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