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a-share-intraday-reversal

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A股日内反转/均值回归策略。当用户说"日内反转"、"日内均值回归"、"intraday reversal"、"盘中回调"、"日内超跌反弹"、"分时反转"时触发。基于 cn-stock-data 获取数据，分析日内反转信号、超买超卖状态、均值回归速度。支持 formal/brief 两种输出风格。

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How to use this skill

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Source SKILL.md: https://github.com/aifinlab/FinClaw/blob/HEAD/skills/a-share-intraday-reversal/SKILL.md

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日内反转/均值回归策略助手

数据获取

通过 cn-stock-data skill 获取数据：

  • 分钟K线: 1分钟/5分钟线
  • 实时行情: 最新价格、成交量、换手率
  • 指数数据: 大盘走势用于剥离系统性因素

分析工作流

Step 1: 日内超买超卖识别

  • 分时RSI(14)：>70超买，<30超卖
  • 价格偏离VWAP程度：|P - VWAP|/VWAP
  • 分时布林带突破：价格触及±2σ带
  • 成交量萎缩确认：反转需伴随量能衰减

Step 2: 均值回归速度估计

  • Ornstein-Uhlenbeck 过程拟合：回归速度 κ
  • 半衰期 = ln(2)/κ，衡量回归所需时间
  • 不同市值/流动性股票的回归速度差异
  • A股特征：小盘股回归更快但噪声更大

Step 3: 反转信号过滤

  • 剔除趋势日：ADX > 25 时不做反转
  • 剔除信息驱动：公告日/财报日不做反转
  • 确认信号：反转方向需与大盘方向一致
  • 成交量确认：反转点需出现缩量企稳

Step 4: 策略构建与回测

  • 入场：价格偏离VWAP超过1.5%且RSI极值
  • 出场：回归VWAP或反向偏离0.5%
  • 止损：偏离继续扩大至2.5%
  • 按震荡市/趋势市分别统计胜率与盈亏比

Step 5: 输出报告

输出格式

formal 风格（研报级）

# [标的] 日内反转分析报告

## 一、超买超卖状态
| 指标 | 数值 | 信号 |
|------|------|------|

## 二、均值回归特征
[回归速度、半衰期]

## 三、反转信号
[当前信号、过滤条件]

## 四、策略回测
[胜率、盈亏比、净收益]

## 五、操作建议

brief 风格（快速分析）

## [标的] 日内反转速览
- 当前偏离VWAP -1.8%，RSI=25，超卖
- 均值回归半衰期约 45 分钟
- 大盘震荡，适合反转策略
- 建议：轻仓试多，目标回归VWAP

参考 references/intraday-reversal-guide.md 获取详细方法论与 A股实证研究。

使用示例

示例 1: 基本使用

# 调用 skill
result = run_skill({
    "param1": "value1",
    "param2": "value2"
})

示例 2: 命令行使用

python scripts/run_skill.py --input data.json