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Adjust 000852 market-cap band and volume filter

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This commit is contained in:
boris
2026-04-22 04:43:08 -07:00
parent 1a12c46589
commit c57d75878f
2 changed files with 15 additions and 10 deletions
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19
data/demo/000852量价微盘平台策略.engine-script.txt
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@@ -6,21 +6,27 @@ let rsi_rate = 1.0001;
let trade_rate = 0.5;
let xs = 4 / 500;
let base_index_level = 2000;
let base_cap_floor = 7;
let cap_span = 10;
let base_cap_floor = 3;
let base_cap_ceiling = 28;
fn band_start(current_price, base_index_level, xs, base_cap_floor) {
if current_price == base_index_level {
base_cap_floor
} else if current_price > 0 {
(current_price - base_index_level) * xs + base_cap_floor
round((current_price - base_index_level) * xs + base_cap_floor)
} else {
base_cap_floor
}
}
fn band_end(current_price, base_index_level, xs, base_cap_floor, cap_span) {
band_start(current_price, base_index_level, xs, base_cap_floor) + cap_span
fn band_end(current_price, base_index_level, xs, base_cap_ceiling) {
if current_price == base_index_level {
base_cap_ceiling
} else if current_price > 0 {
round((current_price - base_index_level) * xs + base_cap_ceiling)
} else {
base_cap_ceiling
}
}
strategy("microcap_volume_trend_000852") {
@@ -36,7 +42,7 @@ strategy("microcap_volume_trend_000852") {
selection.market_cap_band(
field="market_cap",
lower=band_start(signal_close, base_index_level, xs, base_cap_floor),
upper=band_end(signal_close, base_index_level, xs, base_cap_floor, cap_span)
upper=band_end(signal_close, base_index_level, xs, base_cap_ceiling)
)
risk.index_exposure(
@@ -46,7 +52,6 @@ strategy("microcap_volume_trend_000852") {
filter.stock_expr(
stock_ma5 > stock_ma10 * rsi_rate &&
stock_ma10 > stock_ma30 * rsi_rate &&
rolling_mean("volume", 5) < rolling_mean("volume", 20) &&
rolling_mean("volume", 5) < rolling_mean("volume", 60)
)

6
data/demo/000852量价微盘平台策略.strategy_spec.json
View File

@@ -16,13 +16,13 @@
"rankLimit": 40
},
"runtimeExpressions": {
"prelude": "let refresh_rate = 15;\nlet stocknum = 40;\nlet close_rate = 1.07;\nlet loss_rate = 0.93;\nlet rsi_rate = 1.0001;\nlet trade_rate = 0.5;\nlet xs = 4 / 500;\nlet base_index_level = 2000;\nlet base_cap_floor = 7;\nlet cap_span = 10;\nfn band_start(current_price, base_index_level, xs, base_cap_floor) {\n if current_price == base_index_level {\n base_cap_floor\n } else if current_price > 0 {\n (current_price - base_index_level) * xs + base_cap_floor\n } else {\n base_cap_floor\n }\n}\nfn band_end(current_price, base_index_level, xs, base_cap_floor, cap_span) {\n band_start(current_price, base_index_level, xs, base_cap_floor) + cap_span\n}",
"prelude": "let refresh_rate = 15;\nlet stocknum = 40;\nlet close_rate = 1.07;\nlet loss_rate = 0.93;\nlet rsi_rate = 1.0001;\nlet trade_rate = 0.5;\nlet xs = 4 / 500;\nlet base_index_level = 2000;\nlet base_cap_floor = 3;\nlet base_cap_ceiling = 28;\nfn band_start(current_price, base_index_level, xs, base_cap_floor) {\n if current_price == base_index_level {\n base_cap_floor\n } else if current_price > 0 {\n round((current_price - base_index_level) * xs + base_cap_floor)\n } else {\n base_cap_floor\n }\n}\nfn band_end(current_price, base_index_level, xs, base_cap_ceiling) {\n if current_price == base_index_level {\n base_cap_ceiling\n } else if current_price > 0 {\n round((current_price - base_index_level) * xs + base_cap_ceiling)\n } else {\n base_cap_ceiling\n }\n}",
"selection": {
"limitExpr": "stocknum",
"marketCapField": "market_cap",
"marketCapLowerExpr": "band_start(signal_close, base_index_level, xs, base_cap_floor)",
"marketCapUpperExpr": "band_end(signal_close, base_index_level, xs, base_cap_floor, cap_span)",
"stockFilterExpr": "stock_ma5 > stock_ma10 * rsi_rate && stock_ma10 > stock_ma30 * rsi_rate && rolling_mean(\"volume\", 5) < rolling_mean(\"volume\", 20) && rolling_mean(\"volume\", 5) < rolling_mean(\"volume\", 60)"
"marketCapUpperExpr": "band_end(signal_close, base_index_level, xs, base_cap_ceiling)",
"stockFilterExpr": "stock_ma5 > stock_ma10 * rsi_rate && stock_ma10 > stock_ma30 * rsi_rate && rolling_mean(\"volume\", 5) < rolling_mean(\"volume\", 60)"
},
"risk": {
"exposureExpr": "signal_ma5 > signal_ma10 * rsi_rate ? 1.0 : trade_rate",