etf/archive/strategies/shared/signals/selectors.py

"""
定制信号生成器实现

这些信号生成器继承framework.core.signals.SignalGenerator
"""

from framework.signals import SignalGenerator
import pandas as pd
import numpy as np
from typing import Dict, List, Optional, Any


class TopNSelector(SignalGenerator):
    """
    Top N选股器（定制实现）
    
    用于轮动策略：
    - 按因子值排序，选出Top N标的
    - 支持分组选股（先类内竞争，再跨类排序）
    - 支持调仓阈值检查（新组合得分需超过当前组合一定比例才调仓）
    - V3: 支持动态阈值（短债动量作为过滤阈值）
    
    参数：
    - select_num: 选中数量（默认3）
    - group_by: 分组键名（可选，如'market'）
    - group_mapping: 分组映射字典（可选，{code: group}）
    - top_per_group: 每组选中数量（默认1）
    - min_score: 最小得分阈值（可选，如0表示过滤负分）
    - rebalance_threshold: 调仓阈值（可选，新组合得分需超过当前组合X%才调仓）
    - rebalance_days: 最低调仓周期（可选，持仓至少N天才能调仓）
    - bond_threshold_config: V3动态阈值配置
    """
    
    mode = "top_n"
    
    def __init__(
        self,
        select_num: int = 3,
        group_by: Optional[str] = None,
        group_mapping: Optional[Dict[str, str]] = None,
        top_per_group: int = 1,
        min_score: Optional[float] = None,
        rebalance_threshold: float = 0.0,
        rebalance_days: int = 1,
        bond_threshold_config: Optional[Dict] = None
    ):
        super().__init__(
            select_num=select_num,
            group_by=group_by,
            group_mapping=group_mapping,
            top_per_group=top_per_group,
            min_score=min_score,
            rebalance_threshold=rebalance_threshold,
            rebalance_days=rebalance_days
        )
        self.select_num = select_num
        self.group_by = group_by
        self.group_mapping = group_mapping or {}
        self.top_per_group = top_per_group
        self.min_score = min_score
        self.rebalance_threshold = rebalance_threshold
        self.rebalance_days = rebalance_days
        self.bond_threshold_config = bond_threshold_config or {}
    
    def _get_dynamic_threshold(self, scores: Dict[str, float]) -> float:
        """获取动态阈值：短债动量 × ratio，无数据时退化为 min_score
        
        V3动态阈值逻辑：
        - 若bond_threshold.enabled=true，阈值 = 短债动量 × ratio
        - 若短债无数据或动量<0，退化为固定min_score
        - 若enabled=false，退化为固定min_score
        """
        cfg = self.bond_threshold_config
        if not cfg.get('enabled', False):
            return self.min_score if self.min_score is not None else 0.0
        
        bond_code = cfg.get('bond_code', '931862.CSI')
        ratio = cfg.get('ratio', 1.0)
        
        bond_score = scores.get(bond_code, None)
        if bond_score is None or bond_score < 0:
            return self.min_score if self.min_score is not None else 0.0
        
        return bond_score * ratio
    
    def generate(self, factor_data: pd.DataFrame) -> pd.DataFrame:
        """生成Top N选股信号（支持调仓周期控制）"""
        result = pd.DataFrame(index=factor_data.index)
        
        factor_cols = self._get_factor_columns(factor_data)
        
        if not factor_cols:
            result['signal'] = ''
            return result
        
        # Step 1: 每日目标组合（不考虑调仓周期）
        daily_target = []
        for date in factor_data.index:
            row = factor_data.loc[date]
            
            # 提取得分
            scores = {}
            for col in factor_cols:
                score = row[col]
                if pd.notna(score):
                    scores[col] = score
            
            # V3: 过滤前检查bond是否有因子数据（用于填充守卫）
            cfg = self.bond_threshold_config
            bond_code = cfg.get('bond_code', '931862.CSI') if cfg.get('enabled') else None
            bond_has_data = bond_code in scores  # scores此时是过滤前的完整字典
            
            # V3: 动态阈值过滤（替代固定 min_score）
            threshold = self._get_dynamic_threshold(scores)
            scores = {k: v for k, v in scores.items() if v >= threshold}
            
            # 分组选股或全局选股
            if self.group_mapping:
                selected = self._grouped_selection(scores, bond_has_data)
            else:
                selected = self._global_top_n(scores)
            
            daily_target.append(','.join(selected) if selected else '')
        
        # Step 2: 逐日生成信号（调仓周期控制）
        signals = self._apply_rebalance_control(daily_target, factor_data)
        
        result['signal_raw'] = daily_target  # 每日目标组合
        result['signal'] = signals
        
        # T+1执行：信号向后移位1天
        result['signal'] = result['signal'].shift(1)
        
        return result
    
    def _get_factor_columns(self, data: pd.DataFrame) -> List[str]:
        """获取因子列名"""
        exclude_cols = ['signal', 'signal_raw', 'group_info', 'combined', 'open', 'high', 'low', 'close', 'volume']
        return [col for col in data.columns if col not in exclude_cols and not col.endswith('_weighted')]
    
    def _global_top_n(self, scores: Dict[str, float]) -> List[str]:
        """全局Top N选股"""
        if not scores:
            return []
        
        sorted_items = sorted(scores.items(), key=lambda x: x[1], reverse=True)
        return [item[0] for item in sorted_items[:self.select_num]]
    
    def _apply_rebalance_control(self, daily_target: List[str], factor_data: pd.DataFrame) -> List[str]:
        """应用调仓周期控制"""
        signals = []
        current_held = None
        last_rebalance_idx = 0
        
        for i, target in enumerate(daily_target):
            # 初始持仓为空，等待第一个有效信号
            if current_held is None:
                if not target:
                    signals.append('')
                    continue
                current_held = target
                last_rebalance_idx = i
                signals.append(current_held)
                continue
            
            # 检查调仓周期
            days_since = i - last_rebalance_idx
            if days_since < self.rebalance_days:
                # 未达到最低调仓周期，保持当前持仓
                signals.append(current_held)
                continue
            
            # 检查是否应该调仓
            if target:  # 目标信号有效
                should = self._check_rebalance(
                    factor_data.iloc[i],
                    current_held,
                    target,
                    self._get_factor_columns(factor_data)
                )
                if should:
                    current_held = target
                    last_rebalance_idx = i
            else:
                # V3: target为空时保持当前持仓不变（与独立脚本行为一致）
                # 在有bond数据的时期target不会为空（会被bond填充）
                # target为空仅发生在2002-2007无bond数据期
                # 保持旧持仓比突然清仓更平滑
                pass
            
            signals.append(current_held)
        
        return signals
    
    def _check_rebalance(
        self,
        row: pd.Series,
        current_held: str,
        target: str,
        factor_cols: List[str]
    ) -> bool:
        """检查是否应该调仓（得分阈值检查）"""
        # 提取当前持仓和目标持仓的代码
        old_codes = [c for c in current_held.split(',') if c]
        new_codes = [c for c in target.split(',') if c]
        
        if not new_codes or not old_codes:
            return True
        
        if set(new_codes) == set(old_codes):
            return False  # 组合完全相同，不调仓
        
        # 计算新旧组合的总得分
        # 修复: 按实际份数计算得分（支持重复代码如"931862.CSI,931862.CSI"）
        old_total = sum(float(row.get(c, 0)) for c in old_codes)
        new_total = sum(float(row.get(c, 0)) for c in new_codes)
        
        # 新组合得分需超过当前组合一定比例才调仓
        # 即使 threshold=0，也要确保 new_total >= old_total
        if old_total > 0:
            return (new_total / old_total - 1) >= self.rebalance_threshold
        
        return new_total > 0
    
    def _grouped_selection(self, scores: Dict[str, float], bond_has_data: bool = True) -> List[str]:
        """V3分组选股：BOND不参与竞争，空余仓位填充短债
        
        V3逻辑：
        1. BOND大类标的不参与冠军竞争（它是阈值，不是候选）
        2. 选出不足 select_num 只时，用短债填充
        3. bond无数据时（2002-2007）不填充
        4. V2退化：若bond_threshold.enabled=false，BOND正常参与竞争
        """
        if not scores:
            return []
        
        cfg = self.bond_threshold_config
        bond_code = cfg.get('bond_code', '931862.CSI') if cfg.get('enabled') else None
        
        # 建立 group -> (code, score) 映射
        # V3: 排除 BOND 大类（它不参与竞争）
        group_champions = {}
        for code, score in scores.items():
            group = self.group_mapping.get(code, 'default')
            
            # V3: BOND大类不参与竞争
            if cfg.get('enabled') and group == 'BOND':
                continue
            
            if group not in group_champions or score > group_champions[group][1]:
                group_champions[group] = (code, score)
        
        # 跨类排序取 Top N
        sorted_champions = sorted(group_champions.values(), key=lambda x: x[1], reverse=True)
        selected = [code for code, score in sorted_champions[:self.select_num]]
        
        # V3: 空余仓位填充短债
        # 短债填充是防御机制，但需要有数据才能填充
        # bond有数据（含负值）→ 填充 ✓（防御机制不受动量影响）
        # bond无数据（NaN）→ 不填充 ✓（2002-2007正常退化）
        if cfg.get('fill_bond', False) and bond_code and bond_has_data:
            n_bond_slots = self.select_num - len(selected)
            if n_bond_slots > 0:
                for _ in range(n_bond_slots):
                    selected.append(bond_code)
        
        return selected


class TrendFollower(SignalGenerator):
    """趋势跟随器（定制实现）"""
    
    mode = "trend"
    
    def __init__(self, entry_threshold: float = 0.02, exit_threshold: float = -0.02, select_num: int = 1):
        super().__init__(entry_threshold=entry_threshold, exit_threshold=exit_threshold, select_num=select_num)
        self.entry_threshold = entry_threshold
        self.exit_threshold = exit_threshold
        self.select_num = select_num
    
    def generate(self, factor_data: pd.DataFrame) -> pd.DataFrame:
        """生成趋势跟随信号"""
        result = pd.DataFrame(index=factor_data.index)
        
        factor_cols = self._get_factor_columns(factor_data)
        
        for col in factor_cols:
            trend_strength = factor_data[col]
            
            result[f'{col}_entry'] = trend_strength > self.entry_threshold
            result[f'{col}_exit'] = trend_strength < self.exit_threshold
        
        signals = []
        for date in result.index:
            entry_signals = []
            for col in factor_cols:
                if result.loc[date, f'{col}_entry']:
                    score = factor_data.loc[date, col]
                    if pd.notna(score):
                        entry_signals.append((col, score))
            
            entry_signals.sort(key=lambda x: x[1], reverse=True)
            selected = [item[0] for item in entry_signals[:self.select_num]]
            signals.append(','.join(selected) if selected else '')
        
        result['signal'] = signals
        result['signal'] = result['signal'].shift(1)
        
        return result
    
    def _get_factor_columns(self, data: pd.DataFrame) -> List[str]:
        """获取因子列名"""
        exclude_cols = ['signal', 'signal_raw', 'combined', 'open', 'high', 'low', 'close', 'volume']
        return [col for col in data.columns if col not in exclude_cols and not col.endswith('_weighted')]


class ReversalTrader(SignalGenerator):
    """反转交易器（定制实现）"""
    
    mode = "reversal"
    
    def __init__(self, overbought: float = 70, oversold: float = 30, reversal_threshold: float = 0.1):
        super().__init__(overbought=overbought, oversold=oversold, reversal_threshold=reversal_threshold)
        self.overbought = overbought
        self.oversold = oversold
        self.reversal_threshold = reversal_threshold
    
    def generate(self, factor_data: pd.DataFrame) -> pd.DataFrame:
        """生成反转交易信号"""
        result = pd.DataFrame(index=factor_data.index)
        
        factor_cols = self._get_factor_columns(factor_data)
        
        for col in factor_cols:
            reversal_signal = factor_data[col]
            
            result[f'{col}_buy'] = reversal_signal > self.reversal_threshold
            result[f'{col}_sell'] = reversal_signal < -self.reversal_threshold
        
        signals = []
        for date in result.index:
            buy_signals = []
            sell_signals = []
            
            for col in factor_cols:
                if result.loc[date, f'{col}_buy']:
                    buy_signals.append(col)
                if result.loc[date, f'{col}_sell']:
                    sell_signals.append(col)
            
            if buy_signals:
                signals.append(f"BUY:{','.join(buy_signals)}")
            elif sell_signals:
                signals.append(f"SELL:{','.join(sell_signals)}")
            else:
                signals.append('')
        
        result['signal'] = signals
        result['signal'] = result['signal'].shift(1)
        
        return result
    
    def _get_factor_columns(self, data: pd.DataFrame) -> List[str]:
        """获取因子列名"""
        exclude_cols = ['signal', 'signal_raw', 'combined', 'open', 'high', 'low', 'close', 'volume']
        return [col for col in data.columns if col not in exclude_cols and not col.endswith('_weighted')]