cyb50-quant/market-regime-identifier-30/cyb50_market_classifier_v3.py

#!/usr/bin/env python3
# -*- coding: utf-8 -*-
"""
创业板50市场状态分类器 - 真实数据版（优化反转识别V3）
基于规则定义标签，使用有监督学习（Random Forest）

优化重点：提高反转识别率
"""

import numpy as np
import pandas as pd
from sklearn.ensemble import RandomForestClassifier
from sklearn.model_selection import train_test_split, cross_val_score
from sklearn.metrics import classification_report, confusion_matrix
import baostock as bs
import warnings
warnings.filterwarnings('ignore')


def fetch_cyb50_data(start_date="2017-01-01", end_date="2025-12-31"):
    """获取创业板50真实历史数据"""
    print(f"获取创业板50数据 ({start_date} - {end_date})...")
    
    try:
        lg = bs.login()
        if lg.error_code != '0':
            print(f"baostock登录失败: {lg.error_msg}")
            return None
        
        rs = bs.query_history_k_data_plus("sz.399673",
            "date,open,high,low,close,volume",
            start_date=start_date, end_date=end_date,
            frequency="d", adjustflag="3")
        
        data_list = []
        while (rs.error_code == '0') & rs.next():
            row = rs.get_row_data()
            if row[0]:
                data_list.append({
                    'date': row[0],
                    'open': float(row[1]) if row[1] else 0,
                    'high': float(row[2]) if row[2] else 0,
                    'low': float(row[3]) if row[3] else 0,
                    'close': float(row[4]) if row[4] else 0,
                    'volume': int(float(row[5])) if row[5] else 0
                })
        
        bs.logout()
        
        if not data_list:
            print("✗ 未获取到数据")
            return None
        
        df = pd.DataFrame(data_list)
        df['date'] = pd.to_datetime(df['date'])
        df = df.set_index('date').sort_index()
        df['return'] = df['close'].pct_change()
        
        print(f"✓ 获取成功: {len(df)}条数据")
        print(f"  日期范围: {df.index[0].date()} ~ {df.index[-1].date()}")
        print(f"  价格范围: {df['close'].min():.2f} ~ {df['close'].max():.2f}")
        
        return df[['open', 'high', 'low', 'close', 'volume', 'return']]
    
    except Exception as e:
        print(f"✗ 数据获取失败: {e}")
        import traceback
        traceback.print_exc()
        return None


def calculate_features(df):
    """计算技术指标特征（增加反转识别特征）"""
    features = pd.DataFrame(index=df.index)
    
    # 价格特征
    features['close'] = df['close']
    
    # 1. 收益率特征
    features['ret_1d'] = df['return']
    features['ret_5d'] = df['close'].pct_change(5)
    features['ret_10d'] = df['close'].pct_change(10)
    features['ret_20d'] = df['close'].pct_change(20)
    
    # 2. 波动率特征
    features['volatility_5d'] = df['return'].rolling(5).std() * np.sqrt(252)
    features['volatility_20d'] = df['return'].rolling(20).std() * np.sqrt(252)
    features['volatility_ratio'] = features['volatility_5d'] / (features['volatility_20d'] + 1e-10)
    
    # 3. 动量特征
    features['momentum_10d'] = df['close'] / df['close'].shift(10) - 1
    features['momentum_20d'] = df['close'] / df['close'].shift(20) - 1
    
    # 4. 均线特征
    features['ma5'] = df['close'].rolling(5).mean()
    features['ma20'] = df['close'].rolling(20).mean()
    features['ma60'] = df['close'].rolling(60).mean()
    features['ma5_above_ma20'] = (features['ma5'] > features['ma20']).astype(int)
    features['price_above_ma20'] = (df['close'] > features['ma20']).astype(int)
    
    # 5. RSI（增加超买超卖判断）
    delta = df['close'].diff()
    gain = (delta.where(delta > 0, 0)).rolling(14).mean()
    loss = (-delta.where(delta < 0, 0)).rolling(14).mean()
    rs = gain / (loss + 1e-10)
    features['rsi_14'] = 100 - (100 / (1 + rs))
    
    # RSI极端值（用于识别反转）
    features['rsi_overbought'] = (features['rsi_14'] > 70).astype(int)
    features['rsi_oversold'] = (features['rsi_14'] < 30).astype(int)
    features['rsi_extreme'] = features['rsi_overbought'] + features['rsi_oversold']
    features['rsi_change'] = features['rsi_14'].diff(3)  # 3日RSI变化
    
    # 6. MACD
    ema12 = df['close'].ewm(span=12).mean()
    ema26 = df['close'].ewm(span=26).mean()
    features['macd'] = ema12 - ema26
    features['macd_signal'] = features['macd'].ewm(span=9).mean()
    features['macd_hist'] = features['macd'] - features['macd_signal']
    
    # MACD金叉死叉（反转信号）
    features['macd_golden_cross'] = ((features['macd'] > features['macd_signal']) & 
                                     (features['macd'].shift(1) <= features['macd_signal'].shift(1))).astype(int)
    features['macd_death_cross'] = ((features['macd'] < features['macd_signal']) & 
                                    (features['macd'].shift(1) >= features['macd_signal'].shift(1))).astype(int)
    features['macd_cross'] = features['macd_golden_cross'] - features['macd_death_cross']
    
    # 7. 布林带
    features['bb_middle'] = df['close'].rolling(20).mean()
    bb_std = df['close'].rolling(20).std()
    features['bb_upper'] = features['bb_middle'] + 2 * bb_std
    features['bb_lower'] = features['bb_middle'] - 2 * bb_std
    features['bb_position'] = (df['close'] - features['bb_lower']) / (features['bb_upper'] - features['bb_lower'] + 1e-10)
    
    # 触及布林带上下轨（反转信号）
    features['bb_touch_upper'] = (df['close'] >= features['bb_upper'] * 0.99).astype(int)
    features['bb_touch_lower'] = (df['close'] <= features['bb_lower'] * 1.01).astype(int)
    features['bb_extreme'] = features['bb_touch_upper'] + features['bb_touch_lower']
    
    # 8. ATR
    high_low = df['high'] - df['low']
    high_close = np.abs(df['high'] - df['close'].shift())
    low_close = np.abs(df['low'] - df['close'].shift())
    tr = pd.concat([high_low, high_close, low_close], axis=1).max(axis=1)
    features['atr_14'] = tr.rolling(14).mean()
    features['atr_ratio'] = features['atr_14'] / df['close']
    
    # 9. 成交量特征
    features['volume_ratio'] = df['volume'] / df['volume'].rolling(20).mean()
    features['volume_spike'] = (features['volume_ratio'] > 2).astype(int)
    
    # 10. 趋势强度
    features['adx'] = calculate_adx(df, 14)
    
    # 11. 价格变化加速度
    features['price_accel'] = df['close'].diff().diff()
    features['price_accel_normalized'] = features['price_accel'] / (df['close'] * 0.01)
    
    # 12. 日内反转强度
    features['intraday_reversal'] = ((df['high'] - df['close']) / (df['high'] - df['low'] + 1e-10) - 
                                     (df['close'] - df['low']) / (df['high'] - df['low'] + 1e-10))
    
    # 13. 连续涨跌天数
    features['consecutive_up'] = (df['return'] > 0).astype(int).groupby((df['return'] <= 0).astype(int).cumsum()).cumsum()
    features['consecutive_down'] = (df['return'] < 0).astype(int).groupby((df['return'] >= 0).astype(int).cumsum()).cumsum()
    
    # 14. 新增：5日价格位置（用于判断超买超卖后的位置）
    features['price_position_5d'] = (df['close'] - df['low'].rolling(5).min()) / (df['high'].rolling(5).max() - df['low'].rolling(5).min() + 1e-10)
    
    # 填充缺失值
    features = features.ffill().fillna(0)
    
    return features


def calculate_adx(df, period=14):
    """计算ADX趋势强度指标"""
    plus_dm = df['high'].diff()
    minus_dm = df['low'].diff().abs()
    
    plus_dm[plus_dm < 0] = 0
    minus_dm[minus_dm < 0] = 0
    
    tr = pd.concat([
        df['high'] - df['low'],
        (df['high'] - df['close'].shift()).abs(),
        (df['low'] - df['close'].shift()).abs()
    ], axis=1).max(axis=1)
    
    atr = tr.rolling(period).mean()
    
    plus_di = 100 * (plus_dm.rolling(period).mean() / atr)
    minus_di = 100 * (minus_dm.rolling(period).mean() / atr)
    
    dx = (abs(plus_di - minus_di) / (plus_di + minus_di + 1e-10)) * 100
    adx = dx.rolling(period).mean()
    
    return adx


def define_market_regime(df, lookback=10):
    """
    基于规则定义市场状态标签（最终平衡版）
    
    目标：反转识别率50-60%，整体准确率>72%
    """
    labels = []
    
    # 预计算RSI和MACD
    delta = df['close'].diff()
    gain = (delta.where(delta > 0, 0)).rolling(14).mean()
    loss = (-delta.where(delta < 0, 0)).rolling(14).mean()
    rs = gain / (loss + 1e-10)
    rsi = 100 - (100 / (1 + rs))
    
    ema12 = df['close'].ewm(span=12).mean()
    ema26 = df['close'].ewm(span=26).mean()
    macd = ema12 - ema26
    
    for i in range(len(df)):
        if i < lookback:
            labels.append(0)
            continue
        
        # 获取回看期间数据
        period_close = df['close'].iloc[i-lookback:i]
        period_high = df['high'].iloc[i-lookback:i]
        period_low = df['low'].iloc[i-lookback:i]
        period_rsi = rsi.iloc[i-lookback:i]
        
        start_price = period_close.iloc[0]
        end_price = period_close.iloc[-1]
        period_return = (end_price / start_price - 1) * 100
        
        daily_returns = period_close.pct_change().dropna()
        volatility = daily_returns.std() * np.sqrt(252) * 100
        
        max_price = period_high.max()
        min_price = period_low.min()
        price_range = max_price / min_price
        
        mid = lookback // 2
        first_half_return = (period_close.iloc[mid] / start_price - 1) * 100
        second_half_return = (end_price / period_close.iloc[mid] - 1) * 100
        
        # RSI特征
        rsi_start = period_rsi.iloc[0]
        rsi_end = period_rsi.iloc[-1]
        rsi_max = period_rsi.max()
        rsi_min = period_rsi.min()
        rsi_change = rsi_end - rsi_start
        
        # 定义标签
        label = 0  # 默认震荡
        
        # ========== 反转判断（适中条件）==========
        # 条件1: RSI极端值后的明显反向
        condition_1 = (rsi_start > 68 and rsi_change < -18) or (rsi_start < 32 and rsi_change > 18)
        
        # 条件2: 价格前后明显反向
        condition_2 = (first_half_return * second_half_return < 0 and 
                      abs(first_half_return) > 1.8 and abs(second_half_return) > 1.2)
        
        # 条件3: 触及超买超卖区域
        condition_3 = (rsi_max > 72 or rsi_min < 28)
        
        # 条件4: 整体波动率适中
        condition_4 = 15 < volatility < 45
        
        # 满足至少2个条件算反转
        reversal_score = sum([condition_1, condition_2, condition_3, condition_4])
        if reversal_score >= 2:
            label = 2
        
        # ========== 趋势判断 ==========
        elif abs(period_return) >= 3.2 and volatility < 38:
            if price_range > 1.035:
                if reversal_score < 2:  # 不是反转
                    label = 1
        
        # ========== 震荡判断（默认）=========
        else:
            label = 0
        
        labels.append(label)
    
    return np.array(labels)


def train_classifier(features, labels):
    """训练随机森林分类器"""
    print("\n训练分类器...")
    
    # 对齐数据
    valid_idx = ~np.isnan(labels)
    X = features[valid_idx]
    y = labels[valid_idx]
    
    # 分割训练集和测试集（按时间顺序）
    split_idx = int(len(X) * 0.7)
    X_train, X_test = X.iloc[:split_idx], X.iloc[split_idx:]
    y_train, y_test = y[:split_idx], y[split_idx:]
    
    print(f"训练集: {len(X_train)}条")
    print(f"测试集: {len(X_test)}条")
    
    # 训练模型 - 调整参数提高对反转的识别
    clf = RandomForestClassifier(
        n_estimators=200,  # 增加树的数量
        max_depth=15,      # 增加深度
        min_samples_split=10,
        min_samples_leaf=5,
        random_state=42,
        class_weight={0: 1.0, 1: 1.2, 2: 2.0}  # 给反转更高的权重
    )
    
    clf.fit(X_train, y_train)
    
    # 评估
    train_score = clf.score(X_train, y_train)
    test_score = clf.score(X_test, y_test)
    
    # 交叉验证
    cv_scores = cross_val_score(clf, X, y, cv=5)
    
    print(f"\n训练准确率: {train_score:.2%}")
    print(f"测试准确率: {test_score:.2%}")
    print(f"交叉验证准确率: {cv_scores.mean():.2%} (+/- {cv_scores.std()*2:.2%})")
    
    # 详细报告
    y_pred = clf.predict(X_test)
    print("\n分类报告:")
    print(classification_report(y_test, y_pred, target_names=['震荡', '趋势', '反转']))
    
    # 混淆矩阵
    cm = confusion_matrix(y_test, y_pred)
    print("\n混淆矩阵:")
    print("        预测")
    print("真实    震荡  趋势  反转")
    for i, name in enumerate(['震荡', '趋势', '反转']):
        recall = cm[i][i] / cm[i].sum() if cm[i].sum() > 0 else 0
        print(f"{name:6s} {cm[i]} (召回:{recall:.1%})")
    
    # 特征重要性
    feature_importance = pd.DataFrame({
        'feature': X.columns,
        'importance': clf.feature_importances_
    }).sort_values('importance', ascending=False)
    
    print("\n特征重要性 TOP 10:")
    print(feature_importance.head(10).to_string(index=False))
    
    return clf, feature_importance


def main():
    """主程序"""
    print("="*70)
    print("创业板50市场状态分类器 - 真实数据版（优化反转识别V3）")
    print("="*70)
    
    # 1. 获取真实数据
    df = fetch_cyb50_data("2017-01-01", "2025-12-31")
    if df is None:
        return
    
    # 2. 计算特征
    print("\n计算技术指标...")
    features = calculate_features(df)
    print(f"特征数量: {features.shape[1]}")
    
    # 3. 定义标签
    print("\n定义市场状态标签...")
    labels = define_market_regime(df, lookback=10)
    
    # 统计标签分布
    unique, counts = np.unique(labels, return_counts=True)
    print("\n标签分布:")
    state_names = ['震荡', '趋势', '反转']
    for u, c in zip(unique, counts):
        print(f"  {state_names[u]}: {c}天 ({c/len(labels)*100:.1f}%)")
    
    # 4. 训练分类器
    clf, importance = train_classifier(features, labels)
    
    # 5. 当前状态预测
    print("\n" + "="*70)
    print("当前市场状态识别")
    print("="*70)
    
    latest_features = features.iloc[-1:]
    current_pred = clf.predict(latest_features)[0]
    pred_proba = clf.predict_proba(latest_features)[0]
    
    print(f"\n当前日期: {df.index[-1].date()}")
    print(f"当前价格: {df['close'].iloc[-1]:.2f}")
    print(f"\n预测状态: {state_names[current_pred]}")
    print(f"置信度: {pred_proba[current_pred]:.2%}")
    
    print("\n状态概率分布:")
    for i, name in enumerate(state_names):
        bar = '█' * int(pred_proba[i] * 20)
        print(f"  {name}: {pred_proba[i]:.2%} {bar}")
    
    # 保存模型
    print("\n保存模型...")
    import pickle
    with open('/root/.openclaw/workspace/market-regime-identifier/rf_classifier_v3.pkl', 'wb') as f:
        pickle.dump(clf, f)
    print("✓ 模型已保存: rf_classifier_v3.pkl")
    
    print("\n" + "="*70)


if __name__ == "__main__":
    main()