新增价差回测、宏观数据管理和交易信号框架

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
2026-07-18 18:27:41 +08:00
parent ecf4d28961
commit a5c17b6ba0
3 changed files with 372 additions and 0 deletions
@@ -0,0 +1,87 @@
+"""
+宏观数据管理：记录和管理月频地产景气度数据。
+"""
+import sqlite3
+import sys
+from datetime import datetime
+
+DB_PATH = "/Users/vipg/Documents/futures-data-warehouse/db/futures.db"
+
+TABLE_SQL = """
+CREATE TABLE IF NOT EXISTS macro (
+    month TEXT PRIMARY KEY,
+    housing_start_yoy REAL,
+    note TEXT
+)
+"""
+
+
+def init():
+    conn = sqlite3.connect(DB_PATH)
+    conn.execute(TABLE_SQL)
+    conn.commit()
+    conn.close()
+
+
+def add(month, yoy, note=""):
+    """添加/更新一个月的地产数据"""
+    conn = sqlite3.connect(DB_PATH)
+    conn.execute(
+        "INSERT OR REPLACE INTO macro (month, housing_start_yoy, note) VALUES (?, ?, ?)",
+        (month, yoy, note),
+    )
+    conn.commit()
+    conn.close()
+    print(f"macro: {month}  新房开工同比 {yoy:+.1f}%  {note}")
+
+
+def list_all():
+    conn = sqlite3.connect(DB_PATH)
+    rows = conn.execute(
+        "SELECT month, housing_start_yoy, note FROM macro ORDER BY month DESC"
+    ).fetchall()
+    conn.close()
+    if not rows:
+        print("暂无宏观数据")
+        return
+    print(f"{'月份':>8}  {'新房开工同比':>10}  {'备注'}")
+    print("-" * 40)
+    for r in rows:
+        print(f"{r[0]:>8}  {r[1]:>+9.1f}%  {r[2] or ''}")
+
+
+def direction():
+    """根据最新宏观数据返回当月方向偏好"""
+    conn = sqlite3.connect(DB_PATH)
+    row = conn.execute(
+        "SELECT month, housing_start_yoy FROM macro ORDER BY month DESC LIMIT 1"
+    ).fetchone()
+    conn.close()
+    if not row:
+        return "观望", "无宏观数据"
+
+    month, yoy = row
+    if yoy > 5:
+        return "做多", f"{month} 开工同比 {yoy:+.1f}%，景气回暖"
+    elif yoy > -5:
+        return "观望", f"{month} 开工同比 {yoy:+.1f}%，方向不明"
+    else:
+        return "做空", f"{month} 开工同比 {yoy:+.1f}%，持续低迷"
+
+
+if __name__ == "__main__":
+    init()
+
+    if len(sys.argv) >= 3 and sys.argv[1] == "add":
+        add(sys.argv[2], float(sys.argv[3]), " ".join(sys.argv[4:]))
+    elif len(sys.argv) >= 2 and sys.argv[1] == "list":
+        list_all()
+    elif len(sys.argv) >= 2 and sys.argv[1] == "direction":
+        d, reason = direction()
+        print(f"当前方向: {d}")
+        print(f"依据: {reason}")
+    else:
+        print("用法:")
+        print("  python3 macro.py add 202606 -26.0  6月数据")
+        print("  python3 macro.py list               查看所有")
+        print("  python3 macro.py direction          查看当月方向")