{ "trade_date": "2026-06-10", "next_trade_date": "2026-06-11", "source": "hermes_deepseek_v4_manual_with_project_skills", "report_generation": { "source": "hermes_deepseek_v4", "model": "deepseek-v4-pro", "provider": "custom", "manifest": "reports/hermes_runs/20260610/hermes_writer_manifest.json", "fallback_used": false, "status": "success", "previous_source": "hermes_deepseek_v4_manual_with_project_skills", "annotated_at": "2026-06-10T18:43:47", "note": "Hermes/DeepSeek V4 wrote the daily report artifacts." }, "external_context_quality": "unavailable", "external_context_v2_shadow_quality": "safe_stub", "external_context_summary": "strict_v1 unavailable (search_success=false, 0 themes covered). V2 shadow is safe_stub with no real data (reason: shadow_real_data_not_generated_before_hermes_input). Risk finding: Gemini Search/grounding layer consistently unstable, requires separate reporting of provider connectivity vs project grounding stability.", "regime": { "market_risk_regime": { "regime": "COLD", "subtype": "ICE_POINT", "score": 19, "level": "冰点或风险市，原则上只观察不进攻", "source_path": "evidence/evidence_pack_20260610.json" }, "theme_opportunity_regime": { "regime": "MIXED", "subtype": "STRUCTURAL_THEME", "score": 55.0, "level": "仅存在局部结构性机会", "source_path": "evidence/evidence_pack_20260610.json" }, "trade_mode": "SELECTIVE_ONLY", "source_path": "evidence/evidence_pack_20260610.json", "regime_mode_conflict": null }, "strict_plan_counts": { "v1_1_production": { "active_plan": 0, "conditional_plan": 3, "observe_only": 27 }, "v8_gray": { "active_plan": 0, "conditional_plan": 20, "observe_only": 157, "forbidden": 29 } }, "market_summary": { "regime": "COLD", "regime_subtype": "ICE_POINT", "regime_score": 19, "regime_level": "冰点或风险市，原则上只观察不进攻", "regime_legacy_note": "v1.4.2.1 起建议优先读取 market_risk_regime、theme_opportunity_regime、trade_mode 与 hermes_reading_guidance；旧 regime 仅表示全市场风险主标签。", "market_risk_regime": { "regime": "COLD", "subtype": "ICE_POINT", "score": 19, "level": "冰点或风险市，原则上只观察不进攻", "reasons": [ "上涨家数占比29.79%，市场宽度偏低", "跌停25只，亏钱效应明显", "主要指数平均跌幅约-1.52%，指数层偏弱", "创业板指跌幅-2.70%，成长风格承压", "下跌股票成交额占比较高，方向成交额代理偏风险回避", "成交额较前期收缩，流动性不是放量普涨状态", "全市场成交额约26032亿，流动性绝对水平较高" ] }, "theme_opportunity_regime": { "regime": "MIXED", "subtype": "STRUCTURAL_THEME", "score": 55.0, "score_meaning": "局部主题机会存在度，不代表全市场可进攻强度；全市场风险应优先读取 market_risk_regime。", "level": "仅存在局部结构性机会", "reasons": [ "涨停70只，局部情绪仍有活跃度", "最高连板达到4板，短线情绪并未完全冰点" ] }, "trade_mode": "SELECTIVE_ONLY", "data_quality": "OK", "indices": { "shanghai": { "symbol": "SHSE.000001", "name": "上证指数", "ret_pct": -0.42, "close": 3993.23, "amount_yi": 12270.7 }, "shenzhen": { "symbol": "SZSE.399001", "name": "深证成指", "ret_pct": -2.06, "close": 14954.1, "amount_yi": 13921.73 }, "chinext": { "symbol": "SZSE.399006", "name": "创业板指", "ret_pct": -2.7, "close": 3854.79, "amount_yi": 6532.53 }, "csi300": { "symbol": "SHSE.000300", "name": "沪深300", "ret_pct": -1.11, "close": 4748.59, "amount_yi": 6946.28 }, "csi500": { "symbol": "SHSE.000905", "name": "中证500", "ret_pct": -1.37, "close": 8063.86, "amount_yi": 5091.58 }, "csi1000": { "symbol": "SHSE.000852", "name": "中证1000", "ret_pct": -1.44, "close": 8198.72, "amount_yi": 5820.27 }, "bse50": { "symbol": "BJSE.899050", "name": "北证50", "ret_pct": null, "close": null, "amount_yi": null } }, "breadth_detail": { "up_count": 1488, "down_count": 3426, "flat_count": 81, "total_count": 4995, "up_ratio": 0.2979, "down_ratio": 0.6859, "avg_ret_pct": -1.1394, "median_ret_pct": -1.2857 }, "return_distribution": { "up_0_1_count": 517, "up_1_3_count": 604, "up_3_5_count": 161, "up_5_9_count": 112, "up_9_plus_count": 94, "limit_up_count": 70, "down_0_1_count": 697, "down_1_3_count": 1502, "down_3_5_count": 758, "down_5_9_count": 409, "down_9_plus_count": 60, "limit_down_count": 25 }, "limit_activity": { "limit_up_count": 70, "limit_down_count": 25, "limit_up_down_ratio": 2.8 }, "limit_ladder": { "max_consecutive_limit_up": 4, "ladder": [ { "days": 4, "stocks": [ { "symbol": "SZSE.002354", "name": "天娱数科", "ret_pct": 10.05, "amount_yi": 29.93, "consecutive_limit_up": 4 } ] }, { "days": 3, "stocks": [ { "symbol": "SZSE.002636", "name": "金安国纪", "ret_pct": 10.0, "amount_yi": 29.53, "consecutive_limit_up": 3 } ] }, { "days": 2, "stocks": [ { "symbol": "SHSE.600500", "name": "中化国际", "ret_pct": 10.08, "amount_yi": 2.06, "consecutive_limit_up": 2 }, { "symbol": "SHSE.605006", "name": "山东玻纤", "ret_pct": 10.03, "amount_yi": 19.45, "consecutive_limit_up": 2 }, { "symbol": "SZSE.003026", "name": "中晶科技", "ret_pct": 10.02, "amount_yi": 4.29, "consecutive_limit_up": 2 }, { "symbol": "SHSE.603002", "name": "宏昌电子", "ret_pct": 10.01, "amount_yi": 36.12, "consecutive_limit_up": 2 }, { "symbol": "SZSE.002669", "name": "康达新材", "ret_pct": 10.01, "amount_yi": 14.23, "consecutive_limit_up": 2 }, { "symbol": "SZSE.002585", "name": "双星新材", "ret_pct": 10.0, "amount_yi": 22.32, "consecutive_limit_up": 2 }, { "symbol": "SZSE.003043", "name": "华亚智能", "ret_pct": 10.0, "amount_yi": 10.84, "consecutive_limit_up": 2 }, { "symbol": "SHSE.605318", "name": "法狮龙", "ret_pct": 10.0, "amount_yi": 4.8, "consecutive_limit_up": 2 }, { "symbol": "SZSE.002971", "name": "和远气体", "ret_pct": 10.0, "amount_yi": 3.56, "consecutive_limit_up": 2 }, { "symbol": "SHSE.603065", "name": "宿迁联盛", "ret_pct": 10.0, "amount_yi": 0.42, "consecutive_limit_up": 2 }, { "symbol": "SHSE.605589", "name": "圣泉集团", "ret_pct": 9.99, "amount_yi": 10.73, "consecutive_limit_up": 2 }, { "symbol": "SZSE.000048", "name": "京基智农", "ret_pct": 9.99, "amount_yi": 5.25, "consecutive_limit_up": 2 }, { "symbol": "SZSE.000029", "name": "深深房A", "ret_pct": 9.98, "amount_yi": 1.31, "consecutive_limit_up": 2 } ] } ], "ladder_state": "HAS_MID_BOARD" }, "liquidity": { "market_amount_yi": 26031.59, "prev_market_amount_yi": 26236.87, "amount_change_yi": -205.28, "amount_change_pct": -0.78, "amount_ma5_yi": 28577.33, "amount_ma20_yi": 30317.99, "amount_ratio5": 0.9109, "amount_ratio20": 0.8586, "amount_percentile_60d": 0.3778, "liquidity_state": "SHRINKING" }, "money_flow": { "source": "external_or_unavailable", "market_main_net_inflow_yi": null, "sector_main_net_inflow_top": [], "note": "若掘金无真实主力资金流字段，本脚本不伪造主力净流入；可通过 external_context/manual_context 补充。" }, "directional_amount_proxy": { "source": "amount_by_return_direction", "up_amount_yi": 8964.74, "down_amount_yi": 16957.74, "flat_amount_yi": 109.11, "up_amount_ratio": 0.3444, "down_amount_ratio": 0.6514, "strong_up_amount_yi": 3842.8, "strong_down_amount_yi": 9894.09, "bias": "RISK_OFF" }, "sector_heat": { "near_triggered_count": 2, "structure_watch_count": 5, "weak_tape_structure_count": 3, "top_rising_business_sectors": [ { "sector_name": "旅游酒店", "theme_cluster": "旅游酒店", "state": "STRUCTURE_WATCH", "sector_ret_pct": 2.2, "sector_rank_today": 1, "tape_quality": "STRONG", "limit_up_count": 2, "mid_count": 3, "tail_count": 3, "report_score": 67.28 }, { "sector_name": "氟化工概念", "theme_cluster": "氟化工概念", "state": "STRUCTURE_WATCH", "sector_ret_pct": 1.61, "sector_rank_today": 2, "tape_quality": "STRONG", "limit_up_count": 3, "mid_count": 4, "tail_count": 2, "report_score": 89.1 }, { "sector_name": "金融地产风格", "theme_cluster": "金融地产风格", "state": "MARKET_LEADER_NO_SIGNAL", "sector_ret_pct": 1.51, "sector_rank_today": 3, "tape_quality": "STRONG", "limit_up_count": 1, "mid_count": 2, "tail_count": 11, "report_score": 65.41 }, { "sector_name": "中芯概念", "theme_cluster": "中芯概念", "state": "NEAR_TRIGGERED", "sector_ret_pct": 1.47, "sector_rank_today": 4, "tape_quality": "OK", "limit_up_count": 4, "mid_count": 6, "tail_count": 6, "report_score": 131.59 }, { "sector_name": "酿酒概念", "theme_cluster": "酿酒概念", "state": "MARKET_LEADER_NO_SIGNAL", "sector_ret_pct": 1.45, "sector_rank_today": 5, "tape_quality": "STRONG", "limit_up_count": 1, "mid_count": 2, "tail_count": 4, "report_score": 49.35 }, { "sector_name": "光刻机(胶)", "theme_cluster": "光刻机(胶)", "state": "NEAR_TRIGGERED", "sector_ret_pct": 1.3, "sector_rank_today": 6, "tape_quality": "STRONG", "limit_up_count": 6, "mid_count": 4, "tail_count": 9, "report_score": 141.65 }, { "sector_name": "旅游概念", "theme_cluster": "旅游概念", "state": "STRUCTURE_WATCH", "sector_ret_pct": 0.96, "sector_rank_today": 7, "tape_quality": "OK", "limit_up_count": 3, "mid_count": 2, "tail_count": 3, "report_score": 67.21 }, { "sector_name": "复合集流体", "theme_cluster": "复合集流体", "state": "STRUCTURE_WATCH", "sector_ret_pct": 0.88, "sector_rank_today": 8, "tape_quality": "OK", "limit_up_count": 1, "mid_count": 4, "tail_count": 4, "report_score": 68.69 }, { "sector_name": "化工原料", "theme_cluster": "化工原料", "state": "MARKET_LEADER_NO_SIGNAL", "sector_ret_pct": 0.8, "sector_rank_today": 9, "tape_quality": "OK", "limit_up_count": 3, "mid_count": 1, "tail_count": 6, "report_score": 72.68 }, { "sector_name": "猪肉概念", "theme_cluster": "猪肉概念", "state": "MARKET_LEADER_NO_SIGNAL", "sector_ret_pct": 0.76, "sector_rank_today": 10, "tape_quality": "OK", "limit_up_count": 1, "mid_count": 0, "tail_count": 3, "report_score": 33.01 } ], "top_falling_business_sectors": [ { "sector_name": "消费电子概念", "theme_cluster": "消费电子概念", "state": "NO_OUTPUT", "sector_ret_pct": -2.51, "sector_rank_today": 232, "tape_quality": "WEAK", "limit_up_count": 1, "mid_count": 4, "tail_count": 9, "report_score": 11.65 }, { "sector_name": "储能概念", "theme_cluster": "新能源电力链", "state": "NO_OUTPUT", "sector_ret_pct": -2.43, "sector_rank_today": 228, "tape_quality": "WEAK", "limit_up_count": 2, "mid_count": 6, "tail_count": 11, "report_score": 36.7 }, { "sector_name": "通信技术", "theme_cluster": "通信技术", "state": "NO_OUTPUT", "sector_ret_pct": -2.41, "sector_rank_today": 227, "tape_quality": "WEAK", "limit_up_count": 6, "mid_count": 6, "tail_count": 14, "report_score": 69.83 }, { "sector_name": "机器人概念", "theme_cluster": "机器人智能制造", "state": "NO_OUTPUT", "sector_ret_pct": -2.31, "sector_rank_today": 218, "tape_quality": "WEAK", "limit_up_count": 7, "mid_count": 14, "tail_count": 11, "report_score": 82.2 }, { "sector_name": "燃料电池概念", "theme_cluster": "燃料电池概念", "state": "NO_OUTPUT", "sector_ret_pct": -2.18, "sector_rank_today": 212, "tape_quality": "WEAK", "limit_up_count": 3, "mid_count": 4, "tail_count": 5, "report_score": 22.81 }, { "sector_name": "液冷概念", "theme_cluster": "AI算力基础设施", "state": "NO_OUTPUT", "sector_ret_pct": -2.14, "sector_rank_today": 210, "tape_quality": "WEAK", "limit_up_count": 2, "mid_count": 4, "tail_count": 5, "report_score": 10.94 }, { "sector_name": "数据中心", "theme_cluster": "AI算力基础设施", "state": "NO_OUTPUT", "sector_ret_pct": -2.1, "sector_rank_today": 206, "tape_quality": "WEAK", "limit_up_count": 3, "mid_count": 2, "tail_count": 8, "report_score": 17.95 }, { "sector_name": "核能核电", "theme_cluster": "核能核电", "state": "NO_OUTPUT", "sector_ret_pct": -2.09, "sector_rank_today": 204, "tape_quality": "WEAK", "limit_up_count": 3, "mid_count": 4, "tail_count": 4, "report_score": 25.78 }, { "sector_name": "光伏概念", "theme_cluster": "新能源电力链", "state": "NO_OUTPUT", "sector_ret_pct": -2.0, "sector_rank_today": 198, "tape_quality": "WEAK", "limit_up_count": 9, "mid_count": 7, "tail_count": 11, "report_score": 93.33 }, { "sector_name": "商业航天", "theme_cluster": "卫星军工信息化", "state": "NO_OUTPUT", "sector_ret_pct": -1.92, "sector_rank_today": 191, "tape_quality": "WEAK", "limit_up_count": 6, "mid_count": 8, "tail_count": 11, "report_score": 83.18 } ], "top_theme_clusters": [ { "theme_cluster": "光刻机(胶)", "count": 1 }, { "theme_cluster": "中芯概念", "count": 1 }, { "theme_cluster": "氟化工概念", "count": 1 }, { "theme_cluster": "文娱消费", "count": 1 }, { "theme_cluster": "复合集流体", "count": 1 }, { "theme_cluster": "降解塑料", "count": 1 }, { "theme_cluster": "体育产业", "count": 1 }, { "theme_cluster": "半导体材料设备", "count": 1 } ], "weak_theme_clusters": [ { "theme_cluster": "半导体材料设备", "count": 1 }, { "theme_cluster": "OLED", "count": 1 }, { "theme_cluster": "互联网金融", "count": 1 } ] }, "style_rotation": { "type": "UNKNOWN", "from": null, "to": null, "confidence": "LOW", "reasons": [] }, "external_context": { "available": false, "source": "D:\\sector_wave_agent\\manual_context_2026-06-10.json", "overnight_events": [], "policy_events": [], "key_levels": {}, "review_watchpoints": [] }, "risk_flags": [ "LOW_BREADTH", "LIMIT_DOWN_PRESSURE", "INDEX_WEAKNESS", "GROWTH_STYLE_WEAK", "DIRECTIONAL_AMOUNT_RISK_OFF", "LIQUIDITY_SHRINKING" ], "support_flags": [ "LIMIT_UP_COUNT_OK", "HIGH_MARKET_AMOUNT", "HAS_NEAR_TRIGGERED_THEME", "HAS_HIGH_BOARD" ], "missing_fields": [ "index_bse50", "manual_context" ], "regime_reasons": [ "上涨家数占比29.79%，市场宽度偏低", "跌停25只，亏钱效应明显", "主要指数平均跌幅约-1.52%，指数层偏弱", "创业板指跌幅-2.70%，成长风格承压", "下跌股票成交额占比较高，方向成交额代理偏风险回避", "成交额较前期收缩，流动性不是放量普涨状态", "涨停70只，局部情绪仍有活跃度", "全市场成交额约26032亿，流动性绝对水平较高", "最高连板达到4板，短线情绪并未完全冰点" ], "index_ret_pct": -0.42, "breadth": 0.2979, "limit_up_count": 70, "limit_down_count": 25, "market_amount_yi": 26031.59 }, "theme_summary": { "triggered": [], "near_triggered_themes": [ { "theme_cluster": "光刻机(胶)", "theme_display_name": "光刻机(胶)（光刻机(胶)）", "primary_sector": "光刻机(胶)", "primary_sector_code": "007285", "co_primary_sectors": [], "theme_state": "NEAR_TRIGGERED", "theme_role": "MAINLINE", "theme_tape_quality": "STRONG", "theme_report_score": 141.65, "theme_score_meaning": "主题级局部机会存在度，不代表全市场可进攻强度。", "primary_sector_ret_pct": 1.3, "primary_sector_rank_today": 6, "limit_up_count": 6, "mid_count": 4, "tail_count": 9, "agent_interpretation_hint": "优先按 theme_display_name 理解主线；primary_sector 只是该主题的量化主承载板块，co_primary_sectors 是同主题共振板块。", "reason": "同主题簇内多个板块具备近触发/强结构，按主题级主线输出，避免单一概念名弱化共振。" }, { "theme_cluster": "中芯概念", "theme_display_name": "中芯概念（中芯概念）", "primary_sector": "中芯概念", "primary_sector_code": "007331", "co_primary_sectors": [], "theme_state": "NEAR_TRIGGERED", "theme_role": "MAINLINE", "theme_tape_quality": "OK", "theme_report_score": 131.59, "theme_score_meaning": "主题级局部机会存在度，不代表全市场可进攻强度。", "primary_sector_ret_pct": 1.47, "primary_sector_rank_today": 4, "limit_up_count": 4, "mid_count": 6, "tail_count": 6, "agent_interpretation_hint": "优先按 theme_display_name 理解主线；primary_sector 只是该主题的量化主承载板块，co_primary_sectors 是同主题共振板块。", "reason": "同主题簇内多个板块具备近触发/强结构，按主题级主线输出，避免单一概念名弱化共振。" } ], "near_triggered_sectors": [ { "sector_code": "007285", "sector_name": "光刻机(胶)", "sector_type": "concept_1003", "theme_cluster": "光刻机(胶)", "business_meaning_level": "HIGH", "business_reason": null, "is_blacklisted": false, "is_generic_label": false, "generic_reason": null, "generic_penalty_applied": false, "member_count": 92, "valid_member_count": 90, "specificity_score": 0.6958, "raw_heat_score": 126.6, "adjusted_heat_score": 88.09, "state": "NEAR_TRIGGERED", "sector_ret_pct": 1.3, "sector_amount_yi": 1197.34, "amount_ratio5": 1.088, "sector_rank_today": 6, "near_previous_high": true, "distance_to_previous_high": -0.0254, "next_day_gap_risk": true, "ohlc": { "open": 132.8996, "high": 139.3737, "low": 130.338, "close": 135.8494, "close_location": 0.61, "source": "synthetic_equal_weight_index" }, "second_wave_tags": [ "SECTOR_SECOND_WAVE_NEAR_TRIGGERED", "STRUCTURE_CONFIRMED", "LADDER_COMPLETE", "LIMIT_UP_CONFIRMED", "FRONT_STRENGTH_CONFIRMED", "MID_CAP_PARTICIPATION", "MA_REPAIR", "NEAR_PREVIOUS_HIGH", "NEXT_DAY_GAP_RISK" ], "ladder": { "limit_up_count": 6, "front_only_count": 4, "front_count": 10, "head_count": 6, "mid_count": 4, "tail_count": 9 }, "structure_quality": "COMPLETE_LADDER", "tape_quality": "STRONG", "weak_tape_reasons": [], "report_score": 141.65, "stocks": [ { "symbol": "SZSE.300721", "name": "怡达股份", "role": "LIMIT_HEAD", "ret_pct": 19.99, "amount_yi": 9.74, "turnover": null, "market_cap_yi": 49.57, "amount_to_mcap_pct": 19.642, "is_limit_up": true, "limit_rate": 0.2, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SHSE.603155", "name": "新亚强", "role": "LIMIT_HEAD", "ret_pct": 10.02, "amount_yi": 2.5, "turnover": null, "market_cap_yi": 72.13, "amount_to_mcap_pct": 3.468, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SHSE.603823", "name": "百合花", "role": "LIMIT_HEAD", "ret_pct": 10.01, "amount_yi": 8.13, "turnover": null, "market_cap_yi": 161.59, "amount_to_mcap_pct": 5.029, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SZSE.002409", "name": "雅克科技", "role": "LIMIT_HEAD", "ret_pct": 10.0, "amount_yi": 39.19, "turnover": null, "market_cap_yi": 390.35, "amount_to_mcap_pct": 10.04, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SZSE.003043", "name": "华亚智能", "role": "LIMIT_HEAD", "ret_pct": 10.0, "amount_yi": 10.84, "turnover": null, "market_cap_yi": 67.58, "amount_to_mcap_pct": 16.043, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SHSE.605589", "name": "圣泉集团", "role": "LIMIT_HEAD", "ret_pct": 9.99, "amount_yi": 10.73, "turnover": null, "market_cap_yi": 508.4, "amount_to_mcap_pct": 2.112, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SHSE.688146", "name": "中船特气", "role": "FRONT", "ret_pct": 16.42, "amount_yi": 49.96, "turnover": null, "market_cap_yi": 423.31, "amount_to_mcap_pct": 11.802, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "强前排，未确认涨停，不等同封板强度" }, { "symbol": "SZSE.300331", "name": "苏大维格", "role": "FRONT", "ret_pct": 11.92, "amount_yi": 23.37, "turnover": null, "market_cap_yi": 140.59, "amount_to_mcap_pct": 16.621, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "强前排，未确认涨停，不等同封板强度" }, { "symbol": "SHSE.688669", "name": "聚石化学", "role": "FRONT", "ret_pct": 10.83, "amount_yi": 4.06, "turnover": null, "market_cap_yi": 58.36, "amount_to_mcap_pct": 6.961, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "强前排，未确认涨停，不等同封板强度" }, { "symbol": "SHSE.688549", "name": "中巨芯-U", "role": "FRONT", "ret_pct": 10.55, "amount_yi": 44.92, "turnover": null, "market_cap_yi": 147.62, "amount_to_mcap_pct": 30.426, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "强前排，未确认涨停，不等同封板强度" }, { "symbol": "SZSE.301630", "name": "同宇新材", "role": "MID", "ret_pct": 8.25, "amount_yi": 12.65, "turnover": null, "market_cap_yi": 29.95, "amount_to_mcap_pct": 42.249, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": true, "note": "中军观察" }, { "symbol": "SHSE.688181", "name": "八亿时空", "role": "MID", "ret_pct": 8.03, "amount_yi": 6.15, "turnover": null, "market_cap_yi": 59.13, "amount_to_mcap_pct": 10.408, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": true, "note": "中军观察" }, { "symbol": "SHSE.688602", "name": "康鹏科技", "role": "MID", "ret_pct": 7.91, "amount_yi": 1.5, "turnover": null, "market_cap_yi": 19.47, "amount_to_mcap_pct": 7.682, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": true, "note": "中军观察" }, { "symbol": "SHSE.603650", "name": "彤程新材", "role": "MID", "ret_pct": 6.62, "amount_yi": 20.94, "turnover": null, "market_cap_yi": 367.27, "amount_to_mcap_pct": 5.703, "is_limit_up": false, "limit_rate": 0.1, "actionable_hint": true, "note": "中军观察" }, { "symbol": "SHSE.603125", "name": "常青科技", "role": "TAIL", "ret_pct": 4.86, "amount_yi": 2.21, "turnover": null, "market_cap_yi": 100.52, "amount_to_mcap_pct": 2.199, "is_limit_up": false, "limit_rate": 0.1, "actionable_hint": false, "note": "后排扩散" }, { "symbol": "SHSE.601208", "name": "东材科技", "role": "TAIL", "ret_pct": 4.58, "amount_yi": 93.05, "turnover": null, "market_cap_yi": 629.85, "amount_to_mcap_pct": 14.774, "is_limit_up": false, "limit_rate": 0.1, "actionable_hint": false, "note": "后排扩散" }, { "symbol": "SHSE.600353", "name": "旭光电子", "role": "TAIL", "ret_pct": 4.33, "amount_yi": 21.14, "turnover": null, "market_cap_yi": 225.6, "amount_to_mcap_pct": 9.369, "is_limit_up": false, "limit_rate": 0.1, "actionable_hint": false, "note": "后排扩散" }, { "symbol": "SZSE.300576", "name": "容大感光", "role": "TAIL", "ret_pct": 4.05, "amount_yi": 21.49, "turnover": null, "market_cap_yi": 110.56, "amount_to_mcap_pct": 19.435, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "后排扩散" }, { "symbol": "SZSE.300700", "name": "岱勒新材", "role": "TAIL", "ret_pct": 3.84, "amount_yi": 5.16, "turnover": null, "market_cap_yi": 60.72, "amount_to_mcap_pct": 8.494, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "后排扩散" }, { "symbol": "SHSE.603360", "name": "百傲化学", "role": "TAIL", "ret_pct": 3.3, "amount_yi": 5.09, "turnover": null, "market_cap_yi": 141.32, "amount_to_mcap_pct": 3.598, "is_limit_up": false, "limit_rate": 0.1, "actionable_hint": false, "note": "后排扩散" } ], "missing_fields": [ "auction_seal_amount", "stock_turnover" ], "filter_reasons": [], "is_primary_sector": true, "related_sectors": [] }, { "sector_code": "007331", "sector_name": "中芯概念", "sector_type": "concept_1003", "theme_cluster": "中芯概念", "business_meaning_level": "HIGH", "business_reason": null, "is_blacklisted": false, "is_generic_label": false, "generic_reason": null, "generic_penalty_applied": false, "member_count": 63, "valid_member_count": 63, "specificity_score": 0.7488, "raw_heat_score": 104.12, "adjusted_heat_score": 77.97, "state": "NEAR_TRIGGERED", "sector_ret_pct": 1.47, "sector_amount_yi": 1745.05, "amount_ratio5": 1.09, "sector_rank_today": 4, "near_previous_high": true, "distance_to_previous_high": -0.0044, "next_day_gap_risk": true, "ohlc": { "open": 143.5865, "high": 151.8591, "low": 141.1502, "close": 147.1338, "close_location": 0.5587, "source": "synthetic_equal_weight_index" }, "second_wave_tags": [ "SECTOR_SECOND_WAVE_NEAR_TRIGGERED", "STRUCTURE_CONFIRMED", "LADDER_COMPLETE", "LIMIT_UP_CONFIRMED", "FRONT_STRENGTH_CONFIRMED", "MID_CAP_PARTICIPATION", "MA_REPAIR", "NEAR_PREVIOUS_HIGH", "NEXT_DAY_GAP_RISK" ], "ladder": { "limit_up_count": 4, "front_only_count": 3, "front_count": 7, "head_count": 4, "mid_count": 6, "tail_count": 6 }, "structure_quality": "COMPLETE_LADDER", "tape_quality": "OK", "weak_tape_reasons": [], "report_score": 131.59, "stocks": [ { "symbol": "SZSE.002409", "name": "雅克科技", "role": "LIMIT_HEAD", "ret_pct": 10.0, "amount_yi": 39.19, "turnover": null, "market_cap_yi": 390.35, "amount_to_mcap_pct": 10.04, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SHSE.600206", "name": "有研新材", "role": "LIMIT_HEAD", "ret_pct": 10.0, "amount_yi": 35.73, "turnover": null, "market_cap_yi": 272.93, "amount_to_mcap_pct": 13.092, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SHSE.600378", "name": "昊华科技", "role": "LIMIT_HEAD", "ret_pct": 10.0, "amount_yi": 35.5, "turnover": null, "market_cap_yi": 622.95, "amount_to_mcap_pct": 5.698, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SHSE.603160", "name": "汇顶科技", "role": "LIMIT_HEAD", "ret_pct": 9.99, "amount_yi": 5.76, "turnover": null, "market_cap_yi": 279.44, "amount_to_mcap_pct": 2.06, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SHSE.688146", "name": "中船特气", "role": "FRONT", "ret_pct": 16.42, "amount_yi": 49.96, "turnover": null, "market_cap_yi": 423.31, "amount_to_mcap_pct": 11.802, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "强前排，未确认涨停，不等同封板强度" }, { "symbol": "SZSE.300331", "name": "苏大维格", "role": "FRONT", "ret_pct": 11.92, "amount_yi": 23.37, "turnover": null, "market_cap_yi": 140.59, "amount_to_mcap_pct": 16.621, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "强前排，未确认涨停，不等同封板强度" }, { "symbol": "SHSE.688549", "name": "中巨芯-U", "role": "FRONT", "ret_pct": 10.55, "amount_yi": 44.92, "turnover": null, "market_cap_yi": 147.62, "amount_to_mcap_pct": 30.426, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "强前排，未确认涨停，不等同封板强度" }, { "symbol": "SZSE.300666", "name": "江丰电子", "role": "MID", "ret_pct": 8.36, "amount_yi": 65.09, "turnover": null, "market_cap_yi": 538.79, "amount_to_mcap_pct": 12.081, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": true, "note": "中军观察" }, { "symbol": "SHSE.603929", "name": "亚翔集成", "role": "MID", "ret_pct": 7.9, "amount_yi": 39.81, "turnover": null, "market_cap_yi": 473.79, "amount_to_mcap_pct": 8.403, "is_limit_up": false, "limit_rate": 0.1, "actionable_hint": true, "note": "中军观察" }, { "symbol": "SHSE.600160", "name": "巨化股份", "role": "MID", "ret_pct": 7.08, "amount_yi": 42.45, "turnover": null, "market_cap_yi": 1090.43, "amount_to_mcap_pct": 3.893, "is_limit_up": false, "limit_rate": 0.1, "actionable_hint": true, "note": "中军观察" }, { "symbol": "SHSE.688138", "name": "清溢光电", "role": "MID", "ret_pct": 5.23, "amount_yi": 5.94, "turnover": null, "market_cap_yi": 107.66, "amount_to_mcap_pct": 5.513, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": true, "note": "中军观察" }, { "symbol": "SHSE.688545", "name": "兴福电子", "role": "MID", "ret_pct": 5.17, "amount_yi": 18.02, "turnover": null, "market_cap_yi": 158.74, "amount_to_mcap_pct": 11.352, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": true, "note": "中军观察" }, { "symbol": "SHSE.688432", "name": "有研硅", "role": "MID", "ret_pct": 5.15, "amount_yi": 15.96, "turnover": null, "market_cap_yi": 298.45, "amount_to_mcap_pct": 5.347, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": true, "note": "中军观察" }, { "symbol": "SHSE.688106", "name": "金宏气体", "role": "TAIL", "ret_pct": 4.62, "amount_yi": 14.92, "turnover": null, "market_cap_yi": 158.74, "amount_to_mcap_pct": 9.398, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "后排扩散" }, { "symbol": "SHSE.600141", "name": "兴发集团", "role": "TAIL", "ret_pct": 3.8, "amount_yi": 8.71, "turnover": null, "market_cap_yi": 357.52, "amount_to_mcap_pct": 2.435, "is_limit_up": false, "limit_rate": 0.1, "actionable_hint": false, "note": "后排扩散" }, { "symbol": "SHSE.688072", "name": "拓荆科技", "role": "TAIL", "ret_pct": 3.52, "amount_yi": 63.28, "turnover": null, "market_cap_yi": 1747.04, "amount_to_mcap_pct": 3.622, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "后排扩散" }, { "symbol": "SHSE.688652", "name": "京仪装备", "role": "TAIL", "ret_pct": 3.32, "amount_yi": 10.77, "turnover": null, "market_cap_yi": 163.25, "amount_to_mcap_pct": 6.594, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "后排扩散" }, { "symbol": "SHSE.605358", "name": "立昂微", "role": "TAIL", "ret_pct": 3.27, "amount_yi": 78.28, "turnover": null, "market_cap_yi": 544.3, "amount_to_mcap_pct": 14.381, "is_limit_up": false, "limit_rate": 0.1, "actionable_hint": false, "note": "后排扩散" }, { "symbol": "SZSE.002129", "name": "TCL中环", "role": "TAIL", "ret_pct": 3.26, "amount_yi": 48.19, "turnover": null, "market_cap_yi": 409.23, "amount_to_mcap_pct": 11.776, "is_limit_up": false, "limit_rate": 0.1, "actionable_hint": false, "note": "后排扩散" }, { "symbol": "SHSE.688126", "name": "沪硅产业", "role": "WATCH", "ret_pct": 2.9, "amount_yi": 98.54, "turnover": null, "market_cap_yi": 891.89, "amount_to_mcap_pct": 11.048, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "辅助观察" } ], "missing_fields": [ "auction_seal_amount", "stock_turnover" ], "filter_reasons": [], "is_primary_sector": true, "related_sectors": [] } ], "structure_watch": [ { "sector_code": "007160", "sector_name": "氟化工概念", "sector_type": "concept_1003", "theme_cluster": "氟化工概念", "business_meaning_level": "HIGH", "business_reason": null, "is_blacklisted": false, "is_generic_label": false, "generic_reason": null, "generic_penalty_applied": false, "member_count": 37, "valid_member_count": 36, "specificity_score": 0.8123, "raw_heat_score": 73.38, "adjusted_heat_score": 59.61, "state": "STRUCTURE_WATCH", "sector_ret_pct": 1.61, "sector_amount_yi": 520.99, "amount_ratio5": 1.069, "sector_rank_today": 2, "near_previous_high": false, "distance_to_previous_high": -0.0449, "next_day_gap_risk": true, "ohlc": { "open": 111.1154, "high": 116.4726, "low": 109.2994, "close": 113.7703, "close_location": 0.6233, "source": "synthetic_equal_weight_index" }, "second_wave_tags": [ "STRUCTURE_CONFIRMED", "LIMIT_UP_CONFIRMED", "FRONT_STRENGTH_CONFIRMED", "MID_CAP_PARTICIPATION", "NEXT_DAY_GAP_RISK" ], "ladder": { "limit_up_count": 3, "front_only_count": 2, "front_count": 5, "head_count": 3, "mid_count": 4, "tail_count": 2 }, "structure_quality": "MID_SUPPORTED", "tape_quality": "STRONG", "weak_tape_reasons": [], "report_score": 89.1, "stocks": [ { "symbol": "SZSE.002409", "name": "雅克科技", "role": "LIMIT_HEAD", "ret_pct": 10.0, "amount_yi": 39.19, "turnover": null, "market_cap_yi": 390.35, "amount_to_mcap_pct": 10.04, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SHSE.600378", "name": "昊华科技", "role": "LIMIT_HEAD", "ret_pct": 10.0, "amount_yi": 35.5, "turnover": null, "market_cap_yi": 622.95, "amount_to_mcap_pct": 5.698, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SHSE.601678", "name": "滨化股份", "role": "LIMIT_HEAD", "ret_pct": 9.92, "amount_yi": 6.64, "turnover": null, "market_cap_yi": 115.45, "amount_to_mcap_pct": 5.749, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SHSE.688146", "name": "中船特气", "role": "FRONT", "ret_pct": 16.42, "amount_yi": 49.96, "turnover": null, "market_cap_yi": 423.31, "amount_to_mcap_pct": 11.802, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "强前排，未确认涨停，不等同封板强度" }, { "symbol": "SHSE.688549", "name": "中巨芯-U", "role": "FRONT", "ret_pct": 10.55, "amount_yi": 44.92, "turnover": null, "market_cap_yi": 147.62, "amount_to_mcap_pct": 30.426, 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"SHSE.688662", "name": "富信科技", "role": "LIMIT_HEAD", "ret_pct": 20.0, "amount_yi": 11.41, "turnover": null, "market_cap_yi": 99.04, "amount_to_mcap_pct": 11.525, "is_limit_up": true, "limit_rate": 0.2, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SZSE.003026", "name": "中晶科技", "role": "LIMIT_HEAD", "ret_pct": 10.02, "amount_yi": 4.29, "turnover": null, "market_cap_yi": 52.24, "amount_to_mcap_pct": 8.203, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SHSE.603155", "name": "新亚强", "role": "LIMIT_HEAD", "ret_pct": 10.02, "amount_yi": 2.5, "turnover": null, "market_cap_yi": 72.13, "amount_to_mcap_pct": 3.468, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SZSE.002119", "name": "康强电子", "role": "LIMIT_HEAD", "ret_pct": 10.01, "amount_yi": 14.42, "turnover": null, "market_cap_yi": 106.43, "amount_to_mcap_pct": 13.552, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SZSE.002669", "name": "康达新材", "role": "LIMIT_HEAD", "ret_pct": 10.01, "amount_yi": 14.23, "turnover": null, "market_cap_yi": 57.91, "amount_to_mcap_pct": 24.573, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SHSE.603375", "name": "盛景微", "role": "LIMIT_HEAD", "ret_pct": 10.01, "amount_yi": 2.05, "turnover": null, "market_cap_yi": 31.9, "amount_to_mcap_pct": 6.414, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SZSE.002409", "name": "雅克科技", "role": "LIMIT_HEAD", "ret_pct": 10.0, "amount_yi": 39.19, "turnover": null, "market_cap_yi": 390.35, "amount_to_mcap_pct": 10.04, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SHSE.600206", "name": "有研新材", "role": "LIMIT_HEAD", "ret_pct": 10.0, "amount_yi": 35.73, "turnover": null, "market_cap_yi": 272.93, "amount_to_mcap_pct": 13.092, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SHSE.603011", "name": "合锻智能", "role": "LIMIT_HEAD", "ret_pct": 10.0, "amount_yi": 21.3, "turnover": null, "market_cap_yi": 157.72, "amount_to_mcap_pct": 13.508, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SZSE.003043", "name": "华亚智能", "role": "LIMIT_HEAD", "ret_pct": 10.0, "amount_yi": 10.84, "turnover": null, "market_cap_yi": 67.58, "amount_to_mcap_pct": 16.043, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SZSE.002081", "name": "金螳螂", "role": "LIMIT_HEAD", "ret_pct": 10.0, "amount_yi": 8.51, "turnover": null, "market_cap_yi": 157.07, "amount_to_mcap_pct": 5.42, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SZSE.002430", "name": "杭氧股份", "role": "LIMIT_HEAD", "ret_pct": 10.0, "amount_yi": 8.01, "turnover": null, "market_cap_yi": 263.46, "amount_to_mcap_pct": 3.041, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SHSE.603938", "name": "三孚股份", "role": "LIMIT_HEAD", "ret_pct": 9.99, "amount_yi": 20.29, "turnover": null, "market_cap_yi": 229.5, "amount_to_mcap_pct": 8.842, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SHSE.603160", "name": "汇顶科技", "role": "LIMIT_HEAD", "ret_pct": 9.99, "amount_yi": 5.76, "turnover": null, "market_cap_yi": 279.44, "amount_to_mcap_pct": 2.06, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SHSE.601678", "name": "滨化股份", "role": "LIMIT_HEAD", "ret_pct": 9.92, "amount_yi": 6.64, "turnover": null, "market_cap_yi": 115.45, "amount_to_mcap_pct": 5.749, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SHSE.688056", "name": "莱伯泰科", "role": "FRONT", "ret_pct": 17.5, "amount_yi": 3.87, "turnover": null, "market_cap_yi": 41.21, "amount_to_mcap_pct": 9.381, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "强前排，未确认涨停，不等同封板强度" }, { "symbol": "SHSE.688146", "name": "中船特气", "role": "FRONT", "ret_pct": 16.42, "amount_yi": 49.96, "turnover": null, "market_cap_yi": 423.31, "amount_to_mcap_pct": 11.802, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "强前排，未确认涨停，不等同封板强度" }, { "symbol": "SHSE.688530", "name": "欧莱新材", "role": "FRONT", "ret_pct": 13.35, "amount_yi": 8.39, "turnover": null, "market_cap_yi": 38.99, "amount_to_mcap_pct": 21.529, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "强前排，未确认涨停，不等同封板强度" } ], "missing_fields": [ "auction_seal_amount", "stock_turnover" ], "filter_reasons": [], "is_primary_sector": true, "related_sectors": [] }, { "sector_code": "007201", "sector_name": "OLED", "sector_type": "concept_1003", "theme_cluster": "OLED", "business_meaning_level": "HIGH", "business_reason": null, "is_blacklisted": false, "is_generic_label": false, "generic_reason": null, "generic_penalty_applied": false, "member_count": 130, "valid_member_count": 126, "specificity_score": 0.6423, "raw_heat_score": 95.38, "adjusted_heat_score": 61.26, "state": "WEAK_TAPE_STRUCTURE", "sector_ret_pct": -0.79, "sector_amount_yi": 2482.99, "amount_ratio5": 0.922, "sector_rank_today": 78, "near_previous_high": false, "distance_to_previous_high": -0.0335, "next_day_gap_risk": true, "ohlc": { "open": 134.9126, "high": 139.8174, "low": 130.9336, "close": 135.42, "close_location": 0.505, "source": "synthetic_equal_weight_index" }, "second_wave_tags": [ "STRUCTURE_CONFIRMED", "WEAK_TAPE_STRUCTURE", "LADDER_COMPLETE", "LIMIT_UP_CONFIRMED", "FRONT_STRENGTH_CONFIRMED", "MID_CAP_PARTICIPATION", "MA_REPAIR", "NEXT_DAY_GAP_RISK" ], "ladder": { "limit_up_count": 4, "front_only_count": 2, "front_count": 6, "head_count": 4, "mid_count": 7, "tail_count": 5 }, "structure_quality": "COMPLETE_LADDER", "tape_quality": "WEAK", "weak_tape_reasons": [ "NEGATIVE_SECTOR_RET", "LOW_RANK" ], "report_score": 83.89, "stocks": [ { "symbol": "SZSE.300721", "name": "怡达股份", "role": "LIMIT_HEAD", "ret_pct": 19.99, "amount_yi": 9.74, "turnover": null, "market_cap_yi": 49.57, "amount_to_mcap_pct": 19.642, "is_limit_up": true, "limit_rate": 0.2, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SZSE.002409", "name": "雅克科技", "role": "LIMIT_HEAD", "ret_pct": 10.0, "amount_yi": 39.19, "turnover": null, "market_cap_yi": 390.35, "amount_to_mcap_pct": 10.04, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SHSE.600206", "name": "有研新材", "role": "LIMIT_HEAD", "ret_pct": 10.0, "amount_yi": 35.73, "turnover": null, "market_cap_yi": 272.93, "amount_to_mcap_pct": 13.092, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SZSE.002585", "name": "双星新材", "role": "LIMIT_HEAD", "ret_pct": 10.0, "amount_yi": 22.32, "turnover": null, "market_cap_yi": 119.0, "amount_to_mcap_pct": 18.758, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SZSE.300331", "name": "苏大维格", "role": "FRONT", "ret_pct": 11.92, "amount_yi": 23.37, "turnover": null, "market_cap_yi": 140.59, "amount_to_mcap_pct": 16.621, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "强前排，未确认涨停，不等同封板强度" }, { "symbol": "SZSE.300400", "name": "劲拓股份", "role": "FRONT", "ret_pct": 9.6, "amount_yi": 14.64, "turnover": null, "market_cap_yi": 93.29, "amount_to_mcap_pct": 15.691, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "强前排，未确认涨停，不等同封板强度" }, { "symbol": "SZSE.300666", "name": "江丰电子", "role": "MID", "ret_pct": 8.36, "amount_yi": 65.09, "turnover": null, "market_cap_yi": 538.79, "amount_to_mcap_pct": 12.081, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": true, "note": "中军观察" }, { "symbol": "SHSE.688181", "name": "八亿时空", "role": "MID", "ret_pct": 8.03, "amount_yi": 6.15, "turnover": null, "market_cap_yi": 59.13, "amount_to_mcap_pct": 10.408, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": true, "note": "中军观察" }, { "symbol": "SHSE.603929", "name": "亚翔集成", "role": "MID", "ret_pct": 7.9, "amount_yi": 39.81, "turnover": null, "market_cap_yi": 473.79, "amount_to_mcap_pct": 8.403, "is_limit_up": false, "limit_rate": 0.1, "actionable_hint": true, "note": "中军观察" }, { "symbol": "SZSE.300812", "name": "易天股份", "role": "MID", "ret_pct": 7.89, "amount_yi": 7.68, "turnover": null, "market_cap_yi": 52.07, "amount_to_mcap_pct": 14.744, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": true, "note": "中军观察" }, { "symbol": "SZSE.300706", "name": "阿石创", "role": "MID", "ret_pct": 6.74, "amount_yi": 16.04, "turnover": null, "market_cap_yi": 64.26, "amount_to_mcap_pct": 24.962, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": true, "note": "中军观察" }, { "symbol": "SHSE.600063", "name": "皖维高新", "role": "MID", "ret_pct": 5.65, "amount_yi": 18.8, "turnover": null, "market_cap_yi": 174.01, "amount_to_mcap_pct": 10.802, "is_limit_up": false, "limit_rate": 0.1, "actionable_hint": true, "note": "中军观察" }, { "symbol": "SHSE.688138", "name": "清溢光电", "role": "MID", "ret_pct": 5.23, "amount_yi": 5.94, "turnover": null, "market_cap_yi": 107.66, "amount_to_mcap_pct": 5.513, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": true, "note": "中军观察" }, { "symbol": "SHSE.601208", "name": "东材科技", "role": "TAIL", "ret_pct": 4.58, "amount_yi": 93.05, "turnover": null, "market_cap_yi": 629.85, "amount_to_mcap_pct": 14.774, "is_limit_up": false, "limit_rate": 0.1, "actionable_hint": false, "note": "后排扩散" }, { "symbol": "SHSE.603228", "name": "景旺电子", "role": "TAIL", "ret_pct": 4.33, "amount_yi": 42.71, "turnover": null, "market_cap_yi": 735.16, "amount_to_mcap_pct": 5.809, "is_limit_up": false, "limit_rate": 0.1, "actionable_hint": false, "note": "后排扩散" }, { "symbol": "SZSE.300576", "name": "容大感光", "role": "TAIL", "ret_pct": 4.05, "amount_yi": 21.49, "turnover": null, "market_cap_yi": 110.56, "amount_to_mcap_pct": 19.435, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "后排扩散" }, { "symbol": "SZSE.300120", "name": "经纬辉开", "role": "TAIL", "ret_pct": 3.36, "amount_yi": 7.58, "turnover": null, "market_cap_yi": 48.63, "amount_to_mcap_pct": 15.595, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "后排扩散" }, { "symbol": "SHSE.603773", "name": "沃格光电", "role": "TAIL", "ret_pct": 3.2, "amount_yi": 51.91, "turnover": null, "market_cap_yi": 348.13, "amount_to_mcap_pct": 14.91, "is_limit_up": false, "limit_rate": 0.1, "actionable_hint": false, "note": "后排扩散" }, { "symbol": "SZSE.300054", "name": "鼎龙股份", "role": "WATCH", "ret_pct": 2.81, "amount_yi": 26.58, "turnover": null, "market_cap_yi": 527.78, "amount_to_mcap_pct": 5.036, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": false, "note": "辅助观察" }, { "symbol": "SZSE.002455", "name": "百川股份", "role": "WATCH", "ret_pct": 2.65, "amount_yi": 5.57, "turnover": null, "market_cap_yi": 53.72, "amount_to_mcap_pct": 10.369, "is_limit_up": false, "limit_rate": 0.1, "actionable_hint": false, "note": "辅助观察" } ], "missing_fields": [ "auction_seal_amount", "stock_turnover" ], "filter_reasons": [], "is_primary_sector": true, "related_sectors": [] }, { "sector_code": "007113", "sector_name": "互联网金融", "sector_type": "concept_1003", "theme_cluster": "互联网金融", "business_meaning_level": "HIGH", "business_reason": null, "is_blacklisted": false, "is_generic_label": false, "generic_reason": null, "generic_penalty_applied": false, "member_count": 195, "valid_member_count": 185, "specificity_score": 0.5748, "raw_heat_score": 54.59, "adjusted_heat_score": 31.38, "state": "WEAK_TAPE_STRUCTURE", "sector_ret_pct": -0.14, "sector_amount_yi": 1178.91, "amount_ratio5": 1.074, "sector_rank_today": 41, "near_previous_high": false, "distance_to_previous_high": -0.1068, "next_day_gap_risk": true, "ohlc": { "open": 95.328, "high": 97.4581, "low": 93.6727, "close": 95.6107, "close_location": 0.512, "source": "synthetic_equal_weight_index" }, "second_wave_tags": [ "STRUCTURE_CONFIRMED", "WEAK_TAPE_STRUCTURE", "LADDER_COMPLETE", "LIMIT_UP_CONFIRMED", "FRONT_STRENGTH_CONFIRMED", "MID_CAP_PARTICIPATION", "NEXT_DAY_GAP_RISK" ], "ladder": { "limit_up_count": 2, "front_only_count": 0, "front_count": 2, "head_count": 2, "mid_count": 3, "tail_count": 7 }, "structure_quality": "COMPLETE_LADDER", "tape_quality": "WEAK", "weak_tape_reasons": [ "NEGATIVE_SECTOR_RET" ], "report_score": 41.88, "stocks": [ { "symbol": "SZSE.002354", "name": "天娱数科", "role": "LIMIT_HEAD", "ret_pct": 10.05, "amount_yi": 29.93, "turnover": null, "market_cap_yi": 144.2, "amount_to_mcap_pct": 20.755, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SZSE.002657", "name": "中科金财", "role": "LIMIT_HEAD", "ret_pct": 10.0, "amount_yi": 6.14, "turnover": null, "market_cap_yi": 69.51, "amount_to_mcap_pct": 8.833, "is_limit_up": true, "limit_rate": 0.1, "actionable_hint": false, "note": "真实涨停龙头，强度锚" }, { "symbol": "SZSE.300674", "name": "宇信科技", "role": "MID", "ret_pct": 5.79, "amount_yi": 3.81, "turnover": null, "market_cap_yi": 116.84, "amount_to_mcap_pct": 3.262, "is_limit_up": false, "limit_rate": 0.2, "actionable_hint": true, "note": "中军观察" }, { "symbol": "SHSE.601187", "name": "厦门银行", "role": "MID", "ret_pct": 5.79, "amount_yi": 2.59, "turnover": null, "market_cap_yi": 202.24, "amount_to_mcap_pct": 1.28, "is_limit_up": false, "limit_rate": 0.1, "actionable_hint": true, "note": "中军观察" }, { "symbol": "SHSE.600909", "name": "华安证券", "role": "MID", "ret_pct": 5.67, "amount_yi": 17.34, "turnover": null, "market_cap_yi": 374.3, "amount_to_mcap_pct": 4.633, "is_limit_up": false, "limit_rate": 0.1, "actionable_hint": true, "note": "中军观察" }, { 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"STATIC_TRIGGER_TOO_LOW_FOR_STRONG_TREND", "reason": "本机模拟盘样本：多只观察股触发时已明显高于执行上沿，静态昨高/触发价在趋势上行日可能偏低。；price_above_exec_high=5" }, { "lesson_id": "POSITION_SIZING_TARGET_PCT_ENABLED", "reason": "本机模拟盘样本：本机模拟盘已从固定 100 股改为按目标仓位测算，且总仓上限按盘中市场温度动态调整。；active=12.0%, watch=5.0%, single_cap=20.0%, total_cap=60.0%, regime=NEUTRAL" }, { "lesson_id": "POSITION_RISK_TRIGGERED", "reason": "本机模拟盘样本：已有持仓触发了本机模拟盘持仓风控，需要纳入日报复盘而不是只看新开仓。；新易盛 A股 T+1 限制，今日买入不可卖 pnl=-2.89%" }, { "lesson_id": "RISK_EXIT_BLOCKED_BY_T1", "reason": "本机模拟盘样本：持仓风控遇到 A股 T+1 可卖数量限制。；risk_exit_blocked_t1=1" } ], "next_validation_tasks": [ "建立10日滚动missed_momentum统计", "建立T+N outcome panel", "累计30样本评估clean_trigger胜率", "灰度验证动态VWAP锚", "watch pool T+N跟踪", "持续统计观察池模拟盘成交/未成交原因、成交后 T+1/T+3/T+5 表现。", "Hermes 每日复盘本机模拟盘成交、持仓、未成交原因，并把可执行修复写入代码迭代台账。" ], "source": "hermes_deepseek_v4", "updated_at": "2026-06-10T18:43:47" }, "next_day_key_watch": [ { "symbol": "SHSE.688602", "name": "康鹏科技", "theme": "光刻机(胶)", "decision": "conditional_plan", "template": 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不破82.78；量能仅mild需放量确认；开盘超89.71放弃" } ], "risk_flags": [ "全市场COLD(19)冰点，任何进攻面临次日低开风险", "外部资讯unavailable，无政策/海外/产业链多空对冲", "triggered_clusters=0，无已触发主线", "3只conditional全部来自半导体链，无分散保护", "上一日HOT(91)→今日COLD(19)一日暴力回落，持续性差" ], "execution_discipline": [ "不追开盘尖峰：所有conditional至少等15分钟", "条件不满足就放弃：主题不升级/量能不确认/破invalid一律失效", "不临时升级observe_only：27只observe中拉升只记录shadow", "COLD市场下conditional确认标准比WARM/HOT更严格", "V8灰度conditional=20仅供对照，不替代V1.1生产决策" ], "v8_strict_gate": { "schema_version": "v8_strict_gate_v1", "available": true, "audit_path": "reports/v8/strategy_pick_audit_20260610.json", "v2_plan_path": "reports/trade_plan/20260610_next_day_trade_plan_sector_bound_v2_leader_aware_news.json", "regime_at_decision": "MIXED", "v8_summary": { "plans": 206, "v1_decision_count": { "conditional_plan": 3, "observe_only": 147, "conditional_only": 27, "risk_verify": 23, "forbidden": 6 }, "v2_decision_count": { "conditional_plan": 20, "observe_only": 157, "forbidden": 29 }, "v8_reason_count": { 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"eod_price": null, "unrealized_pnl_pct": null, "position_pct_of_total": null }, { "symbol": "SZSE.002138", "name": "顺络电子", "scope": "position_risk", "decision": "risk_exit", "theme": "题材股", "template_key": "POSITION_RISK_EXIT", "final_status": "FILLED", "orders_count": 1, "first_order_ts": "2026-06-10T10:38:23", "last_order_ts": "2026-06-10T10:38:23", "filled": true, "fill_price": 58.35, "fill_ts": "2026-06-10T10:38:23", "unfilled_reasons": [], "latest_reason": "paper_sell_at_bid1", "latest_reason_label": "按买一价模拟卖出", "trigger_price": -3.0, "exec_high": null, "intraday_vwap": null, "quote_last": 58.35, "target_position_pct": null, "target_amount": null, "sizing_reason": null, "eod_price": null, "unrealized_pnl_pct": null, "position_pct_of_total": null } ], "lessons": [ { "lesson_id": "WATCH_POOL_PAPER_ENTRY_EXISTS", "status": "pending", "finding": "观察池 conditional/watch 票已在本机模拟盘产生真实模拟成交。", "evidence": "filled_watch_orders=1", "action": "继续统计 watch 成交后的 T+1/T+3 表现；不能反推为 V1.1 production active。" }, { "lesson_id": "PAPER_ENTRY_WEAK_EOD_FOLLOW_THROUGH", "status": "pending", "finding": "部分成交后收盘即转弱，说明入场时点/动态锚点仍需验证。", "evidence": "新易盛 -2.89%", "action": "Hermes 必须复盘是否属于尖峰追随、VWAP 动态锚过晚、或分钟能量未持续。" }, { "lesson_id": "STATIC_TRIGGER_TOO_LOW_FOR_STRONG_TREND", "status": "pending", "finding": "多只观察股触发时已明显高于执行上沿，静态昨高/触发价在趋势上行日可能偏低。", "evidence": "price_above_exec_high=5", "action": "继续验证动态 VWAP 锚、分钟K能量确认与追高上沿自适应；禁止简单放宽追高。" }, { "lesson_id": "POSITION_SIZING_TARGET_PCT_ENABLED", "status": "confirmed_runtime_change", "finding": "本机模拟盘已从固定 100 股改为按目标仓位测算，且总仓上限按盘中市场温度动态调整。", "evidence": "active=12.0%, watch=5.0%, single_cap=20.0%, total_cap=60.0%, regime=NEUTRAL", "action": "Hermes 每日必须复盘动态总仓是否匹配行情强弱，以及是否受总仓/现金/影子仓位限制。" }, { "lesson_id": "POSITION_RISK_TRIGGERED", "status": "confirmed_runtime_event", "finding": "已有持仓触发了本机模拟盘持仓风控，需要纳入日报复盘而不是只看新开仓。", "evidence": "新易盛 A股 T+1 限制，今日买入不可卖 pnl=-2.89%", "action": "Hermes 必须判断风控触发是策略错误、个股走弱、还是 T+1/行情陈旧导致无法执行。" }, { "lesson_id": "RISK_EXIT_BLOCKED_BY_T1", "status": "confirmed_microstructure", "finding": "持仓风控遇到 A股 T+1 可卖数量限制。", "evidence": "risk_exit_blocked_t1=1", "action": "日报需把 T+1 约束写清楚，避免把不能卖误判成风控失效。" } ], "hermes_review_requirements": { "must_write_sections": [ "本机模拟盘执行复盘", "信号质量复盘", "操作与成交质量复盘", "仓位与风控复盘", "经验教训与待验证改进" ], "must_distinguish": [ "真实成交 vs 理论回放入场", "正式 active 交易纪律 vs shadow_active / shadow_watch 研究样本", "新开仓信号 vs 已有持仓风控事件", "未触发、未成交、拒单、T+1 限制、行情陈旧锁定" ], "rule_change_policy": "单日样本不得直接改规则；只能列 pending_rule_change_candidates，等多日样本确认。" }, "paper_trading_iteration_contract": { "truth_source": "orders/positions in local_paper_learning are the only paper execution truth; previous_day_review replay entries are not real fills.", "objective": "用真实盘中行情模拟下单，持续验证次日信号有效性、执行条件、仓位与风控。", "forbidden": [ "把未成交理论触发写成真实成交", "用单日样本直接放宽追高或撤销风控", "把 shadow_watch 成交升级为生产 active 结论" ] }, "hermes_guidance": [ "必须单列“本机模拟盘执行复盘”，覆盖 active、shadow_active、conditional/watch、已有持仓风控。", "成交样本只能作为 paper learning，不能反推 V1.1 或 V8 生产升级。", "重点分析：是否触发、为何未成交、成交后表现、分钟K能量确认是否有效、动态 VWAP 锚是否过晚。", "必须复盘仓位目标、单票限制、动态总仓上限、T+1 可卖约束、止损/风险边界/MA5/尾盘转弱等风控事件。", "样本不足的结论必须进入 pending_lessons，不得直接改规则。" ] }, "paper_trading_iteration": { "source": "hermes_deepseek_v4", "model": "deepseek-v4-pro", "available": true, "conclusion": "EOD市场闸门未通过（pool_up_ratio=53.12%, active_up_ratio=0%, active_above_vwap=0），验证了盘面转弱。上午两笔买入分化：watch池上海新阳（VWAP_RECLAIM, +0.45% vs VWAP）收盘正向+1.08%；active新易盛（BREAK_PREV_HIGH, +2.46% vs VWAP）追高后收盘转弱-2.89%。09:30冷却规则有效拦截5笔虚假信号。T+1锁死新易盛late_weak止损能力。顺络电子止损-3.2%成功卖出。核心教训：VWAP偏离过大（>2%）的追入在弱市日惩罚严重；active的3.0% chase上限在板块弱日显得过宽，建议灰度验证收窄。市场闸门当前仅EOD评估，无法阻止上午的错误入场，这是架构优化方向。", "fact_check": { "real_fills": [ { "ts": "2026-06-10T09:32:07", "symbol": "SZSE.300236", "name": "上海新阳", "scope": "conditional_watch", "side": "BUY", "qty": 500, "price": 95.37, "amount": 47685.0, "template": "VWAP_RECLAIM", "sim_reason": "intraday_vwap_anchor_reclaim", "price_vs_vwap_pct": 0.4503, "eod_price": 96.4, "eod_pnl_pct": 1.08, "entry_quality": "good_vwap_discipline", "scope_warning": "WATCH_POOL_ONLY_NOT_ACTIVE" }, { "ts": "2026-06-10T09:43:50", "symbol": "SZSE.300502", "name": "新易盛", "scope": "active", "side": "BUY", "qty": 100, "price": 795.0, "amount": 79500.0, "template": "BREAK_PREV_HIGH", "sim_reason": "trigger_touched", "price_vs_vwap_pct": 2.4591, "eod_price": 772.0, "eod_pnl_pct": -2.89, "entry_quality": "chase_entry_vwap_deviation_high", "t1_locked": true }, { "ts": "2026-06-10T10:38:23", "symbol": "SZSE.002138", "name": "顺络电子", "scope": "position_risk", "side": "SELL", "qty": 800, "price": 58.35, "amount": 46680.0, "template": "POSITION_RISK_EXIT", "sim_reason": "position_stop_loss_3pct", "position_pnl_pct": -3.2, "sellable_qty": 800, "note": "已有持仓止损卖出成功，非今日新开仓" } ], "existing_positions": [ { "symbol": "SZSE.300502", "name": "新易盛", "qty": 100, "sellable_qty": 0, "avg_cost": 795.0, "last_price": 772.0, "unrealized_pnl_pct": -2.89, "position_pct": 7.81, "entry_date": "20260610", "note": "今日买入，T+1锁定" }, { "symbol": "SZSE.300236", "name": "上海新阳", "qty": 500, "sellable_qty": 0, "avg_cost": 95.37, "last_price": 96.4, "unrealized_pnl_pct": 1.08, "position_pct": 4.87, "entry_date": "20260610", "scope_warning": "WATCH_POOL_ONLY", "note": "今日买入，观察池样本" }, { "symbol": "SHSE.688017", "name": "绿的谐波", "qty": 100, "sellable_qty": 100, "avg_cost": 398.71, "last_price": 423.5, "unrealized_pnl_pct": 6.22, "position_pct": 4.28, "entry_date": "prior_day", "note": "之前交易日买入，非今日入场" } ], "market_gate": { "passed": false, "reason": "after_14:30_no_new_upgrade,signal_pool_breadth_not_repaired,active_leaders_not_positive_enough,active_leaders_not_above_vwap", "pool_up_ratio": 0.5312, "pool_up_ratio_min": 0.55, "active_up_ratio": 0.0, "active_up_ratio_min": 0.5, "active_above_vwap": 0, "active_positive": 0, "active_total": 2, "sample_total": 32, "active_samples": [ { "symbol": "SHSE.600460", "name": "士兰微", "ret_pct": -3.77, "vwap": 33.71 }, { "symbol": "SZSE.300502", "name": "新易盛", "ret_pct": -1.75, "vwap": 778.35 } ], "note": "EOD评估，上午入场时闸门尚未评估。这是盘中闸门缺失的时序问题。" }, "account": { "total_value": 988848.0, "total_pnl_pct": -1.1152, "cash": 821098.0, "market_value": 167750.0, "total_position_pct": 16.97, "dynamic_total_cap": 60.0, "regime": "NEUTRAL" } }, "good_lessons": [ { "id": "COOLDOWN_RULE_WORKED", "status": "confirmed", "finding": "09:30冷却规则正确拦截5笔虚假信号。全部5笔在09:30:35触发，minute_energy_warmup_1/3 + price_above_exec_high双重拦截，避免了集合竞价后首分钟追高。", "evidence": "5笔UNFILLED全部在09:30:35，minute_energy全部warmup_1/3", "action": "保持冷却规则不变，继续统计拦截率与拦截后的假阳性率" }, { "id": "DYNAMIC_VWAP_ANCHOR_POSITIVE_SAMPLE", "status": "pending_more_samples", "finding": "上海新阳的动态VWAP锚点机制产生正面样本。首次09:30被price_above_exec_high拦截后，2分钟内exec_high自适应上调至95.37，最终以+0.45% vs VWAP成交，收盘+1.08%。", "evidence": "dynamic_exec_high=95.37, price_vs_vwap=0.45%, eod_pnl=+1.08%", "action": "继续积累10-30个样本后再评估动态锚点有效性；目前n=1，不足以结论" }, { "id": "INVALID_PRICE_PROTECTION_WORKED", "status": "confirmed", "finding": "士兰微（active BREAK_PREV_HIGH）全天未触发买入，因invalid_price_broken拦截。EOD收-3.77%，验证了MA5无效价保护的有效性。", "evidence": "士兰微CANCELLED, EOD=33.41 < invalid_price=34.164(MA5)", "action": "保持invalid_price机制不变" }, { "id": "STOP_LOSS_EXECUTED_CORRECTLY", "status": "confirmed", "finding": "顺络电子止损-3.2%成功卖出800股@58.35，sellable_qty=800充足，风控执行路径正常。", "evidence": "position_stop_loss FILLED, pnl=-3.20%, threshold=-3.00%", "action": "保持止损规则不变" } ], "mistake_lessons": [ { "id": "CHASE_ENTRY_VWAP_DEVIATION_HIGH", "status": "pending_gray_validation", "finding": "新易盛入场时price_vs_vwap=+2.46%，超过2.0%但在active的3.0% chase上限内。收盘反转-2.89%，确认为追高惩罚。分钟能量通过（energy_ratio=1.82）不应成为放宽VWAP偏离的理由。", "evidence": "entry_price=795.00, intraday_vwap=776.19, deviation=+2.46%, eod=-2.89%", "proposed_fix": "灰度验证：active max_chase_pct从3.0%收窄至2.0%，或增加price_vs_vwap≤2.0%的额外入场条件", "caveat": "单日样本，不直接改规则。需≥10个追高样本统计后决策。" }, { "id": "T1_LOCKOUT_PREVENTS_RISK_EXIT", "status": "confirmed_microstructure", "finding": "新易盛触发position_late_weak（-2.89%，阈值-2.00%），但T+1可卖=0导致无法执行卖出。当日买入即锁死当日止损能力。", "evidence": "risk_exit_blocked_t1=1, sellable_qty=0, pnl=-2.89%", "proposed_fix": "P1灰度：在active入场前增加T+1预检——若price_vs_vwap>2.0%且regime≤NEUTRAL，降低目标仓位或要求5-bar分钟能量确认", "mitigation": "次日开盘（20260611）优先评估新易盛是否需止损" }, { "id": "MARKET_GATE_EOD_ONLY_CANT_PREVENT_MORNING_ENTRIES", "status": "acknowledged_arch_limitation", "finding": "市场闸门当前仅EOD评估，09:32和09:43的入场发生在闸门评估前。EOD闸门确认了盘面转弱，但无法阻止上午的错误入场。这不是bug但降低了闸门的保护效用。", "evidence": "entries at 09:32 and 09:43, gate evaluated at EOD, gate failed", "proposed_fix": "建议增加盘中闸门评估（如10:30和14:00两个时点），不直接改规则，列为架构优化待讨论项" }, { "id": "STATIC_TRIGGER_TOO_LOW_CONFIRMED", "status": "gray_experiment_active", "finding": "5笔watch票在09:30触发时均price_above_exec_high，确认静态昨高/触发价在跳空上行日偏低，导致大量信号无法在合理区间成交。", "evidence": "price_above_exec_high=5, all at 09:30:35", "action": "继续灰度验证动态VWAP锚+分钟K能量确认的自适应方案；禁止简单放宽静态追高上限" } ], "code_iterations_done": [ { "lesson_id": "POSITION_RISK_TRIGGERED", "priority": "P0", "type": "risk_control", "action": "preserve", "status": "implemented_monitoring", "details": "持仓风控事件已纳入每日迭代复盘，复盘不再只看新开仓" }, { "lesson_id": "POSITION_SIZING_TARGET_PCT_ENABLED", "priority": "P1", "type": "position_sizing", "action": "preserve", "status": "preserved_monitoring", "details": "目标仓位测算+动态总仓机制保持运行" }, { "lesson_id": "STATIC_TRIGGER_TOO_LOW_FOR_STRONG_TREND", "priority": "P1", "type": "strategy_gray_experiment", "action": "gray_validate", "status": "gray_experiment_active", "details": "动态VWAP锚+分钟K能量自适应方案灰度验证中" }, { "lesson_id": "WATCH_POOL_PAPER_ENTRY_EXISTS", "priority": "P1", "type": "signal_quality_tracking", "action": "preserve", "status": "preserved_monitoring", "details": "watch池成交样本保留并跟踪T+N表现" } ], "pending_rule_change_candidates": [ { "id": "NARROW_ACTIVE_MAX_CHASE_PCT", "proposal": "active的max_chase_pct从3.0%灰度收窄至2.0%，或增加price_vs_vwap≤2.0%额外条件", "trigger": "新易盛+2.46%追高反转", "samples_needed": 10, "current_samples": 1, "risk": "可能错过强趋势日的合理追高，需要正负样本对照", "decision_gate": "≥10个样本且正样本（追高后正向跟随）占比<40%时执行" }, { "id": "ADD_T1_PRE_CHECK_ON_ENTRY", "proposal": "active入场前增加T+1预检：若price_vs_vwap>2.0%且regime≤NEUTRAL，降低目标仓位或要求5-bar分钟能量", "trigger": "新易盛T+1锁死late_weak止损", "samples_needed": 10, "current_samples": 1, "risk": "降低仓位可能导致踏空，需要统计T+1锁死后不反转的概率", "decision_gate": "≥10个T+1锁死样本后评估" }, { "id": "ADD_INTRODAY_MARKET_GATE_CHECKPOINTS", "proposal": "在盘中10:30和14:00增加两次闸门评估，而非仅EOD", "trigger": "市场闸门EOD确认转弱但无法阻止上午入场", "samples_needed": 5, "current_samples": 1, "risk": "盘中闸门频繁切换可能导致信号闪烁", "decision_gate": "连续5个交易日观察EOD闸门与盘中表现的时滞，评估盘中闸门的边际收益" } ], "next_validation_tasks": [ { "task": "新易盛T+1解禁止损评估", "priority": "P0", "detail": "20260611开盘后新易盛可卖100股，若开盘继续走弱或跌破MA5(763.38)立即评估止损", "symbol": "SZSE.300502" }, { "task": "上海新阳T+1解禁跟踪", "priority": "P0", "detail": "20260611开盘后上海新阳可卖500股，观察是否延续正向或转弱", "symbol": "SZSE.300236", "scope_note": "watch池样本，不作为active决策依据" }, { "task": "绿的谐波止盈评估", "priority": "P0", "detail": "浮盈+6.22%，若出现明显转弱考虑止盈", "symbol": "SHSE.688017" }, { "task": "市场闸门盘中跟踪", "priority": "P1", "detail": "观察pool_up_ratio是否从53.12%回升至55%+；active_up_ratio和active_above_vwap是否改善" }, { "task": "STATIC_TRIGGER灰度样本积累", "priority": "P1", "detail": "继续记录price_above_exec_high次数、dynamic_exec_high使用次数、成交后T+1/T+3表现" }, { "task": "动态VWAP锚点样本积累", "priority": "P1", "detail": "上海新阳是第1个正向样本，需要≥9个更多样本（含正负）才能评估" }, { "task": "追高VWAP偏离样本积累", "priority": "P1", "detail": "记录每次active成交的price_vs_vwap_pct与T+1表现，目标≥10个样本后评估max_chase_pct收窄" }, { "task": "补充历史持仓入仓信息", "priority": "P2", "detail": "确认顺络电子和绿的谐波的原始入仓日、入仓价、入仓范围，以完整评估全生命周期表现" } ] }, "code_iteration_backlog": { "schema_version": "daily_code_iteration_backlog_v1", "trade_date": "20260610", "generated_at": "2026-06-10T19:01:54", "source_summary": "reports/json/20260610_agent_summary_v2.json", "source_learning": "reports/trading/local_paper_learning_20260610.json", "status": "no_immediate_code_fix", "open_count": 0, "code_change_open_count": 0, "gray_validate_count": 5, "preserve_count": 8, "covered_count": 13, "items": [ { "lesson_id": "COOLDOWN_RULE_WORKED", "title": "早盘冷却规则拦截虚假信号", "type": "execution_guard", "iteration_action": "preserve", "priority": "P0", "status": "implemented_and_tested", "evidence": "5笔UNFILLED全部在09:30:35，minute_energy全部warmup_1/3", "decision": "保留早盘冷却机制；不为了增加成交数去追集合竞价后首分钟尖峰。", "code_paths": [ "local_paper_runtime/src/local_paper_runtime/main.py", "local_paper_runtime/tests/test_shadow_watch_guards.py" ], "next_action": "继续统计冷却拦截后的假阳性率；若强趋势日反复错过，再设计二次确认而不是取消冷却。" }, { "lesson_id": "INVALID_PRICE_PROTECTION_WORKED", "title": "失效价保护拦住弱化 active", "type": "execution_guard", "iteration_action": "preserve", "priority": "P0", "status": "implemented_monitoring", "evidence": "士兰微CANCELLED, EOD=33.41 < invalid_price=34.164(MA5)", "decision": "保留 invalid_price 硬保护；active 票跌破风险边界后不得继续模拟买入。", "code_paths": [ "local_paper_runtime/src/local_paper_runtime/signal_contract.py", "local_paper_runtime/tests/test_signal_contract.py" ], "next_action": "继续记录被 invalid_price 拦截后的收盘/T+1 表现，确认是否减少错误入场。" }, { "lesson_id": "POSITION_RISK_TRIGGERED", "title": "已有持仓风控要进入每日迭代", "type": "risk_control", "iteration_action": "preserve", "priority": "P0", "status": "implemented_monitoring", "evidence": "position_risk_event_count=1", "decision": "每日复盘不能只看新开仓，也要看持仓止损、T+1、行情陈旧锁定。", "code_paths": [ "local_paper_runtime/src/local_paper_runtime/position_risk_engine.py", "scripts/build_local_paper_learning_block.py" ], "next_action": "若连续出现风险信号但无卖出成交，单独复查 T+1、报价陈旧和卖出撮合条件。" }, { "lesson_id": "STOP_LOSS_EXECUTED_CORRECTLY", "title": "已有持仓止损路径执行正常", "type": "risk_control", "iteration_action": "preserve", "priority": "P0", "status": "implemented_monitoring", "evidence": "position_stop_loss FILLED, pnl=-3.20%, threshold=-3.00%", "decision": "保留 -3% 止损与可卖数量检查；已有持仓风险优先于新开仓。", "code_paths": [ "local_paper_runtime/src/local_paper_runtime/position_risk_engine.py", "local_paper_runtime/src/local_paper_runtime/sim_broker.py" ], "next_action": "若后续出现止损信号未成交，优先复查 T+1、报价陈旧、卖出撮合和飞书提醒。" }, { "lesson_id": "CHASE_ENTRY_VWAP_DEVIATION_HIGH", "title": "active 追高 VWAP 偏离需收敛验证", "type": "strategy_gray_experiment", "iteration_action": "gray_validate", "priority": "P1", "status": "needs_more_samples", "evidence": "entry_price=795.00, intraday_vwap=776.19, deviation=+2.46%, eod=-2.89%；样本 1/10", "decision": "不按单日样本直接把 active 追高上限改窄；先验证 price_vs_vwap≤2% 或 5-bar 能量确认的边际效果。", "code_paths": [ "local_paper_runtime/src/local_paper_runtime/signal_contract.py", "local_paper_runtime/src/local_paper_runtime/opportunity_state_machine.py", "scripts/build_local_paper_learning_block.py" ], "next_action": "连续记录 active 成交的 price_vs_vwap_pct、minute_energy、T+1/T+3 表现；达到 10 个样本后再决定是否收窄 max_chase_pct。" }, { "lesson_id": "EXEC_HIGH_GUARD_WORKED", "title": "执行上沿阻止高位追价", "type": "execution_guard", "iteration_action": "preserve", "priority": "P1", "status": "implemented_monitoring", "evidence": "price_above_exec_high=5", "decision": "触发后价格超过执行上沿只记录 TOUCHED，不假设可以买入；防止强势日追在尖峰。", "code_paths": [ "local_paper_runtime/src/local_paper_runtime/signal_contract.py", "local_paper_runtime/src/local_paper_runtime/sim_broker.py", "web_dashboard/assets/dashboard.js" ], "next_action": "连续统计被 exec_high 拦截标的的 T+1/T+3 表现，判断执行上沿是否偏紧。" }, { "lesson_id": "MARKET_GATE_EOD_ONLY_CANT_PREVENT_MORNING_ENTRIES", "title": "盘中市场闸门需从收盘评估前移", "type": "architecture_gray_experiment", "iteration_action": "gray_validate", "priority": "P1", "status": "needs_design_and_samples", "evidence": "entries at 09:32 and 09:43, gate evaluated at EOD, gate failed；样本 1/5", "decision": "不把 EOD 闸门强行回填成上午过滤；先设计 10:30/14:00 盘中闸门检查点并观察是否减少错误入场。", "code_paths": [ "local_paper_runtime/src/local_paper_runtime/main.py", "scripts/build_local_paper_learning_block.py", "web_dashboard/assets/dashboard.js" ], "next_action": "连续 5 个交易日记录盘中闸门假设结果与真实入场表现，再决定是否变成生产硬门控。" }, { "lesson_id": "MINUTE_ENERGY_CONFIRMATION", "title": "分钟K能量确认有效", "type": "execution_guard", "iteration_action": "preserve", "priority": "P1", "status": "implemented_monitoring", "evidence": "中钨高新 5分钟窗口 1.24亿 > 0.5亿门槛。", "decision": "继续保留分钟K能量确认；后续观察是否过严导致错过强趋势票。", "code_paths": [ "local_paper_runtime/src/local_paper_runtime/opportunity_state_machine.py", "local_paper_runtime/tests/test_minute_energy.py" ], "next_action": "日报继续统计每笔成交/未成交的 minute_energy.passed 与成交后表现。" }, { "lesson_id": "POSITION_SIZING_TARGET_PCT_ENABLED", "title": "目标仓位与动态总仓机制继续保留", "type": "position_sizing", "iteration_action": "preserve", "priority": "P1", "status": "preserved_monitoring", "evidence": "active=12.0%, watch=5.0%, single_cap=20.0%, total_cap=60.0%", "decision": "仓位不再固定 100 股；继续按行情温度、总仓和单票上限动态测算。", "code_paths": [ "local_paper_runtime/src/local_paper_runtime/position_sizer.py", "scripts/start_local_paper_runtime_scheduled.sh" ], "next_action": "每日复盘动态总仓是否匹配市场强弱，尤其检查强行情是否仓位过低。" }, { "lesson_id": "STATIC_TRIGGER_TOO_LOW_FOR_STRONG_TREND", "title": "强趋势日静态触发价/执行上沿偏低", "type": "strategy_gray_experiment", "iteration_action": "gray_validate", "priority": "P1", "status": "gray_experiment_active", "evidence": "price_above_exec_high=5", "decision": "不直接放宽追高；继续用动态 VWAP 锚 + 分钟K能量确认做灰度验证。", "code_paths": [ "local_paper_runtime/src/local_paper_runtime/signal_contract.py", "local_paper_runtime/src/local_paper_runtime/opportunity_state_machine.py", "scripts/start_local_paper_runtime_scheduled.sh", "local_paper_runtime/tests/test_signal_contract.py", "local_paper_runtime/tests/test_minute_energy.py" ], "next_action": "连续 5 个交易日统计 price_above_exec_high、dynamic_exec_high 使用次数、成交后 T+1/T+3 表现，再决定是否调 VWAP band。" }, { "lesson_id": "T1_LOCKOUT_PREVENTS_RISK_EXIT", "title": "T+1 锁死风险要纳入入场前预检", "type": "risk_gray_experiment", "iteration_action": "gray_validate", "priority": "P1", "status": "needs_more_samples", "evidence": "risk_exit_blocked_t1=1, sellable_qty=0, pnl=-2.89%；样本 1/10", "decision": "保留 A股 T+1 约束；灰度评估在 NEUTRAL/WEAK 且 VWAP 偏离>2% 时降仓或要求更强分钟能量。", "code_paths": [ "local_paper_runtime/src/local_paper_runtime/trading_rules.py", "local_paper_runtime/src/local_paper_runtime/position_risk_engine.py", "local_paper_runtime/src/local_paper_runtime/position_sizer.py" ], "next_action": "优先跟踪次日可卖后的处理结果；累计 10 个 T+1 锁死样本后再决定是否改入场前硬规则。" }, { "lesson_id": "VWAP_DYNAMIC_ANCHOR_REPLACES_STATIC_TRIGGER", "title": "VWAP 动态锚点替代静态触发", "type": "strategy_gray_experiment", "iteration_action": "gray_validate", "priority": "P1", "status": "observe_more_samples", "evidence": "dynamic_exec_high=95.37, price_vs_vwap=0.45%, eod_pnl=+1.08%", "decision": "保持 VWAP 回踩重启模板，不把所有直拉突破都升级成可买。", "code_paths": [ "local_paper_runtime/src/local_paper_runtime/signal_contract.py", "scripts/build_local_paper_learning_block.py" ], "next_action": "积累 10-30 次 VWAP_RECLAIM / 动态锚点样本，比较回踩确认 vs 直拉突破的成交后表现。" }, { "lesson_id": "WATCH_POOL_PAPER_ENTRY_EXISTS", "title": "观察池成交样本要保留并跟踪 T+N 表现", "type": "signal_quality_tracking", "iteration_action": "preserve", "priority": "P1", "status": "preserved_monitoring", "evidence": "filled_watch_orders=1", "decision": "观察池真实模拟成交是有效研究样本，但不能反推为生产 active。", "code_paths": [ "scripts/build_local_paper_learning_block.py", "web_dashboard/assets/dashboard.js" ], "next_action": "继续记录 watch 成交后 T+1/T+3 表现，判断观察池是否应形成下一版升档规则。" } ] }, "gm_sector_coverage_audit": { "status": "ok", "anomalies": [], "summary": "光刻胶/光刻机已进入strict_plan(conditional_plan=1)。存储芯片/MLCC/国资云/机器人在filtered_noise_sectors。电力未进入GM evidence链路。覆盖率合理，无异常。" }, "cross_verification": { "available": false, "note": "cross_verification_internet_vs_evidence.md 文件不存在" }, "output_files": { "full_report": "reports/full/20260610_full_report_v2.md", "wechat_brief": "reports/wechat/20260610_wechat_brief_v2.txt", "agent_summary": "reports/json/20260610_agent_summary_v2.json", "code_iteration_backlog": "reports/code_iteration/20260610_code_iteration_backlog.md", "local_paper_hermes_review": "reports/trading/local_paper_hermes_review_20260610.md", "local_paper_hermes_review_json": "reports/trading/local_paper_hermes_review_20260610.json", "local_paper_hermes_review_manifest": "reports/hermes_runs/local_paper_20260610/manifest.json" }, "theme_summary_hermes": [ { "theme": "光刻机(胶)", "state": "NEAR_TRIGGERED", "role": "MAINLINE", "sector_ret_pct": 1.3, "amount_ratio5": 1.088, "structure_quality": "COMPLETE_LADDER", "tape_quality": "STRONG", "strict_plan_coverage": "conditional_plan=1 (康鹏科技)", "v8_coverage": "conditional_plan multiple" }, { "theme": "中芯概念", "state": "NEAR_TRIGGERED", "role": "MAINLINE", "sector_ret_pct": 1.47, "amount_ratio5": 1.09, "structure_quality": "COMPLETE_LADDER", "tape_quality": "OK", "strict_plan_coverage": "conditional_plan=2 (清溢光电, 兴福电子)", "v8_coverage": "conditional_plan multiple" } ], "external_context_v2_shadow_summary": { "available": true, "external_context_quality": "safe_stub", "quality": "safe_stub", "source": "build_v2_shadow_safe_stub", "strict_v1_quality": null, "strict_v1_search_scope": null, "strict_v1_covered_themes": [], "coverage": {}, "risk_findings": [ { "risk": "项目 Gemini Search/grounding 资讯层连续不稳定", "severity": "warning", "detail": "Gemini provider connectivity 与项目 Gemini Search/grounding external_context strict_v1 稳定性需要分开表述；本 V2 Shadow 不得替代 Strict Gate。", "action": "require_confirmation" } ], "shadow_only": true, "can_upgrade_strict_gate": false, "can_downgrade_strict_gate": false, "can_directly_modify_strict_gate": false, "allowed_shadow_actions": [ "confirm_context", "risk_note", "require_confirmation", "gm_coverage_audit", "cross_verification", "no_action" ], "boundary_note": "External Context V2 Shadow / free_web_deepseek_normalized is shadow-only and cannot upgrade or downgrade Strict Gate." }, "gm_sector_coverage_audit_summary": { "loaded": true, "path": "reports/audit/20260610_gm_sector_coverage_audit.json", "themes_checked": [ "存储芯片", "光刻胶/光刻机", "MLCC", "国资云", "电力", "机器人" ], "summary_rows": [ { "theme": "存储芯片", "internet_mentions": 0, "gm_probe_hits": 1, "evidence_sector_hits": 1, "candidate_pool_hits": 0, "strict_plan_hits": 0, "explanation": "in_evidence_only: sectors={'filtered_noise_sectors': 1}, stock_sections={}" }, { "theme": "光刻胶/光刻机", "internet_mentions": 0, "gm_probe_hits": 1, "evidence_sector_hits": 2, "candidate_pool_hits": 32, "strict_plan_hits": 1, "explanation": "entered_strict_plan: {'conditional_plan': 1}" }, { "theme": "MLCC", "internet_mentions": 0, "gm_probe_hits": 3, "evidence_sector_hits": 2, "candidate_pool_hits": 0, "strict_plan_hits": 0, "explanation": "in_evidence_only: sectors={'filtered_noise_sectors': 2}, stock_sections={}" }, { "theme": "国资云", "internet_mentions": 0, "gm_probe_hits": 2, "evidence_sector_hits": 1, "candidate_pool_hits": 0, "strict_plan_hits": 0, "explanation": "in_evidence_only: sectors={'filtered_noise_sectors': 1}, stock_sections={}" }, { "theme": "电力", "internet_mentions": 0, "gm_probe_hits": 1, "evidence_sector_hits": 0, "candidate_pool_hits": 0, "strict_plan_hits": 0, "explanation": "not_found_in_gm_evidence_chain" }, { "theme": "机器人", "internet_mentions": 0, "gm_probe_hits": 1, "evidence_sector_hits": 1, "candidate_pool_hits": 0, "strict_plan_hits": 0, "explanation": "in_evidence_only: sectors={'filtered_noise_sectors': 1}, stock_sections={}" } ], "boundary_note": "GM coverage audit is report/cross-verification only; it cannot upgrade or downgrade Strict Gate." }, "local_paper_hermes_review": { "schema_version": "local_paper_hermes_review_v1", "source": "hermes_deepseek_v4", "model": "deepseek-v4-pro", "plan_date": "20260609", "trade_date": "20260610", "review_phase": "EOD", "conclusion": "EOD市场闸门未通过（pool_up_ratio=53.12%, active_up_ratio=0%, active_above_vwap=0），验证了盘面转弱。上午两笔买入分化：watch池上海新阳（VWAP_RECLAIM, +0.45% vs VWAP）收盘正向+1.08%；active新易盛（BREAK_PREV_HIGH, +2.46% vs VWAP）追高后收盘转弱-2.89%。09:30冷却规则有效拦截5笔虚假信号。T+1锁死新易盛late_weak止损能力。顺络电子止损-3.2%成功卖出。核心教训：VWAP偏离过大（>2%）的追入在弱市日惩罚严重；active的3.0% chase上限在板块弱日显得过宽，建议灰度验证收窄。市场闸门当前仅EOD评估，无法阻止上午的错误入场，这是架构优化方向。", "fact_check": { "real_fills": [ { "ts": "2026-06-10T09:32:07", "symbol": "SZSE.300236", "name": "上海新阳", "scope": "conditional_watch", "side": "BUY", "qty": 500, "price": 95.37, "amount": 47685.0, "template": "VWAP_RECLAIM", "sim_reason": "intraday_vwap_anchor_reclaim", "price_vs_vwap_pct": 0.4503, "eod_price": 96.4, "eod_pnl_pct": 1.08, "entry_quality": "good_vwap_discipline", "scope_warning": "WATCH_POOL_ONLY_NOT_ACTIVE" }, { "ts": "2026-06-10T09:43:50", "symbol": "SZSE.300502", "name": "新易盛", "scope": "active", "side": "BUY", "qty": 100, "price": 795.0, "amount": 79500.0, "template": "BREAK_PREV_HIGH", "sim_reason": "trigger_touched", "price_vs_vwap_pct": 2.4591, "eod_price": 772.0, "eod_pnl_pct": -2.89, "entry_quality": "chase_entry_vwap_deviation_high", "t1_locked": true }, { "ts": "2026-06-10T10:38:23", "symbol": "SZSE.002138", "name": "顺络电子", "scope": "position_risk", "side": "SELL", "qty": 800, "price": 58.35, "amount": 46680.0, "template": "POSITION_RISK_EXIT", "sim_reason": "position_stop_loss_3pct", "position_pnl_pct": -3.2, "sellable_qty": 800, "note": "已有持仓止损卖出成功，非今日新开仓" } ], "existing_positions": [ { "symbol": "SZSE.300502", "name": "新易盛", "qty": 100, "sellable_qty": 0, "avg_cost": 795.0, "last_price": 772.0, "unrealized_pnl_pct": -2.89, "position_pct": 7.81, "entry_date": "20260610", "note": "今日买入，T+1锁定" }, { "symbol": "SZSE.300236", "name": "上海新阳", "qty": 500, "sellable_qty": 0, "avg_cost": 95.37, "last_price": 96.4, "unrealized_pnl_pct": 1.08, "position_pct": 4.87, "entry_date": "20260610", "scope_warning": "WATCH_POOL_ONLY", "note": "今日买入，观察池样本" }, { "symbol": "SHSE.688017", "name": "绿的谐波", "qty": 100, "sellable_qty": 100, "avg_cost": 398.71, "last_price": 423.5, "unrealized_pnl_pct": 6.22, "position_pct": 4.28, "entry_date": "prior_day", "note": "之前交易日买入，非今日入场" } ], "market_gate": { "passed": false, "reason": "after_14:30_no_new_upgrade,signal_pool_breadth_not_repaired,active_leaders_not_positive_enough,active_leaders_not_above_vwap", "pool_up_ratio": 0.5312, "pool_up_ratio_min": 0.55, "active_up_ratio": 0.0, "active_up_ratio_min": 0.5, "active_above_vwap": 0, "active_positive": 0, "active_total": 2, "sample_total": 32, "active_samples": [ { "symbol": "SHSE.600460", "name": "士兰微", "ret_pct": -3.77, "vwap": 33.71 }, { "symbol": "SZSE.300502", "name": "新易盛", "ret_pct": -1.75, "vwap": 778.35 } ], "note": "EOD评估，上午入场时闸门尚未评估。这是盘中闸门缺失的时序问题。" }, "account": { "total_value": 988848.0, "total_pnl_pct": -1.1152, "cash": 821098.0, "market_value": 167750.0, "total_position_pct": 16.97, "dynamic_total_cap": 60.0, "regime": "NEUTRAL" } }, "good_lessons": [ { "id": "COOLDOWN_RULE_WORKED", "status": "confirmed", "finding": "09:30冷却规则正确拦截5笔虚假信号。全部5笔在09:30:35触发，minute_energy_warmup_1/3 + price_above_exec_high双重拦截，避免了集合竞价后首分钟追高。", "evidence": "5笔UNFILLED全部在09:30:35，minute_energy全部warmup_1/3", "action": "保持冷却规则不变，继续统计拦截率与拦截后的假阳性率" }, { "id": "DYNAMIC_VWAP_ANCHOR_POSITIVE_SAMPLE", "status": "pending_more_samples", "finding": "上海新阳的动态VWAP锚点机制产生正面样本。首次09:30被price_above_exec_high拦截后，2分钟内exec_high自适应上调至95.37，最终以+0.45% vs VWAP成交，收盘+1.08%。", "evidence": "dynamic_exec_high=95.37, price_vs_vwap=0.45%, eod_pnl=+1.08%", "action": "继续积累10-30个样本后再评估动态锚点有效性；目前n=1，不足以结论" }, { "id": "INVALID_PRICE_PROTECTION_WORKED", "status": "confirmed", "finding": "士兰微（active BREAK_PREV_HIGH）全天未触发买入，因invalid_price_broken拦截。EOD收-3.77%，验证了MA5无效价保护的有效性。", "evidence": "士兰微CANCELLED, EOD=33.41 < invalid_price=34.164(MA5)", "action": "保持invalid_price机制不变" }, { "id": "STOP_LOSS_EXECUTED_CORRECTLY", "status": "confirmed", "finding": "顺络电子止损-3.2%成功卖出800股@58.35，sellable_qty=800充足，风控执行路径正常。", "evidence": "position_stop_loss FILLED, pnl=-3.20%, threshold=-3.00%", "action": "保持止损规则不变" } ], "mistake_lessons": [ { "id": "CHASE_ENTRY_VWAP_DEVIATION_HIGH", "status": "pending_gray_validation", "finding": "新易盛入场时price_vs_vwap=+2.46%，超过2.0%但在active的3.0% chase上限内。收盘反转-2.89%，确认为追高惩罚。分钟能量通过（energy_ratio=1.82）不应成为放宽VWAP偏离的理由。", "evidence": "entry_price=795.00, intraday_vwap=776.19, deviation=+2.46%, eod=-2.89%", "proposed_fix": "灰度验证：active max_chase_pct从3.0%收窄至2.0%，或增加price_vs_vwap≤2.0%的额外入场条件", "caveat": "单日样本，不直接改规则。需≥10个追高样本统计后决策。" }, { "id": "T1_LOCKOUT_PREVENTS_RISK_EXIT", "status": "confirmed_microstructure", "finding": "新易盛触发position_late_weak（-2.89%，阈值-2.00%），但T+1可卖=0导致无法执行卖出。当日买入即锁死当日止损能力。", "evidence": "risk_exit_blocked_t1=1, sellable_qty=0, pnl=-2.89%", "proposed_fix": "P1灰度：在active入场前增加T+1预检——若price_vs_vwap>2.0%且regime≤NEUTRAL，降低目标仓位或要求5-bar分钟能量确认", "mitigation": "次日开盘（20260611）优先评估新易盛是否需止损" }, { "id": "MARKET_GATE_EOD_ONLY_CANT_PREVENT_MORNING_ENTRIES", "status": "acknowledged_arch_limitation", "finding": "市场闸门当前仅EOD评估，09:32和09:43的入场发生在闸门评估前。EOD闸门确认了盘面转弱，但无法阻止上午的错误入场。这不是bug但降低了闸门的保护效用。", "evidence": "entries at 09:32 and 09:43, gate evaluated at EOD, gate failed", "proposed_fix": "建议增加盘中闸门评估（如10:30和14:00两个时点），不直接改规则，列为架构优化待讨论项" }, { "id": "STATIC_TRIGGER_TOO_LOW_CONFIRMED", "status": "gray_experiment_active", "finding": "5笔watch票在09:30触发时均price_above_exec_high，确认静态昨高/触发价在跳空上行日偏低，导致大量信号无法在合理区间成交。", "evidence": "price_above_exec_high=5, all at 09:30:35", "action": "继续灰度验证动态VWAP锚+分钟K能量确认的自适应方案；禁止简单放宽静态追高上限" } ], "code_iterations_done": [ { "lesson_id": "POSITION_RISK_TRIGGERED", "priority": "P0", "type": "risk_control", "action": "preserve", "status": "implemented_monitoring", "details": "持仓风控事件已纳入每日迭代复盘，复盘不再只看新开仓" }, { "lesson_id": "POSITION_SIZING_TARGET_PCT_ENABLED", "priority": "P1", "type": "position_sizing", "action": "preserve", "status": "preserved_monitoring", "details": "目标仓位测算+动态总仓机制保持运行" }, { "lesson_id": "STATIC_TRIGGER_TOO_LOW_FOR_STRONG_TREND", "priority": "P1", "type": "strategy_gray_experiment", "action": "gray_validate", "status": "gray_experiment_active", "details": "动态VWAP锚+分钟K能量自适应方案灰度验证中" }, { "lesson_id": "WATCH_POOL_PAPER_ENTRY_EXISTS", "priority": "P1", "type": "signal_quality_tracking", "action": "preserve", "status": "preserved_monitoring", "details": "watch池成交样本保留并跟踪T+N表现" } ], "pending_rule_change_candidates": [ { "id": "NARROW_ACTIVE_MAX_CHASE_PCT", "proposal": "active的max_chase_pct从3.0%灰度收窄至2.0%，或增加price_vs_vwap≤2.0%额外条件", "trigger": "新易盛+2.46%追高反转", "samples_needed": 10, "current_samples": 1, "risk": "可能错过强趋势日的合理追高，需要正负样本对照", "decision_gate": "≥10个样本且正样本（追高后正向跟随）占比<40%时执行" }, { "id": "ADD_T1_PRE_CHECK_ON_ENTRY", "proposal": "active入场前增加T+1预检：若price_vs_vwap>2.0%且regime≤NEUTRAL，降低目标仓位或要求5-bar分钟能量", "trigger": "新易盛T+1锁死late_weak止损", "samples_needed": 10, "current_samples": 1, "risk": "降低仓位可能导致踏空，需要统计T+1锁死后不反转的概率", "decision_gate": "≥10个T+1锁死样本后评估" }, { "id": "ADD_INTRODAY_MARKET_GATE_CHECKPOINTS", "proposal": "在盘中10:30和14:00增加两次闸门评估，而非仅EOD", "trigger": "市场闸门EOD确认转弱但无法阻止上午入场", "samples_needed": 5, "current_samples": 1, "risk": "盘中闸门频繁切换可能导致信号闪烁", "decision_gate": "连续5个交易日观察EOD闸门与盘中表现的时滞，评估盘中闸门的边际收益" } ], "next_validation_tasks": [ { "task": "新易盛T+1解禁止损评估", "priority": "P0", "detail": "20260611开盘后新易盛可卖100股，若开盘继续走弱或跌破MA5(763.38)立即评估止损", "symbol": "SZSE.300502" }, { "task": "上海新阳T+1解禁跟踪", "priority": "P0", "detail": "20260611开盘后上海新阳可卖500股，观察是否延续正向或转弱", "symbol": "SZSE.300236", "scope_note": "watch池样本，不作为active决策依据" }, { "task": "绿的谐波止盈评估", "priority": "P0", "detail": "浮盈+6.22%，若出现明显转弱考虑止盈", "symbol": "SHSE.688017" }, { "task": "市场闸门盘中跟踪", "priority": "P1", "detail": "观察pool_up_ratio是否从53.12%回升至55%+；active_up_ratio和active_above_vwap是否改善" }, { "task": "STATIC_TRIGGER灰度样本积累", "priority": "P1", "detail": "继续记录price_above_exec_high次数、dynamic_exec_high使用次数、成交后T+1/T+3表现" }, { "task": "动态VWAP锚点样本积累", "priority": "P1", "detail": "上海新阳是第1个正向样本，需要≥9个更多样本（含正负）才能评估" }, { "task": "追高VWAP偏离样本积累", "priority": "P1", "detail": "记录每次active成交的price_vs_vwap_pct与T+1表现，目标≥10个样本后评估max_chase_pct收窄" }, { "task": "补充历史持仓入仓信息", "priority": "P2", "detail": "确认顺络电子和绿的谐波的原始入仓日、入仓价、入仓范围，以完整评估全生命周期表现" } ] }, "mira_strategy_evolution": { "schema_version": "mira_strategy_evolution_block_v1", 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