{ "schema_version": "local_paper_hermes_review_v1", "source": "hermes_deepseek_v4", "model": "deepseek-v4-pro", "plan_date": "20260608", "trade_date": "20260609", "generated_at": "2026-06-09T20:15:00", "review_phase": "EOD", "trade_mode": "OBSERVE_ONLY", "shadow_mode": true, "allow_new_positions": false, "conclusion": "市场二次确认未通过（active 无一收红 + 14:30 后无升级），严格按 OBSERVE_ONLY 不应有真实买入。今日唯一成交「顺络电子」是 shadow_watch 观察池影子成交，属于已识别并已修复的执行缺陷。已有持仓「绿的谐波」收盘 +6.04% 浮盈，未见风控事件。整体账户 -0.71%，仓位 9.19%，远低于 NEUTRAL 60% 上限。", "fact_check": { "real_fills": [ { "ts": "2026-06-09T09:32:06", "symbol": "SZSE.002138", "name": "顺络电子", "scope": "conditional_watch", "paper_scope": "shadow_watch", "side": "BUY", "qty": 800, "price": 60.28, "amount": 48224.00, "trigger_price": 59.50, "exec_high": 60.39, "intraday_vwap": 58.9169, "price_vs_vwap_pct": 2.3136, "eod_price": 61.23, "unrealized_pnl_pct": 1.576, "sellable_qty": 0, "is_shadow_watch": true, "is_formal_active": false, "quality_flag": "positive_follow_through", "issues": [ "filled_before_09:35_cooling_window", "price_above_vwap_by_2.31pct", "market_gate_failed_during_observe_only" ] } ], "existing_positions": [ { "symbol": "SHSE.688017", "name": "绿的谐波", "quantity": 100, "sellable_qty": 100, "avg_cost": 398.71, "last_price": 422.80, "unrealized_pnl_pct": 6.042, "position_pct_of_total": 4.258, "is_new_entry_today": false, "today_triggered": false, "trigger_price": 450.20, "risk_event_today": false }, { "symbol": "SZSE.002138", "name": "顺络电子", "quantity": 800, "sellable_qty": 0, "avg_cost": 60.28, "last_price": 61.23, "unrealized_pnl_pct": 1.576, "position_pct_of_total": 4.934, "is_new_entry_today": true, "is_shadow_watch": true, "t1_locked": true } ], "market_gate": { "passed": false, "reason": "after_14:30_no_new_upgrade,active_leaders_not_positive_enough", "pool_up_ratio": 0.5714, "pool_up_ratio_min": 0.55, "active_up_ratio": 0.0, "active_up_ratio_min": 0.5, "active_positive": 0, "active_positive_min": 1, "active_above_vwap": 1, "active_total": 1, "sample_total": 7, "active_samples": [ { "symbol": "SHSE.688017", "name": "绿的谐波", "ret_pct": -1.2726, "above_vwap": true } ] }, "account": { "total_value": 992867.00, "total_pnl_pct": -0.7133, "cash": 901603.00, "market_value": 91264.00, "unrealized_pnl": 3169.00, "position_pct": 9.19, "position_cap": 60.0, "regime": "NEUTRAL" }, "unfilled_signals": [ { "symbol": "SHSE.600522", "name": "中天科技", "status": "TOUCHED", "reason": "trigger_touched_but_above_exec_high", "trigger": 50.68, "exec_high": 51.44, "last": 53.66, "vwap": 51.44, "price_vs_vwap_pct": 4.32 }, { "symbol": "SHSE.600367", "name": "红星发展", "status": "TOUCHED", "reason": "trigger_touched_but_above_exec_high_and_energy_ratio_too_low", "trigger": 53.99, "exec_high": 54.80, "last": 55.45, "vwap": 52.46, "price_vs_vwap_pct": 5.70, "energy_ratio": 0.9792 }, { "symbol": "SHSE.603773", "name": "沃格光电", "status": "TOUCHED", "reason": "trigger_touched_but_above_exec_high", "trigger": 144.05, "exec_high": 146.21, "last": 150.15, "vwap": 140.37, "price_vs_vwap_pct": 6.96 }, { "symbol": "SZSE.002229", "name": "鸿博股份", "status": "OBSERVE", "reason": "waiting_trigger", "trigger": 15.08, "last": 14.58, "energy_amount_yi": 0.1998 }, { "symbol": "SHSE.600516", "name": "方大炭素", "status": "OBSERVE", "reason": "waiting_trigger", "trigger": 6.33, "last": 5.81, "energy_amount_yi": 0.2804 } ] }, "good_lessons": [ { "id": "EXEC_HIGH_GUARD_WORKED", "finding": "中天科技、红星发展、沃格光电盘中触发但超过 exec_high 未成交，Strict Gate 的追价上限正确阻止了高位追入。", "evidence": "3/6 conditional 票触发但超 exec_high，其中沃格光电偏离 VWAP +6.96%", "action": "保留 exec_high 约束；但需灰度观察 exec_high 是否偏紧（P1 待验证假设）" }, { "id": "MINUTE_ENERGY_FILTER_WORKED", "finding": "鸿博股份、方大炭素分钟能量严重不足（<0.3亿），分钟能量过滤器正确阻止了弱量假突破的成交。", "evidence": "鸿博 0.20亿，方大 0.28亿，均 < 0.5亿下限", "action": "保持现有分钟能量下限 0.5亿不变" }, { "id": "EXISTING_POSITION_RISK_CLEAN", "finding": "绿的谐波已有持仓浮盈 +6.04%，今日未触发任何风控事件，持仓风控系统运作正常。", "evidence": "risk_exit_signals=0, risk_exit_events=0，收盘价距止损线（~386.74）远", "action": "继续跟踪已有持仓风控执行" } ], "mistake_lessons": [ { "id": "SHADOW_WATCH_BUY_WHEN_MARKET_GATE_FAILED", "severity": "P0", "finding": "OBSERVE_ONLY + market_gate 未通过时，顺络电子 shadow_watch 仍生成了真实模拟成交，污染了「真实可买」复盘口径。", "evidence": "filled_watch_orders=1, market_gate_passed=false, trade_mode=OBSERVE_ONLY", "fix_status": "fixed_runtime_guard", "fix_detail": "已加执行前硬闸门：shadow_watch 只记录研究触发，不再生成成交；除非显式开启 override" }, { "id": "EARLY_MORNING_CHASE_BEFORE_09:35", "severity": "P1", "finding": "顺络电子在 09:32:06 成交，距开盘仅 2 分钟，高于 VWAP 2.31%。按生产纪律，9:35 前不追入的冷却规则应阻止此操作。", "evidence": "fill_ts=09:32:06, price_vs_vwap=+2.31%, cooling_window=09:35", "fix_status": "cooling_rule_added", "fix_detail": "已加 9:35 前冷却规则。本次成交发生在规则生效前，后续需验证冷却规则是否正确延迟早盘追入" }, { "id": "CONDITIONAL_PLAN_STANDARD_MAY_BE_TOO_WIDE", "severity": "P1", "finding": "鸿博股份、方大炭素全天未触发且分钟能量极弱（<0.3亿），conditional_plan 入选标准在弱市中可能偏宽。", "evidence": "2/6 conditional 全天无量未触发，energy < 0.3亿", "fix_status": "pending_gray_observation", "fix_detail": "下一版交易日计划中考虑提高 conditional 入选的流动性和结构要求；不基于单日修改规则" } ], "code_iterations_done": [ { "id": "SHADOW_WATCH_BUY_WHEN_MARKET_GATE_FAILED", "priority": "P0", "type": "execution_guard", "status": "implemented_and_tested", "decision": "OBSERVE_ONLY 的研究影子盘可记录触发，但市场二次确认未通过时不得写成模拟成交。", "files": [ "local_paper_runtime/src/local_paper_runtime/main.py", "local_paper_runtime/tests/test_shadow_watch_guards.py", "web_dashboard/assets/dashboard.js" ] }, { "id": "POSITION_SIZING_TARGET_PCT_ENABLED", "priority": "P1", "type": "position_sizing", "status": "preserved_monitoring", "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。", "files": [ "local_paper_runtime/src/local_paper_runtime/position_sizing.py", "scripts/start_local_paper_runtime_scheduled.sh" ] }, { "id": "WATCH_POOL_PAPER_ENTRY_EXISTS", "priority": "P1", "type": "signal_quality_tracking", "status": "preserved_monitoring", "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。继续记录 T+1/T+3 表现。", "files": [ "scripts/build_local_paper_learning_block.py", "web_dashboard/assets/dashboard.js" ] } ], "pending_rule_change_candidates": [ { "id": "EXEC_HIGH_CALIBRATION", "finding": "中天科技、沃格光电触发后超过 exec_high 未能成交，但收盘均大幅高于 exec_high。exec_high=trigger_price*(1+1.5%) 在强势突破中可能偏紧。", "evidence": "中天 exec_high=51.44, close=53.66 (+4.3%); 沃格 exec_high=146.21, close=150.15 (+2.7%)", "suggested_action": "灰度观察 5 个交易日以上 exec_high 偏紧导致的「应该成交但被拒」样本数。若累计 ≥3 例且次日均有正向跟随，可考虑将 conditional 票的 max_chase_pct 从 1.5% 调至 2.5%~3.0%。不基于单日修改。", "constraint": "必须在板块二波框架内；不能删掉 exec_high 保护；调宽仅限 conditional 级别" }, { "id": "CONDITIONAL_PLAN_LIQUIDITY_THRESHOLD", "finding": "2/6 conditional 票全天无量未触发（鸿博 0.20亿，方大 0.28亿），入选标准在弱市中偏宽。", "suggested_action": "考虑为 conditional_plan 增加最低日均成交额门槛（如 ≥1亿），或用前日 minute_energy 预筛选。", "constraint": "P1 灰度验证；需多日数据确认弱市 conditional 的有效命中率" } ], "next_validation_tasks": [ { "task": "持仓跟踪-绿的谐波", "detail": "sellable=100，关注止损/止盈/MA5跌破/尾盘转弱。若市场转暖且继续走强，检查是否触发加仓（trigger=450.20）。浮盈 +6.04% 是否需要移动止盈（P1 待讨论）。", "priority": "P0" }, { "task": "持仓跟踪-顺络电子", "detail": "T+1 锁仓明日解禁（sellable=800），记录 T+1 收盘盈亏。若触及止损 -3%（~58.47）必须执行卖出。", "priority": "P0" }, { "task": "验证 SHADOW_WATCH 闸门修复", "detail": "下次 market_gate 未通过时，确认观察池影子单只记录触发、不生成成交。", "priority": "P0" }, { "task": "验证 9:35 冷却规则", "detail": "如有信号在 9:30-9:35 触发，确认被正确延迟至 9:35 后再判断是否成交。", "priority": "P1" }, { "task": "exec_high 灰度观察", "detail": "记录触发后超过 exec_high 的标的次日表现，积累是否偏紧的证据。", "priority": "P1" }, { "task": "conditional 入选标准回顾", "detail": "鸿博股份、方大炭素全天无量未触发，下一版计划中是否需要提高 conditional 入选的流动性要求。", "priority": "P1" }, { "task": "动态总仓升降级检查", "detail": "若明日 market_gate 通过且 pool_up_ratio >60%，确认动态总仓是否从 NEUTRAL 60% 升至 WARM 75%。", "priority": "P1" }, { "task": "watch 样本 T+1 统计", "detail": "顺络电子 T+1 收盘盈亏加入观察池统计，为未来升档规则积累数据。", "priority": "P1" } ] }