diff --git a/rotation/simple_rotation.py b/rotation/simple_rotation.py index 16e6d91..f7fd7aa 100644 --- a/rotation/simple_rotation.py +++ b/rotation/simple_rotation.py @@ -1256,11 +1256,9 @@ class SimpleRotationStrategy: 'holding_days': holding_days, 'pnl': pnl, }) - # Find exit positions: ONLY show when the last day is a rebalance day - # If last day is NOT rebalance, don't show any "调出" info (already past) + # Build exit positions: ONLY when the last day is a rebalance day exit_positions = [] if last_rec.get('is_rebalance', False): - # Find the previous day's holdings to compare last_idx = len(self.daily_records) - 1 if last_idx > 0: old_holdings = set(self.daily_records[last_idx - 1]['holdings']) @@ -1274,71 +1272,100 @@ class SimpleRotationStrategy: trade_code = self.signal_to_trade.get(code, code) etf_close = self._get_etf_close(trade_code, last_date) premium = self._get_latest_premium(trade_code, last_date) + score = factors.get(code) exit_positions.append({ 'name': name, 'code': code, 'etf': etf_code, - 'weight': 0, 'score': None, + 'weight': 0, 'score': score, 'idx_close': idx_close, 'etf_close': etf_close, 'premium': premium, 'action': '调出', 'entry_date': None, 'entry_price': None, 'holding_days': 0, 'pnl': None, }) + # Build unselected (未入选) positions: all signal codes not held and not exited + held_or_exited = set(holdings) | {p['code'] for p in exit_positions} + unselected_positions = [] + # Sort unselected by momentum descending + unselected_codes = [c for c in self.signal_codes if c not in held_or_exited] + unselected_codes.sort(key=lambda c: factors.get(c, -999), reverse=True) + for code in unselected_codes: + cfg = code_config.get(code, {}) + name = cfg.get('name', code) + etf_code = cfg.get('etf', '—') + score = factors.get(code) + idx_close = self._get_index_close(code, last_date) + trade_code = self.signal_to_trade.get(code, code) + etf_close = self._get_etf_close(trade_code, last_date) + premium = self._get_latest_premium(trade_code, last_date) + unselected_positions.append({ + 'name': name, 'code': code, 'etf': etf_code, + 'weight': 0, 'score': score, + 'idx_close': idx_close, 'etf_close': etf_close, + 'premium': premium, 'action': '未入选', + 'entry_date': None, 'entry_price': None, + 'holding_days': 0, 'pnl': None, + }) + # ==================== Plot ==================== plt.rcParams["font.sans-serif"] = ["Arial Unicode MS", "WenQuanYi Zen Hei", "DejaVu Sans"] plt.rcParams["axes.unicode_minus"] = False - n_rows = len(positions_info) + len(exit_positions) + n_rows = len(positions_info) + len(exit_positions) + len(unselected_positions) signal_h = max(1.5, 0.5 + n_rows * 0.35) fig = plt.figure(figsize=(16, 10 + signal_h + 1.2 + 8)) gs = fig.add_gridspec(5, 1, height_ratios=[signal_h, 1.2, 3, 1, 1.2], hspace=0.35) - # Panel 0: Signal table + # Panel 0: Full asset ranking table ax0 = fig.add_subplot(gs[0]) ax0.axis("off") - ax0.set_title(f"最新调仓信号 (信号日期: {last_date.strftime('%Y-%m-%d')}，下一交易日执行)", + threshold_val = last_rec.get('threshold', 0.0) + ax0.set_title(f"全标的动量排名 (信号日期: {last_date.strftime('%Y-%m-%d')}，阈值: {threshold_val:.4f})", fontsize=14, fontweight="bold", loc="left", pad=15) - col_labels = ["标的名称", "指数代码", "ETF代码", "仓位", "得分", "指数最新价", - "ETF收盘价", "溢价率", "操作", "持有天数", "盈亏"] + # Build rank map for all codes by momentum + ranked_all = sorted(factors.keys(), key=lambda c: factors[c], reverse=True) + rank_map = {c: i + 1 for i, c in enumerate(ranked_all)} + + col_labels = ["排名", "标的名称", "市场", "指数代码", "ETF代码", "仓位", "得分", + "指数最新价", "ETF收盘价", "溢价率", "状态", "持有天数", "盈亏"] table_data = [] - for p in positions_info: - score_s = f"{p['score']:.2f}" if p['score'] is not None else "—" + row_actions = [] # track action for coloring + + # Ordered: 调入 -> 维持 -> 调出 -> 未入选 + all_rows = positions_info + exit_positions + unselected_positions + for p in all_rows: + rank = rank_map.get(p['code'], '—') + score_s = f"{p['score']:.4f}" if p['score'] is not None else "—" idx_s = f"{p['idx_close']:.2f}" if p['idx_close'] is not None else "—" etf_s = f"{p['etf_close']:.3f}" if p['etf_close'] is not None else "—" prem_s = f"{p['premium']:+.2%}" if p['premium'] is not None else "—" days_s = str(p['holding_days']) if p['holding_days'] > 0 else "—" pnl_s = f"{p['pnl']:+.2%}" if p['pnl'] is not None else "—" + weight_s = f"{p['weight']:.0%}" if p['weight'] > 0 else "—" + market = code_config.get(p['code'], {}).get('market', '—') table_data.append([ - p['name'], p['code'], p['etf'], f"{p['weight']:.0%}", + rank, p['name'], market, p['code'], p['etf'], weight_s, score_s, idx_s, etf_s, prem_s, p['action'], days_s, pnl_s ]) - for p in exit_positions: - idx_s = f"{p['idx_close']:.2f}" if p['idx_close'] is not None else "—" - etf_s = f"{p['etf_close']:.3f}" if p['etf_close'] is not None else "—" - prem_s = f"{p['premium']:+.2%}" if p['premium'] is not None else "—" - table_data.append([ - p['name'], p['code'], p['etf'], f"{p['weight']:.0%}", - "—", idx_s, etf_s, prem_s, "调出", "—", "—" - ]) + row_actions.append(p['action']) if table_data: tbl = ax0.table(cellText=table_data, colLabels=col_labels, loc="center", cellLoc="center", bbox=[0, 0, 1, 1]) tbl.auto_set_font_size(False) - tbl.set_fontsize(9) - tbl.scale(1, 1.8) + tbl.set_fontsize(8) + tbl.scale(1, 1.6) for j in range(len(col_labels)): tbl[0, j].set_facecolor("#2C3E50") tbl[0, j].set_text_props(color="white", fontweight="bold") + action_colors = { + "调入": "#d4edda", # 浅绿色 + "调出": "#f8d7da", # 浅红色 + "维持": "#fff3cd", # 浅黄色 + "未入选": "#f0f0f0", # 浅灰色 + } for i in range(len(table_data)): - action = table_data[i][8] - # Legacy color scheme: 调入=green, 维持=yellow, 调出=red - if action == "调入": - color = "#d4edda" # 浅绿色 - elif action == "调出": - color = "#f8d7da" # 浅红色 - else: - color = "#fff3cd" # 浅黄色（维持） + color = action_colors.get(row_actions[i], "#ffffff") for j in range(len(col_labels)): tbl[i + 1, j].set_facecolor(color)