项目目录从 refer 迁移到 local

Co-Authored-By: Claude <noreply@anthropic.com>
2026-07-04 16:32:48 +08:00
parent 648a8b7f1c
commit aad34202f1
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+"""低波动龙头 — 正动量 + 低波动 + MA20上方"""
+import polars as pl
+
+META = {
+    "id": "low_volatility_leader",
+    "name": "低波动龙头",
+    "description": "20日动量为正 + 年化波动 < 30% + MA20上方",
+    "tags": ["低波动", "龙头"],
+    "params": [
+        {"id": "vol_max", "label": "最大年化波动", "type": "float",
+         "default": 0.30, "min": 0.05, "max": 1.0, "step": 0.01},
+    ],
+    "scoring": {"momentum_60d": 0.4, "momentum_20d": 0.3, "turnover_rate": 0.3},
+    "order_by": "score",
+    "descending": True,
+    "limit": 100,
+}
+
+ENTRY_SIGNALS = ["signal_ma20_breakout"]
+EXIT_SIGNALS = ["signal_ma20_breakdown"]
+STOP_LOSS = -0.05
+MAX_HOLD_DAYS = 30
+ALERTS = []
+
+
+def filter(df: pl.DataFrame, params: dict) -> pl.Expr:
+    vol_max = params.get("vol_max", 0.30)
+    return (
+        (pl.col("momentum_20d") > 0)
+        & (pl.col("annual_vol_20d") < vol_max)
+        & (pl.col("close") > pl.col("ma20"))
+    )