38 lines
1.2 KiB
Python
38 lines
1.2 KiB
Python
"""缩量回踩 — 回踩MA20附近 + 缩量 + 中期趋势向上"""
|
|
import polars as pl
|
|
|
|
META = {
|
|
"id": "pullback_to_support",
|
|
"name": "缩量回踩",
|
|
"description": "回踩MA20附近 + 缩量 + 中期趋势向上",
|
|
"tags": ["回踩", "支撑"],
|
|
"params": [
|
|
{"id": "ma_proximity", "label": "均线偏离度", "type": "float",
|
|
"default": 0.02, "min": 0.01, "max": 0.05, "step": 0.005},
|
|
{"id": "vol_ratio_max", "label": "最大量比", "type": "float",
|
|
"default": 0.8, "min": 0.2, "max": 1.5, "step": 0.1},
|
|
],
|
|
"scoring": {"momentum_60d": 0.4, "momentum_20d": 0.3, "turnover_rate": 0.3},
|
|
"order_by": "score",
|
|
"descending": True,
|
|
"limit": 100,
|
|
}
|
|
|
|
ENTRY_SIGNALS = ["signal_ma_golden_5_20"]
|
|
EXIT_SIGNALS = ["signal_ma20_breakdown"]
|
|
STOP_LOSS = -0.05
|
|
MAX_HOLD_DAYS = 20
|
|
ALERTS = []
|
|
|
|
|
|
def filter(df: pl.DataFrame, params: dict) -> pl.Expr:
|
|
proximity = params.get("ma_proximity", 0.02)
|
|
vol_max = params.get("vol_ratio_max", 0.8)
|
|
return (
|
|
(pl.col("close") > pl.col("ma20") * (1 - proximity))
|
|
& (pl.col("close") < pl.col("ma20") * (1 + proximity))
|
|
& (pl.col("vol_ratio_5d") < vol_max)
|
|
& (pl.col("close") > pl.col("ma60"))
|
|
& (pl.col("momentum_20d") > 0)
|
|
)
|