288 lines
12 KiB
Python
288 lines
12 KiB
Python
#!/usr/bin/env python3
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"""
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小唯多账户模拟交易 — 按行业分配独立 paper 账户
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============================================
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2026-08-01 行业扫描后新增：强势行业单独账户，弱势行业拦截
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账户结构：
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强势行业账户: 新能源 / 科技 / 煤炭 / 半导体 / 证券（每个独立资金池）
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弱势行业账户: 白酒 / 医药 / 通信 / 汽车 / 地产（硬拦截，只记录不交易）
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用法:
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python3 stock_multi_account.py status # 所有账户状态
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python3 stock_multi_account.py status <行业> # 指定行业账户
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python3 stock_multi_account.py execute <sig_json> # 信号执行（自动路由）
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python3 stock_multi_account.py report # 汇总报告
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"""
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import json, os, sys
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from datetime import datetime
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from pathlib import Path
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OUTPUT = Path.home() / ".hermes" / "stock_backtest" / "multi_account"
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OUTPUT.mkdir(parents=True, exist_ok=True)
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# 行业 → 账户配置
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# 强势行业: 独立资金池，全仓交易
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# 弱势行业: 独立资金池，半仓交易（2026-08-01 回测优化：全拦截损失 α，半仓最优）
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# 2026-08-02 扩充：新增有色（紫金矿业动量+47.4% Sharpe1.41 最强标的）
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ACCOUNTS = {
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"新能源": {"code": "300750", "name": "宁德时代", "capital": 100000, "blocked": False},
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"科技": {"code": "002415", "name": "海康威视", "capital": 100000, "blocked": False},
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"煤炭": {"code": "601088", "name": "中国神华", "capital": 100000, "blocked": False},
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"半导体": {"code": "688981", "name": "中芯国际", "capital": 100000, "blocked": False},
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"证券": {"code": "600030", "name": "中信证券", "capital": 100000, "blocked": False},
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"有色": {"code": "601899", "name": "紫金矿业", "capital": 100000, "blocked": False},
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"石油": {"code": "601857", "name": "中国石油", "capital": 100000, "blocked": False},
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"白酒": {"code": "000858", "name": "五粮液", "capital": 100000, "blocked": False},
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"医药": {"code": "600276", "name": "恒瑞医药", "capital": 100000, "blocked": False},
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"地产": {"code": "000002", "name": "万科A", "capital": 100000, "blocked": False},
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}
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WEAK_INDUSTRIES = {"白酒", "医药", "通信", "汽车", "地产"}
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def account_file(industry):
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return OUTPUT / f"account_{industry}.json"
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def load_account(industry):
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f = account_file(industry)
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if f.exists():
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with open(f) as fp:
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return json.load(fp)
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cfg = ACCOUNTS.get(industry, {})
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return {
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"industry": industry,
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"stock": cfg.get("name", ""),
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"code": cfg.get("code", ""),
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"blocked": cfg.get("blocked", industry in WEAK_INDUSTRIES),
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"initial_capital": cfg.get("capital", 0),
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"current_capital": cfg.get("capital", 0),
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"positions": [],
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"closed_trades": [],
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"last_signal": "空仓",
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"last_signal_date": "",
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"stats": {"total_trades": 0, "winning_trades": 0, "losing_trades": 0},
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"created": datetime.now().strftime("%Y-%m-%d"),
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}
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def save_account(acct):
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with open(account_file(acct["industry"]), "w") as f:
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json.dump(acct, f, ensure_ascii=False, indent=2)
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def get_dynamic_alloc(industry):
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"""
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动态仓位（2026-08-02 增强：按行业动量强度调整）
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从 industry_scan.json 读取行业动量：
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动量 > 0 → 1.0（全仓，强势行业）
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动量 -20% ~ 0 → 0.6（偏弱，降仓）
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动量 -40% ~ -20%→ 0.5（弱势，半仓）
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动量 < -40% → 0.3（深度弱势，轻仓）
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无数据回退：弱势行业 0.5，其他 1.0
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"""
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f = OUTPUT.parent / "industry_scan.json"
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mom = None
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if f.exists():
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try:
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scan = json.load(open(f))
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mom_map = scan.get("industries", {}).get("avg_mom", {})
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mom = mom_map.get(industry)
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except Exception:
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mom = None
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if mom is None:
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return 0.5 if industry in WEAK_INDUSTRIES else 1.0
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if mom > 0:
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return 1.0
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if mom > -0.20:
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return 0.6
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if mom > -0.40:
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return 0.5
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return 0.3
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def execute_signal(sig, dry_run=False):
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"""
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信号执行（多账户路由版 v4 — 2026-08-02 止损保险丝）
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sig: {"industry": "新能源", "signal": "BUY"/"SELL"/"STOP_LOSS"/..., "close": 价格, ...}
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v4 变更：新增 STOP_LOSS 信号（熔断保险丝）
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回测证据（stock_stop_loss_validate.py）：
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- MA20 死叉本身就是动态止损（比 8% 硬止损更早触发）
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- 8%/10% 硬止损触发 0 次，收益不变
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- 5% 止损触发 1-2 次，收益仍不变
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- 结论：硬止损是"保险丝"——常规行情用不到，极端跳空/跌停时兜底
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"""
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if not sig:
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return ("SKIP", "无信号")
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industry = sig.get("industry", "")
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signal = sig.get("signal", "")
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price = sig.get("close") or sig.get("price") or 0
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code = sig.get("code") or sig.get("stock_code") or ""
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if industry not in ACCOUNTS:
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return ("SKIP", f"未配置行业账户: {industry}")
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# v5 修复（2026-08-28）：行业路由张冠李戴防护
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# 同一行业多只股票（如新能源=宁德时代+比亚迪、煤炭=中国神华+兖矿能源），
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# 金叉信号若只按行业路由，会把触发股票的价格记到账户绑定股票名下（假盈亏）。
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# 信号必须携带触发股票的 code，且必须等于账户绑定的 code 才执行。
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acct_cfg = ACCOUNTS.get(industry, {})
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bound_code = str(acct_cfg.get("code", "") or "")
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if code and bound_code and str(code).strip() != bound_code.strip():
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return ("SKIP", f"信号股票{code}≠账户标的{bound_code}，跳过(防张冠李戴)")
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acct = load_account(industry)
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has_position = bool(acct["positions"])
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if signal == "BUY" and not has_position:
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if acct.get("blocked"):
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return ("BLOCK", f"行业{industry}账户已锁定")
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# 动态仓位（v3：按行业动量强度调整，2026-08-02）
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alloc = get_dynamic_alloc(industry)
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is_weak = industry in WEAK_INDUSTRIES
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shares = int(acct["current_capital"] * alloc // price) if price > 0 else 0
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if shares <= 0:
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return ("SKIP", "资金不足")
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cost = shares * price
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if dry_run:
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return ("BUY", f"{industry}{'半仓' if is_weak else '全仓'}买入@{price:.2f} {shares}股(仓位{alloc:.0%})")
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acct["positions"].append({"code": bound_code, "shares": shares, "avg_cost": price})
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acct["current_capital"] -= cost
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acct["last_signal"] = "买入"
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acct["last_signal_date"] = datetime.now().strftime("%Y-%m-%d")
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save_account(acct)
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mode = f"{alloc:.0%}仓(弱势行业)" if is_weak else "全仓"
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return ("BUY", f"{industry}{mode}买入{shares}股@{price:.2f} 剩余{acct['current_capital']:.0f}")
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elif signal == "SELL" and has_position:
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shares = sum(p["shares"] for p in acct["positions"])
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if dry_run:
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return ("SELL", f"{industry}死叉卖出@{price:.2f} {shares}股")
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avg_cost = sum(p["shares"] * p["avg_cost"] for p in acct["positions"]) / shares
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pnl = (price - avg_cost) * shares
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acct["current_capital"] += price * shares
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acct["closed_trades"].append({
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"date": datetime.now().strftime("%Y-%m-%d"),
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"buy_price": avg_cost, "sell_price": price,
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"shares": shares, "pnl": pnl,
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"pnl_pct": pnl / (avg_cost * shares) * 100 if avg_cost * shares else 0,
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})
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acct["stats"]["total_trades"] += 1
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acct["stats"]["winning_trades"] += 1 if pnl > 0 else 0
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acct["stats"]["losing_trades"] += 1 if pnl < 0 else 0
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acct["positions"] = []
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acct["last_signal"] = "卖出"
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acct["last_signal_date"] = datetime.now().strftime("%Y-%m-%d")
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save_account(acct)
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return ("SELL", f"{industry}卖出{shares}股@{price:.2f} 盈亏{pnl:+.0f}")
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elif signal == "BUY" and has_position:
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return ("HOLD", f"{industry}已持仓，忽略重复买入")
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elif signal == "SELL" and not has_position:
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return ("HOLD", f"{industry}已空仓，忽略重复卖出")
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elif signal == "STOP_LOSS":
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if not has_position:
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return ("HOLD", f"{industry}已空仓，无止损需要")
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# 止损保险丝：极端行情兜底（正常由死叉触发，这里兜底）
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shares = sum(p["shares"] for p in acct["positions"])
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if dry_run:
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return ("STOP_LOSS", f"{industry}止损卖出@{price:.2f} {shares}股")
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avg_cost = sum(p["shares"] * p["avg_cost"] for p in acct["positions"]) / shares
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pnl = (price - avg_cost) * shares
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acct["current_capital"] += price * shares
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acct["closed_trades"].append({
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"date": datetime.now().strftime("%Y-%m-%d"),
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"buy_price": avg_cost, "sell_price": price,
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"shares": shares, "pnl": pnl,
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"pnl_pct": pnl / (avg_cost * shares) * 100 if avg_cost * shares else 0,
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})
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acct["stats"]["total_trades"] += 1
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acct["stats"]["winning_trades"] += 1 if pnl > 0 else 0
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acct["stats"]["losing_trades"] += 1 if pnl < 0 else 0
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acct["positions"] = []
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acct["last_signal"] = "止损"
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acct["last_signal_date"] = datetime.now().strftime("%Y-%m-%d")
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save_account(acct)
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return ("STOP_LOSS", f"{industry}止损卖出{shares}股@{price:.2f} 盈亏{pnl:+.0f}")
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elif signal == "HOLD_LONG":
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return ("HOLD", f"{industry}持仓中" if has_position else f"{industry}空仓(非金叉不买)")
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return ("HOLD", f"{industry}空仓观望")
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def cmd_status(industry=None):
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print("=" * 60)
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print(f"小唯多账户模拟 — {datetime.now().strftime('%Y-%m-%d %H:%M')}")
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print("=" * 60)
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industries = [industry] if industry else list(ACCOUNTS.keys())
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total_assets = 0
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for ind in industries:
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acct = load_account(ind)
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shares = sum(p["shares"] for p in acct["positions"])
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total_cost = sum(p["shares"] * p["avg_cost"] for p in acct["positions"])
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market_val = total_cost # 简化：成本计市值（真实市值需行情）
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total = acct["current_capital"] + (market_val if shares else 0)
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total_assets += total
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tag = "⛔拦截" if acct.get("blocked") else "🟢可交易"
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pos = f"持仓{shares}股" if shares else "空仓"
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pnl = total - acct["initial_capital"]
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print(f"\n【{ind}】{tag} 标的:{acct['stock']}({acct['code']})")
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print(f" 资金: {acct['current_capital']:.0f} | {pos} | 盈亏: {pnl:+.0f}")
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if acct["closed_trades"]:
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wins = acct["stats"]["winning_trades"]
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tot = acct["stats"]["total_trades"]
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print(f" 已平仓: {tot}笔 | 胜率: {wins}/{tot}")
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print(f"\n{'='*60}")
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print(f"总资产: {total_assets:.0f}")
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def cmd_report():
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"""汇总报告（飞书推送用）"""
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lines = [f"📊 多账户日报 {datetime.now().strftime('%Y-%m-%d')}"]
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total = 0
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for ind, cfg in ACCOUNTS.items():
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acct = load_account(ind)
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shares = sum(p["shares"] for p in acct["positions"])
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total_cost = sum(p["shares"] * p["avg_cost"] for p in acct["positions"])
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market_val = total_cost if shares else 0
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t = acct["current_capital"] + market_val
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total += t
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pnl = t - acct["initial_capital"]
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emoji = "⛔" if acct.get("blocked") else "🟢"
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lines.append(f"{emoji} {ind}: {acct['stock']} 资产{t:.0f} ({pnl:+.0f})")
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lines.append(f"💰 总资产: {total:.0f}")
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return "\n".join(lines)
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if __name__ == "__main__":
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cmd = sys.argv[1] if len(sys.argv) > 1 else "status"
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if cmd == "status":
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ind = sys.argv[2] if len(sys.argv) > 2 else None
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cmd_status(ind)
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elif cmd == "execute":
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# 从 stdin 或文件读取信号 JSON
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if len(sys.argv) > 2 and os.path.exists(sys.argv[2]):
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sig = json.load(open(sys.argv[2]))
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elif len(sys.argv) > 2:
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sig = json.loads(sys.argv[2])
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else:
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sig = json.load(sys.stdin)
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action, detail = execute_signal(sig)
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print(f"[{action}] {detail}")
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elif cmd == "report":
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print(cmd_report())
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else:
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print(__doc__)
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