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>

analyze_spread.py

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+"""
+跨期价差均值回归回测：支持任意合约月份组合。
+"""
+import sqlite3
+from collections import defaultdict
+from statistics import mean, stdev
+
+DB_PATH = "/Users/vipg/Documents/futures-data-warehouse/db/futures.db"
+
+conn = sqlite3.connect(DB_PATH)
+daily = conn.execute(
+    "SELECT ts_code, trade_date, close FROM daily WHERE close IS NOT NULL AND close != '' ORDER BY trade_date"
+).fetchall()
+conn.close()
+
+by_date = defaultdict(dict)
+for ts_code, d, close in daily:
+    by_date[d][ts_code] = float(close)
+
+dates = sorted(by_date.keys())
+
+
+def build_spread(month_a, month_b, cross_year=False):
+    """
+    构建两合约月份的价差序列。
+    month_a, month_b: '01','05','09'
+    cross_year: True 表示 year_b = year_a + 1（如 09-01 跨年）
+    返回 [(date, ts_a, ts_b, p_a, p_b, spread)]
+    """
+    data = []
+    for d in dates:
+        items = by_date[d]
+        for ts_code in list(items.keys()):
+            if not ts_code.endswith(".ZCE") or not ts_code.startswith("FG"):
+                continue
+            yr, mon = ts_code[2:4], ts_code[4:6]
+            if mon == month_a:
+                yr_b = str(int(yr) + 1) if cross_year else yr
+                ts_b = f"FG{yr_b}{month_b}.ZCE"
+                if ts_b in items:
+                    p_a = items[ts_code]
+                    p_b = items[ts_b]
+                    spread = p_b - p_a
+                    data.append((d, ts_code, ts_b, p_a, p_b, spread))
+    return data
+
+
+def backtest_spread(spread_data, window=60, entry_z=2.0, exit_z=0.5, max_hold=20):
+    equity = 1.0
+    position = 0
+    entry_spread = 0
+    entry_p_a = 0
+    entry_date = ""
+    hold_days = 0
+    trades = []
+    daily_eq = []
+
+    for i, (d, ts_a, ts_b, p_a, p_b, spread_val) in enumerate(spread_data):
+        if i < window:
+            daily_eq.append((d, equity))
+            continue
+
+        hist = [spread_data[j][5] for j in range(i - window, i)]
+        roll_mean = mean(hist)
+        roll_std = stdev(hist)
+
+        signal = 0
+        if spread_val > roll_mean + entry_z * roll_std:
+            signal = -1  # 价差过大 → 空价差（空远月、多近月）
+        elif spread_val < roll_mean - entry_z * roll_std:
+            signal = 1
+
+        should_exit = False
+        if position != 0:
+            hold_days += 1
+            if hold_days >= max_hold:
+                should_exit = True
+            if position == 1 and spread_val >= roll_mean - exit_z * roll_std:
+                should_exit = True
+            elif position == -1 and spread_val <= roll_mean + exit_z * roll_std:
+                should_exit = True
+
+        if position != 0 and should_exit:
+            if position == 1:
+                pnl = (spread_val - entry_spread) / entry_p_a
+            else:
+                pnl = (entry_spread - spread_val) / entry_p_a
+            equity *= (1 + pnl)
+            trades.append((entry_date, d, entry_spread, spread_val, pnl, position))
+            position = 0
+            hold_days = 0
+
+        if position == 0 and signal != 0:
+            position = signal
+            entry_spread = spread_val
+            entry_p_a = p_a
+            entry_date = d
+            hold_days = 0
+
+        daily_eq.append((d, equity))
+
+    if position != 0 and spread_data:
+        d, _, _, p_a, _, spread_val = spread_data[-1]
+        if position == 1:
+            pnl = (spread_val - entry_spread) / entry_p_a
+        else:
+            pnl = (entry_spread - spread_val) / entry_p_a
+        equity *= (1 + pnl)
+        trades.append((entry_date, d, entry_spread, spread_val, pnl, position))
+
+    return trades, daily_eq
+
+
+def print_results(trades, daily_eq, label):
+    if not trades:
+        print(f"\n{label}: 无交易")
+        return
+    wins = [t for t in trades if t[4] > 0]
+    losses = [t for t in trades if t[4] <= 0]
+    total_ret = daily_eq[-1][1] - 1.0 if daily_eq else 0
+    wr = len(wins) / len(trades) if trades else 0
+
+    returns = []
+    for i in range(1, len(daily_eq)):
+        if daily_eq[i-1][1] > 0:
+            returns.append(daily_eq[i][1] / daily_eq[i-1][1] - 1)
+    avg_ret = mean(returns) if returns else 0
+    std_ret = stdev(returns) if len(returns) > 1 else 1
+    sharpe = (avg_ret / std_ret) * (252 ** 0.5) if std_ret > 0 else 0
+
+    peak = 1.0
+    mdd = 0.0
+    for _, e in daily_eq:
+        if e > peak: peak = e
+        dd = (peak - e) / peak
+        if dd > mdd: mdd = dd
+
+    print(f"\n{label}")
+    print(f"  {'' if trades else '无'}交易次数: {len(trades)}")
+    print(f"  总收益率: {total_ret:+.2%}")
+    print(f"  夏普比率: {sharpe:.2f}")
+    print(f"  最大回撤: {mdd:.2%}")
+    print(f"  胜率: {wr:.0%}")
+    if losses:
+        avg_w = mean(t[4] for t in wins)
+        avg_l = mean(t[4] for t in losses)
+        print(f"  盈亏比: {abs(avg_w/avg_l):.2f}")
+
+
+# ── 分析所有有效组合 ──────────────────────────
+
+pairs = [
+    ("01", "05", False, "同一年 01-05"),
+    ("05", "09", False, "同一年 05-09"),
+    ("09", "01", True,  "跨年 09-01"),
+]
+
+# 先看各组合的统计特征
+print("=" * 60)
+print("各合约组合价差统计")
+print("=" * 60)
+for ma, mb, cross, label in pairs:
+    data = build_spread(ma, mb, cross)
+    n = len(data)
+    vals = [r[5] for r in data]
+    pos = sum(1 for v in vals if v > 0)
+    avg_s = mean(vals)
+    std_s = stdev(vals)
+    print(f"\n{label:>12}  {n:>5}天  均值{avg_s:>+7.1f}  σ{std_s:>6.1f}  正{pos:>4}({pos/n:.0%})")
+
+# 回测各组合
+print("\n" + "=" * 60)
+print("均值回归回测 (window=60  entry=2σ  exit=0.5σ  max_hold=20)")
+print("=" * 60)
+for ma, mb, cross, label in pairs:
+    data = build_spread(ma, mb, cross)
+    trades, eq = backtest_spread(data, window=60, entry_z=2.0, exit_z=0.5, max_hold=20)
+    print_results(trades, eq, label)
+
+# 当前可交易组合 (202607)
+print("\n" + "=" * 60)
+print("当前可交易组合分析 (FG2609, FG2701, FG2705)")
+print("=" * 60)
+
+today = "20260717"
+items = by_date.get(today, {})
+for ts in ["FG2609.ZCE", "FG2701.ZCE", "FG2705.ZCE"]:
+    if ts in items:
+        print(f"  {ts}: {items[ts]}")
+    else:
+        print(f"  {ts}: 无当日数据")
+
+# 当前配对及统计
+pairs_now = [
+    ("FG2609.ZCE", "FG2701.ZCE", "09-01(跨年)"),
+    ("FG2701.ZCE", "FG2705.ZCE", "01-05(同一年)"),
+    ("FG2609.ZCE", "FG2705.ZCE", "09-05(跨年)"),
+]
+
+for ts_a, ts_b, label in pairs_now:
+    if ts_a not in items or ts_b not in items:
+        print(f"\n{label}: {ts_a} 或 {ts_b} 无数据")
+        continue
+
+    spread_now = items[ts_b] - items[ts_a]
+    print(f"\n{label}:  {ts_a} vs {ts_b}")
+    print(f"  当前价差: {spread_now:+.1f}")
+
+    # 找历史均值
+    for ma, mb, cross, _ in pairs:
+        if (ts_a[4:6] == ma and ts_b[4:6] == mb) or \
+           (ts_a[4:6] == mb and ts_b[4:6] == ma and cross):
+            data = build_spread(ma, mb, cross)
+            if len(data) < 60:
+                continue
+            vals = [r[5] for r in data]
+            # 近 60 天
+            recent = vals[-60:]
+            avg_r = mean(recent)
+            std_r = stdev(recent)
+            z = (spread_now - avg_r) / std_r if std_r else 0
+            print(f"  近60日均值: {avg_r:.1f}  σ: {std_r:.1f}  z值: {z:.2f}")
+            if abs(z) >= 2:
+                print(f"  → 偏离 {z:.0f}σ，触发信号！")
+            else:
+                print(f"  → 未触发 (需 |z|>=2)")

macro.py

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+"""
+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")

trade.py

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+"""
+每日交易信号汇总。
+开盘前跑一下，输出当天方向建议。
+"""
+import sqlite3
+from datetime import datetime
+from macro import direction as macro_direction, init as macro_init
+
+DB_PATH = "/Users/vipg/Documents/futures-data-warehouse/db/futures.db"
+
+def main():
+    macro_init()
+
+    today = datetime.now().strftime("%Y%m%d")
+
+    # 1. 宏观方向
+    dir, reason = macro_direction()
+    print(f"日期: {today}")
+    print(f"宏观方向: {dir}")
+    print(f"依据: {reason}")
+
+    if dir == "观望":
+        print("\n建议: 今天不交易")
+        return
+
+    # 2. 持仓量最大的主力合约
+    conn = sqlite3.connect(DB_PATH)
+    main_row = conn.execute("""
+        SELECT d.ts_code, d.open, d.close, d.high, d.low, d.oi
+        FROM daily d
+        JOIN contracts c ON d.ts_code = c.ts_code
+        WHERE d.trade_date = ? AND c.delist_date > ? AND d.oi > 0
+        ORDER BY d.oi DESC LIMIT 1
+    """, (today, today)).fetchone()
+    conn.close()
+
+    if main_row:
+        ts, open_p, close_p, high, low, oi = main_row
+        print(f"\n主力合约: {ts}")
+        print(f"昨收: {close_p}  持仓: {int(oi):,}")
+    else:
+        print("\n注意: 今日行情数据尚未拉取，请先运行 update.py")
+        print("或使用历史近似的合约数据")
+
+    # 3. 交易提醒
+    print(f"\n{'='*40}")
+    print(f"今日计划: {dir}")
+    print(f"  开盘后确认方向后入场")
+    print(f"  止损: 5跳")
+    print(f"  收盘前5分钟平仓")
+    print(f"{'='*40}")
+    print(f"\n风控提醒:")
+    print(f"  - 单笔止损严格执行 5 跳")
+    print(f"  - 连续亏损 3 天暂停交易")
+    print(f"  - 累计盈利达标后买入期权做保护")
+
+
+if __name__ == "__main__":
+    main()