feat etf

labs/analysis/etf/pick_sector.py

@@ -0,0 +1,67 @@
+"""在指定关键词范围内，按"最近 120 根无价格断层 + 规模/成交额"挑选 ETF。
+
+用法：
+    py -3.14 -B labs/analysis/etf/pick_sector.py 通信
+    py -3.14 -B labs/analysis/etf/pick_sector.py 半导体 芯片
+"""
+
+import json
+import sys
+import time
+import urllib.parse
+import urllib.request
+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, DAILY_URL  # noqa: E402
+from screen_etf import fetch_all, code_of, size_yi, turnover_yi  # noqa: E402
+
+
+def window_clean(code: str) -> tuple[bool, float, str]:
+    """最近 120 根内最大单日跳空；<=15% 视为干净。"""
+    path = CACHE / f"{code}.json"
+    try:
+        if path.exists():
+            rows = json.loads(path.read_text(encoding="utf-8"))
+        else:
+            request = urllib.request.Request(f"{DAILY_URL}?code={code}",
+                                             headers={"User-Agent": "Mozilla/5.0"})
+            with urllib.request.urlopen(request, timeout=30) as response:
+                rows = json.load(response)
+            CACHE.mkdir(parents=True, exist_ok=True)
+            path.write_text(json.dumps(rows), encoding="utf-8")
+    except Exception as exc:
+        return False, 999.0, f"抓取失败:{exc}"
+    rows = sorted(rows, key=lambda r: str(r["trade_date"]))[-120:]
+    worst, day = 0.0, ""
+    for prev, cur in zip(rows, rows[1:]):
+        a, b = float(prev["close"]), float(cur["close"])
+        if a > 0 and abs(b / a - 1) * 100 > worst:
+            worst, day = abs(b / a - 1) * 100, str(cur["trade_date"])
+    return worst <= 15, worst, day
+
+
+def main() -> int:
+    keywords = sys.argv[1:] or ["通信"]
+    wanted = {c: r for c, r in ((code_of(r), r) for r in fetch_all())
+              if any(k in str(r.get("f14") or "") for k in keywords)}
+    rows = sorted(wanted.values(), key=lambda r: -size_yi(r))
+    print(f"关键词 {keywords}：命中 {len(rows)} 只，按规模前 12 只做断层检查")
+    print(f"{'代码':11} {'名称':26} {'规模(亿)':>9} {'成交额(亿)':>10} {'窗口跳空':>9} 判定")
+    for row in rows[:12]:
+        code = code_of(row)
+        clean, worst, day = window_clean(code)
+        time.sleep(0.2)
+        print(f"{code:11} {str(row.get('f14')):26} {size_yi(row):9.2f} {turnover_yi(row):10.3f} "
+              f"{worst:8.1f}% {'可用' if clean else '有断层(' + day + ')'}")
+    return 0
+
+
+if __name__ == "__main__":
+    raise SystemExit(main())