添加k线动能理论
This commit is contained in:
jackyu66git
+54
-147
@@ -67,15 +67,15 @@ class ChanLun_BTC_30(IStrategy):
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can_short = True
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lev = 1.0
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stoploss = -0.3 # 设置为很大的负值，让custom_stoploss来控制
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use_custom_stoploss = False # 启用自定义止损
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use_custom_stoploss = True # 启用自定义止损
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trailing_stop = False
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trailing_stop_positive = 0.025
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trailing_stop_positive_offset = 0.045
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trailing_only_offset_is_reached = False
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# 启用仓位调整功能以支持分批止盈
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position_adjustment_enable = True
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# 关闭分批止盈/仓位调整
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position_adjustment_enable = False
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startup_candle_count = 2880
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time5 = 5
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@@ -119,9 +119,14 @@ class ChanLun_BTC_30(IStrategy):
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#self.chan.plot_dual(dataframe_5, dataframe_30)
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#chanpy_state = self.chanpy.get_bsp_state(dataframe_5)
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#dataframe_5['chanpy_state'] = chanpy_state
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state_list = self.chan.get_klc_state_list(dataframe_5)
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dataframe_5['state'] = state_list
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state_list = self.chan.get_klc_state_list(dataframe_15)
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dataframe_15['state'] = state_list
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state_list = self.chan.get_klc_state_list(dataframe_30)
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dataframe_30['state'] = state_list
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state_list = self.chan.get_klc_state_list(dataframe_60)
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dataframe_60['state'] = state_list
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dataframe_60['fx'] = state_list
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#bi_list_1 = self.chan.get_bi_list(dataframe)
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#bi_list_5 = self.chan.get_bi_list(dataframe_5)
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#bi_list_15 = self.chan.get_bi_list(dataframe_15)
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@@ -138,7 +143,7 @@ class ChanLun_BTC_30(IStrategy):
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self.last_time = datetime.now()
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dataframe = resampled_merge(dataframe, dataframe_3)
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dataframe = resampled_merge(dataframe, dataframe_5)
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#dataframe = resampled_merge(dataframe, dataframe_15)
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dataframe = resampled_merge(dataframe, dataframe_15)
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#dataframe = resampled_merge(dataframe, dataframe_30)
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dataframe = resampled_merge(dataframe, dataframe_60)
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#dataframe = resampled_merge(dataframe, dataframe_4h)
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@@ -166,7 +171,8 @@ class ChanLun_BTC_30(IStrategy):
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bb120 = ta.BBANDS(df, timeperiod=120, nbdevup=3.0, nbdevdn=3.0, matype=0)
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bb30 = ta.BBANDS(df, timeperiod=41, nbdevup=2.3, nbdevdn=2.3, matype=0)
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bb302 = ta.BBANDS(df, timeperiod=41, nbdevup=2.0, nbdevdn=2.0, matype=0)
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bb30 = ta.BBANDS(df, timeperiod=20, nbdevup=2.0, nbdevdn=2.0, matype=0)
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bb302 = ta.BBANDS(df, timeperiod=20, nbdevup=2.0, nbdevdn=2.0, matype=0)
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# 计算布林带中轨（移动平均线）
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bb30_middle = ta.SMA(df, timeperiod=90)
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@@ -230,162 +236,63 @@ class ChanLun_BTC_30(IStrategy):
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new_exitprice = proposed_rate - 50
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return new_exitprice
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def adjust_trade_position1(self, trade: Trade, current_time: datetime,
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def adjust_trade_position(self, trade: Trade, current_time: datetime,
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current_rate: float, current_profit: float,
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min_stake: Optional[float], max_stake: float,
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current_entry_rate: float, current_exit_rate: float,
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current_entry_profit: float, current_exit_profit: float,
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**kwargs) -> Optional[float]:
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"""
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基于布林带的分批止盈逻辑
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"""
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# 获取当前数据
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dataframe, _ = self.dp.get_analyzed_dataframe(trade.pair, self.timeframe)
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if dataframe is None or len(dataframe) == 0:
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return None
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last_candle = dataframe.iloc[-1]
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# 获取布林带数据
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bb30_middle = last_candle['bbmiddle30']
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bb30_upper = last_candle['bbup30']
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bb30_lower = last_candle['bblow30']
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bb302_upper = last_candle['bbup302']
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bb302_lower = last_candle['bblow302']
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# 获取交易的状态标记
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first_tp_triggered = trade.get_custom_data(key="first_tp_triggered", default=False)
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second_tp_triggered = trade.get_custom_data(key="second_tp_triggered", default=False)
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if trade.is_short:
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# 做空逻辑
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if not first_tp_triggered and current_rate <= bb30_middle:
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# 第一次止盈：价格跌到bb30中轨，止盈50%
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logger.info(f"做空第一次止盈触发：价格{current_rate} <= BB30中轨{bb30_middle}")
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trade.set_custom_data(key="first_tp_triggered", value=True)
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trade.set_custom_data(key="new_stoploss", value=trade.open_rate) # 设置止损为开仓价
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return -(trade.amount * 0.5) # 减少50%仓位
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elif first_tp_triggered and not second_tp_triggered and current_rate <= bb302_lower:
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# 第二次止盈：继续跌到bb302下轨，止盈剩余仓位的60%
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logger.info(f"做空第二次止盈触发：价格{current_rate} <= BB302下轨{bb302_lower}")
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trade.set_custom_data(key="second_tp_triggered", value=True)
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trade.set_custom_data(key="new_stoploss", value=bb30_middle) # 移动止损到bb30中轨
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remaining_amount = trade.amount * 0.5 # 剩余50%
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return -(remaining_amount * 0.6) # 减少剩余仓位的60%
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else:
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# 做多逻辑
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if not first_tp_triggered and current_rate >= bb30_middle:
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# 第一次止盈：价格涨到bb30中轨，止盈50%
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logger.info(f"做多第一次止盈触发：价格{current_rate} >= BB30中轨{bb30_middle}")
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trade.set_custom_data(key="first_tp_triggered", value=True)
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trade.set_custom_data(key="new_stoploss", value=trade.open_rate) # 设置止损为开仓价
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return -(trade.amount * 0.5) # 减少50%仓位
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elif first_tp_triggered and not second_tp_triggered and current_rate >= bb302_upper:
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# 第二次止盈：继续涨到bb302上轨，止盈剩余仓位的60%
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logger.info(f"做多第二次止盈触发：价格{current_rate} >= BB302上轨{bb302_upper}")
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trade.set_custom_data(key="second_tp_triggered", value=True)
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trade.set_custom_data(key="new_stoploss", value=bb30_middle) # 移动止损到bb30中轨
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remaining_amount = trade.amount * 0.5 # 剩余50%
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return -(remaining_amount * 0.6) # 减少剩余仓位的60%
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# 关闭分批止盈，始终不调整仓位
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return None
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def custom_stoploss(self, pair: str, trade: Trade, current_time: datetime,
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current_rate: float, current_profit: float, after_fill: bool,
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**kwargs) -> float | None:
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"""
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动态止损逻辑
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止损 = 开仓价 ± 1 * ATR（开仓时的ATR）。
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多单: 开仓价 - ATR；空单: 开仓价 + ATR。
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"""
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# 检查是否有自定义的新止损价格（分批止盈后的动态止损）
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new_stoploss_price = trade.get_custom_data(key="new_stoploss")
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if new_stoploss_price:
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logger.info(f"使用动态止损价格: {new_stoploss_price}")
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return stoploss_from_absolute(new_stoploss_price, current_rate, is_short=trade.is_short)
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# 如果没有ATR数据，使用固定的5%止损作为备用
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logger.warning(f"未找到开仓时ATR数据，使用默认5%止损")
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return -0.05
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entry_atr = trade.get_custom_data(key="entry_atr")
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if entry_atr is None:
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# 回退：取当前数据的 ATR 估算
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dataframe, _ = self.dp.get_analyzed_dataframe(trade.pair, self.timeframe)
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if dataframe is not None and len(dataframe) > 0 and 'atr' in dataframe.columns:
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entry_atr = float(dataframe.iloc[-1]['atr'])
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else:
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# 最保守的回退：5%
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return -0.05
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if trade.is_short:
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stop_price = trade.open_rate + float(entry_atr)
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else:
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stop_price = trade.open_rate - float(entry_atr)
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return stoploss_from_absolute(stop_price, current_rate, is_short=trade.is_short)
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def custom_exit(self, pair: str, trade: Trade, current_time: datetime, current_rate: float,
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current_profit: float, **kwargs):
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"""
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自定义退出逻辑 - 处理最终止盈条件
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"""
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# 获取当前数据
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dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
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if dataframe is None or len(dataframe) == 0:
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return None
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last_candle = dataframe.iloc[-1]
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# 获取布林带数据
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bb30_upper = last_candle['bbup30']
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bb30_lower = last_candle['bblow30']
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# 检查是否已经触发过前两次止盈
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first_tp_triggered = trade.get_custom_data(key="first_tp_triggered", default=False)
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second_tp_triggered = trade.get_custom_data(key="second_tp_triggered", default=False)
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if trade.is_short:
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# 做空：如果价格跌到bb30下轨，全部止盈
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if first_tp_triggered and second_tp_triggered and current_rate <= bb30_lower:
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logger.info(f"做空最终止盈触发：价格{current_rate} <= BB30下轨{bb30_lower}")
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return "short_final_tp_bb30_lower"
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else:
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# 做多：如果价格涨到bb30上轨，全部止盈
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if first_tp_triggered and second_tp_triggered and current_rate >= bb30_upper:
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logger.info(f"做多最终止盈触发：价格{current_rate} >= BB30上轨{bb30_upper}")
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return "long_final_tp_bb30_upper"
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# 原有退出逻辑
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if trade.is_short:
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last_high = trade.get_custom_data(key="entry_candle_high")
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if last_high and current_rate > last_high:
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return "Relay Top FX exit"
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else:
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last_low = trade.get_custom_data(key="entry_candle_low")
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if last_low and current_rate < last_low:
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return "Relay Bottom FX exit"
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# 不做分批止盈/最终止盈处理，退出由策略信号/ROI/止损决定
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return None
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def confirm_trade_entry1(self, pair: str, order_type: str, amount: float, rate: float,
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def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float,
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time_in_force: str, current_time: datetime, entry_tag: str | None,
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side: str, **kwargs) -> bool:
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if self.last_trade:
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if self.last_trade.is_short:
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if side == 'short':
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if self.last_trade.open_date + timedelta(minutes=30) > current_time:
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return False
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else:
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return True
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else:
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if side == 'long':
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if self.last_trade.open_date + timedelta(minutes=30) > current_time:
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return True
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else:
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return False
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#if self.last_trade:
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#print(self.last_trade.open_date, current_time, self.last_trade.open_date + timedelta(minutes=self.time5))
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return True
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def custom_stoploss1(self, pair: str, trade: Trade, current_time: datetime,
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current_rate: float, current_profit: float, after_fill: bool,
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**kwargs) -> float | None:
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last_high = trade.get_custom_data(key="entry_candle_high")
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last_low = trade.get_custom_data(key="entry_candle_low")
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# Convert absolute price to percentage relative to current_rate
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if last_high:
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return stoploss_from_absolute(last_high, current_rate, is_short=trade.is_short)
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if last_low:
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return stoploss_from_absolute(last_low, current_rate, is_short=trade.is_short)
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# return maximum stoploss value, keeping current stoploss price unchanged
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return None
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"""
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ATR 过滤：atr < 100 不开单。
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"""
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try:
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dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
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if dataframe is None or len(dataframe) == 0:
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return False
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last = dataframe.iloc[-1]
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atr_str = 'resample_{}_atr'.format(self.get_ticker_indicator()*self.time30)
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atr_val = float(last.get(atr_str, 0) or 0)
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if atr_val < 100:
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logger.info(f"ATR过滤：atr={atr_val:.2f} < 100, 拒绝进场 {pair}")
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return False
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return True
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except Exception as e:
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logger.warning(f"confirm_trade_entry 异常: {e}")
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return True
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def order_filled(self, pair: str, trade: Trade, order: Order, current_time: datetime, **kwargs) -> None:
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"""
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@@ -400,10 +307,10 @@ class ChanLun_BTC_30(IStrategy):
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# Obtain pair dataframe (just to show how to access it)
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dataframe, _ = self.dp.get_analyzed_dataframe(trade.pair, self.timeframe)
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last_candle = dataframe.iloc[-1].squeeze()
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atr_str = 'resample_{}_atr'.format(self.get_ticker_indicator()*self.time30)
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# 保存开仓时的ATR值用于止损计算
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if (trade.nr_of_successful_entries == 1) and (order.ft_order_side == trade.entry_side):
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entry_atr = last_candle['atr']
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entry_atr = last_candle[atr_str] * 4
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trade.set_custom_data(key="entry_atr", value=entry_atr)
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logger.info(f"保存开仓时ATR值: {entry_atr}")
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return None
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@@ -427,7 +334,7 @@ class ChanLun_BTC_30(IStrategy):
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['enter_long', 'enter_tag']] = (1, 'long_signal_chan')
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dataframe.loc[
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(
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(dataframe[state_str].shift(shift_time) == "10")
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(dataframe[state_str].shift(shift_time) == "10")
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#(dataframe[fx_str].shift(shift_time) == 1)
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#(dataframe[chanpy_state_str].shift(shift_time+30) == -1)
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#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)].shift(self.time5) == "-10") &
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