feat etf

labs/analysis/etf/check_gaps.py

@@ -0,0 +1,55 @@
+"""扫描候选 ETF 的日线是否存在"份额折算/拆分"造成的价格断层。
+
+接口无复权，若有拆分，MA60/ATR 会被污染 → 策略会在错误价位建网。
+判定：单日收盘跳空超过 15% 视为异常（ETF 涨跌停一般 ±10%）。
+
+用法： py -3.14 -B labs/analysis/etf/check_gaps.py
+"""
+
+import json
+import sys
+from pathlib import Path
+
+HERE = Path(__file__).resolve().parent
+sys.path.insert(0, str(HERE))
+try:
+    sys.stdout.reconfigure(encoding="utf-8", errors="replace")
+except Exception:
+    pass
+
+from backtest import CACHE  # noqa: E402
+from check_candidates import CANDIDATES  # noqa: E402
+
+
+def scan(code: str) -> list[tuple[str, str, float, float, float]]:
+    path = CACHE / f"{code}.json"
+    if not path.exists():
+        return []
+    rows = sorted(json.loads(path.read_text(encoding="utf-8")), key=lambda r: str(r["trade_date"]))
+    out = []
+    for prev, cur in zip(rows, rows[1:]):
+        a, b = float(prev["close"]), float(cur["close"])
+        if a <= 0:
+            continue
+        change = (b / a - 1) * 100
+        if abs(change) > 15:
+            out.append((str(prev["trade_date"]), str(cur["trade_date"]), a, b, change))
+    return out
+
+
+print(f"{'板块':12} {'代码':11} {'异常跳空':>8}  明细")
+flagged = []
+for sector, code in CANDIDATES.items():
+    gaps = scan(code)
+    detail = "; ".join(f"{a}->{b}: {x:.2f}→{y:.2f} ({c:+.1f}%)" for a, b, x, y, c in gaps[:3])
+    print(f"{sector:12} {code:11} {len(gaps):8}  {detail}")
+    if gaps:
+        flagged.append((sector, code, gaps))
+
+print()
+if flagged:
+    print("⚠️ 以下标的日线存在断层（多半是份额折算/拆分，接口无复权）→ 网格锚点会被污染：")
+    for sector, code, gaps in flagged:
+        print(f"   {sector}({code})：{len(gaps)} 处，最大 {max(abs(g[4]) for g in gaps):.1f}%")
+else:
+    print("未发现异常跳空")