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update

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This commit is contained in:
sam 2025-09-30 19:23:08 +08:00
parent a91e0cee80
commit 70dce8c58c
1 changed files with 47 additions and 0 deletions
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47
app/features/factors.py
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@ -32,10 +32,15 @@ class FactorResult:
DEFAULT_FACTORS: List[FactorSpec] = [
FactorSpec("mom_5", 5),
FactorSpec("mom_20", 20),
FactorSpec("mom_60", 60),
FactorSpec("volat_20", 20),
FactorSpec("turn_20", 20),
FactorSpec("turn_5", 5),
FactorSpec("val_pe_score", 0),
FactorSpec("val_pb_score", 0),
FactorSpec("volume_ratio_score", 0),
]
@ -207,6 +212,18 @@ def _compute_security_factors(
max_turn_window,
)
latest_fields = broker.fetch_latest(
ts_code,
trade_date,
[
"daily_basic.pe",
"daily_basic.pb",
"daily_basic.ps",
"daily_basic.volume_ratio",
"daily.amount",
],
)
results: Dict[str, float | None] = {}
for spec in specs:
prefix = _factor_prefix(spec.name)
@ -225,6 +242,15 @@ def _compute_security_factors(
results[spec.name] = rolling_mean(turnover_series, spec.window)
else:
results[spec.name] = None
elif spec.name == "val_pe_score":
pe = latest_fields.get("daily_basic.pe")
results[spec.name] = _valuation_score(pe, scale=12.0)
elif spec.name == "val_pb_score":
pb = latest_fields.get("daily_basic.pb")
results[spec.name] = _valuation_score(pb, scale=2.5)
elif spec.name == "volume_ratio_score":
volume_ratio = latest_fields.get("daily_basic.volume_ratio")
results[spec.name] = _volume_ratio_score(volume_ratio)
else:
LOGGER.debug(
"忽略未识别的因子 name=%s ts_code=%s",
@ -293,3 +319,24 @@ def _fetch_series_values(
def _factor_prefix(name: str) -> str:
return name.split("_", 1)[0] if name else ""
def _valuation_score(value: object, *, scale: float) -> float:
try:
numeric = float(value)
except (TypeError, ValueError):
return 0.0
if numeric <= 0:
return 0.0
score = scale / (scale + numeric)
return max(0.0, min(1.0, score))
def _volume_ratio_score(value: object) -> float:
try:
numeric = float(value)
except (TypeError, ValueError):
return 0.0
if numeric < 0:
numeric = 0.0
return max(0.0, min(1.0, numeric / 10.0))