optz

labs/analysis/etf/entries.py

@@ -0,0 +1,40 @@
+"""入场机会频率：日线上"进入门槛 + 当日收回门槛以上"到底出现多少次，以及 MA60 上限的影响。
+
+用法： py -3.14 -B analysis/etf/entries.py
+"""
+
+import sys
+from datetime import date
+from pathlib import Path
+
+HERE = Path(__file__).resolve().parent
+sys.path.insert(0, str(HERE))
+
+from backtest import SYMBOLS, SYMBOL_PARAMS, EtfDefaults, EtfSymbolConfig, fetch_daily, precondition
+
+BASE = EtfDefaults()
+data = {c: fetch_daily(c) for c in SYMBOLS}
+
+print(f"{'标的':11} {'可回放日':>7} {'跌破门槛':>8} {'收在门槛上':>10} {'入场信号':>8} "
+      f"{'低于门槛的天数占比':>18} {'现价<MA60 天数占比':>18}")
+for code in SYMBOLS:
+    series = precondition(data[code], EtfSymbolConfig(**SYMBOL_PARAMS[code]), BASE)
+    below = above = signal = 0
+    below_ma = 0
+    for bar, ind in series:
+        entry, ma60 = ind["etf_entry"], ind["etf_ma60"]
+        if bar["low"] <= entry:
+            below += 1
+        if bar["close"] > entry and bar["low"] <= entry:
+            above += 1
+        if bar["low"] <= entry and bar["close"] > entry:
+            signal += 1
+        if bar["close"] < ma60:
+            below_ma += 1
+    n = len(series)
+    print(f"{code:11} {n:7} {below:8} {above:10} {signal:8} "
+          f"{below / n * 100:17.1f}% {below_ma / n * 100:17.1f}%")
+
+print()
+print("说明：'入场信号' = 当日最低价跌破入场门槛、且收盘价收回门槛之上（回测里建网的日线近似）。")
+print("      它是机会频率的上界：实盘还要再满足盘中反弹 0.5% 的确认。")