["sell_elg_amount"]) +
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(mf["buy_lg_amount"] - mf["sell_lg_amount"])
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)
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# 计算流入比例
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total = (
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mf["buy_elg_amount"] + mf["sell_elg_amount"] +
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mf["buy_lg_amount"] + mf["sell_lg_amount"] +
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mf["buy_md_amount"] + mf["sell_md_amount"] +
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mf["buy_sm_amount"] + mf["sell_sm_amount"]
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)
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mf["inflow_ratio"] = mf["main_net_inflow"] / total.replace(0, np.nan) * 100
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mf["inflow_ratio"] = mf["inflow_ratio"].fillna(0)
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# 只保留主力净流入 > 0 的
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mf_positive = mf[mf["main_net_inflow"] > 0][["ts_code", "main_net_inflow", "inflow_ratio"]]
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# 合并候选
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if "ts_code" in candidates.columns:
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merged = candidates.merge(mf_positive, on="ts_code", how="inner")
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else:
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merged = mf_positive
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# 按主力净流入排序，取 top 100
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if not merged.empty:
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merged = merged.sort_values("main_net_inflow", ascending=False).head(100)
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return merged.reset_index(drop=True)
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async def _deep_analysis(
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candidates: pd.DataFrame,
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trade_date: str,
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market_temp,
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hot_sectors: list,
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intraday: bool,
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) -> list[dict]:
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"""Phase 3: 逐股深度分析
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对每只候选获取 120 日 K 线，计算技术指标，
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分类入场信号，评分供需关系。
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"""
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import asyncio
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from app.analysis.signals import generate_signals
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from app.analysis.capital_flow import _score_valuation
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# 获取股票名称映射
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stock_basic = tushare_client.get_stock_basic()
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name_map = {}
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industry_map = {}
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if not stock_basic.empty:
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for _, row in stock_basic.iterrows():
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name_map[row["ts_code"]] = row["name"]
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industry_map[row["ts_code"]] = row.get("industry", "")
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# 获取多日资金流（用于资金持续性评分）
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mf_history = _get_multi_day_moneyflow(candidates, trade_date)
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results = []
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total = len(candidates)
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signal_counts = {"breakout": 0, "breakout_confirm": 0, "pullback": 0, "launch": 0, "reversal": 0, "none": 0}
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for idx, row in candidates.iterrows():
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ts_code = row["ts_code"] if "ts_code" in candidates.columns else ""
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if not ts_code:
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continue
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name = name_map.get(ts_code, ts_code)
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sector = industry_map.get(ts_code, "")
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try:
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# 获取 120 日 K 线
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df = tushare_client.get_stock_daily(ts_code, 120)
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if df.empty or len(df) < 30:
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continue
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# 添加技术指标
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df = add_all_indicators(df)
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# 入场信号分类
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entry_signal = classify_entry_signal(df)
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signal_type = entry_signal["signal_type"]
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if signal_type == EntrySignal.NONE:
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signal_counts["none"] += 1
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continue
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signal_counts[signal_type.value] += 1
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# 趋势评分（内联简化版）
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trend_score = _simple_trend_score(df)
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# 供需评分
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sd_score = score_supply_demand(df)
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# 量价模式分析
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vol_pattern = analyze_volume_pattern(df)
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# 技术信号（复用现有 generate_signals）
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tech_signal = generate_signals(ts_code, name)
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# 资金流评分
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capital_score = _score_capital(
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row, mf_history.get(ts_code, pd.DataFrame())
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)
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# 估值评分（作为辅助参考）
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pe = row.get("pe")
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pb = row.get("pb")
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valuation_score = _score_valuation(pe, pb)
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results.append({
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"ts_code": ts_code,
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"name": name,
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"sector": sector,
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"entry_signal_type": entry_signal["signal_type"].value,
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"entry_signal_score": round(entry_signal["signal_score"], 1),
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"entry_signal_details": entry_signal.get("details", {}),
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"trend_timing_score": round(trend_score, 1),
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"supply_demand_score": round(sd_score, 1),
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"capital_score": round(capital_score, 1),
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"valuation_score": round(valuation_score, 1),
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"technical_score": round(tech_signal.score, 1),
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"position_score": round(tech_signal.position_score, 1),
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"main_net_inflow": row.get("main_net_inflow", 0),
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"inflow_ratio": round(row.get("inflow_ratio", 0), 2),
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"turnover_rate": row.get("turnover_rate"),
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"volume_ratio": row.get("volume_ratio"),
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"circ_mv": row.get("circ_mv"),
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"pe": pe,
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"pb": pb,
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"volume_trend": vol_pattern["volume_trend"],
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"demand_supply_ratio": vol_pattern["demand_supply_ratio"],
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# 技术信号详情（用于生成推荐理由）
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"tech_signal": tech_signal,
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})
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if len(results) >= settings.top_stock_count:
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break
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except Exception as e:
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logger.debug(f"深度分析 {ts_code} 失败: {e}")
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continue
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# 让出控制权，避免阻塞事件循环
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if idx % 10 == 0:
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await asyncio.sleep(0)
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logger.info(
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f"Phase 3 入场信号分布: "
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f"突破={signal_counts['breakout']} 确认={signal_counts['breakout_confirm']} "
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f"回踩={signal_counts['pullback']} 启动={signal_counts['launch']} "
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f"反转={signal_counts['reversal']} 无信号={signal_counts['none']} "
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f"(共分析{total}只)"
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)
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return results
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def _get_multi_day_moneyflow(candidates: pd.DataFrame, trade_date: str) -> dict[str, pd.DataFrame]:
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"""获取候选股票近 5 日资金流数据（用于资金持续性评分）
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利用 get_stock_moneyflow 逐只获取（仅对 Phase 2 过滤后的 ~80 只）。
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"""
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result = {}
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if "ts_code" not in candidates.columns:
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return result
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for ts_code in candidates["ts_code"].values[:80]:
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try:
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df = tushare_client.get_stock_moneyflow(ts_code, 5)
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if not df.empty:
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result[ts_code] = df
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except Exception:
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pass
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return result
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def _simple_trend_score(df: pd.DataFrame) -> float:
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"""简化趋势评分 (0-100)，用于回退扫描路径"""
|
||
import numpy as np
|
||
score = 0
|
||
last = df.iloc[-1]
|
||
|
||
ma_cols = [c for c in ["ma5", "ma10", "ma20", "ma60"] if c in df.columns]
|
||
if len(ma_cols) >= 4 and not any(pd.isna(last[c]) for c in ma_cols):
|
||
if last["ma5"] > last["ma10"] > last["ma20"] > last["ma60"]:
|
||
score += 50
|
||
elif last["ma5"] > last["ma10"] > last["ma20"]:
|
||
score += 35
|
||
elif last["ma5"] > last["ma20"]:
|
||
score += 20
|
||
|
||
if len(df) >= 20:
|
||
recent = df.tail(20)
|
||
if recent["high"].iloc[10:].max() > recent["high"].iloc[:10].max():
|
||
score += 30
|
||
if recent["low"].iloc[10:].min() > recent["low"].iloc[:10].min():
|
||
score += 20
|
||
|
||
return min(score, 100)
|
||
|
||
|
||
def _score_capital(stock_row: dict | pd.Series, mf_history: pd.DataFrame) -> float:
|
||
"""资金流评分 (0-100)
|
||
|
||
维度：
|
||
- 当日主力净流入规模 (35)
|
||
- 资金持续性 (35): 近 N 日中主力净流入为正的天数
|
||
- 流入比 (15)
|
||
- 量比 (15)
|
||
"""
|
||
score = 0
|
||
|
||
main_net = stock_row.get("main_net_inflow", 0) or 0
|
||
inflow_ratio = stock_row.get("inflow_ratio", 0) or 0
|
||
volume_ratio = stock_row.get("volume_ratio")
|
||
|
||
# 当日主力净流入规模 (35)
|
||
if main_net > 10000:
|
||
score += 35
|
||
elif main_net > 5000:
|
||
score += 28
|
||
elif main_net > 2000:
|
||
score += 20
|
||
elif main_net > 500:
|
||
score += 12
|
||
elif main_net > 0:
|
||
score += 5
|
||
|
||
# 资金持续性 (35)
|
||
if not mf_history.empty and len(mf_history) >= 2:
|
||
positive_days = 0
|
||
for _, r in mf_history.iterrows():
|
||
net = (r.get("buy_elg_amount", 0) - r.get("sell_elg_amount", 0) +
|
||
r.get("buy_lg_amount", 0) - r.get("sell_lg_amount", 0))
|
||
if net > 0:
|
||
positive_days += 1
|
||
total_days = len(mf_history)
|
||
if total_days >= 3 and positive_days >= total_days * 0.7:
|
||
score += 35
|
||
elif total_days >= 2 and positive_days >= total_days * 0.5:
|
||
score += 25
|
||
elif positive_days >= 1:
|
||
score += 12
|
||
else:
|
||
# 只有一天数据且为正（已经通过 Phase 2 过滤）
|
||
score += 15
|
||
|
||
# 流入比 (15)
|
||
if inflow_ratio > 15:
|
||
score += 15
|
||
elif inflow_ratio > 10:
|
||
score += 12
|
||
elif inflow_ratio > 5:
|
||
score += 8
|
||
elif inflow_ratio > 0:
|
||
score += 4
|
||
|
||
# 量比 (15)
|
||
if volume_ratio:
|
||
if volume_ratio > 2.0:
|
||
score += 15
|
||
elif volume_ratio > 1.5:
|
||
score += 10
|
||
elif volume_ratio > 1.0:
|
||
score += 5
|
||
|
||
return min(score, 100)
|