增加均量突破回踩与真实涨停整理条件

crates/fidc-core/src/daily_patterns.rs

@@ -13,6 +13,10 @@ pub fn catalog() -> Value {
         "strength":{"label":"趋势强势","parameters":{"momentum_window":[25,5,120],"fast_window":[20,2,60],"slow_window":[60,20,252]},"stages":["selection","buy"],"method":"收盘价>短均线>长均线，按区间动量排序；不是当日金叉。"},
         "breakout":{"label":"前高突破","parameters":{"high_window":[60,5,252],"volume_window":[10,2,60],"volume_multiple":[1.3,1,10],"max_upper_shadow":[0.1,0,1]},"stages":["selection","buy"],"method":"收盘突破此前N日最高价，量达到此前M日均量倍数，上影比例受限；参考窗口不含当日。"},
         "volume_spike":{"label":"放量上涨","parameters":{"volume_window":[5,2,60],"volume_multiple":[3.0,1,10]},"stages":["selection","buy"],"method":"当日上涨且量达到此前N日最大量的指定倍数；不等同价格创新高。"},
+        "mean_volume_spike":{"label":"均量倍增","parameters":{"volume_window":[5,2,60],"volume_multiple":[3.0,1,10]},"stages":["selection","buy"],"method":"量达到此前N个交易日均量的M倍且当日上涨。分母不含当日；保留与最大量规则的区别。"},
+        "mean_shrink_breakout":{"label":"倍量后缩量阳线突破","parameters":{"spike_lookback":[5,2,30],"volume_window":[5,2,60],"volume_multiple":[3.0,1,10],"shrink_ratio":[0.5,0.01,1]},"stages":["selection","buy"],"method":"此前出现N日均量M倍放量，当前缩量阳线收盘突破该放量日最高价。"},
+        "breakout_retest":{"label":"突破回踩站回","parameters":{"high_window":[60,5,252],"retest_lookback":[10,2,30],"price_tolerance":[0.02,0,0.2],"shrink_ratio":[0.8,0.01,1]},"stages":["selection","buy"],"method":"观察窗先收盘突破此前N日最高价，随后低点回踩突破位容差区，今日收盘站回该位且不低于昨日、成交量收缩。突破与回踩不得同日。"},
+        "limit_consolidation":{"label":"涨停后整理（日线）","parameters":{"anchor_lag":[4,2,30],"price_band":[0.05,0,0.3],"volume_band":[0.15,0,2],"ma_window":[5,2,60]},"stages":["selection","buy"],"method":"明确T-i日按真实涨停价收盘，后续收盘和量相对锚日偏离受限，今日收盘低于完整日线均线；不是盘中动态MA条件。"},
         "shrink_breakout":{"label":"缩量突破","parameters":{"spike_lookback":[5,2,30],"volume_window":[5,2,60],"volume_multiple":[3.0,1,10],"shrink_ratio":[0.5,0.01,1]},"stages":["selection","buy"],"method":"此前观察窗有放量日，今日收盘超过该日最高价，成交量不超过其指定比例。"},
         "ma_below":{"label":"均线下方","parameters":{"ma_window":[20,2,252]},"stages":["sell"],"method":"完整收盘价低于含当日的N日均线；独立卖出条件。"},
         "volume_down":{"label":"放量下跌","parameters":{"volume_window":[5,2,60],"volume_multiple":[3.0,1,10]},"stages":["sell"],"method":"当日下跌且量达到此前N日最大量的指定倍数。"}
@@ -75,7 +79,7 @@ impl PatternSpec {
             if number < bounds[1].as_f64().unwrap() || number > bounds[2].as_f64().unwrap() {
                 return Err(format!("{key}超出允许范围"));
             }
-            if key.ends_with("window") || key == "spike_lookback" {
+            if key.ends_with("window") || key.ends_with("lookback") || key == "anchor_lag" {
                 if number.fract() != 0.0 {
                     return Err(format!("{key}必须是整数"));
                 }
@@ -100,9 +104,11 @@ impl PatternSpec {
             "expression" => self.n("history_window"),
             "strength" => self.n("slow_window").max(self.n("momentum_window") + 1),
             "breakout" => self.n("high_window").max(self.n("volume_window")) + 1,
-            "volume_spike" | "volume_down" => self.n("volume_window") + 1,
+            "volume_spike" | "volume_down" | "mean_volume_spike" => self.n("volume_window") + 1,
+            "breakout_retest" => self.n("high_window") + self.n("retest_lookback") + 1,
+            "limit_consolidation" => (self.n("anchor_lag")+1).max(self.n("ma_window")),
             "ma_below" => self.n("ma_window").max(2),
-            "shrink_breakout" => self.n("spike_lookback") + self.n("volume_window") + 1,
+            "shrink_breakout" | "mean_shrink_breakout" => self.n("spike_lookback") + self.n("volume_window") + 1,
             _ => unreachable!(),
         }
     }
@@ -121,6 +127,10 @@ pub struct PatternBar {
     pub prev_close: Option<f64>,
     #[serde(default)]
     pub amount: Option<f64>,
+    #[serde(default)]
+    pub upper_limit: Option<f64>,
+    #[serde(default)]
+    pub no_limit: Option<bool>,
     pub adjustment_factor_backward1: Option<f64>,
     pub paused: Option<bool>,
     #[serde(default)]
@@ -434,11 +444,12 @@ pub fn evaluate(
                 spec.v("max_upper_shadow"),
             );
         }
-        "volume_spike" | "volume_down" => {
+        "volume_spike" | "volume_down" | "mean_volume_spike" => {
-            let high = prices[len - 1 - spec.n("volume_window")..len - 1]
+            let reference = &prices[len - 1 - spec.n("volume_window")..len - 1];
+            let high = if spec.template=="mean_volume_spike" {mean(reference.iter().map(|b|b.4))?} else {reference
                 .iter()
                 .map(|b| b.4)
-                .fold(0.0, f64::max);
+                .fold(0.0, f64::max)};
             if high <= 0.0 {
                 return Err(format!(
                     "pattern_input_invalid: symbol={}, reason=zero_reference_volume",
@@ -449,20 +460,20 @@ pub fn evaluate(
             result.values["volume_ratio"] = json!(v / high);
             check(
                 &mut result.checks,
-                "最大量倍数",
+                if spec.template=="mean_volume_spike" {"均量倍数"} else {"最大量倍数"},
                 v / high,
                 ">=",
                 spec.v("volume_multiple"),
             );
             check(
                 &mut result.checks,
-                if spec.template == "volume_spike" {
+                if spec.template != "volume_down" {
                     "当日上涨"
                 } else {
                     "当日下跌"
                 },
                 change,
-                if spec.template == "volume_spike" {
+                if spec.template != "volume_down" {
                     ">"
                 } else {
                     "<"
@@ -476,14 +487,15 @@ pub fn evaluate(
             result.values["ma"] = json!(avg);
             check(&mut result.checks, "收盘低于均线", c, "<", avg);
         }
-        "shrink_breakout" => {
+        "shrink_breakout" | "mean_shrink_breakout" => {
             let mut spikes = Vec::new();
             let mut eligible = Vec::new();
             for i in len - 1 - spec.n("spike_lookback")..len - 1 {
-                let prior = prices[i - spec.n("volume_window")..i]
+                let reference=&prices[i - spec.n("volume_window")..i];
+                let prior = if spec.template=="mean_shrink_breakout"{mean(reference.iter().map(|b|b.4))?}else{reference
                     .iter()
                     .map(|b| b.4)
-                    .fold(0.0, f64::max);
+                    .fold(0.0, f64::max)};
                 if prior <= 0.0 {
                     return Err(format!(
                         "pattern_input_invalid: symbol={}, date={}, reason=zero_reference_volume",
@@ -523,6 +535,44 @@ pub fn evaluate(
                     spec.v("shrink_ratio"),
                 );
             }
+            if spec.template=="mean_shrink_breakout" {check(&mut result.checks,"当前为阳线",c,">",o);}
+        }
+        "breakout_retest" => {
+            let mut anchors=Vec::new();let mut eligible=Vec::new();
+            for i in len-1-spec.n("retest_lookback")..len-1 {
+                let level=prices[i-spec.n("high_window")..i].iter().map(|b|b.1).fold(f64::NEG_INFINITY,f64::max);
+                if prices[i].3<=level {continue;}
+                let retraced=prices[i+1..].iter().any(|b| b.2 <= level*(1.0+spec.v("price_tolerance")));
+                anchors.push((i,level,retraced));
+                if retraced&&c>=level&&c>=prices[len-2].3&&prices[i].4>0.0&&v<=prices[i].4*spec.v("shrink_ratio") {eligible.push((i,level,retraced));}
+            }
+            check(&mut result.checks,"观察窗存在先前突破",anchors.len() as f64,">",0.0);
+            if let Some(&(i,level,retraced))=eligible.last().or_else(||anchors.last()) {
+                result.values["breakout_date"]=json!(days[i]);result.values["breakout_level"]=json!(level);result.values["days_since_breakout"]=json!(len-1-i);
+                check(&mut result.checks,"突破后曾回踩",if retraced{1.0}else{0.0},">",0.0);
+                check(&mut result.checks,"收盘重新站回突破位",c,">=",level);
+                check(&mut result.checks,"收盘不低于昨日",c,">=",prices[len-2].3);
+                if prices[i].4<=0.0{return Err("突破锚日成交量为零，不能计算缩量比例".into());}
+                check(&mut result.checks,"相对突破日缩量",v/prices[i].4,"<=",spec.v("shrink_ratio"));
+                score=Some(c/level-1.0);
+            }
+        }
+        "limit_consolidation" => {
+            let i=len-1-spec.n("anchor_lag");let anchor=by_day[&days[i]];
+            let is_limit=if anchor.no_limit==Some(true){false}else{
+                let upper=number(anchor.upper_limit,&series.symbol,days[i],"upper_limit")?;
+                if upper<=0.0||upper>=99999.0{return Err("涨停事件缺少有效源涨停价或无涨跌幅限制证据，禁止按比例推算".into());}
+                (anchor.close.unwrap()/upper-1.0).abs()<=1e-8
+            };
+            if prices[i].4<=0.0{return Err("涨停锚日成交量为零".into());}
+            let price_gap=prices[i+1..].iter().map(|b|(b.3/prices[i].3-1.0).abs()).fold(0.0,f64::max);
+            let volume_gap=prices[i+1..].iter().map(|b|(b.4/prices[i].4-1.0).abs()).fold(0.0,f64::max);
+            let avg=mean(prices[len-spec.n("ma_window")..].iter().map(|b|b.3))?;
+            result.values["limit_date"]=json!(days[i]);result.values["price_deviation"]=json!(price_gap);result.values["volume_deviation"]=json!(volume_gap);
+            check(&mut result.checks,"锚日真实涨停收盘",if is_limit{1.0}else{0.0},">",0.0);
+            check(&mut result.checks,"后续收盘最大偏离",price_gap,"<=",spec.v("price_band"));
+            check(&mut result.checks,"后续成交量最大偏离",volume_gap,"<=",spec.v("volume_band"));
+            check(&mut result.checks,"收盘低于日线均线",c,"<",avg);score=Some(avg/c-1.0);
         }
         _ => unreachable!(),
     }
@@ -553,6 +603,8 @@ pub fn evaluate_dataset(
                 volume: Some(b.volume as f64),
                 prev_close: data.factor_numeric_value(d, symbol, "pre_close"),
                 amount: data.factor_numeric_value(d, symbol, "amount"),
+                upper_limit: Some(b.upper_limit),
+                no_limit: data.factor_numeric_value(d,symbol,"no_limit").map(|v|v==1.0),
                 adjustment_factor_backward1: data
                     .factor(d, symbol)
                     .and_then(|f| f.adjustment_factor_backward1),
@@ -662,6 +714,8 @@ mod tests {
                         volume: Some(100.0),
                         prev_close: Some(p - 1.0),
                         amount: Some(p * 100.0),
+                        upper_limit: None,
+                        no_limit: None,
                         adjustment_factor_backward1: Some(1.0),
                         paused: Some(false),
                         source_path: None,
@@ -725,6 +779,8 @@ mod tests {
                     volume: Some(1000.0),
                     prev_close: Some(c - 1.0),
                     amount: Some(c * 1000.0),
+                    upper_limit: None,
+                    no_limit: None,
                     adjustment_factor_backward1: Some(1.0),
                     paused: Some(false),
                     source_path: Some("fixture.parquet".into()),
@@ -775,6 +831,51 @@ mod tests {
         assert_eq!(a.checks, b.checks);
     }
 
+    #[test]
+    fn mean_volume_is_not_prior_max_and_excludes_current_bar() {
+        let (spec,days,mut series)=fixture("mean_volume_spike");
+        for (bar,volume) in series.bars.iter_mut().zip([10.,10.,10.,10.,100.,100.]) {bar.volume=Some(volume);}
+        assert!(evaluate(&spec,&days,&series).unwrap().matched);
+        let mut old=spec.clone();old.template="volume_spike".into();
+        assert!(!evaluate(&old,&days,&series).unwrap().matched);
+        assert_eq!(evaluate(&spec,&days,&series).unwrap().values["volume_ratio"],json!(100./28.));
+    }
+
+    #[test]
+    fn mean_volume_followup_requires_bullish_breakout_and_shrink() {
+        let (spec,days,mut series)=fixture("mean_shrink_breakout");
+        series.bars[6].volume=Some(4000.);
+        let last=series.bars.last_mut().unwrap();last.open=Some(19.);last.low=Some(19.);
+        assert!(evaluate(&spec,&days,&series).unwrap().matched);
+        series.bars.last_mut().unwrap().volume=Some(3000.);
+        assert!(!evaluate(&spec,&days,&series).unwrap().matched);
+    }
+
+    #[test]
+    fn breakout_retest_needs_a_later_retest_not_the_breakout_candle_itself() {
+        let (spec,days,mut series)=fixture("breakout_retest");
+        for b in &mut series.bars {b.open=Some(10.);b.high=Some(10.);b.low=Some(10.);b.close=Some(10.);}
+        let anchor=series.bars.len()-11;
+        let b=&mut series.bars[anchor];b.open=Some(11.);b.high=Some(12.1);b.low=Some(9.9);b.close=Some(12.);b.volume=Some(2000.);
+        for b in &mut series.bars[anchor+1..] {b.open=Some(10.3);b.high=Some(10.4);b.low=Some(10.3);b.close=Some(10.4);}
+        assert!(!evaluate(&spec,&days,&series).unwrap().matched);
+        series.bars[anchor+1].low=Some(9.95);
+        assert!(evaluate(&spec,&days,&series).unwrap().matched);
+    }
+
+    #[test]
+    fn limit_consolidation_requires_real_limit_and_never_infers_ten_percent() {
+        let (spec,days,mut series)=fixture("limit_consolidation");
+        for (b,c) in series.bars.iter_mut().zip([10.,10.1,10.2,10.1,9.9]) {b.open=Some(c);b.high=Some(c);b.low=Some(c);b.close=Some(c);}
+        assert!(evaluate(&spec,&days,&series).unwrap_err().contains("upper_limit"));
+        series.bars[0].upper_limit=Some(10.);
+        assert!(evaluate(&spec,&days,&series).unwrap().matched);
+        series.bars[0].no_limit=Some(true);
+        assert!(!evaluate(&spec,&days,&series).unwrap().matched);
+        series.bars[0].no_limit=Some(false);series.bars[0].upper_limit=Some(0.);
+        assert!(evaluate(&spec,&days,&series).is_err());
+    }
+
     #[test]
     fn daily_patterns_flat_decimal_prices_do_not_create_a_sell_signal() {
         let (mut spec, _, mut series) = fixture("strength");