33 lines
960 B
Python
33 lines
960 B
Python
"""低波动龙头 — 正动量 + 低波动 + MA20上方"""
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import polars as pl
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META = {
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"id": "low_volatility_leader",
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"name": "低波动龙头",
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"description": "20日动量为正 + 年化波动 < 30% + MA20上方",
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"tags": ["低波动", "龙头"],
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"params": [
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{"id": "vol_max", "label": "最大年化波动", "type": "float",
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"default": 0.30, "min": 0.05, "max": 1.0, "step": 0.01},
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],
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"scoring": {"momentum_60d": 0.4, "momentum_20d": 0.3, "turnover_rate": 0.3},
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"order_by": "score",
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"descending": True,
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"limit": 100,
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}
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ENTRY_SIGNALS = ["signal_ma20_breakout"]
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EXIT_SIGNALS = ["signal_ma20_breakdown"]
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STOP_LOSS = -0.05
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MAX_HOLD_DAYS = 30
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ALERTS = []
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def filter(df: pl.DataFrame, params: dict) -> pl.Expr:
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vol_max = params.get("vol_max", 0.30)
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return (
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(pl.col("momentum_20d") > 0)
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& (pl.col("annual_vol_20d") < vol_max)
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& (pl.col("close") > pl.col("ma20"))
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)
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