feat: 完成金字塔选股和评估

leopard-server/src/test/resources/tushare.http

@@ -209,8 +209,8 @@ Content-Type: application/json
   "api_name": "fina_indicator",
   "token": "{{api_key}}",
   "params": {
-    "ts_code": "600132.SH",
+    "ts_code": "001400.SZ",
-    "period": "20191231"
+    "period": "20231231"
   },
   "fields": [
     "ts_code",
@@ -238,3 +238,25 @@ Content-Type: application/json
     "resume_date"
   ]
 }
+
+### Get Index
+POST {{api_url}}
+Content-Type: application/json
+
+{
+  "api_name": "index_basic",
+  "token": "{{api_key}}",
+  "params": {
+    "market": "CSI"
+  },
+  "fields": [
+    "ts_code",
+    "name",
+    "fullname",
+    "market",
+    "publisher",
+    "index_type",
+    "category",
+    "desc"
+  ]
+}

leopard-strategy/src/main/java/com/lanyuanxiaoyao/leopard/strategy/PyramidStockSelector.java

@@ -0,0 +1,224 @@
+package com.lanyuanxiaoyao.leopard.strategy;
+
+import cn.hutool.core.util.ArrayUtil;
+import cn.hutool.core.util.ObjectUtil;
+import com.lanyuanxiaoyao.leopard.core.entity.FinanceIndicator;
+import com.lanyuanxiaoyao.leopard.core.entity.QStock;
+import com.lanyuanxiaoyao.leopard.core.entity.Stock;
+import com.lanyuanxiaoyao.leopard.core.repository.StockRepository;
+import com.yomahub.liteflow.annotation.LiteflowComponent;
+import com.yomahub.liteflow.core.NodeComponent;
+import java.time.LocalDate;
+import java.util.Map;
+import java.util.stream.Collectors;
+import lombok.extern.slf4j.Slf4j;
+import org.apache.commons.math3.stat.descriptive.DescriptiveStatistics;
+import org.springframework.transaction.annotation.Transactional;
+
+/**
+ * 金字塔选股
+ *
+ * @author lanyuanxiaoyao
+ * @version 20250917
+ */
+@Slf4j
+@LiteflowComponent("pyramid_stock_selector")
+public class PyramidStockSelector extends NodeComponent {
+  private final StockRepository stockRepository;
+
+  public PyramidStockSelector(StockRepository stockRepository) {
+    this.stockRepository = stockRepository;
+  }
+
+  @Transactional(rollbackFor = Throwable.class)
+  @Override
+  public void process() {
+    var assessment = getContextBean(StockAssessmentNode.StockAssessment.class);
+
+    // 选择至少有最近5年财报的股票
+    // 有点奇怪，001400.SZ有近5年的财报但资料显示是2025年才上市的
+    var stocks = stockRepository.findAll(QStock.stock.listedDate.before(LocalDate.of(assessment.year(), 1, 1)));
+    log.info("Year: {} Stock: {}", assessment.year(), stocks.size());
+    var scores = stocks.stream().collect(Collectors.toMap(stock -> stock, code -> 0));
+    for (Stock stock : stocks) {
+      var recentIndicators = stock.getIndicators()
+        .stream()
+        .filter(indicator -> indicator.getYear() < assessment.year())
+        .sorted((a, b) -> b.getYear() - a.getYear())
+        .limit(5)
+        .toList();
+      if (recentIndicators.size() < 5) {
+        continue;
+      }
+      var latestIndicator = recentIndicators.getFirst();
+
+      var 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, scores.get(stock) + roeScore);
+
+      var roaScore = 0;
+      if (recentIndicators.stream().noneMatch(indicator -> indicator.getReturnOnAssets() == null)) {
+        var averageRoa = recentIndicators.stream()
+          .map(FinanceIndicator::getReturnOnAssets)
+          .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, scores.get(stock) + roaScore);
+
+      var netProfitScore = 0;
+      if (recentIndicators.stream().noneMatch(indicator -> indicator.getNetProfit() == null)) {
+        var averageNetProfit = recentIndicators.stream()
+          .map(FinanceIndicator::getNetProfit)
+          .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, scores.get(stock) + netProfitScore);
+
+      var cashScore = 0;
+      if (
+        ArrayUtil.isAllNotNull(latestIndicator.getTotalAssetsTurnover(), latestIndicator.getCashAndCashEquivalentsToTotalAssetsRatio())
+          && (
+          latestIndicator.getTotalAssetsTurnover() > 0.8 && latestIndicator.getCashAndCashEquivalentsToTotalAssetsRatio() >= 0.1
+            || latestIndicator.getTotalAssetsTurnover() <= 0.8 && latestIndicator.getCashAndCashEquivalentsToTotalAssetsRatio() >= 0.2
+        )
+      ) {
+        cashScore = 50;
+      }
+      scores.put(stock, scores.get(stock) + cashScore);
+
+      if (ObjectUtil.isNotNull(latestIndicator.getDaysAccountsReceivableTurnover()) && latestIndicator.getDaysAccountsReceivableTurnover() <= 30) {
+        scores.put(stock, scores.get(stock) + 20);
+      }
+      if (ObjectUtil.isNotNull(latestIndicator.getDaysInventoryTurnover()) && latestIndicator.getDaysInventoryTurnover() <= 30) {
+        scores.put(stock, scores.get(stock) + 20);
+      }
+      if (ArrayUtil.isAllNotNull(latestIndicator.getDaysAccountsReceivableTurnover(), latestIndicator.getDaysInventoryTurnover())) {
+        if (latestIndicator.getDaysAccountsReceivableTurnover() + latestIndicator.getDaysInventoryTurnover() <= 40) {
+          scores.put(stock, scores.get(stock) + 20);
+        } else if (latestIndicator.getDaysAccountsReceivableTurnover() + latestIndicator.getDaysInventoryTurnover() <= 60) {
+          scores.put(stock, scores.get(stock) + 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, scores.get(stock) + 50);
+        }
+      }
+
+      var operatingSafeMarginScore = 0;
+      if (ObjectUtil.isNotNull(latestIndicator.getOperatingSafetyMarginRatio())) {
+        if (latestIndicator.getOperatingSafetyMarginRatio() >= 70) {
+          operatingSafeMarginScore = 50;
+        } else if (latestIndicator.getOperatingSafetyMarginRatio() >= 50) {
+          operatingSafeMarginScore = 30;
+        } else if (latestIndicator.getOperatingSafetyMarginRatio() >= 30) {
+          operatingSafeMarginScore = 10;
+        }
+      }
+      scores.put(stock, scores.get(stock) + operatingSafeMarginScore);
+
+      var netProfitAscendingScore = 0;
+      if (recentIndicators.stream().noneMatch(indicator -> indicator.getNetProfit() == null)) {
+        if (recentIndicators.get(0).getNetProfit() > recentIndicators.get(1).getNetProfit()) {
+          netProfitAscendingScore += 30;
+        } else {
+          netProfitAscendingScore -= 30;
+        }
+        if (recentIndicators.get(1).getNetProfit() > recentIndicators.get(2).getNetProfit()) {
+          netProfitAscendingScore += 25;
+        } else {
+          netProfitAscendingScore -= 25;
+        }
+
+        if (recentIndicators.get(2).getNetProfit() > recentIndicators.get(3).getNetProfit()) {
+          netProfitAscendingScore += 20;
+        } else {
+          netProfitAscendingScore -= 20;
+        }
+
+        if (recentIndicators.get(3).getNetProfit() > recentIndicators.get(4).getNetProfit()) {
+          netProfitAscendingScore += 15;
+        } else {
+          netProfitAscendingScore -= 15;
+        }
+      }
+      scores.put(stock, scores.get(stock) + netProfitAscendingScore);
+
+      var cashAscendingScore = 0;
+      if (recentIndicators.stream().noneMatch(indicator -> indicator.getCashAndCashEquivalents() == null)) {
+        if (recentIndicators.get(0).getCashAndCashEquivalents() > recentIndicators.get(1).getCashAndCashEquivalents()) {
+          cashAscendingScore += 30;
+        } else {
+          cashAscendingScore -= 30;
+        }
+
+        if (recentIndicators.get(1).getCashAndCashEquivalents() > recentIndicators.get(2).getCashAndCashEquivalents()) {
+          cashAscendingScore += 25;
+        } else {
+          cashAscendingScore -= 25;
+        }
+
+        if (recentIndicators.get(2).getCashAndCashEquivalents() > recentIndicators.get(3).getCashAndCashEquivalents()) {
+          cashAscendingScore += 20;
+        } else {
+          cashAscendingScore -= 20;
+        }
+
+        if (recentIndicators.get(3).getCashAndCashEquivalents() > recentIndicators.get(4).getCashAndCashEquivalents()) {
+          cashAscendingScore += 15;
+        } else {
+          cashAscendingScore -= 15;
+        }
+      }
+      scores.put(stock, scores.get(stock) + cashAscendingScore);
+    }
+    var first50 = scores.entrySet()
+      .stream()
+      .sorted((e1, e2) -> e2.getValue() - e1.getValue())
+      .limit(50)
+      .map(Map.Entry::getKey)
+      .collect(Collectors.toSet());
+
+    assessment.stocks().addAll(first50);
+  }
+}

leopard-strategy/src/main/java/com/lanyuanxiaoyao/leopard/strategy/StockAssessmentNode.java

@@ -0,0 +1,126 @@
+package com.lanyuanxiaoyao.leopard.strategy;
+
+import cn.hutool.core.util.ObjectUtil;
+import com.lanyuanxiaoyao.leopard.core.entity.Daily;
+import com.lanyuanxiaoyao.leopard.core.entity.QDaily;
+import com.lanyuanxiaoyao.leopard.core.entity.QStock;
+import com.lanyuanxiaoyao.leopard.core.entity.Stock;
+import com.lanyuanxiaoyao.leopard.core.repository.DailyRepository;
+import com.lanyuanxiaoyao.leopard.core.repository.StockRepository;
+import com.yomahub.liteflow.annotation.LiteflowComponent;
+import com.yomahub.liteflow.core.NodeComponent;
+import java.util.Comparator;
+import java.util.HashMap;
+import java.util.HashSet;
+import java.util.List;
+import java.util.Map;
+import java.util.Set;
+import java.util.stream.Collectors;
+import lombok.extern.slf4j.Slf4j;
+import org.apache.commons.math3.stat.descriptive.DescriptiveStatistics;
+import org.springframework.transaction.annotation.Transactional;
+
+/**
+ * 股票评估
+ *
+ * @author lanyuanxiaoyao
+ * @version 20250919
+ */
+@Slf4j
+@LiteflowComponent("assess_stock")
+public class StockAssessmentNode extends NodeComponent {
+  private static final Map<String, Double> INDUSTRY_TOP = new HashMap<>();
+  private final StockRepository stockRepository;
+  private final DailyRepository dailyRepository;
+
+  public StockAssessmentNode(StockRepository stockRepository, DailyRepository dailyRepository) {
+    this.stockRepository = stockRepository;
+    this.dailyRepository = dailyRepository;
+  }
+
+  @Transactional(readOnly = true)
+  @Override
+  public void process() {
+    var assessment = getContextBean(StockAssessment.class);
+    if (ObjectUtil.isNotNull(assessment) && ObjectUtil.isNotEmpty(assessment.stocks())) {
+      var dailyMap = dailyRepository.findAll(
+          QDaily.daily.tradeDate.year().eq(assessment.year())
+            .and(QDaily.daily.stock.in(assessment.stocks()))
+        )
+        .stream()
+        .collect(Collectors.groupingBy(Daily::getStock));
+      for (Stock stock : assessment.stocks()) {
+        if (!dailyMap.containsKey(stock) || ObjectUtil.isEmpty(dailyMap.get(stock))) {
+          log.warn("Cannot find daily data in {} for {}", assessment.year(), stock.getCode());
+          continue;
+        }
+        var dailies = dailyMap.get(stock)
+          .stream()
+          .sorted(Comparator.comparing(Daily::getTradeDate))
+          .toList();
+        var change = getChange(dailies);
+        var std = getStd(dailies);
+        var industryTop = getTopOfIndustry(stock.getIndustry(), assessment.year());
+        assessment.results().add(new StockAssessment.Result(stock, change, std, industryTop));
+      }
+    }
+  }
+
+  private double getChange(List<Daily> dailies) {
+    return (dailies.getLast().getHfqClose() - dailies.getFirst().getHfqClose()) / dailies.getFirst().getHfqClose();
+  }
+
+  private double getStd(List<Daily> dailies) {
+    var statistics = new DescriptiveStatistics();
+    dailies.forEach(daily -> statistics.addValue(daily.getHfqClose()));
+    return statistics.getStandardDeviation();
+  }
+
+  private double getTopOfIndustry(String industry, int year) {
+    log.info("Calculate industry: {} for {}", industry, year);
+    if (INDUSTRY_TOP.containsKey(industry)) {
+      return INDUSTRY_TOP.get(industry);
+    }
+    var top = stockRepository.findAll(QStock.stock.industry.eq(industry))
+      .parallelStream()
+      .filter(stock -> stock.getListedDate().getYear() <= year)
+      .map(stock -> {
+        List<Daily> dailies = dailyRepository.findAll(
+          QDaily.daily.tradeDate.year().eq(year)
+            .and(QDaily.daily.stock.eq(stock))
+        );
+        if (ObjectUtil.isEmpty(dailies)) {
+          log.warn("Cannot find daily data in {} for {} {}", year, stock.getCode(), stock.getName());
+        }
+        return dailies;
+      })
+      .filter(ObjectUtil::isNotEmpty)
+      .map(this::getChange)
+      .mapToDouble(change -> change)
+      .max()
+      .orElse(0.0);
+    INDUSTRY_TOP.put(industry, top);
+    return top;
+  }
+
+  public record StockAssessment(int year, Set<Stock> stocks, Set<StockAssessment.Result> results) {
+    public StockAssessment(int year) {
+      this(year, new HashSet<>(), new HashSet<>());
+    }
+
+    public record Result(Stock stock, double change, double std, double industryTop) {
+      @Override
+      public boolean equals(Object o) {
+        if (o == null || getClass() != o.getClass()) return false;
+
+        Result result = (Result) o;
+        return stock.equals(result.stock);
+      }
+
+      @Override
+      public int hashCode() {
+        return stock.hashCode();
+      }
+    }
+  }
+}

leopard-strategy/src/main/java/com/lanyuanxiaoyao/leopard/strategy/StrategyApplication.java

@@ -1,50 +1,37 @@
 package com.lanyuanxiaoyao.leopard.strategy;
 
-import cn.hutool.core.map.MapUtil;
+import cn.hutool.core.util.IdUtil;
+import cn.hutool.core.util.NumberUtil;
 import cn.hutool.core.util.StrUtil;
 import com.fasterxml.jackson.databind.ObjectMapper;
-import com.lanyuanxiaoyao.leopard.core.entity.Daily_;
-import com.lanyuanxiaoyao.leopard.core.entity.QDaily;
 import com.lanyuanxiaoyao.leopard.core.repository.DailyRepository;
 import com.lanyuanxiaoyao.leopard.core.repository.StockRepository;
+import com.yomahub.liteflow.core.FlowExecutor;
 import jakarta.annotation.Resource;
 import jakarta.transaction.Transactional;
 import java.io.IOException;
 import java.nio.file.Files;
 import java.nio.file.Path;
-import java.time.Duration;
-import java.time.ZoneId;
 import java.util.ArrayList;
-import java.util.List;
 import java.util.Map;
 import lombok.extern.slf4j.Slf4j;
-import org.commonmark.Extension;
-import org.commonmark.ext.gfm.tables.TablesExtension;
-import org.commonmark.parser.Parser;
-import org.commonmark.renderer.html.HtmlRenderer;
 import org.springframework.boot.SpringApplication;
 import org.springframework.boot.autoconfigure.SpringBootApplication;
 import org.springframework.boot.context.event.ApplicationReadyEvent;
 import org.springframework.context.event.EventListener;
-import org.springframework.data.domain.Sort;
 import org.springframework.data.jpa.repository.config.EnableJpaAuditing;
-import org.ta4j.core.BaseBar;
-import org.ta4j.core.BaseBarSeriesBuilder;
-import org.ta4j.core.indicators.SMAIndicator;
-import org.ta4j.core.indicators.helpers.ClosePriceIndicator;
 
 @Slf4j
 @SpringBootApplication(scanBasePackages = "com.lanyuanxiaoyao.leopard")
 @EnableJpaAuditing
 public class StrategyApplication {
-  private static final List<Extension> extensions = List.of(TablesExtension.create());
-  private static final Parser parser = Parser.builder().extensions(extensions).build();
-  private static final HtmlRenderer render = HtmlRenderer.builder().extensions(extensions).build();
   private static final ObjectMapper mapper = new ObjectMapper();
   @Resource
   private StockRepository stockRepository;
   @Resource
   private DailyRepository dailyRepository;
+  @Resource
+  private FlowExecutor flowExecutor;
 
   public static void main(String[] args) {
     SpringApplication.run(StrategyApplication.class, args);
@@ -320,46 +307,22 @@ public class StrategyApplication {
       .sorted((t1, t2) -> Double.compare(Double.parseDouble(t2.get("increase")), Double.parseDouble(t1.get("increase"))))
       .toList();
     render(Map.of("items", data));*/
-    var dailies = dailyRepository.findAll(
-      QDaily.daily.stock.code.eq("000002.SZ")
-        .and(QDaily.daily.tradeDate.year().goe(2023)),
-      Sort.by(Daily_.TRADE_DATE)
-    );
-    var barSeries = new BaseBarSeriesBuilder().build();
-    dailies.forEach(daily -> barSeries.addBar(new BaseBar(
-      Duration.ofDays(1),
-      daily.getTradeDate().atStartOfDay().atZone(ZoneId.systemDefault()),
-      daily.getHfqOpen(),
-      daily.getHfqHigh(),
-      daily.getHfqLow(),
-      daily.getHfqClose(),
-      daily.getVolume()
-    )));
-    var sma10 = new SMAIndicator(new ClosePriceIndicator(barSeries), 10);
-    var sma60 = new SMAIndicator(new ClosePriceIndicator(barSeries), 60);
-    var sma120 = new SMAIndicator(new ClosePriceIndicator(barSeries), 120);
 
-    var xList = new ArrayList<String>();
+    var lines = new ArrayList<String>();
-    var yList = new ArrayList<List<Double>>();
+    for (int year = 2024; year < 2025; year++) {
-    var sma10List = new ArrayList<Double>();
+      var assessment = new StockAssessmentNode.StockAssessment(year);
-    var sma60List = new ArrayList<Double>();
+      var response = flowExecutor.execute2RespWithEL("THEN(pyramid_stock_selector,assess_stock)", null, IdUtil.nanoId(), assessment);
-    var sma120List = new ArrayList<Double>();
+      assessment = response.getContextBean(StockAssessmentNode.StockAssessment.class);
-    for (int index = 0; index < dailies.size(); index++) {
+      int up = assessment.results()
-      var daily = dailies.get(index);
+        .stream()
-      xList.add(daily.getTradeDate().toString());
+        .filter(result -> result.change() > 0)
-      yList.add(List.of(daily.getHfqOpen(), daily.getHfqClose(), daily.getHfqLow(), daily.getHfqHigh()));
+        .mapToInt(result -> 1)
-      sma10List.add(sma10.getValue(index).doubleValue());
+        .sum();
-      sma60List.add(sma60.getValue(index).doubleValue());
+      lines.add(NumberUtil.roundStr(up * 100.0 / assessment.results().size(), 2));
-      sma120List.add(sma120.getValue(index).doubleValue());
+      assessment.results().forEach(result -> log.info("{} {} {} {} {}", result.stock().getCode(), result.stock().getName(), result.change(), result.std(), result.industryTop()));
+    }
+    for (int index = 0, year = 2010; index < lines.size(); index++, year++) {
+      log.info("胜率: {} {}", year, lines.get(index));
     }
-    render(
-      MapUtil.<String, Object>builder()
-        .put("xList", xList)
-        .put("yList", yList)
-        .put("sma10", sma10List)
-        .put("sma60", sma60List)
-        .put("sma120", sma120List)
-        .build()
-    );
   }
 }

leopard-strategy/src/main/resources/logback-spring.xml

@@ -15,7 +15,7 @@
     </appender>
 
     <logger name="com.lanyuanxiaoyao.leopard" level="INFO"/>
-    <logger name="org.hibernate.SQL" level="DEBUG"/>
+    <!--<logger name="org.hibernate.SQL" level="DEBUG"/>-->
 
     <root level="ERROR">
         <appender-ref ref="Console"/>