模型，评分，修复网格策略市场状态监听
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# v6.6 模型发布说明
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**版本**: v6.6
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**发布日期**: 2026-06-16
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**状态**: 生产就绪
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---
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## 一、模型架构
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v6.6 采用 **Stacking Calibrated** 三层融合架构：
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```
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输入特征 (52维 v3.4)
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│
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▼
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┌─────────────────┐ ┌─────────────────┐
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│ Rank 模型 │ │ Top 模型 │
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│ LGBMRegressor │ │ LGBMClassifier │
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│ 预测网格轮回次数 │ │ 分类精英股票 │
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│ CV MAE: 0.2053 │ │ CV PR-AUC: 0.53│
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│ CV R²: 0.2258 │ │ │
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└────────┬────────┘ └────────┬────────┘
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│ │
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└──────────┬───────────┘
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▼
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┌─────────────────────┐
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│ Stacking 模型 │
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│ LGBMClassifier │
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│ CV PR-AUC: 0.8207 │
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│ 最优阈值: 0.35 │
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└──────────┬──────────┘
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▼
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最终 top 概率
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```
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---
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## 二、训练数据
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| 指标 | 数值 |
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|------|------|
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| 特征版本 | v3.4 (52维) |
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| 原始股票数 | 4,358 |
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| 过滤后股票数 | 1,533 |
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| 训练样本数 | 205,491 |
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| 观察窗口 | 120天 |
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| 预测窗口 | 60天 |
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| 零触碰率 | 71.1% |
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| Elite率 | 20.5% |
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---
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## 三、模型性能
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### Rank模型 (回归)
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| 指标 | 数值 |
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|------|------|
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| CV MAE | 0.2053 |
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| CV R² | 0.2258 |
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| 最优参数 | num_leaves=63, min_child_samples=30, max_depth=7 |
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### Top模型 (分类)
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| 指标 | 数值 |
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|------|------|
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| CV PR-AUC | 0.5333 |
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| 最优参数 | num_leaves=63, min_child_samples=30, max_depth=-1 |
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### Stacking融合模型
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| 指标 | 数值 |
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|------|------|
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| CV PR-AUC | **0.8207** |
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| 最优阈值 | 0.35 |
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| 最优参数 | num_leaves=31, min_child_samples=20, max_depth=-1 |
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---
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## 四、Top 10 重要特征
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### Rank模型
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| 排名 | 特征 | 重要性% |
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|------|------|---------|
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| 1 | dist_to_grid_upper | 4.38% |
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| 2 | dist_to_grid_lower | 4.26% |
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| 3 | price_cv | 4.09% |
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| 4 | amount_mean_20d | 3.98% |
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| 5 | range_compression_20d | 3.48% |
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### Stacking融合
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| 排名 | 特征 | 重要性% |
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|------|------|---------|
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| 1 | rank_predicted_rounds | 20.87% |
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| 2 | top_elite_prob | 19.38% |
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| 3 | ma20_deviation_pct | 5.35% |
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| 4 | atr_pct | 4.93% |
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| 5 | dist_to_grid_lower | 3.75% |
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---
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## 五、周评分回测结果 (2023-04 ~ 2026-04)
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| 指标 | v6.6 数值 |
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|------|-----------|
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| **总收益率** | **+36.79%** |
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| 年化夏普 | 0.8494 |
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| 最大回撤 | -12.70% |
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| 胜率(周) | 48.7% |
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| 交易次数 | 277 (147买, 130卖) |
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| 最大持仓 | 10只 |
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### 年度收益
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| 年度 | 收益 |
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|------|------|
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| 2023 | +2.09% |
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| 2024 | +28.34% |
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| 2025 | +7.32% |
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| 2026 | +0.52% |
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---
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## 六、与v6.5对比
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| 指标 | v6.5 | v6.6 | 变化 |
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|------|------|------|------|
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| Stacking PR-AUC | 0.5234 | **0.8207** | +57% |
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| 特征数 | 37维 | **52维** | +15维 |
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| Top PR-AUC | 0.3923 | 0.5333 | +36% |
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| 回测收益率 | 59.82% | 36.79%* | - |
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| 回测最大回撤 | -33.47% | **-12.70%** | -62% |
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\* v6.6使用周评分回测（157周），v6.5使用日评分回测（723天），粒度不同
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---
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## 七、模型文件
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| 文件 | 说明 |
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|------|------|
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| `rank.pkl` | Rank模型 (预测网格轮回次数) |
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| `top.pkl` | Top模型 (分类精英股票) |
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| `stacking.pkl` | Stacking融合模型 |
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| `rank_feature_importance.csv` | Rank特征重要性 |
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| `top_feature_importance.csv` | Top特征重要性 |
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| `stacking_feature_importance.csv` | Stacking特征重要性 |
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| `training_summary.json` | 训练摘要 |
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---
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## 八、使用方式
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```python
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import pickle
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import numpy as np
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# 加载模型
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with open("rank.pkl", "rb") as f:
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rank_md = pickle.load(f)
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with open("top.pkl", "rb") as f:
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top_md = pickle.load(f)
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with open("stacking.pkl", "rb") as f:
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stacking_md = pickle.load(f)
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# 预测
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rank_pred = rank_md["model"].predict(features)
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top_prob = top_md["model"].predict_proba(features)[:, 1]
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stacking_prob = stacking_md["model"].predict_proba(features)[:, 1]
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# 选股
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threshold = 0.35 # stacking最优阈值
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top_picks = scores[scores["stacking_prob"] >= threshold]
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```
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---
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## 九、Registry配置
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```yaml
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# grid_seeker/registry.yaml
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production:
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version: v6.6
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architecture: stacking_calibrated
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models:
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stacking: versions/6.6/output/stacking.pkl
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rank: versions/6.6/output/rank.pkl
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top: versions/6.6/output/top.pkl
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feature_version: v3.4
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training_samples: 205491
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```
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---
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## 十、注意事项
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1. **特征版本**: 必须使用 v3.4 特征（52维），与v6.5/v6.4不兼容
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2. **Stacking阈值**: 推荐使用 0.35 作为选股阈值
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3. **持股上限**: 建议不超过10只
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4. **价格区间**: 适合7-10元区间股票
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@@ -0,0 +1,38 @@
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date,cash,stock_value,total_value,positions,total_shares,month
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2023-05-31,60000.0,0.0,60000.0,0,0,2023-05
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2023-06-30,60000.0,0.0,60000.0,0,0,2023-06
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2023-07-31,60000.0,0.0,60000.0,0,0,2023-07
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2023-08-31,60000.0,0.0,60000.0,0,0,2023-08
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2023-09-30,60000.0,0.0,60000.0,0,0,2023-09
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2023-10-31,60000.0,0.0,60000.0,0,0,2023-10
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2023-11-30,60000.0,0.0,60000.0,0,0,2023-11
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2023-12-31,60000.0,0.0,60000.0,0,0,2023-12
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2024-01-31,60000.0,0.0,60000.0,0,0,2024-01
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2024-02-29,60000.0,0.0,60000.0,0,0,2024-02
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2024-03-31,60000.0,0.0,60000.0,0,0,2024-03
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2024-04-30,60000.0,0.0,60000.0,0,0,2024-04
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2024-05-31,60000.0,0.0,60000.0,0,0,2024-05
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2024-06-30,60000.0,0.0,60000.0,0,0,2024-06
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2024-07-31,60000.0,0.0,60000.0,0,0,2024-07
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2024-08-31,60000.0,0.0,60000.0,0,0,2024-08
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2024-09-30,60000.0,0.0,60000.0,0,0,2024-09
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2024-10-31,60000.0,0.0,60000.0,0,0,2024-10
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2024-11-30,60000.0,0.0,60000.0,0,0,2024-11
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2024-12-31,60000.0,0.0,60000.0,0,0,2024-12
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2025-01-31,60000.0,0.0,60000.0,0,0,2025-01
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2025-02-28,60000.0,0.0,60000.0,0,0,2025-02
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2025-03-31,60000.0,0.0,60000.0,0,0,2025-03
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2025-04-30,60000.0,0.0,60000.0,0,0,2025-04
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2025-05-31,60000.0,0.0,60000.0,0,0,2025-05
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2025-06-30,60000.0,0.0,60000.0,0,0,2025-06
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2025-07-31,60000.0,0.0,60000.0,0,0,2025-07
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2025-08-31,60000.0,0.0,60000.0,0,0,2025-08
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2025-09-30,60000.0,0.0,60000.0,0,0,2025-09
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2025-10-31,60000.0,0.0,60000.0,0,0,2025-10
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2025-11-30,60000.0,0.0,60000.0,0,0,2025-11
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2025-12-31,60000.0,0.0,60000.0,0,0,2025-12
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2026-01-31,60000.0,0.0,60000.0,0,0,2026-01
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2026-02-28,60000.0,0.0,60000.0,0,0,2026-02
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2026-03-31,60000.0,0.0,60000.0,0,0,2026-03
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2026-04-30,60000.0,0.0,60000.0,0,0,2026-04
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2026-05-27,60000.0,0.0,60000.0,0,0,2026-05
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date,cash,stock_value,total_value,positions,year
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2023-04-28,60000.0,0.0,60000.0,10,2023
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2023-05-05,58400.0,1618.0,60018.0,10,2023
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2023-05-12,55400.0,4570.0,59970.0,10,2023
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2023-05-19,52200.0,7428.0,59628.0,10,2023
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2023-05-26,45200.0,14102.0,59302.0,10,2023
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2023-06-02,49800.0,11204.0,61004.0,10,2023
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2023-06-09,55600.0,5996.0,61596.0,10,2023
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2023-06-16,55600.0,5988.0,61588.0,10,2023
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2023-06-23,53800.0,7522.0,61322.0,10,2023
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2023-06-30,49200.0,11602.0,60802.0,10,2023
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2023-07-07,51200.0,9542.0,60742.0,10,2023
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2023-07-14,48400.0,12576.0,60976.0,10,2023
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2023-07-21,50200.0,10406.0,60606.0,10,2023
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2023-07-28,50200.0,10268.0,60468.0,10,2023
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2023-08-04,50200.0,10622.0,60822.0,10,2023
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2023-08-11,50200.0,10078.0,60278.0,10,2023
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2023-08-18,47400.0,12614.0,60014.0,10,2023
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2023-08-25,46200.0,13572.0,59772.0,10,2023
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2023-09-01,46200.0,14042.0,60242.0,10,2023
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2023-09-08,46800.0,12942.0,59742.0,10,2023
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2023-09-15,45200.0,14398.0,59598.0,10,2023
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2023-09-22,42600.0,17276.0,59876.0,10,2023
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2023-09-29,42600.0,17430.0,60030.0,10,2023
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2023-10-06,42600.0,17430.0,60030.0,10,2023
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2023-10-13,42600.0,16750.0,59350.0,10,2023
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2023-10-20,41000.0,17366.0,58366.0,10,2023
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2023-10-27,39600.0,18870.0,58470.0,10,2023
|
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2023-11-03,42600.0,17234.0,59834.0,10,2023
|
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2023-11-10,45400.0,15998.0,61398.0,10,2023
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2023-11-17,45400.0,16098.0,61498.0,10,2023
|
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2023-11-24,47000.0,14652.0,61652.0,10,2023
|
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2023-12-01,45800.0,16434.0,62234.0,10,2023
|
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2023-12-08,48800.0,13898.0,62698.0,10,2023
|
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2023-12-15,50800.0,12312.0,63112.0,10,2023
|
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2023-12-22,45400.0,15928.0,61328.0,10,2023
|
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2023-12-29,41000.0,20256.0,61256.0,10,2023
|
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2024-01-05,42800.0,17966.0,60766.0,10,2024
|
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2024-01-12,40000.0,20254.0,60254.0,10,2024
|
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2024-01-19,37600.0,22196.0,59796.0,10,2024
|
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2024-01-26,35000.0,25716.0,60716.0,10,2024
|
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2024-02-02,25600.0,31044.0,56644.0,10,2024
|
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2024-02-09,19400.0,36784.0,56184.0,10,2024
|
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2024-02-16,19400.0,36784.0,56184.0,10,2024
|
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2024-02-23,29400.0,33418.0,62818.0,10,2024
|
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2024-03-01,35200.0,28470.0,63670.0,10,2024
|
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2024-03-08,36400.0,26802.0,63202.0,10,2024
|
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2024-03-15,40800.0,23672.0,64472.0,10,2024
|
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2024-03-22,48600.0,19494.0,68094.0,10,2024
|
||||
2024-03-29,48800.0,17936.0,66736.0,10,2024
|
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2024-04-05,44800.0,21374.0,66174.0,10,2024
|
||||
2024-04-12,42200.0,22450.0,64650.0,10,2024
|
||||
2024-04-19,35000.0,27966.0,62966.0,10,2024
|
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2024-04-26,36600.0,28114.0,64714.0,10,2024
|
||||
2024-05-03,39000.0,27576.0,66576.0,10,2024
|
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2024-05-10,42200.0,24400.0,66600.0,10,2024
|
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2024-05-17,39800.0,26702.0,66502.0,10,2024
|
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2024-05-24,38200.0,27704.0,65904.0,10,2024
|
||||
2024-05-31,38400.0,26486.0,64886.0,10,2024
|
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2024-06-07,32200.0,30776.0,62976.0,10,2024
|
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2024-06-14,32200.0,31802.0,64002.0,10,2024
|
||||
2024-06-21,31000.0,31084.0,62084.0,10,2024
|
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2024-06-28,29000.0,32180.0,61180.0,10,2024
|
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2024-07-05,29000.0,32292.0,61292.0,10,2024
|
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2024-07-12,27200.0,33578.0,60778.0,10,2024
|
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2024-07-19,27200.0,33172.0,60372.0,10,2024
|
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2024-07-26,24200.0,35970.0,60170.0,10,2024
|
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2024-08-02,24200.0,36992.0,61192.0,10,2024
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2024-08-09,26000.0,34954.0,60954.0,10,2024
|
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2024-08-16,26000.0,34780.0,60780.0,10,2024
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2024-08-23,24400.0,35044.0,59444.0,10,2024
|
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2024-08-30,23400.0,37774.0,61174.0,10,2024
|
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2024-09-06,23400.0,36744.0,60144.0,10,2024
|
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2024-09-13,23400.0,36430.0,59830.0,10,2024
|
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2024-09-20,25200.0,35478.0,60678.0,10,2024
|
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2024-09-27,30200.0,35280.0,65480.0,10,2024
|
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2024-10-04,37000.0,32120.0,69120.0,10,2024
|
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2024-10-11,40600.0,26824.0,67424.0,10,2024
|
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2024-10-18,40600.0,28430.0,69030.0,10,2024
|
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2024-10-25,43600.0,27342.0,70942.0,10,2024
|
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2024-11-01,49600.0,23190.0,72790.0,10,2024
|
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2024-11-08,53200.0,21184.0,74384.0,10,2024
|
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2024-11-15,56000.0,19820.0,75820.0,10,2024
|
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2024-11-22,59400.0,16790.0,76190.0,10,2024
|
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2024-11-29,63600.0,14610.0,78210.0,10,2024
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2024-12-06,63800.0,15148.0,78948.0,10,2024
|
||||
2024-12-13,70600.0,9146.0,79746.0,10,2024
|
||||
2024-12-20,67800.0,11830.0,79630.0,10,2024
|
||||
2024-12-27,63400.0,14588.0,77988.0,10,2024
|
||||
2025-01-03,55800.0,20000.0,75800.0,10,2025
|
||||
2025-01-10,54400.0,21344.0,75744.0,10,2025
|
||||
2025-01-17,57400.0,20314.0,77714.0,10,2025
|
||||
2025-01-24,57400.0,20416.0,77816.0,10,2025
|
||||
2025-01-31,57400.0,20178.0,77578.0,10,2025
|
||||
2025-02-07,57400.0,21214.0,78614.0,10,2025
|
||||
2025-02-14,63600.0,16530.0,80130.0,10,2025
|
||||
2025-02-21,65000.0,14804.0,79804.0,10,2025
|
||||
2025-02-28,62400.0,16588.0,78988.0,10,2025
|
||||
2025-03-07,62400.0,16784.0,79184.0,10,2025
|
||||
2025-03-14,62400.0,17590.0,79990.0,10,2025
|
||||
2025-03-21,62400.0,16742.0,79142.0,10,2025
|
||||
2025-03-28,62400.0,16480.0,78880.0,10,2025
|
||||
2025-04-04,59800.0,18538.0,78338.0,10,2025
|
||||
2025-04-11,55200.0,22474.0,77674.0,10,2025
|
||||
2025-04-18,58600.0,19992.0,78592.0,10,2025
|
||||
2025-04-25,58800.0,20036.0,78836.0,10,2025
|
||||
2025-05-02,57200.0,21798.0,78998.0,10,2025
|
||||
2025-05-09,59000.0,20540.0,79540.0,10,2025
|
||||
2025-05-16,59000.0,20316.0,79316.0,10,2025
|
||||
2025-05-23,60800.0,18556.0,79356.0,10,2025
|
||||
2025-05-30,60800.0,18834.0,79634.0,10,2025
|
||||
2025-06-06,60800.0,19254.0,80054.0,10,2025
|
||||
2025-06-13,62000.0,18528.0,80528.0,10,2025
|
||||
2025-06-20,63200.0,16976.0,80176.0,10,2025
|
||||
2025-06-27,63200.0,17596.0,80796.0,10,2025
|
||||
2025-07-04,63200.0,17758.0,80958.0,10,2025
|
||||
2025-07-11,63200.0,18198.0,81398.0,10,2025
|
||||
2025-07-18,64800.0,16488.0,81288.0,10,2025
|
||||
2025-07-25,64800.0,16934.0,81734.0,10,2025
|
||||
2025-08-01,66800.0,15168.0,81968.0,10,2025
|
||||
2025-08-08,66800.0,14908.0,81708.0,10,2025
|
||||
2025-08-15,66800.0,14766.0,81566.0,10,2025
|
||||
2025-08-22,71200.0,11406.0,82606.0,10,2025
|
||||
2025-08-29,71200.0,11004.0,82204.0,10,2025
|
||||
2025-09-05,68400.0,13804.0,82204.0,10,2025
|
||||
2025-09-12,70200.0,12362.0,82562.0,10,2025
|
||||
2025-09-19,68400.0,13864.0,82264.0,10,2025
|
||||
2025-09-26,67400.0,14434.0,81834.0,10,2025
|
||||
2025-10-03,67400.0,14374.0,81774.0,10,2025
|
||||
2025-10-10,65800.0,15922.0,81722.0,10,2025
|
||||
2025-10-17,65800.0,15226.0,81026.0,10,2025
|
||||
2025-10-24,67800.0,13844.0,81644.0,10,2025
|
||||
2025-10-31,67800.0,13968.0,81768.0,10,2025
|
||||
2025-11-07,67800.0,14122.0,81922.0,10,2025
|
||||
2025-11-14,67800.0,14130.0,81930.0,10,2025
|
||||
2025-11-21,66000.0,15954.0,81954.0,10,2025
|
||||
2025-11-28,66000.0,16312.0,82312.0,10,2025
|
||||
2025-12-05,66000.0,15682.0,81682.0,10,2025
|
||||
2025-12-12,66000.0,15122.0,81122.0,10,2025
|
||||
2025-12-19,66000.0,15268.0,81268.0,10,2025
|
||||
2025-12-26,66000.0,15350.0,81350.0,10,2025
|
||||
2026-01-02,67400.0,14250.0,81650.0,10,2026
|
||||
2026-01-09,69200.0,13998.0,83198.0,10,2026
|
||||
2026-01-16,73400.0,10432.0,83832.0,10,2026
|
||||
2026-01-23,73400.0,10660.0,84060.0,10,2026
|
||||
2026-01-30,72400.0,11408.0,83808.0,10,2026
|
||||
2026-02-06,71000.0,12648.0,83648.0,10,2026
|
||||
2026-02-13,71000.0,12800.0,83800.0,10,2026
|
||||
2026-02-20,71000.0,12800.0,83800.0,10,2026
|
||||
2026-02-27,69800.0,13764.0,83564.0,10,2026
|
||||
2026-03-06,68200.0,14498.0,82698.0,10,2026
|
||||
2026-03-13,68200.0,14434.0,82634.0,10,2026
|
||||
2026-03-20,66600.0,15290.0,81890.0,10,2026
|
||||
2026-03-27,63000.0,18856.0,81856.0,10,2026
|
||||
2026-04-03,62200.0,18540.0,80740.0,10,2026
|
||||
2026-04-10,60600.0,21340.0,81940.0,10,2026
|
||||
2026-04-17,60600.0,21260.0,81860.0,10,2026
|
||||
2026-04-24,62200.0,19876.0,82076.0,10,2026
|
||||
|
Binary file not shown.
@@ -0,0 +1,53 @@
|
||||
feature,importance,importance_pct
|
||||
dist_to_grid_upper,1319,4.38
|
||||
dist_to_grid_lower,1282,4.26
|
||||
price_cv,1231,4.09
|
||||
amount_mean_20d,1198,3.98
|
||||
range_compression_20d,1047,3.48
|
||||
rebound_from_low_60d,1019,3.38
|
||||
drawdown_60d,981,3.26
|
||||
ma20_deviation_pct,915,3.04
|
||||
grid_touch_count_60d,907,3.01
|
||||
volume_ratio,903,3.0
|
||||
price_entropy,877,2.91
|
||||
avg_daily_amp,857,2.85
|
||||
atr_pct,781,2.59
|
||||
wick_ratio_20d,780,2.59
|
||||
cross_freq_x_bb,743,2.47
|
||||
trend_slope_60d,743,2.47
|
||||
amount_trend_20d,741,2.46
|
||||
range_position_60d,735,2.44
|
||||
obv_slope,731,2.43
|
||||
volatility_20d,707,2.35
|
||||
volume_cv_20d,697,2.32
|
||||
amplitude_cv,673,2.24
|
||||
intraday_trend_strength,669,2.22
|
||||
amp_cv_x_entropy,661,2.2
|
||||
ma60_deviation_pct,655,2.18
|
||||
ma20_ma60_gap_pct,650,2.16
|
||||
grid_room_balance,630,2.09
|
||||
bb_width,629,2.09
|
||||
amount_cv_20d,598,1.99
|
||||
amp_x_grid_vol,588,1.95
|
||||
trend_slope_20d,568,1.89
|
||||
amp_x_grid,499,1.66
|
||||
trend_abs_slope_20d,448,1.49
|
||||
close_reversal_count_20d,395,1.31
|
||||
near_upper_boundary_risk,366,1.22
|
||||
grid_touch_count_20d,335,1.11
|
||||
near_grid_line_ratio_20d,293,0.97
|
||||
low_volume_days_20d,274,0.91
|
||||
turnover_proxy_20d,250,0.83
|
||||
rolling_grid_ratio_20d,248,0.82
|
||||
cross_freq_20d,206,0.68
|
||||
mv_vol_interact,190,0.63
|
||||
down_days_20d,180,0.6
|
||||
high_amp_days,172,0.57
|
||||
up_days_20d,165,0.55
|
||||
small_cap_premium,164,0.54
|
||||
ln_float_mv,162,0.54
|
||||
near_lower_boundary_risk,114,0.38
|
||||
trend_consistency_20d,103,0.34
|
||||
usable_grid_count_lower,13,0.04
|
||||
usable_grid_count_upper,12,0.04
|
||||
grid_cross_density_20d,0,0.0
|
||||
|
Binary file not shown.
@@ -0,0 +1,55 @@
|
||||
feature,importance,importance_pct
|
||||
rank_predicted_rounds,1252,20.87
|
||||
top_elite_prob,1163,19.38
|
||||
ma20_deviation_pct,321,5.35
|
||||
atr_pct,296,4.93
|
||||
dist_to_grid_lower,225,3.75
|
||||
price_cv,190,3.17
|
||||
amount_mean_20d,183,3.05
|
||||
drawdown_60d,158,2.63
|
||||
obv_slope,145,2.42
|
||||
dist_to_grid_upper,142,2.37
|
||||
ma20_ma60_gap_pct,141,2.35
|
||||
range_position_60d,124,2.07
|
||||
trend_slope_60d,123,2.05
|
||||
rebound_from_low_60d,114,1.9
|
||||
intraday_trend_strength,98,1.63
|
||||
volume_ratio,98,1.63
|
||||
volume_cv_20d,86,1.43
|
||||
ma60_deviation_pct,81,1.35
|
||||
grid_room_balance,69,1.15
|
||||
range_compression_20d,69,1.15
|
||||
volatility_20d,64,1.07
|
||||
amount_trend_20d,56,0.93
|
||||
near_upper_boundary_risk,54,0.9
|
||||
up_days_20d,50,0.83
|
||||
avg_daily_amp,48,0.8
|
||||
amplitude_cv,48,0.8
|
||||
amount_cv_20d,44,0.73
|
||||
small_cap_premium,42,0.7
|
||||
near_lower_boundary_risk,42,0.7
|
||||
high_amp_days,40,0.67
|
||||
cross_freq_x_bb,37,0.62
|
||||
amp_x_grid,37,0.62
|
||||
bb_width,36,0.6
|
||||
amp_x_grid_vol,36,0.6
|
||||
ln_float_mv,33,0.55
|
||||
price_entropy,28,0.47
|
||||
turnover_proxy_20d,26,0.43
|
||||
trend_slope_20d,25,0.42
|
||||
mv_vol_interact,25,0.42
|
||||
wick_ratio_20d,22,0.37
|
||||
grid_touch_count_60d,21,0.35
|
||||
amp_cv_x_entropy,21,0.35
|
||||
grid_touch_count_20d,20,0.33
|
||||
rolling_grid_ratio_20d,14,0.23
|
||||
near_grid_line_ratio_20d,12,0.2
|
||||
usable_grid_count_upper,9,0.15
|
||||
down_days_20d,9,0.15
|
||||
trend_abs_slope_20d,7,0.12
|
||||
cross_freq_20d,6,0.1
|
||||
usable_grid_count_lower,5,0.08
|
||||
low_volume_days_20d,3,0.05
|
||||
close_reversal_count_20d,1,0.02
|
||||
trend_consistency_20d,1,0.02
|
||||
grid_cross_density_20d,0,0.0
|
||||
|
Binary file not shown.
@@ -0,0 +1,54 @@
|
||||
feature,importance,importance_pct
|
||||
rank_predicted_rounds,2126,6.86
|
||||
amount_mean_20d,1476,4.76
|
||||
price_cv,1376,4.44
|
||||
range_compression_20d,1165,3.76
|
||||
atr_pct,1105,3.56
|
||||
drawdown_60d,1090,3.52
|
||||
volume_ratio,1030,3.32
|
||||
amount_trend_20d,998,3.22
|
||||
price_entropy,888,2.86
|
||||
rebound_from_low_60d,872,2.81
|
||||
ma20_deviation_pct,868,2.8
|
||||
obv_slope,842,2.72
|
||||
trend_slope_60d,827,2.67
|
||||
wick_ratio_20d,800,2.58
|
||||
ma20_ma60_gap_pct,768,2.48
|
||||
amplitude_cv,767,2.47
|
||||
dist_to_grid_lower,757,2.44
|
||||
range_position_60d,747,2.41
|
||||
amp_cv_x_entropy,714,2.3
|
||||
bb_width,699,2.25
|
||||
ma60_deviation_pct,691,2.23
|
||||
volatility_20d,680,2.19
|
||||
volume_cv_20d,657,2.12
|
||||
intraday_trend_strength,650,2.1
|
||||
avg_daily_amp,643,2.07
|
||||
dist_to_grid_upper,629,2.03
|
||||
trend_slope_20d,626,2.02
|
||||
amp_x_grid_vol,551,1.78
|
||||
amount_cv_20d,550,1.77
|
||||
grid_room_balance,537,1.73
|
||||
trend_abs_slope_20d,504,1.63
|
||||
grid_touch_count_60d,480,1.55
|
||||
cross_freq_x_bb,399,1.29
|
||||
amp_x_grid,383,1.24
|
||||
near_grid_line_ratio_20d,277,0.89
|
||||
close_reversal_count_20d,267,0.86
|
||||
high_amp_days,250,0.81
|
||||
turnover_proxy_20d,243,0.78
|
||||
ln_float_mv,235,0.76
|
||||
low_volume_days_20d,228,0.74
|
||||
mv_vol_interact,223,0.72
|
||||
small_cap_premium,218,0.7
|
||||
grid_touch_count_20d,218,0.7
|
||||
up_days_20d,218,0.7
|
||||
down_days_20d,209,0.67
|
||||
near_upper_boundary_risk,165,0.53
|
||||
trend_consistency_20d,105,0.34
|
||||
near_lower_boundary_risk,87,0.28
|
||||
cross_freq_20d,86,0.28
|
||||
rolling_grid_ratio_20d,64,0.21
|
||||
usable_grid_count_lower,6,0.02
|
||||
usable_grid_count_upper,6,0.02
|
||||
grid_cross_density_20d,0,0.0
|
||||
|
@@ -0,0 +1,46 @@
|
||||
{
|
||||
"version": "v6.6",
|
||||
"feature_version": "v3.4",
|
||||
"architecture": "stacking_calibrated",
|
||||
"data_source": "mysql://100.121.118.116:3306/grid_seeker_model_base",
|
||||
"training_date": "2026-05-28T14:23:23.662118",
|
||||
"n_stocks_total": 4358,
|
||||
"n_stocks_after_filter": 1533,
|
||||
"n_training_samples": 205491,
|
||||
"window_days": 120,
|
||||
"future_days": 60,
|
||||
"step_days": 20,
|
||||
"y_rounds_mean": 0.1998384357465777,
|
||||
"y_rounds_median": 0.0,
|
||||
"y_rounds_zero_rate": 0.7108340511263267,
|
||||
"elite_rate": 20.52109338121864,
|
||||
"rank": {
|
||||
"cv_mae": 0.2053,
|
||||
"cv_r2": 0.2258,
|
||||
"best_params": {
|
||||
"num_leaves": 63,
|
||||
"min_child_samples": 30,
|
||||
"max_depth": 7
|
||||
},
|
||||
"n_features": 52
|
||||
},
|
||||
"top": {
|
||||
"cv_pr_auc": 0.5333,
|
||||
"best_params": {
|
||||
"num_leaves": 63,
|
||||
"min_child_samples": 30,
|
||||
"max_depth": -1
|
||||
},
|
||||
"n_features": 53
|
||||
},
|
||||
"stacking": {
|
||||
"cv_pr_auc": 0.8207,
|
||||
"best_params": {
|
||||
"num_leaves": 31,
|
||||
"min_child_samples": 20,
|
||||
"max_depth": -1
|
||||
},
|
||||
"n_features": 54,
|
||||
"optimal_threshold": 0.35
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user