{ "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": 96.40, "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": 795.00, "amount": 79500.0, "template": "BREAK_PREV_HIGH", "sim_reason": "trigger_touched", "price_vs_vwap_pct": 2.4591, "eod_price": 772.00, "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": -3.20, "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": 795.00, "last_price": 772.00, "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": 96.40, "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": 423.50, "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" } ] }