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修改使用未来数据

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This commit is contained in:
jackyu66git
2025-09-11 18:39:57 +08:00
parent e75aca320e
commit 4ea4b8cac5
6 changed files with 117 additions and 51 deletions
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ChanKLU.py
+2 -2
View File
@@ -653,10 +653,10 @@ class ChanKLU:
return self.macd_state
if self.macd > 0:
if self.macd < self.signal and self.close > self.ema52 and self.low < self.ema52:
self.near0_return = 6
self.near0_return = 0
else:
if self.macd > self.signal and self.close < self.ema52 and self.high > self.ema52:
self.near0_return = 7
self.near0_return = 0
# CROSS0 仅以 Signal 穿越零轴判定
if self.pre.signal >= 0 and self.signal < 0:
self.macd_state = Chan_MACD_STATE.CROSS0_DOWN
ChanMACD.py
-6
View File
@@ -131,12 +131,6 @@ class ChanMACD():
last_klu = klu
klu.cal_macd_state()
#print(klu.time, klu.macd_state, klu.continue_div, klu.separate_div, klu.macd, klu.signal, klu.macdhist, klu.ema24, klu.ema52, klu.close)
if last_histset:
last_histset.set_end_klu(last_klu)
if last_unittf:
last_unittf.set_end_klu(last_klu, None)
if last_seg:
last_seg.set_end_klu(last_klu)
return self.klu_list
def cal_macd(self):
last_seg = None
ChanMACDHistSet.py
+11 -10
View File
@@ -1,4 +1,4 @@
from ChanEnum import Chan_MACDHISTSET_DIR, Chan_MACDUNITTF_DIV
from ChanEnum import Chan_MACDHISTSET_DIR, Chan_MACDUNITTF_DIV, Chan_MACD_STATE
class ChanMACDHistSet():
def __init__(self, index, start_time, start_klu, pre_histset, dir):
@@ -52,9 +52,10 @@ class ChanMACDHistSet():
if self.peak_klu:
if abs(klu.pre.macdhist) > abs(self.peak_klu.macdhist):
self.peak_klu = klu.pre
self.div_count = 0
self.peak_div_list = []
#self.div_count = 0
#self.peak_div_list = []
else:
if klu.pre.macd * klu.pre.macdhist > 0:
self.peak_div_list.append(klu.pre)
self.div_count += 1
else:
@@ -66,20 +67,18 @@ class ChanMACDHistSet():
if self.peak_klu:
if abs(klu.pre.macdhist) > abs(self.peak_klu.macdhist):
self.peak_klu = klu.pre
self.div_count = 0
self.peak_div_list = []
#self.div_count = 0
#self.peak_div_list = []
else:
if klu.pre.macd * klu.pre.macdhist > 0 and klu.pre.signal * klu.pre.macdhist > 0 and abs(klu.pre.signal) > abs(klu.pre.macdhist):
self.peak_div_list.append(klu.pre)
self.div_count += 1
klu.pre.continue_div = True
else:
self.peak_klu = klu.pre
def set_end_klu(self, end_klu):
self.end_klu = end_klu
self.end_time = end_klu.time
if len(self.peak_div_list) > 0:
klu = self.peak_div_list[-1]
if klu.macd * klu.macdhist > 0:
klu.continue_div = True
if self.start_klu.index == end_klu.index:
self.peak_klu = self.start_klu
if self.start_klu.index + 1 == end_klu.index:
@@ -94,8 +93,10 @@ class ChanMACDHistSet():
peak = klu
self.peak_klu = peak
peak_str = ""
state_str = ""
for peak_div in self.peak_div_list:
peak_str += f"{peak_div.time}, "
state_str += f"{peak_div.macd_state}, "
#if self.peak_klu and len(self.peak_div_list) > 0:
#print("Continue Div: ",self.start_time, "Peak:", self.peak_klu.time, "Div: ", peak_str, self.histset_dir, self.div_count)
#print("Continue Div: ",self.start_time, "Peak:", self.peak_klu.time, "Div: ", peak_str, state_str)
config/ChanLun_BTC_30.json
+3 -3
View File
@@ -42,7 +42,7 @@
"ccxt_config": {},
"ccxt_async_config": {},
"pair_whitelist": [
"ETH/USDT:USDT"
"BTC/USDT:USDT"
],
"pair_blacklist": [
"BNB/.*"
@@ -64,8 +64,8 @@
},
"api_server": {
"enabled": true,
"listen_ip_address": "127.0.0.1",
"listen_port": 8812,
"listen_ip_address": "0.0.0.0",
"listen_port": 8813,
"verbosity": "error",
"enable_openapi": false,
"jwt_secret_key": "14d3510740e2c39a973a8895f1aa2704d98d08b86170260085709fa5ea48251d",
strategies/ChanLun_BTC_30.py
+22 -26
View File
@@ -22,7 +22,9 @@ logger = logging.getLogger(__name__)
# freqtrade trade -c ./user_data/Chan/config/ChanLun_BTC_30.json --strategy ChanLun_BTC_30 --strategy-path ./user_data/Chan/strategies
# freqtrade backtesting -c ./user_data/Chan/config/ChanLun_BTC_30.json --strategy ChanLun_BTC_30 --strategy-path ./user_data/Chan/strategies --timerange=20250901-
# freqtrade download-data -c ./user_data/Chan/config/ChanLun_BTC_30.json -t 1m --pairs BTC/USDT:USDT --timerange=20250405-
# freqtrade hyperopt --hyperopt-loss SharpeHyperOptLossDaily --spaces roi stoploss --strategy ChanLun_BTC_30 --strategy-path ./user_data/Chan/strategies -c ./user_data/Chan/config/ChanLun_BTC_30.json -e 200 --timerange=20250201-20250401
# freqtrade hyperopt --hyperopt-loss SharpeHyperOptLossDaily --spaces roi --strategy ChanLun_BTC_30 --strategy-path ./user_data/Chan/strategies -c ./user_data/Chan/config/ChanLun_BTC_30.json -e 200 --timerange=20250201-20250901
# freqtrade edge -c ./user_data/Chan/config/ChanLun_BTC_30.json --strategy ChanLun_BTC_30 --strategy-path ./user_data/Chan/strategies --timerange 20250721-20250901
# freqtrade plot-dataframe -c ./user_data/Chan/config/ChanLun_BTC_30.json --strategy ChanLun_BTC_30 --strategy-path ./user_data/Chan/strategies --timerange 20250721-20250901
# sudo docker compose run --rm chanlun_btc backtesting -c ./user_data/Chan/config/ChanLun_BTC_30.json --strategy ChanLun_BTC_30 --strategy-path ./user_data/Chan/strategies --timerange=20250721-
# sudo docker compose run --rm chanlun_btc download-data -c ./user_data/Chan/config/ChanLun_BTC_30.json --pairs BTC/USDT:USDT -t 1m --timerange 20240101-
@@ -67,8 +69,8 @@ class ChanLun_BTC_30(IStrategy):
use_custom_stoploss = True # 启用自定义止损
trailing_stop = False
trailing_stop_positive = 0.025
trailing_stop_positive_offset = 0.045
trailing_stop_positive = 0.03
trailing_stop_positive_offset = 0.06
trailing_only_offset_is_reached = False
# 关闭分批止盈/仓位调整
@@ -133,18 +135,8 @@ class ChanLun_BTC_30(IStrategy):
dataframe_4h['state'] = state_list
state_list = self.chan.get_klu_state_list(dataframe_1d)
dataframe_1d['state'] = state_list
#bi_list_1 = self.chan.get_bi_list(dataframe)
#bi_list_5 = self.chan.get_bi_list(dataframe_5)
#bi_list_15 = self.chan.get_bi_list(dataframe_15)
#bi_list_30 = self.chan.get_bi_list(dataframe_30)
#bi_list_60 = self.chan.get_bi_list(dataframe_60)
if self.last_time + timedelta(minutes=1) < datetime.now():
#self.print_bi(bi_list_1)
#self.print_bi(bi_list_5)
#self.print_bi(bi_list_15)
#self.print_bi(bi_list_30)
#self.print_bi(bi_list_60)
self.print_seg(dataframe_5)
print("-------------------------------------------------------------------------------")
self.last_time = datetime.now()
dataframe = resampled_merge(dataframe, dataframe_3)
@@ -228,9 +220,9 @@ class ChanLun_BTC_30(IStrategy):
new_entryprice = proposed_rate
if trade:
if trade.is_short:
new_entryprice = proposed_rate - 50
new_entryprice = proposed_rate - 5
else:
new_entryprice = proposed_rate + 50
new_entryprice = proposed_rate + 5
return new_entryprice
def custom_exit_price(self, pair: str, trade: Trade,
@@ -239,9 +231,9 @@ class ChanLun_BTC_30(IStrategy):
new_exitprice = proposed_rate
if trade:
if trade.is_short:
new_exitprice = proposed_rate + 50
new_exitprice = proposed_rate + 5
else:
new_exitprice = proposed_rate - 50
new_exitprice = proposed_rate - 5
return new_exitprice
def adjust_trade_position(self, trade: Trade, current_time: datetime,
@@ -260,6 +252,10 @@ class ChanLun_BTC_30(IStrategy):
止损 = 开仓价 ± 1 * ATR（开仓时的ATR）。
多单: 开仓价 - ATR；空单: 开仓价 + ATR。
"""
# 保本止损：当浮盈达到或超过 1% 时，将止损提至开仓价
#if current_profit is not None and current_profit >= 0.14:
#return stoploss_from_absolute(trade.open_rate, current_rate, is_short=trade.is_short)
entry_atr = trade.get_custom_data(key="entry_atr")
if entry_atr is None:
# 回退：取当前数据的 ATR 估算
@@ -292,10 +288,10 @@ class ChanLun_BTC_30(IStrategy):
if dataframe is None or len(dataframe) == 0:
return False
last = dataframe.iloc[-1]
atr_str = 'resample_{}_atr'.format(self.get_ticker_indicator()*self.time30)
atr_str = 'resample_{}_atr'.format(self.get_ticker_indicator()*self.time60)
atr_val = float(last.get(atr_str, 0) or 0)
if atr_val < 0.001:
logger.info(f"ATR过滤：atr={atr_val:.2f} < 100, 拒绝进场 {pair}")
#logger.info(f"ATR过滤：atr={atr_val:.2f} < 100, 拒绝进场 {pair}")
return False
return True
except Exception as e:
@@ -315,15 +311,15 @@ class ChanLun_BTC_30(IStrategy):
# Obtain pair dataframe (just to show how to access it)
dataframe, _ = self.dp.get_analyzed_dataframe(trade.pair, self.timeframe)
last_candle = dataframe.iloc[-1].squeeze()
atr_str = 'resample_{}_atr'.format(self.get_ticker_indicator()*self.time30)
atr_str = 'resample_{}_atr'.format(self.get_ticker_indicator()*self.time60)
# 保存开仓时的ATR值用于止损计算
if (trade.nr_of_successful_entries == 1) and (order.ft_order_side == trade.entry_side):
entry_atr = last_candle[atr_str] * 4
trade.set_custom_data(key="entry_atr", value=entry_atr)
logger.info(f"保存开仓时ATR值: {entry_atr}")
#logger.info(f"保存开仓时ATR值: {entry_atr}")
return None
def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
shift_time = self.time30
shift_time = self.time60
state_str = 'resample_{}_state'.format(self.get_ticker_indicator()*shift_time)
dataframe.loc[
@@ -338,19 +334,19 @@ class ChanLun_BTC_30(IStrategy):
['enter_short', 'enter_tag']] = (1, 'short_30')
return dataframe
def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
shift_time = self.time30
shift_time = self.time60
state_str = 'resample_{}_state'.format(self.get_ticker_indicator()*shift_time)
dataframe.loc[
(
(dataframe[state_str].shift(shift_time) == "20")
),
['exit_long', 'exit_tag']] = (1, 'long_close_15')
['exit_long', 'exit_tag']] = (1, 'long_close_30')
dataframe.loc[
(
(dataframe[state_str].shift(shift_time) == "-20")
),
['exit_short', 'exit_tag']] = (1, 'short_close_15')
['exit_short', 'exit_tag']] = (1, 'short_close_30')
return dataframe
def leverage(self, pair: str, current_time: datetime, current_rate: float,
proposed_leverage: float, max_leverage: float, entry_tag: Optional[str], side: str,
web/nginx/logs/error.log
+75
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@@ -148,3 +148,78 @@
2025/08/29 12:39:35 [notice] 1#1: worker process 30 exited with code 0
2025/08/29 12:39:35 [notice] 1#1: worker process 31 exited with code 0
2025/08/29 12:39:35 [notice] 1#1: exit
2025/09/09 17:01:49 [notice] 1#1: using the "epoll" event method
2025/09/09 17:01:49 [notice] 1#1: nginx/1.27.5
2025/09/09 17:01:49 [notice] 1#1: built by gcc 12.2.0 (Debian 12.2.0-14)
2025/09/09 17:01:49 [notice] 1#1: OS: Linux 6.10.14-linuxkit
2025/09/09 17:01:49 [notice] 1#1: getrlimit(RLIMIT_NOFILE): 1048576:1048576
2025/09/09 17:01:49 [notice] 1#1: start worker processes
2025/09/09 17:01:49 [notice] 1#1: start worker process 20
2025/09/09 17:01:49 [notice] 1#1: start worker process 21
2025/09/09 17:01:49 [notice] 1#1: start worker process 22
2025/09/09 17:01:49 [notice] 1#1: start worker process 23
2025/09/09 17:01:49 [notice] 1#1: start worker process 24
2025/09/09 17:01:49 [notice] 1#1: start worker process 25
2025/09/09 17:01:49 [notice] 1#1: start worker process 26
2025/09/09 17:01:49 [notice] 1#1: start worker process 27
2025/09/09 17:01:49 [notice] 1#1: start worker process 28
2025/09/09 17:01:49 [notice] 1#1: start worker process 29
2025/09/09 17:01:49 [notice] 1#1: start worker process 30
2025/09/09 17:01:49 [notice] 1#1: start worker process 31
2025/09/09 17:02:20 [notice] 1#1: signal 3 (SIGQUIT) received, shutting down
2025/09/09 17:02:20 [notice] 21#21: gracefully shutting down
2025/09/09 17:02:20 [notice] 21#21: exiting
2025/09/09 17:02:20 [notice] 20#20: gracefully shutting down
2025/09/09 17:02:20 [notice] 20#20: exiting
2025/09/09 17:02:20 [notice] 23#23: gracefully shutting down
2025/09/09 17:02:20 [notice] 23#23: exiting
2025/09/09 17:02:20 [notice] 22#22: gracefully shutting down
2025/09/09 17:02:20 [notice] 22#22: exiting
2025/09/09 17:02:20 [notice] 24#24: gracefully shutting down
2025/09/09 17:02:20 [notice] 24#24: exiting
2025/09/09 17:02:20 [notice] 29#29: gracefully shutting down
2025/09/09 17:02:20 [notice] 29#29: exiting
2025/09/09 17:02:20 [notice] 30#30: gracefully shutting down
2025/09/09 17:02:20 [notice] 30#30: exiting
2025/09/09 17:02:20 [notice] 31#31: gracefully shutting down
2025/09/09 17:02:20 [notice] 31#31: exiting
2025/09/09 17:02:20 [notice] 28#28: gracefully shutting down
2025/09/09 17:02:20 [notice] 28#28: exiting
2025/09/09 17:02:20 [notice] 25#25: gracefully shutting down
2025/09/09 17:02:20 [notice] 25#25: exiting
2025/09/09 17:02:20 [notice] 27#27: gracefully shutting down
2025/09/09 17:02:20 [notice] 27#27: exiting
2025/09/09 17:02:20 [notice] 26#26: gracefully shutting down
2025/09/09 17:02:20 [notice] 26#26: exiting
2025/09/09 17:02:20 [notice] 21#21: exit
2025/09/09 17:02:20 [notice] 20#20: exit
2025/09/09 17:02:20 [notice] 23#23: exit
2025/09/09 17:02:20 [notice] 22#22: exit
2025/09/09 17:02:20 [notice] 24#24: exit
2025/09/09 17:02:20 [notice] 29#29: exit
2025/09/09 17:02:20 [notice] 30#30: exit
2025/09/09 17:02:20 [notice] 31#31: exit
2025/09/09 17:02:20 [notice] 28#28: exit
2025/09/09 17:02:20 [notice] 25#25: exit
2025/09/09 17:02:20 [notice] 27#27: exit
2025/09/09 17:02:20 [notice] 26#26: exit
2025/09/09 17:02:20 [notice] 1#1: signal 17 (SIGCHLD) received from 20
2025/09/09 17:02:20 [notice] 1#1: worker process 20 exited with code 0
2025/09/09 17:02:20 [notice] 1#1: worker process 21 exited with code 0
2025/09/09 17:02:20 [notice] 1#1: worker process 22 exited with code 0
2025/09/09 17:02:20 [notice] 1#1: worker process 27 exited with code 0
2025/09/09 17:02:20 [notice] 1#1: worker process 28 exited with code 0
2025/09/09 17:02:20 [notice] 1#1: worker process 31 exited with code 0
2025/09/09 17:02:20 [notice] 1#1: signal 29 (SIGIO) received
2025/09/09 17:02:20 [notice] 1#1: signal 17 (SIGCHLD) received from 31
2025/09/09 17:02:20 [notice] 1#1: signal 17 (SIGCHLD) received from 29
2025/09/09 17:02:20 [notice] 1#1: worker process 24 exited with code 0
2025/09/09 17:02:20 [notice] 1#1: worker process 25 exited with code 0
2025/09/09 17:02:20 [notice] 1#1: worker process 26 exited with code 0
2025/09/09 17:02:20 [notice] 1#1: worker process 29 exited with code 0
2025/09/09 17:02:20 [notice] 1#1: signal 29 (SIGIO) received
2025/09/09 17:02:20 [notice] 1#1: signal 17 (SIGCHLD) received from 25
2025/09/09 17:02:20 [notice] 1#1: signal 17 (SIGCHLD) received from 30
2025/09/09 17:02:20 [notice] 1#1: worker process 23 exited with code 0
2025/09/09 17:02:20 [notice] 1#1: worker process 30 exited with code 0
2025/09/09 17:02:20 [notice] 1#1: exit