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@@ -0,0 +1,217 @@
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+{ 动态市场状态模型 }
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+FS:=80;
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+分数MIN:=IF(MACHINETIME<094500,FS-15,IF(MACHINETIME<100000,FS-10,IF(MACHINETIME<130000,FS-5,FS)));
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+
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+{ 市场牛熊判断 }
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+N1:=21;
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+N2:=55;
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+VOL_RATIO:=1.2;
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+ATR_PERIOD:=14;
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+ANGLE:=5;
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+
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+EMA_INDEX:=EMA(INDEXC,N1);
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+LONG_EMA_INDEX:=EMA(INDEXC,N2);
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+TREND_ANGLE:=IF(REF(EMA_INDEX,5)!=0, ATAN((EMA_INDEX/REF(EMA_INDEX,5)-1)*100)*180/3.1416, 0);
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+VOL_MA:=MA(INDEXV,N2);
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+
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+INDEX_ATR:=MA(TR,ATR_PERIOD);
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+LOW_VOLATILITY:=INDEX_ATR/REF(INDEX_ATR,5)<0.7;
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+
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+COND_BULL:=
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+ EMA_INDEX > LONG_EMA_INDEX AND
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+ COUNT(TREND_ANGLE>ANGLE,3)>=2 AND
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+ EVERY(INDEXV>VOL_MA*VOL_RATIO,3) AND
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+ NOT(LOW_VOLATILITY);
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+
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+COND_BEAR:=
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+ EMA_INDEX < LONG_EMA_INDEX AND
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+ COUNT(TREND_ANGLE<-ANGLE,3)>=2 AND
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+ EVERY(INDEXV<VOL_MA*0.7,3) AND
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+ INDEX_ATR > REF(INDEX_ATR,5)*1.3;
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+
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+HY_EMA:=EMA(HY_INDEXC,N1);
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+HY_TREND_ANGLE:= IF(REF(HY_EMA,5)!=0, ATAN((HY_EMA/REF(HY_EMA,5)-1)*100)*180/3.1416, 0);
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+STRONG_INDUSTRY:=
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+ HY_EMA > EMA(HY_INDEXC,N2) AND
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+ HY_TREND_ANGLE > ANGLE AND
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+ COUNT(HY_INDEXV>MA(HY_INDEXV,N2)*VOL_RATIO,5)>=3;
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+
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+WEAK_INDUSTRY:=
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+ HY_EMA < EMA(HY_INDEXC,N2) AND
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+ HY_TREND_ANGLE < -ANGLE AND
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+ MA(HY_INDEXV,N2)/REF(MA(HY_INDEXV,N2),5)<0.8;
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+
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+HS300C:="399300$CLOSE";
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+REL_STR:=IF(REF(C,N1)!=0 AND REF(HS300C,N1)!=0, (C/REF(C,N1)) / (HS300C/REF(HS300C,N1)) - 1, 0);
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+IND_BULL:=FILTER(REL_STR>0.12 AND REL_STR>REF(REL_STR,1),3);
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+IND_BEAR:=FILTER(REL_STR<-0.18 AND REL_STR<REF(REL_STR,1),3);
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+
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+WEEK_EMA:=EMA(C#WEEK,5);
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+WEEK_TREND:=WEEK_EMA>REF(WEEK_EMA,3);
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+
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+BULL_SCORE:=(COND_BULL + STRONG_INDUSTRY + IND_BULL + WEEK_TREND)>=3;
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+BEAR_SCORE:=(COND_BEAR + WEAK_INDUSTRY + IND_BEAR + NOT(WEEK_TREND))>=3;
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+
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+MARKET:=IF(BULL_SCORE,1, IF(BEAR_SCORE,2,3));{1:牛市,2:熊市,3:震荡市或不确定};
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+
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+{ 动态权重 - 根据市场强度调整 }
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+牛熊强度:=EMA_INDEX/LONG_EMA_INDEX-1;
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+权重主力 :=IF(MARKET==1, 50*(1+牛熊强度), IF(MARKET==3,35,40));
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+权重量价 :=IF(MARKET==1, 20, IF(MARKET==3, 5,10));
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+权重板块 :=IF(MARKET==1, 30*(1+牛熊强度/2), IF(MARKET==3,15,30));
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+权重资效 :=IF(MARKET==1, 0, IF(MARKET==3,20,5));
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+权重波动 := IF(MARKET==1, 0, IF(MARKET==3,10,5));
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+权重趋势 := IF(MARKET==1, 0, IF(MARKET==3,5,5));
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+权重风险 := IF(MARKET==1, 0, IF(MARKET==3,10,5));
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+
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+{ 主力资金增强 - 加入北向资金 }
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+
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+北向占比1:= GPJYVALUE(6,1,1);
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+北向占比2:=IF(STRCMP(北向占比1,'-')=0,0,IF(北向占比1>0,北向占比1/CAPITAL,0)); { 深沪股通持股比例 }
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+
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+
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+权重DDX:=IF(北向占比2=0,权重主力*0.6,权重主力*0.5);
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+权重DDY:=IF(北向占比2=0,权重主力*0.4,权重主力*0.3);
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+权重北向:=IF(北向占比2=0,0,权重主力*0.2);
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+
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+_DDX:=(LARGEINTRDVOL-LARGEOUTTRDVOL)*10000/CAPITAL;
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+_DDY:=IF(TRADENUM>0,(TRADEOUTNUM-TRADEINNUM)*100/TRADENUM,0);
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+
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+资金分DDX:= 权重DDX * MIN(1, MAX(0, (_DDX - 0.3)/(1.4 - 0.3)));
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+资金分DDY:= 权重DDY * MIN(1, MAX(0, (_DDY - 10)/(30 - 10)));
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+资金分北向:= 权重北向 * MIN(1, MAX(0, 北向占比2/3)); { 3%为阈值 }
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+资金分:资金分DDX + 资金分DDY + 资金分北向;
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+
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+{ 量价模型优化 - 解决早盘失效 }
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+量比:=V/REF(MA(V,5),1);
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+量比MIN:=IF(MACHINETIME<100000,2.5,IF(MACHINETIME<143000,2,1.8)); { 调整量比阈值 }
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+量比判断:=量比 > 量比MIN;
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+
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+现价:=C;
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+分时均价:=IF(MACHINETIME>093000, DYNAINFO(11), REF(DYNAINFO(11),1)); { 早盘用前日数据 }
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+
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+日内涨幅:=(C-OPEN)/OPEN*100;
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+早盘涨幅:=IF(MACHINETIME<100000, 日内涨幅>1.5, 日内涨幅 > REF(MA(日内涨幅,5),1) AND 日内涨幅 > REF(日内涨幅,1)); { 分段处理 }
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+
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+LC:=REF(CLOSE,1);
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+RSI_VAL:=SMA(MAX(CLOSE-LC,0),N1,1)/SMA(ABS(CLOSE-LC),N1,1)*100;
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+RSI上限:=70;
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+
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+OBV_VAL:=SUM(IF(C>REF(C,1),V,IF(C<REF(C,1),-V,0)),0);
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+OBV_MA:=MA(OBV_VAL,5);
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+OBV确认:=OBV_VAL > OBV_MA;
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+
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+量价初始分:=IF(量比判断, 权重量价*0.3, 0) +
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+ IF(现价>分时均价, 权重量价*0.3 , 0) +
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+ IF(早盘涨幅, 权重量价*0.2, 0) +
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+ IF(OBV确认, 权重量价*0.2, 0);
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+量价分:IF(MARKET=1, 量价初始分, IF(RSI_VAL<RSI上限, 量价初始分, 0));
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+
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+{ 行业排名使用内置函数 }
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+行业排名:=HORCALC(HYBLOCK, 105, 1, 0);
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+行业热度:=HORCALC(HYBLOCK, 105, 2, 0)*100;
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+
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+板块分:IF(行业热度>=0,
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+ ROUND(
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+ IF(行业排名<=2, 权重板块*0.6,
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+ IF(行业排名<=3, 权重板块*0.5,
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+ IF(行业排名<=5, 权重板块*0.4,
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+ IF(行业排名<=10, 权重板块*0.2,
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+ IF(行业排名<=20, 权重板块*0.1,
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+ 0)))))
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+ + IF(行业热度>=3, 权重板块*0.4,
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+ IF(行业热度>=2, 权重板块*0.3,
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+ IF(行业热度>=1, 权重板块*0.2,
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+ 0)))),
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+ 0);
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+
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+{ 资金效率优化 }
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+成交额万元 := AMOUNT/10000;
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+行业平均涨幅 := 100 * HORCALC(HYBLOCK, 105, 2, 0);
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+当前涨幅:=(C-REF(C,1))/REF(C,1)*100;
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+超额涨幅 := 当前涨幅 - 行业平均涨幅;
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+阈值 := MA(AMOUNT,20)/1000000; { 调整为百万元 }
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+资金效率 := IF(成交额万元 > 阈值 AND 成交额万元 > 0, 超额涨幅 / LOG(成交额万元), 0);
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+资效分:IF(资金效率 >= 2, 权重资效,
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+ IF(资金效率 >= 1.5, 权重资效*0.8,
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+ IF(资金效率 >= 1.0, 权重资效*0.6,
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+ IF(资金效率 >= 0.5, 权重资效*0.4,
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+ 0))));
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+
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+{ 波动率模型改进 }
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+日收益率 := IF(REF(C,1)!=0, C/REF(C,1)-1, 0);
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+真实波幅:=MAX(MAX(H-L,ABS(H-REF(C,1))),ABS(L-REF(C,1)));
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+波动率:=MA(真实波幅,20)/REF(C,20); { ATR相对波动率 }
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+VAR1:= -1.645 * 波动率 * SQRT(126); { 半年周期 }
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+波动分 : IF(VAR1 > -0.05, 权重波动,
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+IF(VAR1 > -0.1, 权重波动*0.8,
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+IF(VAR1 > -0.15, 权重波动*0.6,
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+IF(VAR1 > -0.2, 权重波动*0.4, 0))));
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+
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+{ 趋势判断增加流动性 }
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+MID:=MA(C,20);
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+UPPER:=MID + 2*STD(C,20);
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+短期穿越1:= C > MA(C,5);
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+短期穿越2:= MA(C,5) > MA(C,10);
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+短期穿越3:= MA(C,10) > MA(C,20);
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+BOLL穿越:=C > UPPER;
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+
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+{ 流动性风控 }
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+流通市值:=FINANCE(40)/100000000;
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+挂单厚度:=(DYNAINFO(58)+DYNAINFO(59))/CAPITAL;
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+换手率条件:=DYNAINFO(37)>0.5 AND 流通市值>30 AND 挂单厚度>15; { 综合流动性 }
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+
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+趋势分1:IF(换手率条件 AND 短期穿越1 AND 短期穿越2 AND 短期穿越3 AND BOLL穿越, 权重趋势,
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+IF(换手率条件 AND 短期穿越1 AND 短期穿越2 AND 短期穿越3, 权重趋势*0.8,
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+IF(换手率条件 AND 短期穿越1 AND 短期穿越2, 权重趋势*0.5,
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+IF(换手率条件 AND 短期穿越1, 权重趋势*0.2,
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+0))));
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+
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+DIFF := EMA(C,12) - EMA(C,26);
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+DEA := EMA(DIFF,9);
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+MACD确认 := CROSS(DIFF,DEA) AND BARSLAST(CROSS(DEA,DIFF))>5;
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+趋势分2 :=趋势分1 * IF(MACD确认, 1.2, 1);
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+趋势分:IF(趋势分2> 权重趋势, 权重趋势, 趋势分2);
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+
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+
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+{ 风险控制增强 }
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+大盘趋势:=INDEXC > MA(INDEXC,50) AND (DYNAINFO(60)/(DYNAINFO(60)+DYNAINFO(61)))>0.3;
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+流通市值达标:=流通市值>30; { 提高市值门槛 }
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+市盈率条件:=IF(STRCMP(DYNAINFO(39),'-')=0,0,IF(DYNAINFO(39)>0 AND DYNAINFO(39)<=50,1,0)); { 动态PE<50 }
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+
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+{ 增加财务因子 }
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+ROE连续:=COUNT(FINANCE(30)>15,4)=4; { 近4年ROE>15% }
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+研发占比:=FINANCE(64)/AMOUNT>0.05; { 研发费用率>5% }
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+
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+风险分:IF(SAFESCORE>80,
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+ IF(流通市值达标, 权重风险*0.2, 0)
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+ + IF(市盈率条件, 权重风险*0.2, 0)
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+ + IF(大盘趋势, 权重风险*0.2, 0)
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+ + IF(ROE连续, 权重风险*0.2, 0)
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+ + IF(研发占比, 权重风险*0.2, 0)
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+ ,0);
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+
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+{ 其他过滤 }
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+量比下限:=0.8;
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+市盈率极限:=IF(STRCMP(DYNAINFO(39),'-')=0 OR DYNAINFO(39)<=0 OR DYNAINFO(39)>300,1,0);
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+其他分:IF(量比<=量比下限,-10,0)+IF(市盈率极限,-10,0);
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+
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+{ 股票池过滤 }
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+沪市主板:=CODELIKE('60') AND NOT(CODELIKE('688'));
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+深市主板:=CODELIKE('000') OR CODELIKE('001') OR CODELIKE('002') OR CODELIKE('30');
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+有效代码:=(沪市主板 OR 深市主板) AND NOT(NAMELIKE('ST')) AND NOT(NAMELIKE('*'));
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+
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+{ 总分计算 }
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+信号强度初始:= (资金分 + 量价分 + 板块分 + 资效分 + 波动分 + 趋势分 + 风险分 + 其他分) * 有效代码;
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+信号强度:MAX(MIN(信号强度初始,100),0);
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+
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+买入阈值:=分数MIN + 5*(MARKET-2);
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+
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+{ 买入条件优化 }
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+最高涨幅:=(H-REF(C,1))/REF(C,1)*100;
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+涨幅上限:=IF((CODELIKE('688') OR CODELIKE('30')), 12, 6);
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+流动性达标:=挂单厚度>20 AND 流通市值>30;
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+{熔断条件}
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+熔断条件:= (INDEXC/REF(INDEXC,5)-1)*100 < -2;{ 大盘瞬间暴跌停止买入建议 }
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+
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217
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+买入信号:=信号强度>=买入阈值 AND 最高涨幅<涨幅上限 AND 流动性达标 AND NOT(熔断条件);
|
