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feat: 增加金字塔选股策略

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兰缘小妖
2025-09-17 00:51:11 +08:00
parent d2b3305ca6
commit 868feeb34d
2 changed files with 119 additions and 0 deletions
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114
leopard-strategy/src/main/java/com/lanyuanxiaoyao/leopard/strategy/StrategyApplication.java
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@@ -1,10 +1,15 @@
package com.lanyuanxiaoyao.leopard.strategy;
import cn.hutool.core.util.ObjectUtil;
import com.lanyuanxiaoyao.leopard.core.entity.FinanceIndicator;
import com.lanyuanxiaoyao.leopard.core.entity.Stock;
import com.lanyuanxiaoyao.leopard.core.repository.DailyRepository;
import com.lanyuanxiaoyao.leopard.core.repository.StockRepository;
import jakarta.annotation.Resource;
import jakarta.transaction.Transactional;
import java.util.stream.Collectors;
import lombok.extern.slf4j.Slf4j;
import org.apache.commons.math3.stat.descriptive.DescriptiveStatistics;
import org.springframework.boot.SpringApplication;
import org.springframework.boot.autoconfigure.SpringBootApplication;
import org.springframework.boot.context.event.ApplicationReadyEvent;
@@ -27,5 +32,114 @@ public class StrategyApplication {
@Transactional(rollbackOn = Throwable.class)
@EventListener(ApplicationReadyEvent.class)
public void test() {
var stocks = stockRepository.findAllByIndicatorsSizeGreaterThanEqual(6);
var stocksMap = stocks.stream().collect(Collectors.toMap(Stock::getCode, stock -> stock));
var scores = stocks.stream().map(Stock::getCode).collect(Collectors.toMap(code -> code, code -> 0));
for (Stock stock : stocks) {
var recentIndicators = stock.getIndicators()
.stream()
.sorted((a, b) -> b.getYear() - a.getYear())
.limit(5)
.toList();
var latestIndicator = recentIndicators.get(0);
int roeScore = 0;
if (recentIndicators.stream().noneMatch(indicator -> indicator.getReturnOnEquity() == null || indicator.getReturnOnEquity() < 0)) {
var averageRoe = recentIndicators.stream()
.map(FinanceIndicator::getReturnOnEquity)
.map(item -> ObjectUtil.defaultIfNull(item, 0.0))
.mapToDouble(Double::doubleValue)
.average()
.orElse(0.0);
if (averageRoe >= 35) {
roeScore = 550;
} else if (averageRoe >= 30) {
roeScore = 500;
} else if (averageRoe >= 25) {
roeScore = 450;
} else if (averageRoe >= 20) {
roeScore = 400;
} else if (averageRoe >= 15) {
roeScore = 350;
} else if (averageRoe >= 10) {
roeScore = 300;
}
}
scores.put(stock.getCode(), scores.get(stock.getCode()) + roeScore);
int roaScore = 0;
if (recentIndicators.stream().noneMatch(indicator -> indicator.getReturnOnAssets() == null)) {
var averageRoa = recentIndicators.stream()
.map(FinanceIndicator::getReturnOnAssets)
.map(item -> ObjectUtil.defaultIfNull(item, 0.0))
.mapToDouble(Double::doubleValue)
.average()
.orElse(0.0);
if (averageRoa >= 15) {
roaScore = 100;
} else if (averageRoa >= 11) {
roaScore = 80;
} else if (averageRoa >= 7) {
roaScore = 50;
}
}
scores.put(stock.getCode(), scores.get(stock.getCode()) + roaScore);
int netProfitScore = 0;
if (recentIndicators.stream().noneMatch(indicator -> indicator.getNetProfit() == null)) {
var averageNetProfit = recentIndicators.stream()
.map(FinanceIndicator::getNetProfit)
.map(item -> ObjectUtil.defaultIfNull(item, 0.0))
.mapToDouble(Double::doubleValue)
.average()
.orElse(0.0);
if (averageNetProfit >= 10000.0 * 10000000) {
netProfitScore = 150;
} else if (averageNetProfit >= 1000.0 * 10000000) {
netProfitScore = 100;
}
}
scores.put(stock.getCode(), scores.get(stock.getCode()) + netProfitScore);
int cashScore = 0;
if (ObjectUtil.isNotNull(latestIndicator.getTotalAssetsTurnover()) && ObjectUtil.isNotNull(latestIndicator.getCashAndCashEquivalentsToTotalAssetsRatio()) && (latestIndicator.getTotalAssetsTurnover() > 0.8 && latestIndicator.getCashAndCashEquivalentsToTotalAssetsRatio() >= 0.1 || latestIndicator.getTotalAssetsTurnover() <= 0.8 && latestIndicator.getCashAndCashEquivalentsToTotalAssetsRatio() >= 0.2)) {
cashScore = 50;
}
scores.put(stock.getCode(), scores.get(stock.getCode()) + cashScore);
if (ObjectUtil.isNotNull(latestIndicator.getDaysAccountsReceivableTurnover()) && latestIndicator.getDaysAccountsReceivableTurnover() <= 30) {
scores.put(stock.getCode(), scores.get(stock.getCode()) + 20);
}
if (ObjectUtil.isNotNull(latestIndicator.getDaysInventoryTurnover()) && latestIndicator.getDaysInventoryTurnover() <= 30) {
scores.put(stock.getCode(), scores.get(stock.getCode()) + 20);
}
if (ObjectUtil.isNotNull(latestIndicator.getDaysAccountsReceivableTurnover()) && ObjectUtil.isNotNull(latestIndicator.getDaysInventoryTurnover())) {
if (latestIndicator.getDaysAccountsReceivableTurnover() + latestIndicator.getDaysInventoryTurnover() <= 40) {
scores.put(stock.getCode(), scores.get(stock.getCode()) + 20);
} else if (latestIndicator.getDaysAccountsReceivableTurnover() + latestIndicator.getDaysInventoryTurnover() <= 60) {
scores.put(stock.getCode(), scores.get(stock.getCode()) + 10);
}
}
if (recentIndicators.stream().noneMatch(indicator -> indicator.getOperatingGrossProfitMargin() == null)) {
var stat = new DescriptiveStatistics();
recentIndicators.stream()
.map(FinanceIndicator::getOperatingGrossProfitMargin)
.mapToDouble(Double::doubleValue)
.forEach(stat::addValue);
if (stat.getStandardDeviation() <= 0.3) {
scores.put(stock.getCode(), scores.get(stock.getCode()) + 50);
}
}
}
scores.entrySet()
.stream()
.sorted((e1, e2) -> e2.getValue() - e1.getValue())
.map(entry -> new StockAndScore(stocksMap.get(entry.getKey()), entry.getValue()))
.limit(50)
.forEach(ss -> log.info("{} {}", ss.stock.getName(), ss.score));
}
public record StockAndScore(Stock stock, int score) {
}
}