第一版流程

signal.py

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+"""
+信号生成模块
+"""
+import numpy as np
+import pandas as pd
+from typing import Optional, TYPE_CHECKING
+
+if TYPE_CHECKING:
+    from pandas import Series
+
+
+def generate_signals(
+    score: 'pd.Series',
+    buy_threshold: float = 0.8,
+    sell_threshold: float = -0.8,
+    window: int = 30,
+    use_rolling_std: bool = True
+) -> 'pd.Series':
+    """
+    基于因子得分生成买卖信号
+    
+    Parameters:
+    -----------
+    score : Series
+        因子综合得分
+    buy_threshold : float
+        买入阈值（标准差倍数）
+    sell_threshold : float
+        卖出阈值（标准差倍数）
+    window : int
+        滚动窗口（用于计算标准差）
+    use_rolling_std : bool
+        是否使用滚动标准差
+    
+    Returns:
+    --------
+    Series: 交易信号（1=买入，-1=卖出，0=持有）
+    """
+    signals = pd.Series(0, index=score.index)
+    
+    if use_rolling_std:
+        # 使用滚动标准差
+        rolling_std = score.rolling(window).std()
+        buy_line = buy_threshold * rolling_std
+        sell_line = sell_threshold * rolling_std
+    else:
+        # 使用固定阈值
+        std = score.std()
+        buy_line = buy_threshold * std
+        sell_line = sell_threshold * std
+    
+    # 生成原始信号
+    raw_signals = pd.Series(0, index=score.index)
+    raw_signals[score > buy_line] = 1   # 买入信号
+    raw_signals[score < sell_line] = -1  # 卖出信号
+    
+    # 只在信号变化时产生交易信号，其他时候保持持仓状态
+    signals = pd.Series(0, index=score.index)
+    position = 0  # 当前持仓状态：0=空仓，1=满仓
+    
+    for i in range(len(raw_signals)):
+        current_signal = raw_signals.iloc[i]
+        
+        # 只在信号变化时产生交易
+        if current_signal == 1 and position == 0:
+            signals.iloc[i] = 1  # 买入
+            position = 1
+        elif current_signal == -1 and position == 1:
+            signals.iloc[i] = -1  # 卖出
+            position = 0
+        # 其他情况保持当前持仓状态，不产生交易信号
+    
+    return signals.astype(int)
+
+
+def generate_signals_with_position(
+    score: 'pd.Series',
+    buy_threshold: float = 0.8,
+    sell_threshold: float = -0.8,
+    window: int = 30,
+    current_position: int = 0
+) -> 'pd.Series':
+    """
+    生成信号（考虑当前持仓状态）
+    
+    Parameters:
+    -----------
+    current_position : int
+        当前持仓：0=空仓，1=满仓
+    """
+    raw_signals = generate_signals(score, buy_threshold, sell_threshold, window)
+    signals = pd.Series(0, index=score.index)
+    
+    position = current_position
+    
+    for i in range(len(raw_signals)):
+        signal = raw_signals.iloc[i]
+        
+        if signal == 1 and position == 0:
+            signals.iloc[i] = 1  # 买入
+            position = 1
+        elif signal == -1 and position == 1:
+            signals.iloc[i] = -1  # 卖出
+            position = 0
+        else:
+            signals.iloc[i] = 0  # 持有
+    
+    return signals
+