56 lines
1.9 KiB
Python
56 lines
1.9 KiB
Python
"""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。
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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。
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判定：单日收盘跳空超过 15% 视为异常（ETF 涨跌停一般 ±10%）。
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用法： py -3.14 -B labs/analysis/etf/check_gaps.py
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"""
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import json
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import sys
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from pathlib import Path
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HERE = Path(__file__).resolve().parent
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sys.path.insert(0, str(HERE))
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try:
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sys.stdout.reconfigure(encoding="utf-8", errors="replace")
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except Exception:
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pass
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from backtest import CACHE # noqa: E402
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from check_candidates import CANDIDATES # noqa: E402
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def scan(code: str) -> list[tuple[str, str, float, float, float]]:
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path = CACHE / f"{code}.json"
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if not path.exists():
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return []
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rows = sorted(json.loads(path.read_text(encoding="utf-8")), key=lambda r: str(r["trade_date"]))
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out = []
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for prev, cur in zip(rows, rows[1:]):
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a, b = float(prev["close"]), float(cur["close"])
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if a <= 0:
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continue
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change = (b / a - 1) * 100
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if abs(change) > 15:
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out.append((str(prev["trade_date"]), str(cur["trade_date"]), a, b, change))
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return out
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print(f"{'板块':12} {'代码':11} {'异常跳空':>8} 明细")
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flagged = []
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for sector, code in CANDIDATES.items():
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gaps = scan(code)
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detail = "; ".join(f"{a}->{b}: {x:.2f}→{y:.2f} ({c:+.1f}%)" for a, b, x, y, c in gaps[:3])
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print(f"{sector:12} {code:11} {len(gaps):8} {detail}")
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if gaps:
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flagged.append((sector, code, gaps))
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print()
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if flagged:
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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：")
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for sector, code, gaps in flagged:
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print(f" {sector}({code})：{len(gaps)} 处，最大 {max(abs(g[4]) for g in gaps):.1f}%")
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else:
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print("未发现异常跳空")
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