ashare-sop-l1-macro-filter

name	ashare-sop-l1-macro-filter
description	L1 macro market filter for the A-share theme structure SOP engine. Use to determine whether the overall market environment supports trading — outputs 系统性风险/震荡市/多头趋势 and gates downstream modules.
version	1.0.0
author	Hermes Agent
license	MIT
metadata	{"hermes":{"tags":["a-share","sop","macro-filter","l1","market-environment"],"related_skills":["a-share-theme-structure-sop","ashare-sop-l2-theme-engine"]}}

A-Share SOP L1 — Macro Market Filter

Overview

This is the L1 tier of the A-share theme structure SOP engine (v1.7+). It decides whether the market environment supports trading and, if not, blocks all downstream buy signals globally.

Load this skill independently when you only need the macro environment assessment, or as part of the full SOP chain (L1→L2→L3→L4).

Engine Position

L1 (宏观市场过滤器) → gates → L2 (题材结构) → gates → L3 (个股共振) → feeds → L4 (执行复盘)

If L1 = 系统性风险, L2/L3 buy signal generation is globally disabled.

Data Sources

• 上证指数 (000001.SH), 深证成指 (399001.SZ), 创业板指 (399006.SZ)
• Market-wide turnover (全市场成交额)
• Advance/decline ratio (涨跌家数比, sourced from daily mood scan in Obsidian)

# Fetch index K-lines (daily, 前复权, 60 days for MA20/MA60 computation)
npx -y westock-data-skillhub@1.0.3 kline sh000001,sz399001,sz399006 --period day --limit 60 --fq bfq

# Market breadth — read from mood scan
read /Users/gordon8018/obsidian_vault/gordon8018/Intel/30_Topics/AShare/<date>-ashare-market-mood.md

Environment States

State	Trigger Conditions	Engine Impact
系统性风险 (Systemic Risk)	Any major index meets one of: (1) intraday drop > 3%; (2) closes below MA20 for 3 consecutive days with MA20 sloping down; (3) sentiment enters "恐慌期"	Global Shield: Output "暂停交易", disable all L2/L3 buy signals
震荡市 (Range-bound)	Indices between MA20 and MA60, or MA20/MA60 directions diverge	Reduced Weight: L2/L3 run but all candidate signals require stronger resonance to output
多头趋势 (Bull Trend)	Indices close above MA20 AND MA60, both MAs sloping up	Normal Mode: L2/L3 operate at full standard rules

MA20/MA60 Computation

From westock-data kline daily bars:

• MA20 = simple moving average of close over last 20 trading days
• MA60 = simple moving average of close over last 60 trading days
• "Direction up" = current MA > MA from 5 days ago
• "Direction down" = current MA < MA from 5 days ago

Sentiment "恐慌期" Detection

From the market mood scan in Obsidian:

• Read the "Breadth And Sentiment" table
• 恐慌期 indicators: extreme advance/decline ratio (e.g. >80% stocks declining), combined with elevated VIX-like indicators or consecutive days of broad selling

Output Format

When L1 is assessed independently, output:

## L1 宏观环境
- 当前状态：系统性风险 / 震荡市 / 多头趋势
- 判断依据：上证 MA20=XXX MA60=XXX, 深证 MA20=XXX MA60=XXX, 创业板 MA20=XXX MA60=XXX
- 成交额：XXXX 亿
- 涨跌比：XXXX up / XXXX down
- 对引擎影响：正常模式 / 降低权重 / 全局屏蔽

Automation

In the full SOP pipeline:

• Pre-market cron (816138bf3403 at 08:30 Beijing): computes L1 state before generating watchlists
• Closing snapshot cron (a16035d3b237 at 15:00 Beijing): re-evaluates L1 state with closing data
• When L1=系统性风险, the pipeline skips buy candidate generation entirely

Common Pitfalls

1. Skipping L1 entirely: Never generate buy candidates without first checking L1 state. A strong L2 theme in a crashing market is not actionable.
2. Using intraday MA without closing confirmation: MA20/MA60 are computed from daily closes. Intraday violations of MA thresholds should be treated as warnings, not confirmed states, until close.
3. Overriding L1 shield manually: L1=系统性风险 means global shield. Do not manually override because "this one stock looks good."

Verification Checklist

• All three major indices fetched (上证/深证/创业板)
• MA20 and MA60 computed from at least 20 and 60 daily bars respectively
• MA direction assessed (comparing current MA to MA 5 days ago)
• Market breadth read from mood scan or alternative source
• L1 state explicitly stated (系统性风险/震荡市/多头趋势)
• If 系统性风险, explicitly state "暂停交易" and block downstream buy signals
• If 震荡市, note the reduced-weight requirement