{ 动态市场状态模型 } FS:=70; 分数MIN:=IF(MACHINETIME<094500,FS-15,IF(MACHINETIME<100000,FS-10,IF(MACHINETIME<130000,FS-5,FS))); { 市场牛熊判断 } N1:=21; N2:=55; VOL_RATIO:=1.2; ATR_PERIOD:=14; ANGLE:=5; EMA_INDEX:=EMA(INDEXC,N1); LONG_EMA_INDEX:=EMA(INDEXC,N2); TREND_ANGLE:=IF(REF(EMA_INDEX,5)!=0, ATAN((EMA_INDEX/REF(EMA_INDEX,5)-1)*100)*180/3.1416, 0); VOL_MA:=MA(INDEXV,N2); INDEX_ATR:=MA(TR,ATR_PERIOD); LOW_VOLATILITY:=INDEX_ATR/REF(INDEX_ATR,5)<0.7; COND_BULL:= EMA_INDEX > LONG_EMA_INDEX AND COUNT(TREND_ANGLE>ANGLE,3)>=2 AND EVERY(INDEXV>VOL_MA*VOL_RATIO,3) AND NOT(LOW_VOLATILITY); COND_BEAR:= EMA_INDEX < LONG_EMA_INDEX AND COUNT(TREND_ANGLE<-ANGLE,3)>=2 AND EVERY(INDEXV REF(INDEX_ATR,5)*1.3; HY_EMA:=EMA(HY_INDEXC,N1); HY_TREND_ANGLE:= IF(REF(HY_EMA,5)!=0, ATAN((HY_EMA/REF(HY_EMA,5)-1)*100)*180/3.1416, 0); STRONG_INDUSTRY:= HY_EMA > EMA(HY_INDEXC,N2) AND HY_TREND_ANGLE > ANGLE AND COUNT(HY_INDEXV>MA(HY_INDEXV,N2)*VOL_RATIO,5)>=3; WEAK_INDUSTRY:= HY_EMA < EMA(HY_INDEXC,N2) AND HY_TREND_ANGLE < -ANGLE AND MA(HY_INDEXV,N2)/REF(MA(HY_INDEXV,N2),5)<0.8; HS300C:="399300$CLOSE"; REL_STR:=IF(REF(C,N1)!=0 AND REF(HS300C,N1)!=0, (C/REF(C,N1)) / (HS300C/REF(HS300C,N1)) - 1, 0); IND_BULL:=FILTER(REL_STR>0.12 AND REL_STR>REF(REL_STR,1),3); IND_BEAR:=FILTER(REL_STR<-0.18 AND REL_STRREF(WEEK_EMA,3); BULL_SCORE:=(COND_BULL + STRONG_INDUSTRY + IND_BULL + WEEK_TREND)>=3; BEAR_SCORE:=(COND_BEAR + WEAK_INDUSTRY + IND_BEAR + NOT(WEEK_TREND))>=3; MARKET:=IF(BULL_SCORE,1, IF(BEAR_SCORE,2,3));{1:牛市,2:熊市,3:震荡市或不确定}; { 动态权重 - 根据市场强度调整 } 牛熊强度:=EMA_INDEX/LONG_EMA_INDEX-1; 权重主力 :=IF(MARKET==1, 50*(1+牛熊强度), IF(MARKET==3,35,40)); 权重量价 :=IF(MARKET==1, 20, IF(MARKET==3, 5,10)); 权重板块 :=IF(MARKET==1, 30*(1+牛熊强度/2), IF(MARKET==3,15,30)); 权重资效 :=IF(MARKET==1, 0, IF(MARKET==3,20,5)); 权重波动 := IF(MARKET==1, 0, IF(MARKET==3,10,5)); 权重趋势 := IF(MARKET==1, 0, IF(MARKET==3,5,5)); 权重风险 := IF(MARKET==1, 0, IF(MARKET==3,10,5)); { 主力资金增强 - 加入北向资金 } 北向占比1:= GPJYVALUE(6,1,1); 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 } 权重DDX:=IF(北向占比2=0,权重主力*0.6,权重主力*0.5); 权重DDY:=IF(北向占比2=0,权重主力*0.4,权重主力*0.3); 权重北向:=IF(北向占比2=0,0,权重主力*0.2); _DDX:=(LARGEINTRDVOL-LARGEOUTTRDVOL)*10000/CAPITAL; _DDY:=IF(TRADENUM>0,(TRADEOUTNUM-TRADEINNUM)*100/TRADENUM,0); 资金分DDX:= 权重DDX * MIN(1, MAX(0, (_DDX - 0.3)/(1.4 - 0.3))); 资金分DDY:= 权重DDY * MIN(1, MAX(0, (_DDY - 10)/(30 - 10))); 资金分北向:= 权重北向 * MIN(1, MAX(0, 北向占比2/3)); { 3%为阈值 } 资金分数:=资金分DDX + 资金分DDY + 资金分北向; { 量价模型优化 - 解决早盘失效 } 量比:=DYNAINFO(17); 量比MIN:= 2 + (INDEXV / REF(INDEXV,20) - 1) * 0.5; { 调整量比阈值 } 量比判断:=量比 > 量比MIN; 现价:=C; 分时均价:=IF(MACHINETIME>093000, DYNAINFO(11), REF(DYNAINFO(11),1)); { 早盘用前日数据 } 日内涨幅:=(C-OPEN)/OPEN*100; 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 } LC:=REF(CLOSE,1); RSI_VAL:=SMA(MAX(CLOSE-LC,0),N1,1)/SMA(ABS(CLOSE-LC),N1,1)*100; RSI上限:=70; OBV_VAL:=SUM(IF(C>REF(C,1),V,IF(C OBV_MA; 量价初始分:=IF(量比判断, 权重量价*0.3, 0) + IF(现价>分时均价, 权重量价*0.3 , 0) + IF(早盘涨幅, 权重量价*0.2, 0) + IF(OBV确认, 权重量价*0.2, 0); 量价分数:=IF(MARKET=1, 量价初始分, IF(RSI_VAL=0, ROUND( IF(行业排名<=2, 权重板块*0.6, IF(行业排名<=3, 权重板块*0.5, IF(行业排名<=5, 权重板块*0.4, IF(行业排名<=10, 权重板块*0.2, IF(行业排名<=20, 权重板块*0.1, 0))))) + IF(行业热度>=3, 权重板块*0.4, IF(行业热度>=2, 权重板块*0.3, IF(行业热度>=1, 权重板块*0.2, 0)))), 0); { 资金效率优化 } 成交额万元 := AMOUNT/10000; 行业平均涨幅 := 100 * HORCALC(HYBLOCK, 105, 2, 0); 当前涨幅:=(C-REF(C,1))/REF(C,1)*100; 超额涨幅 := 当前涨幅 - 行业平均涨幅; 阈值 := MA(AMOUNT,20)/1000000; { 调整为百万元 } 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); 资效分数:=IF(资金效率 >= 2, 权重资效, IF(资金效率 >= 1.5, 权重资效*0.8, IF(资金效率 >= 1.0, 权重资效*0.6, IF(资金效率 >= 0.5, 权重资效*0.4, 0)))); { 波动率模型改进 } 日收益率 := IF(REF(C,1)!=0, C/REF(C,1)-1, 0); 真实波幅:=MAX(MAX(H-L,ABS(H-REF(C,1))),ABS(L-REF(C,1))); 波动率:=MA(真实波幅,20)/REF(C,20); { ATR相对波动率 } VAR1:= -1.645 * 波动率 * SQRT(126); { 半年周期 } 波动分数:=IF(VAR1 > -0.05, 权重波动, IF(VAR1 > -0.1, 权重波动*0.8, IF(VAR1 > -0.15, 权重波动*0.6, IF(VAR1 > -0.2, 权重波动*0.4, 0)))); { 趋势判断增加流动性 } MID:=MA(C,20); UPPER:=MID + 2*STD(C,20); 短期穿越1:= C > MA(C,5); 短期穿越2:= MA(C,5) > MA(C,10); 短期穿越3:= MA(C,10) > MA(C,20); BOLL穿越:=C > UPPER; { 流动性风控 } 流通市值:=FINANCE(40)/100000000; 挂单厚度:=(DYNAINFO(58)+DYNAINFO(59))/CAPITAL; 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 } 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, 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, IF(换手率条件 AND 短期穿越1 AND 短期穿越2, 权重趋势*0.5, IF(换手率条件 AND 短期穿越1, 权重趋势*0.2, 0)))); DIFF := EMA(C,12) - EMA(C,26); DEA := EMA(DIFF,9); MACD确认 := CROSS(DIFF,DEA) AND BARSLAST(CROSS(DEA,DIFF))>5; 趋势分2 :=趋势分1 * IF(MACD确认, 1.2, 1); 趋势分数:=IF(趋势分2> 权重趋势, 权重趋势, 趋势分2); { 风险控制增强 } 大盘趋势:=INDEXC > MA(INDEXC,50) AND (DYNAINFO(60)/(DYNAINFO(60)+DYNAINFO(61)))>0.3; 流通市值达标:=流通市值>30; { 提高市值门槛 } 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 } { 增加财务因子 } ROE连续:=COUNT(FINANCE(30)>15,4)=4; { 近4年ROE>15% } 研发占比:=FINANCE(64)/AMOUNT>0.05; { 研发费用率>5% } 风险分数:=IF(SAFESCORE>80, IF(流通市值达标, 权重风险*0.2, 0) + IF(市盈率条件, 权重风险*0.2, 0) + IF(大盘趋势, 权重风险*0.2, 0) + IF(ROE连续, 权重风险*0.2, 0) + IF(研发占比, 权重风险*0.2, 0) ,0); { 其他过滤 } 量比下限:=0.8; 市盈率极限:=IF(NOT(DYNAINFO(39)) OR DYNAINFO(39)<=0 OR DYNAINFO(39)>300,1,0); 其他分数:=IF(量比<=量比下限,-10,0)+IF(市盈率极限,-10,0); { 股票池过滤 } 沪市主板:=CODELIKE('60') AND NOT(CODELIKE('688')); 深市主板:=CODELIKE('000') OR CODELIKE('001') OR CODELIKE('002') OR CODELIKE('30'); 有效代码:=(沪市主板 OR 深市主板) AND NOT(NAMELIKE('ST')) AND NOT(NAMELIKE('*')); { 总分计算 } 信号强度初始:= (资金分数 + 量价分数 + 板块分数 + 资效分数 + 波动分数 + 趋势分数 + 风险分数 + 其他分数) * 有效代码; 信号强度:=MAX(MIN(信号强度初始,100),0); {熔断条件} 最高涨幅:=(H-REF(C,1))/REF(C,1)*100; 涨幅上限:=IF((CODELIKE('688') OR CODELIKE('30')), 12, 6); 熔断条件1:= 最高涨幅>=涨幅上限;{ 当前涨太高了 } 熔断条件2:= (INDEXC/REF(INDEXC,5)-1)*100 < -2;{ 大盘瞬间暴跌停止买入建议 } 买入阈值:=分数MIN + 5*(MARKET-2); 买入信号:信号强度>=买入阈值 AND NOT(熔断条件1) AND NOT(熔断条件2);