From 8bb3798a7c71d565a1b38ff7216f9eb2ff01340e Mon Sep 17 00:00:00 2001 From: jackyu66git Date: Fri, 31 Oct 2025 20:34:27 +0800 Subject: [PATCH] refactor chanlun, tf_df --- ChanLun.py | 1337 +--------------------------------- TF_DF.py | 469 ++++++++++-- algorithm_comparison_test.py | 223 ------ chanlun_trading.log | 39 - config/EMA_Pattern.json | 83 +++ strategies/BB9033.py | 2 +- strategies/EMA_Pattern.py | 115 +++ 7 files changed, 618 insertions(+), 1650 deletions(-) delete mode 100644 algorithm_comparison_test.py delete mode 100644 chanlun_trading.log create mode 100644 config/EMA_Pattern.json create mode 100644 strategies/EMA_Pattern.py diff --git a/ChanLun.py b/ChanLun.py index 6c005d2..ece050a 100644 --- a/ChanLun.py +++ b/ChanLun.py @@ -52,7 +52,7 @@ class ChanLun(): self.time_symbols = ['1m', '3m', '5m', '10m', '15m', '30m', '1h', '2h', '4h', '6h', '8h', '12h', '16h', '1d', '2d', '3d', '1w', '2w', '1M', '3M', '6M', '1y'] self.tf_df_dict = {} self.ema_symbols = ['1m', '3m', '5m', '10m', '15m', '30m', '1h', '2h', '4h', '6h', '8h', '12h', '16h', '1d', '2d', '3d'] - self.tf_df = None + self.tf_df = TF_DF() def init_data(self, dataframe, intervals, timeframes): for index in range(0, len(intervals)): timeframe = timeframes[index] @@ -75,1338 +75,47 @@ class ChanLun(): if len(self.tf_df_dict) > 0: return {key: self.tf_df_dict[key].get_ema24() for key in self.ema_symbols} return None - def get_klu_state(self, dataframe): - klc_list = self.get_klc_list(dataframe) - bi_list = self.cal_bi_list(klc_list) - klu_state_list = [] - klc_index = 0 - for index in range(0, len(dataframe)): - if klc_index == len(klc_list): - klc_index = len(klc_list) - 1 - klc = klc_list[klc_index] - if klc.end_klu and klc.end_klu.idx == index: - if klc.klc_fx_type == Chan_KLC_FX.TOP4: - klu_state_list.append("10") - elif klc.klc_fx_type == Chan_KLC_FX.BOTTOM4: - klu_state_list.append("-10") - else: - klu_state_list.append("00") - klc_index += 1 - else: - klu_state_list.append("00") - return klu_state_list def get_current_klc_dict(self): if len(self.tf_df_dict) > 0: return {key: self.tf_df_dict[key].get_current_klc() for key in self.ema_symbols} return None - def cal_bsp(self): - return + + + + + + # TF_DF methods ------------------------------------------ + def get_klu_state(self, dataframe): + return self.tf_df.get_klu_state(dataframe) def check_fx(self, klc): - if klc.pre and klc.next: - if klc.high > klc.pre.high and klc.high > klc.next.high and klc.low > klc.pre.low and klc.low > klc.next.low: - #if (klc.close > klc.ema52 or klc.next.close > klc.next.ema52) and klc.macd > 0 and klc.macd > klc.macdhist: - klc.set_fx(Chan_FX_TYPE.TOP) - #print(klc.start_time, klc.end_time,klc.next.start_time, klc.next.end_time, klc.macd, klc.state, klc.fx, "TOP") - return Chan_FX_TYPE.TOP - elif klc.low < klc.pre.low and klc.low < klc.next.low and klc.high < klc.pre.high and klc.high < klc.next.high: - #if (klc.close < klc.ema52 or klc.next.close < klc.next.ema52) and klc.macd < 0 and klc.macd < klc.macdhist: - klc.set_fx(Chan_FX_TYPE.BOTTOM) - #print(klc.start_time, klc.end_time,klc.next.start_time, klc.next.end_time, klc.macd, klc.state, klc.fx, "BOTTOM") - return Chan_FX_TYPE.BOTTOM - return Chan_FX_TYPE.UNKNOWN + return self.tf_df.check_fx(klc) def add_indicators1(self, df): - fast = 12 - slow = 26 - period = 9 - macd = ta.MACD(df, fastperiod=fast, slowperiod=slow, signalperiod=period) - bb365 = ta.BBANDS(df, timeperiod=365, nbdevup=3.0, nbdevdn=3.0, matype=0) - bb120 = ta.BBANDS(df, timeperiod=120, nbdevup=3.0, nbdevdn=3.0, matype=0) - bb30 = ta.BBANDS(df, timeperiod=41, nbdevup=2.3, nbdevdn=2.3, matype=0) - bb302 = ta.BBANDS(df, timeperiod=41, nbdevup=2.0, nbdevdn=2.0, matype=0) - bb30 = ta.BBANDS(df, timeperiod=20, nbdevup=2.0, nbdevdn=2.0, matype=0) - bb302 = ta.BBANDS(df, timeperiod=20, nbdevup=2.0, nbdevdn=2.0, matype=0) - # 计算布林带中轨（移动平均线） - bb30_middle = ta.SMA(df, timeperiod=90) - - # 手动计算布林带 %B 指标 (BBP) - # %B = (Price - Lower Band) / (Upper Band - Lower Band) - bbp365 = (df['close'] - bb365['lowerband']) / (bb365['upperband'] - bb365['lowerband']) - bbp120 = (df['close'] - bb120['lowerband']) / (bb120['upperband'] - bb120['lowerband']) - bbp30 = (df['close'] - bb30['lowerband']) / (bb30['upperband'] - bb30['lowerband']) - bbp302 = (df['close'] - bb302['lowerband']) / (bb302['upperband'] - bb302['lowerband']) - df['atr'] = ta.ATR(df, timeperiod=14) - df['bbup365'] = bb365['upperband'] - df['bblow365'] = bb365['lowerband'] - df['bbp365'] = bbp365 - df['bbup120'] = bb120['upperband'] - df['bblow120'] = bb120['lowerband'] - df['bbp120'] = bbp120 - df['bbup30'] = bb30['upperband'] - df['bblow30'] = bb30['lowerband'] - df['bbmiddle30'] = bb30_middle # 添加bb30中轨 - df['bbp30'] = bbp30 - df['bbup302'] = bb302['upperband'] - df['bblow302'] = bb302['lowerband'] - df['bbp302'] = bbp302 - df['macd'] = macd['macd'] - df['macdsignal'] = macd['macdsignal'] - df['macdhist'] = macd['macdhist'] - df['ema5'] = ta.EMA(df, timeperiod=5) - df['ema10'] = ta.EMA(df, timeperiod=10) - df['ema26'] = ta.EMA(df, timeperiod=26) - df['ema52'] = ta.EMA(df, timeperiod=52) - df['rsi'] = ta.RSI(df, timeperiod=14) - df['volume_ratio'] = self.cal_volume_ratio(df) - return df + return self.tf_df.add_indicators(df) def get_bi_list(self, dataframe): - bi_list = self.cal_bi_list(self.get_klc_list(dataframe)) - return bi_list + return self.tf_df.get_bi_list(dataframe) def get_kl_data(self, dataframe:DataFrame): - fields = "time,open,high,low,close,volume" - klu_list = [] - last_klu = None - for i in range(0, len(dataframe)): - item = dataframe.iloc[i] - date = item['date'] - o = item['open'] - h = item['high'] - l = item['low'] - c = item['close'] - v = item['volume'] - #time_obj = date.fromtimestamp(date) - #date = date + timedelta(hours=8) - time_str = date.strftime('%Y-%m-%d %H:%M:%S') - item_data = [ - time_str, - o, - h, - l, - c, - v - ] - #klu = KLU(self.create_item_dict(item_data, GetColumnNameFromFieldList(fields))) - klu = ChanKLU(time_str, o, h, l, c, v) - #print(klu.time, klu.open, klu.high, klu.low, klu.close, klu.volume) - klu.set_idx(i) - klu_list.append(klu) - if last_klu: - last_klu.set_next(klu) - klu.set_pre(last_klu) - last_klu = klu - if 'macd' in item: - klu.set_indicators(item) - return klu_list + return self.tf_df.cal_kl_data(dataframe) def cal_volume_ratio(self, dataframe, window=10): - df = dataframe.copy() - # 计算过去N根K线的平均成交量 - df['avg_volume'] = df['volume'].rolling(window=window).mean() - # 计算量比 - df['volume_ratio'] = df['volume'] / df['avg_volume'] - # 填充缺失值（前N根K线） - df['volume_ratio'] = df['volume_ratio'].fillna(1.0) - return df['volume_ratio'] + return self.tf_df.cal_volume_ratio(dataframe, window) def calculate_zs(self, bi_list, seg_list): return self.get_zs_list(bi_list, seg_list) def get_seg_list(self, bi_list): - seg_list = [] - up_bi_list = [] - down_bi_list = [] - last_up_bi = None - last_down_bi = None - last_up_sbi = None - last_down_sbi = None - last_seg = None - up_sbi_list = [] - down_sbi_list = [] - look_for_bottom = False - look_for_top = False - for bi in bi_list: - #print(len(up_sbi_list), len(down_sbi_list)) - if len(seg_list) > 0: - # Last seg is up - if last_seg.dir == Chan_SEG_DIR.UP: - if bi.dir == Chan_BI_DIR.DOWN: - if len(down_sbi_list) > 1: - # Check down sbi inclusion - included = last_down_sbi.check_bi_included(bi) - if not included: - down_sbi = ChanSBI(bi, len(down_sbi_list), bi.dir) - last_down_sbi.set_next(down_sbi) - last_down_sbi.set_end_bi(last_down_bi) - down_sbi.set_pre(last_down_sbi) - down_sbi_list.append(down_sbi) - fx = last_down_sbi.check_fx() - # Found top - if fx == Chan_FX_TYPE.TOP: - if look_for_top: - seg_list[-2].set_sure(bi) - look_for_top = False - #print(bi.start_time, look_for_top, "UP 1") - # Has gap and search for bottom fx - if last_down_sbi.has_fx_gap: - look_for_bottom = True - last_seg.pre_set_end_bi(bi_list[last_down_sbi.start_bi.index - 1]) - seg = ChanSEG(last_down_sbi.start_bi, len(seg_list), Chan_SEG_DIR.DOWN, bi) - seg_list.append(seg) - last_seg.set_next(seg) - seg.set_pre(last_seg) - last_seg = seg - up_sbi_list = [] - last_up_sbi = ChanSBI(last_up_bi, len(up_sbi_list), last_up_bi.dir) - up_sbi_list.append(last_up_sbi) - #up_sbi_list.append(last_up_sbi) - #print(last_up_bi.start_time, last_up_sbi.start_bi.start_time, "Reset up sbi list 1") - #print(bi.start_time, look_for_top, "UP 2") - # No gap end SEG - else: - if look_for_bottom: - look_for_bottom = False - last_seg.set_start_bi(last_down_sbi.start_bi) - seg_list[-2].set_end_bi(bi_list[last_down_sbi.start_bi.index - 1], bi) - up_sbi_list = [] - last_up_sbi = ChanSBI(last_up_bi, len(up_sbi_list), last_up_bi.dir) - up_sbi_list.append(last_up_sbi) - last_seg.add_bi(bi) - #up_sbi_list.append(last_up_sbi) - #print(last_up_bi.start_time, last_up_sbi.start_bi.start_time, "Reset up sbi list 2") - #print(bi.start_time, look_for_top, "UP 3") - else: - last_seg.set_end_bi(bi_list[last_down_sbi.start_bi.index - 1], bi) - seg = ChanSEG(last_down_sbi.start_bi, len(seg_list), Chan_SEG_DIR.DOWN, bi) - seg_list.append(seg) - last_seg.set_next(seg) - seg.set_pre(last_seg) - last_seg = seg - #print(last_down_sbi.end_bi.start_time, "Normal UP SEG", last_up_sbi.start_bi.start_time, bi.start_time) - #l_up_sbi = up_sbi_list[-1] - up_sbi_list = [] - last_up_sbi = ChanSBI(last_up_bi, len(up_sbi_list), last_up_bi.dir) - up_sbi_list.append(last_up_sbi) - #up_sbi_list.append(last_up_sbi) - #print(last_up_bi.start_time, last_up_sbi.start_bi.start_time, "Reset up sbi list 3") - last_down_sbi = down_sbi - last_seg.add_bi(bi) - else: - if len(down_sbi_list) == 1: - included = last_down_sbi.check_bi_included(bi) - if not included: - down_sbi = ChanSBI(bi, len(down_sbi_list), bi.dir) - last_down_sbi.set_next(down_sbi) - last_down_sbi.set_end_bi(last_down_bi) - down_sbi.set_pre(last_down_sbi) - down_sbi_list.append(down_sbi) - last_down_sbi = down_sbi - #print(bi.start_time, look_for_top, "UP 4") - last_seg.add_bi(bi) - - else: - last_down_sbi = ChanSBI(bi, len(down_sbi_list), bi.dir) - down_sbi_list.append(last_down_sbi) - last_seg.add_bi(bi) - #print(bi.start_time, look_for_top, "UP 5") - else: - if last_up_sbi: - included = last_up_sbi.check_bi_included(bi) - if not included: - up_sbi = ChanSBI(bi, len(up_sbi_list), bi.dir) - last_up_sbi.set_next(up_sbi) - last_up_sbi.set_end_bi(last_up_bi) - up_sbi.set_pre(last_up_sbi) - up_sbi_list.append(up_sbi) - last_up_sbi = up_sbi - #print(bi.start_time, look_for_top, "UP 6") - last_seg.add_bi(bi) - - # Last seg is down - else: - if bi.dir == Chan_BI_DIR.UP: - if len(up_sbi_list) > 1: - # Check down sbi inclusion - included = last_up_sbi.check_bi_included(bi) - if not included: - up_sbi = ChanSBI(bi, len(up_sbi_list), bi.dir) - last_up_sbi.set_next(up_sbi) - last_up_sbi.set_end_bi(last_up_bi) - up_sbi.set_pre(last_up_sbi) - up_sbi_list.append(up_sbi) - fx = last_up_sbi.check_fx() - # Found bottom - if fx == Chan_FX_TYPE.BOTTOM: - if look_for_bottom: - seg_list[-2].set_sure(bi) - look_for_bottom = False - #print(bi.start_time, look_for_top, "DOWN 1") - # Has gap and search for bottom fx - if last_up_sbi.has_fx_gap: - look_for_top = True - last_seg.pre_set_end_bi(bi_list[last_up_sbi.start_bi.index - 1]) - seg = ChanSEG(last_up_sbi.start_bi, len(seg_list), Chan_SEG_DIR.UP, bi) - seg_list.append(seg) - last_seg.set_next(seg) - seg.set_pre(last_seg) - last_seg = seg - down_sbi_list = [] - last_down_sbi = ChanSBI(last_down_bi, len(down_sbi_list), last_down_bi.dir) - down_sbi_list.append(last_down_sbi) - #down_sbi_list.append(last_down_sbi) - #print(last_down_bi.start_time, last_down_sbi.start_bi.start_time, "Reset down sbi list 1") - #print(bi.start_time, look_for_top, "DOWN 2") - # No gap end SEG - else: - if look_for_top: - look_for_top = False - last_seg.set_start_bi(last_up_sbi.start_bi) - seg_list[-2].set_end_bi(bi_list[last_up_sbi.start_bi.index - 1], bi) - down_sbi_list = [] - last_down_sbi = ChanSBI(last_down_bi, len(down_sbi_list), last_down_bi.dir) - down_sbi_list.append(last_down_sbi) - last_seg.add_bi(bi) - #down_sbi_list.append(last_down_sbi) - #print(last_down_bi.start_time, last_down_sbi.start_bi.start_time, "Reset down sbi list 2") - #print(bi.start_time, look_for_top, "DOWN 3") - else: - last_seg.set_end_bi(bi_list[last_up_sbi.start_bi.index - 1], bi) - seg = ChanSEG(last_up_sbi.start_bi, len(seg_list), Chan_SEG_DIR.UP, bi) - #print(last_up_sbi.start_bi.start_time) - last_seg.set_next(seg) - seg.set_pre(last_seg) - seg_list.append(seg) - last_seg = seg - #print(last_up_sbi.end_bi.start_time, "Normal DOWN SEG", last_down_sbi.start_bi.start_time, bi.start_time) - down_sbi_list = [] - last_down_sbi = ChanSBI(last_down_bi, len(down_sbi_list), last_down_bi.dir) - down_sbi_list.append(last_down_sbi) - #down_sbi_list.append(last_down_sbi) - #print(last_down_bi.start_time, last_down_sbi.start_bi.start_time, "Reset down sbi list 3") - last_up_sbi = up_sbi - last_seg.add_bi(bi) - else: - if len(up_sbi_list) == 1: - #last_up_sbi = up_sbi_list[-1] - included = last_up_sbi.check_bi_included(bi) - if not included: - up_sbi = ChanSBI(bi, len(up_sbi_list), bi.dir) - last_up_sbi.set_next(up_sbi) - last_up_sbi.set_end_bi(last_up_bi) - up_sbi.set_pre(last_up_sbi) - up_sbi_list.append(up_sbi) - last_up_sbi = up_sbi - last_seg.add_bi(bi) - #print(bi.start_time, look_for_top, "DOWN 4") - else: - last_up_sbi = ChanSBI(bi, len(up_sbi_list), bi.dir) - up_sbi_list.append(last_up_sbi) - last_seg.add_bi(bi) - #print(bi.start_time, look_for_top, "DOWN 5") - else: - if last_down_sbi: - included = last_down_sbi.check_bi_included(bi) - if not included: - down_sbi = ChanSBI(bi, len(down_sbi_list), bi.dir) - last_down_sbi.set_next(down_sbi) - last_down_sbi.set_end_bi(last_down_bi) - down_sbi.set_pre(last_down_sbi) - down_sbi_list.append(down_sbi) - last_down_sbi = down_sbi - last_seg.add_bi(bi) - #print(bi.start_time, look_for_top, look_for_bottom, "DOWN 6") - # len(seg_list) = 0 - else: - if bi.check_overlap(): - if bi.dir == Chan_BI_DIR.UP: - seg = ChanSEG(bi, len(seg_list), Chan_SEG_DIR.UP, bi) - last_up_bi = bi - last_up_sbi = ChanSBI(bi, len(up_sbi_list), bi.dir) - seg_list.append(seg) - last_seg = seg - #print(bi.start_time, 'Create first UP SEG') - else: - seg = ChanSEG(bi, len(seg_list), Chan_SEG_DIR.DOWN, bi) - last_down_bi = bi - last_down_sbi = ChanSBI(bi, len(down_sbi_list), bi.dir) - seg_list.append(seg) - last_seg = seg - #print(bi.start_time, 'Create first DOWN SEG') - if bi.dir == Chan_BI_DIR.UP: - last_up_bi = bi - up_bi_list.append(bi) - else: - last_down_bi = bi - down_bi_list.append(bi) - """ - if len(seg_list) > 1: - seg = seg_list[-1] - last_seg = seg_list[-2] - last_seg_bi = last_seg.bi_list[-3] - bi_index = seg.start_bi.index - for i in range(bi_index, len(bi_list) - 1): - # last seg is down - if seg.dir == Chan_SEG_DIR.UP: - if bi_list[i].dir == Chan_BI_DIR.UP: - last_seg_peak = last_seg_bi.high - if bi_list[i].high > last_seg_peak: - # The confirmed - print("Last UP seg is broken, create a new seg. 1") - seg.pre_set_end_bi(bi_list[i]) - seg = ChanSEG(bi_list[i+1], len(seg_list), Chan_SEG_DIR.DOWN, bi) - seg_list.append(seg) - last_seg = seg_list[-2] - if len(last_seg.bi_list) > 3: - last_seg_bi = last_seg.bi_list[-3] - - else: - if bi_list[i].dir == Chan_BI_DIR.DOWN: - last_seg_peak = last_seg_bi.low - if bi_list[i].low < last_seg_peak: - print("Last DOWN seg is broken, create a new seg. 1") - seg.pre_set_end_bi(bi_list[i]) - seg = ChanSEG(bi_list[i+1], len(seg_list), Chan_SEG_DIR.UP, bi) - seg_list.append(seg) - last_seg = seg_list[-2] - if len(last_seg.bi_list) > 3: - last_seg_bi = last_seg.bi_list[-3] - else: - if len(seg_list) == 1: - last_seg = seg_list[-1] - bi_index = last_seg.bi_list[0].index - for i in range(bi_index, len(bi_list) - 1): - if i > bi_index + 2: - last_seg_peak = bi_list[i-2].high - # last seg is down - if last_seg.dir == Chan_SEG_DIR.DOWN: - if bi_list[i].dir == Chan_BI_DIR.UP: - if bi_list[i].high > last_seg_peak: - print("Last seg is broken, create a new seg. 2") - last_seg.pre_set_end_bi(bi_list[i-1]) - seg = ChanSEG(bi_list[i], len(seg_list), Chan_SEG_DIR.UP, bi) - seg_list.append(seg) - last_seg = seg - last_seg_bi = bi_list[i] - break - """ - self.cal_bi_zs(seg_list) - return seg_list + return self.tf_df.get_seg_list(bi_list) def cal_trend(self, klc_list): - """ - 基于价格与EMA24/EMA52的位置关系、以及MACD/Signal/Hist的方向， - 为每个KLC打上趋势标签：'UP' / 'DOWN' / 'FLAT'。 - 仅设置 klc.trend，不影响其它字段。 - """ - if not klc_list: - return klc_list - last_trend = Chan_PRICE_TREND.UNKNOWN - # 趋势延续性：参考近 N 根已完成的KLC - lookback_n = 5 - prev_klcs = [] - for klc in klc_list: - price = getattr(klc, 'close', None) - ema24 = getattr(klc, 'ema24', None) - ema52 = getattr(klc, 'ema52', None) - macd = getattr(klc, 'macd', 0) if getattr(klc, 'macd', None) is not None else 0 - signal = getattr(klc, 'signal', 0) if getattr(klc, 'signal', None) is not None else 0 - hist = getattr(klc, 'macdhist', 0) if getattr(klc, 'macdhist', None) is not None else 0 - rsi = getattr(klc, 'rsi', None) - trend = Chan_PRICE_TREND.UNKNOWN - score = 0 - try: - # 有效性 - price_valid = price is not None and price != 0 - ema24_valid = ema24 is not None and ema24 != 0 - ema52_valid = ema52 is not None and ema52 != 0 - # 多因子投票 - - # 1) 均线结构 + 价位 - if ema24_valid and ema52_valid: - score += 1 if ema24 > ema52 else -1 - if price_valid and ema24_valid: - score += 1 if price > ema24 else -1 - if price_valid and ema52_valid: - score += 1 if price > ema52 else -1 - # 2) MACD结构 - score += 1 if macd >= signal else -1 - if hist != 0: - score += 1 if hist > 0 else -1 - # 3) 动量与均线差分斜率 - pre = getattr(klc, 'pre', None) - if pre: - pre_close = getattr(pre, 'close', None) - if price_valid and pre_close is not None: - score += 1 if price >= pre_close else -1 - pre_ema24 = getattr(pre, 'ema24', None) - pre_ema52 = getattr(pre, 'ema52', None) - if ema24_valid and ema52_valid and pre_ema24 not in (None, 0) and pre_ema52 not in (None, 0): - spread_now = ema24 - ema52 - spread_pre = pre_ema24 - pre_ema52 - score += 1 if spread_now >= spread_pre else -1 - # 3.1) MACD柱体动量趋势：考虑 macdhist 的斜率与过零 - pre_hist = getattr(pre, 'macdhist', None) - if pre_hist is not None and hist is not None: - # 柱体斜率：上升加分，下降减分 - if hist > pre_hist: - score += 1 - elif hist < pre_hist: - score -= 1 - # 过零加权：负转正更偏多，正转负更偏空 - if pre_hist < 0 and hist > 0: - score += 1 - elif pre_hist > 0 and hist < 0: - score -= 1 - # 3.2) EMA52 突破/跌破加权 - if ema52_valid and price_valid and pre_close is not None and pre_ema52 not in (None, 0): - # 看多突破：从均线下方上破且动量配合 - if pre_close <= pre_ema52 and price > ema52 and (hist is None or pre_hist is None or hist >= pre_hist): - score += 1 - # 看空跌破：从均线上方下破且动量配合 - if pre_close >= pre_ema52 and price < ema52 and (hist is None or pre_hist is None or hist <= pre_hist): - score -= 1 - # 3.3) EMA52 支撑/阻力触碰（非强穿越） - if ema52_valid and price_valid: - low_v = getattr(klc, 'low', None) - high_v = getattr(klc, 'high', None) - if low_v is not None and high_v is not None and ema52 not in (None, 0): - # 触碰容差（相对EMA52的0.15%） - touch_tol = 0.0015 - # 作为支撑：收盘在上，最低靠近EMA52 - near_support_touch = (price > ema52) and (abs(low_v - ema52) / abs(ema52) <= touch_tol) - # 作为阻力：收盘在下，最高靠近EMA52 - near_resistance_touch = (price < ema52) and (abs(high_v - ema52) / abs(ema52) <= touch_tol) - if near_support_touch: - # 若动量不弱，则更偏多 - score += 1 if (hist is None or pre_hist is None or hist >= pre_hist) else 0 - if near_resistance_touch: - # 若动量不强，则更偏空 - score -= 1 if (hist is None or pre_hist is None or hist <= pre_hist) else 0 - # 3.4) 多次对 EMA52 的"拒绝"配合 MACD 逆向：易形成压/支并反向 - # 统计近窗口内的上/下拒绝次数： - # - 上拒绝：价格位于 EMA52 下方，最高触及/越过 EMA52 但收盘仍在下方 - # - 下拒绝：价格位于 EMA52 上方，最低触及/跌破 EMA52 但收盘仍在上方 - recent_up_rejects = 0 - recent_down_rejects = 0 - if ema52_valid: - window_rej = prev_klcs[-lookback_n:] if len(prev_klcs) > 0 else [] - rej_tol = 0.0015 - for wk in window_rej: - wk_close = getattr(wk, 'close', None) - wk_ema52 = getattr(wk, 'ema52', None) - wk_high = getattr(wk, 'high', None) - wk_low = getattr(wk, 'low', None) - if wk_close is None or wk_ema52 in (None, 0): - continue - # 上拒绝（阻力）：下方多次试图上破但未站上 - if wk_close < wk_ema52 and wk_high is not None: - if wk_high >= wk_ema52 or abs(wk_high - wk_ema52) / abs(wk_ema52) <= rej_tol: - recent_up_rejects += 1 - # 下拒绝（支撑）：上方多次试图下破但未跌破 - if wk_close > wk_ema52 and wk_low is not None: - if wk_low <= wk_ema52 or abs(wk_low - wk_ema52) / abs(wk_ema52) <= rej_tol: - recent_down_rejects += 1 - # 定义 MACD 的方向偏好 - macd_bias_up = (macd >= signal) and (hist is None or pre_hist is None or hist >= pre_hist) - macd_bias_down = (macd <= signal) and (hist is None or pre_hist is None or hist <= pre_hist) - # 若多次上拒绝且 MACD 偏空，则更偏向下行；若多次下拒绝且 MACD 偏多，则更偏向上行 - if recent_up_rejects >= 2 and macd_bias_down: - score -= 2 - if recent_down_rejects >= 2 and macd_bias_up: - score += 2 - # 4) RSI 辅助 - if rsi is not None: - if rsi >= 55: - score += 1 - elif rsi <= 45: - score -= 1 - # 5) 指标未就绪回退（EMA/MACD缺失时，用动量与RSI辅助，延续趋势） - has_full_ind = ema24_valid and ema52_valid and not (macd == 0 and signal == 0 and hist == 0) - if not has_full_ind: - # 仅根据价动量/RSI做轻量判断，默认延续 last_trend，除非出现强反向 - strong_up = False - strong_down = False - pre = getattr(klc, 'pre', None) - if pre: - pre_close = getattr(pre, 'close', None) - if price_valid and pre_close is not None: - strong_up = (price >= pre_close) - strong_down = (price < pre_close) - if rsi is not None: - if rsi >= 60: - strong_up = True - elif rsi <= 40: - strong_down = True - if last_trend == Chan_PRICE_TREND.UP and not strong_down: - trend = Chan_PRICE_TREND.UP - elif last_trend == Chan_PRICE_TREND.DOWN and not strong_up: - trend = Chan_PRICE_TREND.DOWN - else: - trend = Chan_PRICE_TREND.UP if strong_up and not strong_down else (Chan_PRICE_TREND.DOWN if strong_down and not strong_up else Chan_PRICE_TREND.FLAT) - else: - # 6) 震荡过滤（仅当极近EMA52且MACD贴合时判作震荡） - near_flat = False - if price_valid and ema52_valid: - near_ema52 = abs(price - ema52) / abs(ema52) <= 0.0005 # 0.05% - near_macd = abs(macd - signal) <= (abs(price) * 0.00005 if price_valid else 0) - near_flat = near_ema52 and near_macd - # 7) 动态阈值 + 趋势记忆（更强粘滞：趋势中容忍小幅反分） - # 引入过去 N 根KLC 的趋势延续性来动态调整翻转阈值，并结合 EMA52 支撑/阻力触碰强化门槛 - force_flip_down = False - force_flip_up = False - if near_flat: - trend = Chan_PRICE_TREND.FLAT - else: - # 计算过去窗口的趋势一致性 - window = prev_klcs[-lookback_n:] if len(prev_klcs) > 0 else [] - persist_up = 0 - persist_down = 0 - for wk in window: - if getattr(wk, 'trend', None) == Chan_PRICE_TREND.UP: - persist_up += 1 - elif getattr(wk, 'trend', None) == Chan_PRICE_TREND.DOWN: - persist_down += 1 - persist_ratio_up = (persist_up / len(window)) if len(window) > 0 else 0 - persist_ratio_down = (persist_down / len(window)) if len(window) > 0 else 0 - # 基准阈值 - down_flip_threshold = -2 - up_flip_threshold = 2 - # 若最近多为UP，则从UP翻转需更强反向信号；同理对DOWN - if last_trend == Chan_PRICE_TREND.UP and persist_ratio_up >= 0.6: - down_flip_threshold = -3 - elif last_trend == Chan_PRICE_TREND.DOWN and persist_ratio_down >= 0.6: - up_flip_threshold = 3 - # EMA52 触碰强化门槛：UP时若出现支撑触碰，下翻更难；DOWN时若出现阻力触碰，上翻更难 - if ema52_valid and price_valid: - low_v = getattr(klc, 'low', None) - high_v = getattr(klc, 'high', None) - if low_v is not None and high_v is not None and ema52 not in (None, 0): - touch_tol = 0.0015 - near_support_touch = (price > ema52) and (abs(low_v - ema52) / abs(ema52) <= touch_tol) - near_resistance_touch = (price < ema52) and (abs(high_v - ema52) / abs(ema52) <= touch_tol) - if last_trend == Chan_PRICE_TREND.UP and near_support_touch: - # 强化维持UP：进一步降低向下翻转阈值 - down_flip_threshold = min(down_flip_threshold - 1, -3) - if last_trend == Chan_PRICE_TREND.DOWN and near_resistance_touch: - # 强化维持DOWN：进一步提高向上翻转阈值 - up_flip_threshold = max(up_flip_threshold + 1, 3) - # 7.1) 复合拐头信号：MACD/Signal 同向拐头 + hist 连续减弱 + 多次未能越过 EMA52 - pre_macd = getattr(pre, 'macd', None) if pre else None - pre_signal = getattr(pre, 'signal', None) if pre else None - macd_slope = (macd - pre_macd) if (pre_macd is not None and macd is not None) else 0 - signal_slope = (signal - pre_signal) if (pre_signal is not None and signal is not None) else 0 - # hist 连续减弱（绝对值缩小） - hist_seq = [] - for wk in prev_klcs[-2:]: - val = getattr(wk, 'macdhist', None) - if val is not None: - hist_seq.append(val) - if hist is not None: - hist_seq.append(hist) - weaken_steps = 0 - for i in range(1, len(hist_seq)): - if abs(hist_seq[i]) < abs(hist_seq[i-1]): - weaken_steps += 1 - # 近窗口对 EMA52 的"未能站上/跌破"统计（放宽窗口与条件） - window_ema = prev_klcs[-4:] if len(prev_klcs) > 0 else [] - no_up_break = False - no_down_break = False - if ema52_valid: - # 未能有效上破：最近若干根收盘大多数不在 EMA52 上方，且高点多次触及/接近 - cnt_touch_up = 0 - cnt_close_above = 0 - for wk in window_ema: - wk_close = getattr(wk, 'close', None) - wk_high = getattr(wk, 'high', None) - wk_ema = getattr(wk, 'ema52', None) - if wk_close is not None and wk_ema not in (None, 0): - if wk_close > wk_ema: - cnt_close_above += 1 - if wk_high is not None and (wk_high >= wk_ema or abs(wk_high - wk_ema) / abs(wk_ema) <= 0.0015): - cnt_touch_up += 1 - no_up_break = (cnt_close_above <= 1 and cnt_touch_up >= 1 and price <= ema52) - # 未能有效下破：最近若干根收盘大多数不在 EMA52 下方，且低点多次触及/接近 - cnt_touch_down = 0 - cnt_close_below = 0 - for wk in window_ema: - wk_close = getattr(wk, 'close', None) - wk_low = getattr(wk, 'low', None) - wk_ema = getattr(wk, 'ema52', None) - if wk_close is not None and wk_ema not in (None, 0): - if wk_close < wk_ema: - cnt_close_below += 1 - if wk_low is not None and (wk_low <= wk_ema or abs(wk_low - wk_ema) / abs(wk_ema) <= 0.0015): - cnt_touch_down += 1 - no_down_break = (cnt_close_below <= 1 and cnt_touch_down >= 1 and price >= ema52) - # 若当前为UP趋势，出现明显拐头+hist减弱+未能上破EMA52，则加速看空 - if last_trend == Chan_PRICE_TREND.UP and macd_slope < 0 and signal_slope < 0 and weaken_steps >= 1 and no_up_break and macd_bias_down: - score -= 3 - down_flip_threshold = max(down_flip_threshold, 0) - force_flip_down = True - # 若当前为DOWN趋势，出现明显拐头+hist减弱+未能下破EMA52，则加速看多 - if last_trend == Chan_PRICE_TREND.DOWN and macd_slope > 0 and signal_slope > 0 and weaken_steps >= 1 and no_down_break and macd_bias_up: - score += 3 - up_flip_threshold = min(up_flip_threshold, 0) - force_flip_up = True - # 多次对 EMA52 的拒绝配合 MACD 逆向：加速反向翻转（降低相反方向阈值） - if recent_up_rejects >= 2 and macd_bias_down: - # 从 UP 向 DOWN 的翻转更容易 - down_flip_threshold = max(down_flip_threshold, -1) - if recent_down_rejects >= 2 and macd_bias_up: - # 从 DOWN 向 UP 的翻转更容易 - up_flip_threshold = min(up_flip_threshold, 1) - if force_flip_down: - trend = Chan_PRICE_TREND.DOWN - elif force_flip_up: - trend = Chan_PRICE_TREND.UP - elif last_trend == Chan_PRICE_TREND.UP: - if score <= down_flip_threshold: - trend = Chan_PRICE_TREND.DOWN - else: - trend = Chan_PRICE_TREND.UP - elif last_trend == Chan_PRICE_TREND.DOWN: - if score >= up_flip_threshold: - trend = Chan_PRICE_TREND.UP - else: - trend = Chan_PRICE_TREND.DOWN - else: - # 初始无记忆时，降低进入门槛 - if score >= 1: - trend = Chan_PRICE_TREND.UP - elif score <= -1: - trend = Chan_PRICE_TREND.DOWN - else: - trend = Chan_PRICE_TREND.FLAT - except Exception: - trend = Chan_PRICE_TREND.UNKNOWN - # 写回趋势 - if klc.end_time is None: - trend = Chan_PRICE_TREND.FLAT - if hasattr(klc, 'set_trend'): - klc.set_trend(trend) - else: - setattr(klc, 'trend', trend) - last_trend = trend - # 更新滑窗：仅向后看 - prev_klcs.append(klc) - price_diff = klc.close - klc.pre.close if klc.pre else 0 - #if klc.index > len(klc_list) - 10: - #print(klc.start_time, klc.end_time, klc.close, klc.ema24, klc.ema52, klc.macd, klc.signal, klc.macdhist, klc.trend, price_diff, score) - #print(klc.start_time, klc.end_time, klc.trend, price_diff, score) - return klc_list + return self.tf_df.cal_trend(klc_list) def check_top_fx(self, last_bottom, klc): - if last_bottom.high > klc.pre.low or last_bottom.high > klc.next.low: - return False - return True + return self.tf_df.check_top_fx(last_bottom, klc) def check_bottom_fx(self, last_top, klc): - if last_top.low < klc.pre.high or last_top.low < klc.next.high: - return False - return True + return self.tf_df.check_bottom_fx(last_top, klc) def cal_bi_list(self, klc_list): - bi_list = [] - last_top = None - last_bottom = None - for klc in klc_list: - fx = self.check_fx(klc) - if fx == Chan_FX_TYPE.TOP: - if last_bottom: - if self.check_top_fx(last_bottom, klc) == False: - fx = Chan_FX_TYPE.UNKNOWN - if fx == Chan_FX_TYPE.BOTTOM: - if last_top: - if self.check_bottom_fx(last_top, klc) == False: - fx = Chan_FX_TYPE.UNKNOWN - # Do nothing - if fx == Chan_FX_TYPE.UNKNOWN: - continue - if len(bi_list) > 0 and klc.end_klu: - last_bi = bi_list[-1] - #print(klc.start_time, last_bi.start_time, last_bi.end_time, last_bi.dir, last_bi.high, last_bi.low, last_bottom.end_time, "last bi") - if last_top and last_bi.dir == Chan_BI_DIR.DOWN: - if last_bottom and klc.high > last_bi.high: - last_bi.set_end_klc(last_bottom, klc) - bi = ChanBI(last_bottom, len(bi_list), Chan_BI_DIR.UP) - #klc.set_klc_fx_type(Chan_KLC_FX.BOTTOM7) - #klc.bb_out = True - last_bi.set_next(bi) - bi.set_pre(last_bi) - for klc_index in range(last_bi.end_klc.index, len(klc_list)): - bi.add_klc(klc_list[klc_index]) - bi_list.append(bi) - last_top = klc - klc.set_bi(bi) - #print(klc.start_time, bi.start_time, bi.end_time, bi.dir, bi.high, bi.low, bi.is_sure) - else: - if last_bottom and last_bi.dir == Chan_BI_DIR.UP: - if last_top and klc.low < last_bi.low: - last_bi.set_end_klc(last_top, klc) - bi = ChanBI(last_top, len(bi_list), Chan_BI_DIR.DOWN) - #klc.set_klc_fx_type(Chan_KLC_FX.TOP6) - #klc.bb_out = True - last_bi.set_next(bi) - bi.set_pre(last_bi) - for klc_index in range(last_bi.end_klc.index, len(klc_list)): - bi.add_klc(klc_list[klc_index]) - bi_list.append(bi) - last_bottom = klc - klc.set_bi(bi) - #print(klc.start_time, bi.start_time, bi.end_time, bi.dir, bi.high, bi.low, bi.is_sure) - else: - if fx == Chan_FX_TYPE.TOP: - if last_top: - if last_bottom: - #print(klc.start_time, last_bottom.start_time, last_top.start_time) - if last_bottom.index < last_top.index: - # Second top lower to be second sell point - if last_top.high > klc.high: - #klc.set_fx(Chan_FX_TYPE.TT) - #klc.set_state("20") - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - #klc.cal_invisible() - #klc.set_klc_fx_type(Chan_KLC_FX.TOP3) - #print(klc.start_time, klc.fx, "二类卖点Sell 1") - else: - # A new top found - #last_top.set_fx(Chan_FX_TYPE.UNKNOWN) - last_top = klc - #print(klc.start_time, klc.fx, bi_list[-1].dir, "Last Top Change 1") - klc.set_klc_fx_type(Chan_KLC_FX.TOP1) - #print(klc.end_time, klc.fx, "一类卖点Sell 1") - #klc.set_fx(fx) - #klc.set_state("10") - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - else: - # 不满足结合律的分型 - if last_bottom.index + 4 > klc.index: - if last_top.high > klc.high: - #print(klc.start_time, klc.fx, "二类卖点Sell 1") - #klc.set_fx(Chan_FX_TYPE.PTOP) - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - # New TOP Found replace last top - else: - if last_top.index + 4 < klc.index and len(bi_list) > 1: - pre_last_bi = bi_list[-2] - last_bi = bi_list[-1] - if pre_last_bi.is_sure and not last_bi.is_sure and pre_last_bi.dir == Chan_BI_DIR.UP and False: - pre_last_bi.update_bi(klc) - bi_list.remove(last_bi) - pre_last_bi.set_next(None) - #last_top.set_fx(Chan_FX_TYPE.PTOP) - last_top = klc - last_bottom = pre_last_bi.start_klc - #print(klc.start_time, klc.fx, bi_list[-1].dir, "Last Top Bottom Change 1") - klc.set_klc_fx_type(Chan_KLC_FX.TOP2) - #print(klc.start_time, last_bi.start_klc.start_time, "New TOP Found reset last bi") - #klc.set_state("10") - #print(klc.start_time, klc.fx, "笔卖点Sell 1") - ###klc.set_klc_fx_type(Chan_KLC_FX.TOP2) # when bi is down but the fx is top - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - else: - klc.set_fx(Chan_FX_TYPE.PTOP) - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - #print(klc.start_time, klc.fx, "无效分型") - # 满足结合律 - else: - # New Temp TOP and last bottom confirmed ***** confirm last down bi(last bottom and last top) - last_bi = bi_list[-1] - if not last_bi.is_sure: - last_bi.set_end_klc(last_bottom, klc) - bi = ChanBI(last_bottom, len(bi_list), Chan_BI_DIR.UP) - #klc.set_klc_fx_type(Chan_KLC_FX.BOTTOM7) - #klc.bb_out = True - last_bi.set_next(bi) - bi.set_pre(last_bi) - bi.add_klc(klc) - bi_list.append(bi) - last_top = klc - #print(klc.end_time, klc.fx, bi_list[-1].dir, "Last Top Change 2") - klc.set_klc_fx_type(Chan_KLC_FX.TOP2) - #klc.set_state('30') - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - #print(klc.start_time, last_bottom.start_time, "Normal TOP Found, Confirm down bi 4") - #print(klc.start_time, klc.fx, "笔卖点Sell 2") - # last bottom = None - else: - if last_top.high < klc.high: - last_bi = bi_list[-1] - last_bi.set_start_klc(klc, Chan_BI_DIR.DOWN) - #last_top.set_fx(Chan_FX_TYPE.UNKNOWN) - last_top = klc - #print(klc.start_time, klc.fx, bi_list[-1].dir, "Last Top Change 3") - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - #print(klc.start_time, klc.fx, "笔卖点Sell 3") - else: - klc.set_fx(Chan_FX_TYPE.TT) - #klc.set_state('20') - #print(klc.start_time, klc.fx, "二类卖点Sell 2") - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - else: - if last_bottom: - # 不满足结合律的分型 - if last_bottom.index + 4 > klc.index: - #klc.set_fx(Chan_FX_TYPE.PTOP) - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - #print(klc.start_time, klc.fx, "中枢卖点Sell 1") - else: - # First temp top and last bottom confirmed - last_top = klc - #print(klc.start_time, klc.fx, bi_list[-1].dir, "Last Top Change 4") - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - #print(klc.start_time, klc.fx, "一类卖点Sell 1") - # Last top = None, last bottom = None, create first down bi - else: - # First temp top - last_top = klc - bi = ChanBI(klc, len(bi_list), Chan_BI_DIR.DOWN) - #klc.set_klc_fx_type(Chan_KLC_FX.TOP6) - #klc.bb_out = True - bi_list.append(bi) - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - #print(klc.start_time, klc.fx, bi_list[-1].dir, "Last Top Change 5") - #print(klc.start_time, 'Create first top') - #print(klc.start_time, klc.fx, "笔卖点Sell 1") - #klc.fx = Bottom ======================== - else: - if last_bottom: - if last_top: - # Bottom after top and find a new bottom - if last_top.index < last_bottom.index: - # Second bottom uppper to be second buy point and confirm last bi - if last_bottom.low < klc.low: - #klc.set_fx(Chan_FX_TYPE.BB) - #klc.set_state("-20") - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - #klc.cal_invisible() - #klc.set_klc_fx_type(Chan_KLC_FX.BOTTOM3) - #print(last_bottom.start_time, last_bottom.end_time, "--------------------------------1") - #print(klc.start_time, klc.fx, "二类买点Buy 1") - else: - # A new bottom found - #last_bottom.set_fx(Chan_FX_TYPE.UNKNOWN) - last_bottom = klc - #print(klc.start_time, klc.fx, bi_list[-1].dir, "Last Bottom Change 1") - klc.set_klc_fx_type(Chan_KLC_FX.BOTTOM1) - #print(klc.start_time, klc.fx, "一类买点Buy 1") - #klc.set_state("-10") - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - else: - # 不满足结合律的分型 - if last_top.index + 4 > klc.index: - if last_bottom.low < klc.low: - #klc.set_fx(Chan_FX_TYPE.PBOTTOM) - #klc.set_fx(Chan_FX_TYPE.BB) - #klc.set_state("-100") - #print(klc.start_time, klc.fx, "中枢买点Buy 1") - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - # Found new bottom - else: - if last_bottom.index + 4 < klc.index and len(bi_list) > 1: - pre_last_bi = bi_list[-2] - last_bi = bi_list[-1] - if pre_last_bi.is_sure and not last_bi.is_sure and pre_last_bi.dir == Chan_BI_DIR.DOWN and False: - pre_last_bi.update_bi(klc) - bi_list.remove(last_bi) - pre_last_bi.set_next(None) - #last_bottom.set_fx(Chan_FX_TYPE.PBOTTOM) - last_bottom = klc - last_top = pre_last_bi.start_klc - #print(klc.start_time, klc.fx, bi_list[-1].dir, "Last Top Bottom Change 2") - klc.set_klc_fx_type(Chan_KLC_FX.BOTTOM2) - #print(klc.start_time, last_bi.start_klc.start_time, "New BOTTOM Found reset last bi") - #klc.set_state("-10") - #print(klc.start_time, klc.fx, "笔买点Buy 1") - ###klc.set_klc_fx_type(Chan_KLC_FX.BOTTOM2) # when bi is up but the fx is bottom - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - else: - #klc.set_fx(Chan_FX_TYPE.UNKNOWN) - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - #print(klc.start_time, klc.fx, "无效分型") - # 满足结合律的分型 - else: - # New Temp Bottom and last top confirmed ***** confirm last up bi(last bottom and last top) - last_bi = bi_list[-1] - if not last_bi.is_sure: - last_bi.set_end_klc(last_top, klc) - bi = ChanBI(last_top, len(bi_list), Chan_BI_DIR.DOWN) - #klc.set_klc_fx_type(Chan_KLC_FX.TOP6) - #klc.bb_out = True - last_bi.set_next(bi) - bi.set_pre(last_bi) - bi.add_klc(klc) - bi_list.append(bi) - last_bottom = klc - #print(klc.start_time, klc.fx, bi_list[-1].dir, "Last Bottom Change 2") - klc.set_klc_fx_type(Chan_KLC_FX.BOTTOM2) - #klc.set_state('-30') - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - #print(klc.start_time, klc.fx, "笔买点Buy 2") - #print(klc.start_time, last_top.start_time, "Normal Bottom Found, Confirm up bi 6") - # last_top = None - else: - if last_bottom.low > klc.low: - last_bi = bi_list[-1] - last_bi.set_start_klc(klc, Chan_BI_DIR.UP) - #last_bottom.set_fx(Chan_FX_TYPE.UNKNOWN) - last_bottom = klc - #print(klc.start_time, klc.fx, bi_list[-1].dir, "Last Bottom Change 3") - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - #print(klc.start_time, klc.fx, "笔买点Buy 3") - else: - klc.set_fx(Chan_FX_TYPE.BB) - #klc.set_state('-20') - #print(klc.start_time, klc.fx, "二类买点Buy 2") - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - # last_bottom = None - else: - if last_top: - # 不满足结合律的分型 - if last_top.index + 4 > klc.index: - #klc.set_fx(Chan_FX_TYPE.PBOTTOM) - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - #print(klc.start_time, klc.fx, "中枢买点Buy 1") - else: - # First temp bottom and last top confirmed - last_bottom = klc - #print(klc.start_time, klc.fx, bi_list[-1].dir, "Last Bottom Change 4") - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - #print(klc.start_time, klc.fx, "一类买点Buy 1") - # Last top = None, last bottom = None, create first up bi - else: - # First temp bottom and no top yet - last_bottom = klc - bi = ChanBI(klc, len(bi_list), Chan_BI_DIR.UP) - #klc.set_klc_fx_type(Chan_KLC_FX.BOTTOM7) - #klc.bb_out = True - bi_list.append(bi) - bi_list[-1].add_klc(klc) - klc.set_bi(bi_list[-1]) - #print(klc.start_time, klc.fx, bi_list[-1].dir, "Last Bottom Change 5") - #print(klc.start_time, klc.fx, "笔买点Buy 4") - #if klc.fx != Chan_FX_TYPE.UNKNOWN: - #print(klc.start_time, klc.fx, klc.index) - """ - for klc in klc_list: - if klc.fx == Chan_FX_TYPE.TOP: - klc.state = "10" - #print(klc.time, klc.state) - if klc.fx == Chan_FX_TYPE.BOTTOM: - klc.state = "-10" - #print(klc.time, klc.state) - """ - #for index in range(0, 10): - #print(bi_list[index].start_time, bi_list[index].start_klc.start_time, bi_list[index].dir) - return bi_list - + return self.tf_df.cal_bi_list(klc_list) def get_zs_list(self, bi_list, seg_list): - zs_list = [] - bsp_list = [] - if len(seg_list) > 3: - last_zs = None - first_bi_out = None - in_again = False - bi_out_count = 0 - zs_count = 0 - for seg in seg_list: - # No zs or Last ZS is completed - if len(zs_list) == 0 or (last_zs and last_zs.is_sure): - # Has three completed segments - if seg.next and seg.next.next: - if seg.next.next.is_sure: - zg = min(seg.high, seg.next.high, seg.next.next.high) - zd = max(seg.low, seg.next.low, seg.next.next.low) - gg = max(seg.high, seg.next.high, seg.next.next.high) - dd = min(seg.low, seg.next.low, seg.next.next.low) - ddir = None - if last_zs: - if zg < last_zs.zd: - ddir = Chan_ZS_DIR.DOWN - else: - if zd > last_zs.zg: - ddir = Chan_ZS_DIR.UP - else: - ddir = None - else: - if seg.dir == Chan_SEG_DIR.UP: - ddir = Chan_ZS_DIR.DOWN - else: - ddir = Chan_ZS_DIR.UP - if (seg.dir == Chan_SEG_DIR.DOWN and ddir == Chan_ZS_DIR.DOWN) or (seg.dir == Chan_SEG_DIR.UP and ddir == Chan_ZS_DIR.UP): - ddir = None - if ddir and zg > zd: - # New ZS - zs = ChanZS(seg, len(zs_list), ddir) - zs.set_zg(zg) - zs.set_zd(zd) - zs.set_gg(gg) - zs.set_dd(dd) - if last_zs: - last_zs.set_next(zs) - zs.set_pre(last_zs) - zs_list.append(zs) - if last_zs and last_zs.dir == zs.dir: - zs_count += 1 - else: - zs_count = 1 - last_zs = zs - # Last ZS is not completed - else: - # Last ZS is not completed - if last_zs and not last_zs.is_sure: - if first_bi_out: - # SEG is not in ZS - if seg.is_sure: - if ((seg.low > last_zs.zg and seg.high > last_zs.zg) or (seg.high < last_zs.zd and seg.low < last_zs.zd)): - last_zs.set_end_klc(seg.pre.end_bi.end_klc, seg.sure_time, bi_out_count, seg.pre) - bi_out_count = 0 - #print(seg.start_bi.start_klc.start_time) - first_bi_out = None - # Last ZS is completed and look for new ZS - if seg.next and seg.next.next: - if seg.next.next.is_sure: - zg = min(seg.high, seg.next.high, seg.next.next.high) - zd = max(seg.low, seg.next.low, seg.next.next.low) - gg = max(seg.high, seg.next.high, seg.next.next.high) - dd = min(seg.low, seg.next.low, seg.next.next.low) - ddir = None - if last_zs: - if zg < last_zs.zd: - ddir = Chan_ZS_DIR.DOWN - else: - if zd > last_zs.zg: - ddir = Chan_ZS_DIR.UP - else: - ddir = None - else: - if seg.dir == Chan_SEG_DIR.UP: - ddir = Chan_ZS_DIR.DOWN - else: - ddir = Chan_ZS_DIR.UP - if (seg.dir == Chan_SEG_DIR.DOWN and ddir == Chan_ZS_DIR.DOWN) or (seg.dir == Chan_SEG_DIR.UP and ddir == Chan_ZS_DIR.UP): - ddir = None - if ddir and zg > zd: - # New ZS - zs = ChanZS(seg, len(zs_list), ddir) - zs.set_zg(zg) - zs.set_zd(zd) - zs.set_gg(gg) - zs.set_dd(dd) - last_zs.set_next(zs) - zs.set_pre(last_zs) - zs_list.append(zs) - if last_zs and last_zs.dir == zs.dir: - zs_count += 1 - else: - zs_count = 1 - last_zs = zs - # Last SEG is in ZS - else: - # SEG is inside ZS - if seg.end_bi: - for index in range(seg.start_bi.index, seg.end_bi.index+1): - bi = bi_list[index] - if (bi.high >= last_zs.zd and bi.high <= last_zs.zg) or (bi.low >= last_zs.zd and bi.low <= last_zs.zg) or (bi.high >= last_zs.zg and bi.low <= last_zs.zd): - in_again = True - last_zs.set_bi_out(None, None) - last_zs.set_last_bi_in(None) - last_zs.set_end_seg(None) - first_bi_out = None - #print("Bi in again 3", bi.start_klc.start_time) - if in_again and (bi.low > last_zs.zg or bi.high < last_zs.zd): - last_zs.set_bi_out(bi, seg) - last_zs.set_last_bi_in(bi_list[index - 1]) - #last_zs.set_end_seg(seg.next.next) - bi_out_count += 1 - first_bi_out = bi - if (bi.dir == Chan_BI_DIR.UP and seg.dir == Chan_SEG_DIR.DOWN) or (bi.dir == Chan_BI_DIR.DOWN and seg.dir == Chan_SEG_DIR.UP): - bsp = ChanBSP(first_bi_out, len(bsp_list), Chan_BSP_TYPE.T3, Chan_BSP_DIR.BUY if first_bi_out.dir == Chan_BI_DIR.DOWN else Chan_BSP_DIR.SELL, first_bi_out.sure_time, zs_count, zs, seg) - bsp_list.append(bsp) - #print("First bi out 3", first_bi_out.start_klc.start_time) - in_again = False - """" - if first_bi_out: - if seg.dir == Chan_SEG_DIR.UP and bi.dir == Chan_BI_DIR.UP: - #print(bi.start_klc.start_time, bi.high, seg.high) - if bi.high == seg.high: - bsp = ChanBSP(bi, len(bsp_list), Chan_BSP_TYPE.T3E, Chan_BSP_DIR.SELL if bi.dir == Chan_BI_DIR.DOWN else Chan_BSP_DIR.BUY, bi.sure_time, zs_count, zs, seg) - bsp_list.append(bsp) - else: - if seg.dir == Chan_SEG_DIR.DOWN and bi.dir == Chan_BI_DIR.DOWN: - if bi.low == seg.low: - bsp = ChanBSP(bi, len(bsp_list), Chan_BSP_TYPE.T3E, Chan_BSP_DIR.BUY if bi.dir == Chan_BI_DIR.DOWN else Chan_BSP_DIR.SELL, bi.sure_time, zs_count, zs, seg) - bsp_list.append(bsp) - """ - else: - # SEG in ZS and not out and find first bi out - if seg.end_bi: - for index in range(seg.start_bi.index, seg.end_bi.index+1): - bi = bi_list[index] - if (bi.high >= last_zs.zd and bi.high <= last_zs.zg) or (bi.low >= last_zs.zd and bi.low <= last_zs.zg) or (bi.high >= last_zs.zg and bi.low <= last_zs.zd): - in_again = True - last_zs.set_bi_out(None, None) - last_zs.set_last_bi_in(None) - last_zs.set_end_seg(None) - first_bi_out = None - #print("Bi in again 4", bi.start_klc.start_time) - if in_again and (bi.low > last_zs.zg or bi.high < last_zs.zd): - last_zs.set_bi_out(bi, seg) - last_zs.set_last_bi_in(bi_list[index - 1]) - #last_zs.set_end_seg(seg.next.next) - bi_out_count += 1 - first_bi_out = bi - if (bi.dir == Chan_BI_DIR.UP and seg.dir == Chan_SEG_DIR.DOWN) or (bi.dir == Chan_BI_DIR.DOWN and seg.dir == Chan_SEG_DIR.UP): - bsp = ChanBSP(first_bi_out, len(bsp_list), Chan_BSP_TYPE.T3, Chan_BSP_DIR.BUY if first_bi_out.dir == Chan_BI_DIR.DOWN else Chan_BSP_DIR.SELL, first_bi_out.sure_time, zs_count, zs, seg) - bsp_list.append(bsp) - #print("First bi out 4", first_bi_out.start_klc.start_time) - in_again = False - if first_bi_out: - if seg.dir == Chan_SEG_DIR.UP and bi.dir == Chan_BI_DIR.UP: - #print(bi.start_klc.start_time, bi.high, seg.high) - if bi.high == seg.high: - bsp = ChanBSP(bi, len(bsp_list), Chan_BSP_TYPE.T3E, Chan_BSP_DIR.SELL if bi.dir == Chan_BI_DIR.DOWN else Chan_BSP_DIR.BUY, bi.sure_time, zs_count, zs, seg) - bsp_list.append(bsp) - else: - if seg.dir == Chan_SEG_DIR.DOWN and bi.dir == Chan_BI_DIR.DOWN: - if bi.low == seg.low: - bsp = ChanBSP(bi, len(bsp_list), Chan_BSP_TYPE.T3E, Chan_BSP_DIR.BUY if bi.dir == Chan_BI_DIR.DOWN else Chan_BSP_DIR.SELL, bi.sure_time, zs_count, zs, seg) - bsp_list.append(bsp) - #self.print_zs(zs_list) - return zs_list + return self.tf_df.get_zs_list(bi_list, seg_list) def cal_bi_zs(self, seg_list): - bi_zs_list = [] - for seg in seg_list: - zs_list = seg.cal_bi_zs() - if len(zs_list) > 0: - bi_zs_list.append(zs_list) - return bi_zs_list - + return self.tf_df.cal_bi_zs(seg_list) def get_decimal(self, value): return Decimal("{:.2f}".format(value)) def get_klc_list(self, dataframe): - klu_list = self.get_klu_list(dataframe) - klc_list = [] - last_klu = None - macd = ChanMACD(klu_list) - klu_list = macd.cal_macd_state() - for klu in klu_list: - if len(klc_list) > 0: - last_klc = klc_list[-1] - if klu.exception: - ddir = Chan_KLINE_DIR.DOWN - if last_klc.high < klu.high: - ddir = Chan_KLINE_DIR.UP - klc = ChanKLC(klu, index=len(klc_list), ddir=ddir) - klc.high = klu.close if klu.close > klu.open else klu.open - klc.low = klu.open if klu.close > klu.open else klu.close - klc_list.append(klc) - last_klc.set_next(klc) - klc.set_pre(last_klc) - last_klc.set_end_klu(last_klu) - klc.set_pre_fx() - #print(klu.time, klu.high, klu.low, klu.close, klu.open, klu.exception) - else: - included = last_klc.check_klu_included(klu) - if not included: - ddir = Chan_KLINE_DIR.DOWN - if last_klc.high < klu.high: - ddir = Chan_KLINE_DIR.UP - klc = ChanKLC(klu, index=len(klc_list), ddir=ddir) - klc_list.append(klc) - last_klc.set_next(klc) - klc.set_pre(last_klc) - last_klc.set_end_klu(last_klu) - klc.set_pre_fx() - else: - last_klc.add_klu(klu) - else: - ddir = Chan_KLINE_DIR.UP - if klu.open > klu.close: - ddir = Chan_KLINE_DIR.DOWN - klc = ChanKLC(klu, 0, ddir) - klc_list.append(klc) - last_klu = klu - klc_list = self.cal_trend(klc_list) - return klc_list - + return self.tf_df.get_klc_list(dataframe) def get_klu_list(self, dataframe): - klu_list = self.get_kl_data(dataframe) - return self.cal_klu_pattern(klu_list) - def cal_klu_pattern(self, klu_list): - """ - 计算裸K的pattern - 只识别反转形态 - """ - if not klu_list or len(klu_list) < 3: - return klu_list - - for i, klu in enumerate(klu_list): - # 单根K线反转模式识别 - self._detect_single_reversal_pattern(klu) - - - # 验证形态是否成立 - if klu.pattern != Chan_KLU_PATTERN.UNKNOWN: - print(klu.time, klu.pattern) - return klu_list - - def _detect_single_reversal_pattern(self, klu): - """检测单根K线反转模式""" - body = abs(klu.close - klu.open) - upper_shadow = klu.high - max(klu.close, klu.open) - lower_shadow = min(klu.close, klu.open) - klu.low - total_range = klu.high - klu.low - - # 避免除零 - if total_range == 0: - return - - body_ratio = body / total_range - upper_ratio = upper_shadow / total_range - lower_ratio = lower_shadow / total_range - - # 锤子线/上吊线 - 反转信号 - if lower_ratio / body_ratio >= 2: - # 锤子线：底部反转，需要前一根是下跌趋势 - if klu.close > klu.open and klu.pre and klu.pre.close < klu.pre.open: - klu.set_pattern(Chan_KLU_PATTERN.HAMMER) # 底部反转 - # 上吊线：顶部反转，需要前一根是上涨趋势 - elif klu.close < klu.open and klu.pre and klu.pre.close > klu.pre.open: - klu.set_pattern(Chan_KLU_PATTERN.HANGING_MAN) # 顶部反转 - - # 倒锤子线/射击之星 - 反转信号 - elif upper_ratio / body_ratio >= 2: - # 倒锤子线：底部反转，需要前一根是下跌趋势 - if klu.close > klu.open and klu.pre and klu.pre.close < klu.pre.open: - klu.set_pattern(Chan_KLU_PATTERN.INVERTED_HAMMER) # 底部反转 - # 射击之星：顶部反转，需要前一根是上涨趋势 - elif klu.close < klu.open and klu.pre and klu.pre.close > klu.pre.open: - klu.set_pattern(Chan_KLU_PATTERN.SHOOTING_STAR) # 顶部反转 - - # 十字星 - 反转信号 - elif body_ratio <= 0.1: - if upper_ratio > 0.4 and lower_ratio > 0.4: - klu.set_pattern(Chan_KLU_PATTERN.LONG_LEGGED_DOJI) # 强烈反转信号 - elif upper_ratio > 0.4 and lower_ratio <= 0.1: - # 墓碑十字星：顶部反转，需要前一根是上涨趋势 - if klu.pre and klu.pre.close > klu.pre.open: - klu.set_pattern(Chan_KLU_PATTERN.GRAVESTONE_DOJI) # 顶部反转 - elif lower_ratio > 0.4 and upper_ratio <= 0.1: - # 蜻蜓十字星：底部反转，需要前一根是下跌趋势 - if klu.pre and klu.pre.close < klu.pre.open: - klu.set_pattern(Chan_KLU_PATTERN.DRAGONFLY_DOJI) # 底部反转 - else: - klu.set_pattern(Chan_KLU_PATTERN.DOJI) # 一般反转信号 - \ No newline at end of file + return self.tf_df.cal_klu_pattern(self.get_kl_data(dataframe)) \ No newline at end of file diff --git a/TF_DF.py b/TF_DF.py index cd466f4..1a98ca0 100644 --- a/TF_DF.py +++ b/TF_DF.py @@ -1,6 +1,6 @@ from datetime import timedelta from pandas import DataFrame -from ChanEnum import Chan_FX_TYPE, Chan_KLINE_DIR, Chan_BI_DIR, Chan_SEG_DIR, Chan_ZS_DIR, Chan_BSP_DIR, Chan_BSP_TYPE, Chan_KLC_FX, Chan_PRICE_TREND +from ChanEnum import Chan_FX_TYPE, Chan_KLINE_DIR, Chan_BI_DIR, Chan_SEG_DIR, Chan_ZS_DIR, Chan_BSP_DIR, Chan_BSP_TYPE, Chan_KLC_FX, Chan_PRICE_TREND, Chan_KLU_PATTERN from ChanKLU import ChanKLU from ChanKLC import ChanKLC from ChanBI import ChanBI @@ -10,17 +10,16 @@ from ChanZS import ChanZS from ChanBSP import ChanBSP import talib.abstract as ta import pandas as pd -import matplotlib.pyplot as plt -from matplotlib.dates import DateFormatter, date2num -import matplotlib.patches as patches from technical.util import resample_to_interval from decimal import Decimal -import xgboost as xgb import numpy as np from ChanMACD import ChanMACD class TF_DF(): - def __init__(self, df, interval, timeframe): + def __init__(self, df=None, interval=0, timeframe=None): + if df is not None: + self.init_TF_DF(df, interval, timeframe) + def init_TF_DF(self, df, interval, timeframe): self.timeframe = timeframe self.interval = interval self.dataframe = resample_to_interval(df, interval) @@ -31,12 +30,10 @@ class TF_DF(): self.zs_list = [] self.bsp_list = [] self.seg_list = [] - self.init_TF_DF() - def init_TF_DF(self): self.klu_list = self.cal_kl_data(self.dataframe) - self.klc_list = self.cal_klc_list(self.klu_list) + self.klc_list = self.get_klc_list(self.klu_list) self.bi_list = self.cal_bi_list(self.klc_list) - self.seg_list = self.cal_seg_list(self.bi_list) + self.seg_list = self.get_seg_list(self.bi_list) self.zs_list = self.cal_zs_list(self.bi_list, self.seg_list) self.chanmacd = ChanMACD(self.klu_list) self.klu_list = self.chanmacd.cal_macd_state() @@ -97,45 +94,45 @@ class TF_DF(): df['macd'] = macd['macd'] df['macdsignal'] = macd['macdsignal'] df['macdhist'] = macd['macdhist'] - df['ema5'] = self.cal_ema(df, 5) - df['ema10'] = self.cal_ema(df, 10) - df['ema24'] = self.cal_ema(df, 24) - df['ema26'] = self.cal_ema(df, 26) - df['ema52'] = self.cal_ema(df, 52) + df['ema5'] = ta.EMA(df, timeperiod=5) + df['ema10'] = ta.EMA(df, timeperiod=10) + df['ema24'] = ta.EMA(df, timeperiod=24) + df['ema52'] = ta.EMA(df, timeperiod=52) df['rsi'] = ta.RSI(df, timeperiod=14) df['volume_ratio'] = self.cal_volume_ratio(df) return df - @staticmethod - def cal_ema(df, timeperiod): - """ - 计算 EMA，优先使用 pandas ewm(adjust=False) 以贴近前端/TradingView 显示； - 必要时回退到 TA-Lib（abstract）。 - """ - try: - series = df['close'].astype(float) if isinstance(df, pd.DataFrame) else pd.Series(df).astype(float) - return series.ewm(span=int(timeperiod), adjust=False).mean() - except Exception: - try: - if isinstance(df, pd.DataFrame): - return ta.EMA(df, timeperiod=int(timeperiod)) - except Exception: - pass - # 最后回退：返回同索引的 NaN 序列 - if isinstance(df, pd.DataFrame) and 'close' in df: - return pd.Series(np.nan, index=df.index) - return pd.Series(dtype=float) + def get_klu_state(self, dataframe): + klc_list = self.get_klc_list(dataframe) + bi_list = self.cal_bi_list(klc_list) + klu_state_list = [] + klc_index = 0 + for index in range(0, len(dataframe)): + if klc_index == len(klc_list): + klc_index = len(klc_list) - 1 + klc = klc_list[klc_index] + if klc.end_klu and klc.end_klu.idx == index: + if klc.klc_fx_type == Chan_KLC_FX.TOP4: + klu_state_list.append("10") + elif klc.klc_fx_type == Chan_KLC_FX.BOTTOM4: + klu_state_list.append("-10") + else: + klu_state_list.append("00") + klc_index += 1 + else: + klu_state_list.append("00") + return klu_state_list def check_fx(self, klc): if klc.pre and klc.next: - if klc.high > klc.pre.high and klc.high > klc.next.high: - if klc.macd > 0 and klc.signal > klc.macdhist: - klc.set_fx(Chan_FX_TYPE.TOP) - # print(klc.start_time, klc.end_time,klc.next.start_time, klc.next.end_time,klc.fx, "TOP") - return Chan_FX_TYPE.TOP - elif klc.low < klc.pre.low and klc.low < klc.next.low: - if klc.macd < 0 and klc.signal < klc.macdhist: - klc.set_fx(Chan_FX_TYPE.BOTTOM) - # print(klc.start_time, klc.end_time,klc.next.start_time, klc.next.end_time,klc.fx, "BOTTOM") - return Chan_FX_TYPE.BOTTOM + if klc.high > klc.pre.high and klc.high > klc.next.high and klc.low > klc.pre.low and klc.low > klc.next.low: + #if (klc.close > klc.ema52 or klc.next.close > klc.next.ema52) and klc.macd > 0 and klc.macd > klc.macdhist: + klc.set_fx(Chan_FX_TYPE.TOP) + #print(klc.start_time, klc.end_time,klc.next.start_time, klc.next.end_time, klc.macd, klc.state, klc.fx, "TOP") + return Chan_FX_TYPE.TOP + elif klc.low < klc.pre.low and klc.low < klc.next.low and klc.high < klc.pre.high and klc.high < klc.next.high: + #if (klc.close < klc.ema52 or klc.next.close < klc.next.ema52) and klc.macd < 0 and klc.macd < klc.macdhist: + klc.set_fx(Chan_FX_TYPE.BOTTOM) + #print(klc.start_time, klc.end_time,klc.next.start_time, klc.next.end_time, klc.macd, klc.state, klc.fx, "BOTTOM") + return Chan_FX_TYPE.BOTTOM return Chan_FX_TYPE.UNKNOWN def cal_volume_ratio(self, dataframe, window=10): df = dataframe.copy() @@ -155,6 +152,9 @@ class TF_DF(): if not klc_list: return klc_list last_trend = Chan_PRICE_TREND.UNKNOWN + # 趋势延续性：参考近 N 根已完成的KLC + lookback_n = 5 + prev_klcs = [] for klc in klc_list: price = getattr(klc, 'close', None) ema24 = getattr(klc, 'ema24', None) @@ -164,13 +164,14 @@ class TF_DF(): hist = getattr(klc, 'macdhist', 0) if getattr(klc, 'macdhist', None) is not None else 0 rsi = getattr(klc, 'rsi', None) trend = Chan_PRICE_TREND.UNKNOWN + score = 0 try: # 有效性 price_valid = price is not None and price != 0 ema24_valid = ema24 is not None and ema24 != 0 ema52_valid = ema52 is not None and ema52 != 0 # 多因子投票 - score = 0 + # 1) 均线结构 + 价位 if ema24_valid and ema52_valid: score += 1 if ema24 > ema52 else -1 @@ -194,6 +195,76 @@ class TF_DF(): spread_now = ema24 - ema52 spread_pre = pre_ema24 - pre_ema52 score += 1 if spread_now >= spread_pre else -1 + # 3.1) MACD柱体动量趋势：考虑 macdhist 的斜率与过零 + pre_hist = getattr(pre, 'macdhist', None) + if pre_hist is not None and hist is not None: + # 柱体斜率：上升加分，下降减分 + if hist > pre_hist: + score += 1 + elif hist < pre_hist: + score -= 1 + # 过零加权：负转正更偏多，正转负更偏空 + if pre_hist < 0 and hist > 0: + score += 1 + elif pre_hist > 0 and hist < 0: + score -= 1 + # 3.2) EMA52 突破/跌破加权 + if ema52_valid and price_valid and pre_close is not None and pre_ema52 not in (None, 0): + # 看多突破：从均线下方上破且动量配合 + if pre_close <= pre_ema52 and price > ema52 and (hist is None or pre_hist is None or hist >= pre_hist): + score += 1 + # 看空跌破：从均线上方下破且动量配合 + if pre_close >= pre_ema52 and price < ema52 and (hist is None or pre_hist is None or hist <= pre_hist): + score -= 1 + # 3.3) EMA52 支撑/阻力触碰（非强穿越） + if ema52_valid and price_valid: + low_v = getattr(klc, 'low', None) + high_v = getattr(klc, 'high', None) + if low_v is not None and high_v is not None and ema52 not in (None, 0): + # 触碰容差（相对EMA52的0.15%） + touch_tol = 0.0015 + # 作为支撑：收盘在上，最低靠近EMA52 + near_support_touch = (price > ema52) and (abs(low_v - ema52) / abs(ema52) <= touch_tol) + # 作为阻力：收盘在下，最高靠近EMA52 + near_resistance_touch = (price < ema52) and (abs(high_v - ema52) / abs(ema52) <= touch_tol) + if near_support_touch: + # 若动量不弱，则更偏多 + score += 1 if (hist is None or pre_hist is None or hist >= pre_hist) else 0 + if near_resistance_touch: + # 若动量不强，则更偏空 + score -= 1 if (hist is None or pre_hist is None or hist <= pre_hist) else 0 + # 3.4) 多次对 EMA52 的"拒绝"配合 MACD 逆向：易形成压/支并反向 + # 统计近窗口内的上/下拒绝次数： + # - 上拒绝：价格位于 EMA52 下方，最高触及/越过 EMA52 但收盘仍在下方 + # - 下拒绝：价格位于 EMA52 上方，最低触及/跌破 EMA52 但收盘仍在上方 + recent_up_rejects = 0 + recent_down_rejects = 0 + if ema52_valid: + window_rej = prev_klcs[-lookback_n:] if len(prev_klcs) > 0 else [] + rej_tol = 0.0015 + for wk in window_rej: + wk_close = getattr(wk, 'close', None) + wk_ema52 = getattr(wk, 'ema52', None) + wk_high = getattr(wk, 'high', None) + wk_low = getattr(wk, 'low', None) + if wk_close is None or wk_ema52 in (None, 0): + continue + # 上拒绝（阻力）：下方多次试图上破但未站上 + if wk_close < wk_ema52 and wk_high is not None: + if wk_high >= wk_ema52 or abs(wk_high - wk_ema52) / abs(wk_ema52) <= rej_tol: + recent_up_rejects += 1 + # 下拒绝（支撑）：上方多次试图下破但未跌破 + if wk_close > wk_ema52 and wk_low is not None: + if wk_low <= wk_ema52 or abs(wk_low - wk_ema52) / abs(wk_ema52) <= rej_tol: + recent_down_rejects += 1 + # 定义 MACD 的方向偏好 + macd_bias_up = (macd >= signal) and (hist is None or pre_hist is None or hist >= pre_hist) + macd_bias_down = (macd <= signal) and (hist is None or pre_hist is None or hist <= pre_hist) + # 若多次上拒绝且 MACD 偏空，则更偏向下行；若多次下拒绝且 MACD 偏多，则更偏向上行 + if recent_up_rejects >= 2 and macd_bias_down: + score -= 2 + if recent_down_rejects >= 2 and macd_bias_up: + score += 2 # 4) RSI 辅助 if rsi is not None: if rsi >= 55: @@ -231,17 +302,121 @@ class TF_DF(): near_macd = abs(macd - signal) <= (abs(price) * 0.00005 if price_valid else 0) near_flat = near_ema52 and near_macd # 7) 动态阈值 + 趋势记忆（更强粘滞：趋势中容忍小幅反分） + # 引入过去 N 根KLC 的趋势延续性来动态调整翻转阈值，并结合 EMA52 支撑/阻力触碰强化门槛 + force_flip_down = False + force_flip_up = False if near_flat: trend = Chan_PRICE_TREND.FLAT else: - if last_trend == Chan_PRICE_TREND.UP: - # 仅当出现明显反向才翻转，否则维持UP - if score <= -2: + # 计算过去窗口的趋势一致性 + window = prev_klcs[-lookback_n:] if len(prev_klcs) > 0 else [] + persist_up = 0 + persist_down = 0 + for wk in window: + if getattr(wk, 'trend', None) == Chan_PRICE_TREND.UP: + persist_up += 1 + elif getattr(wk, 'trend', None) == Chan_PRICE_TREND.DOWN: + persist_down += 1 + persist_ratio_up = (persist_up / len(window)) if len(window) > 0 else 0 + persist_ratio_down = (persist_down / len(window)) if len(window) > 0 else 0 + # 基准阈值 + down_flip_threshold = -2 + up_flip_threshold = 2 + # 若最近多为UP，则从UP翻转需更强反向信号；同理对DOWN + if last_trend == Chan_PRICE_TREND.UP and persist_ratio_up >= 0.6: + down_flip_threshold = -3 + elif last_trend == Chan_PRICE_TREND.DOWN and persist_ratio_down >= 0.6: + up_flip_threshold = 3 + # EMA52 触碰强化门槛：UP时若出现支撑触碰，下翻更难；DOWN时若出现阻力触碰，上翻更难 + if ema52_valid and price_valid: + low_v = getattr(klc, 'low', None) + high_v = getattr(klc, 'high', None) + if low_v is not None and high_v is not None and ema52 not in (None, 0): + touch_tol = 0.0015 + near_support_touch = (price > ema52) and (abs(low_v - ema52) / abs(ema52) <= touch_tol) + near_resistance_touch = (price < ema52) and (abs(high_v - ema52) / abs(ema52) <= touch_tol) + if last_trend == Chan_PRICE_TREND.UP and near_support_touch: + # 强化维持UP：进一步降低向下翻转阈值 + down_flip_threshold = min(down_flip_threshold - 1, -3) + if last_trend == Chan_PRICE_TREND.DOWN and near_resistance_touch: + # 强化维持DOWN：进一步提高向上翻转阈值 + up_flip_threshold = max(up_flip_threshold + 1, 3) + # 7.1) 复合拐头信号：MACD/Signal 同向拐头 + hist 连续减弱 + 多次未能越过 EMA52 + pre_macd = getattr(pre, 'macd', None) if pre else None + pre_signal = getattr(pre, 'signal', None) if pre else None + macd_slope = (macd - pre_macd) if (pre_macd is not None and macd is not None) else 0 + signal_slope = (signal - pre_signal) if (pre_signal is not None and signal is not None) else 0 + # hist 连续减弱（绝对值缩小） + hist_seq = [] + for wk in prev_klcs[-2:]: + val = getattr(wk, 'macdhist', None) + if val is not None: + hist_seq.append(val) + if hist is not None: + hist_seq.append(hist) + weaken_steps = 0 + for i in range(1, len(hist_seq)): + if abs(hist_seq[i]) < abs(hist_seq[i-1]): + weaken_steps += 1 + # 近窗口对 EMA52 的"未能站上/跌破"统计（放宽窗口与条件） + window_ema = prev_klcs[-4:] if len(prev_klcs) > 0 else [] + no_up_break = False + no_down_break = False + if ema52_valid: + # 未能有效上破：最近若干根收盘大多数不在 EMA52 上方，且高点多次触及/接近 + cnt_touch_up = 0 + cnt_close_above = 0 + for wk in window_ema: + wk_close = getattr(wk, 'close', None) + wk_high = getattr(wk, 'high', None) + wk_ema = getattr(wk, 'ema52', None) + if wk_close is not None and wk_ema not in (None, 0): + if wk_close > wk_ema: + cnt_close_above += 1 + if wk_high is not None and (wk_high >= wk_ema or abs(wk_high - wk_ema) / abs(wk_ema) <= 0.0015): + cnt_touch_up += 1 + no_up_break = (cnt_close_above <= 1 and cnt_touch_up >= 1 and price <= ema52) + # 未能有效下破：最近若干根收盘大多数不在 EMA52 下方，且低点多次触及/接近 + cnt_touch_down = 0 + cnt_close_below = 0 + for wk in window_ema: + wk_close = getattr(wk, 'close', None) + wk_low = getattr(wk, 'low', None) + wk_ema = getattr(wk, 'ema52', None) + if wk_close is not None and wk_ema not in (None, 0): + if wk_close < wk_ema: + cnt_close_below += 1 + if wk_low is not None and (wk_low <= wk_ema or abs(wk_low - wk_ema) / abs(wk_ema) <= 0.0015): + cnt_touch_down += 1 + no_down_break = (cnt_close_below <= 1 and cnt_touch_down >= 1 and price >= ema52) + # 若当前为UP趋势，出现明显拐头+hist减弱+未能上破EMA52，则加速看空 + if last_trend == Chan_PRICE_TREND.UP and macd_slope < 0 and signal_slope < 0 and weaken_steps >= 1 and no_up_break and macd_bias_down: + score -= 3 + down_flip_threshold = max(down_flip_threshold, 0) + force_flip_down = True + # 若当前为DOWN趋势，出现明显拐头+hist减弱+未能下破EMA52，则加速看多 + if last_trend == Chan_PRICE_TREND.DOWN and macd_slope > 0 and signal_slope > 0 and weaken_steps >= 1 and no_down_break and macd_bias_up: + score += 3 + up_flip_threshold = min(up_flip_threshold, 0) + force_flip_up = True + # 多次对 EMA52 的拒绝配合 MACD 逆向：加速反向翻转（降低相反方向阈值） + if recent_up_rejects >= 2 and macd_bias_down: + # 从 UP 向 DOWN 的翻转更容易 + down_flip_threshold = max(down_flip_threshold, -1) + if recent_down_rejects >= 2 and macd_bias_up: + # 从 DOWN 向 UP 的翻转更容易 + up_flip_threshold = min(up_flip_threshold, 1) + if force_flip_down: + trend = Chan_PRICE_TREND.DOWN + elif force_flip_up: + trend = Chan_PRICE_TREND.UP + elif last_trend == Chan_PRICE_TREND.UP: + if score <= down_flip_threshold: trend = Chan_PRICE_TREND.DOWN else: trend = Chan_PRICE_TREND.UP elif last_trend == Chan_PRICE_TREND.DOWN: - if score >= 2: + if score >= up_flip_threshold: trend = Chan_PRICE_TREND.UP else: trend = Chan_PRICE_TREND.DOWN @@ -256,14 +431,19 @@ class TF_DF(): except Exception: trend = Chan_PRICE_TREND.UNKNOWN # 写回趋势 + if klc.end_time is None: + trend = Chan_PRICE_TREND.FLAT if hasattr(klc, 'set_trend'): klc.set_trend(trend) else: setattr(klc, 'trend', trend) last_trend = trend + # 更新滑窗：仅向后看 + prev_klcs.append(klc) price_diff = klc.close - klc.pre.close if klc.pre else 0 - #print(klc.start_time, klc.end_time, klc.close, klc.ema24, klc.ema52, klc.macd, klc.signal, klc.macdhist, klc.trend, price_diff) - #print(klc.start_time, klc.end_time, klc.trend, price_diff) + #if klc.index > len(klc_list) - 10: + #print(klc.start_time, klc.end_time, klc.close, klc.ema24, klc.ema52, klc.macd, klc.signal, klc.macdhist, klc.trend, price_diff, score) + #print(klc.start_time, klc.end_time, klc.trend, price_diff, score) return klc_list def cal_kl_data(self, dataframe:DataFrame): fields = "time,open,high,low,close,volume" @@ -300,8 +480,46 @@ class TF_DF(): if 'macd' in item: klu.set_indicators(item) return klu_list - - def cal_klc_list(self, klu_list): + def get_bi_list(self, dataframe): + bi_list = self.cal_bi_list(self.get_klc_list(dataframe)) + return bi_list + def get_kl_data(self, dataframe:DataFrame): + fields = "time,open,high,low,close,volume" + klu_list = [] + last_klu = None + for i in range(0, len(dataframe)): + item = dataframe.iloc[i] + date = item['date'] + o = item['open'] + h = item['high'] + l = item['low'] + c = item['close'] + v = item['volume'] + #time_obj = date.fromtimestamp(date) + #date = date + timedelta(hours=8) + time_str = date.strftime('%Y-%m-%d %H:%M:%S') + item_data = [ + time_str, + o, + h, + l, + c, + v + ] + #klu = KLU(self.create_item_dict(item_data, GetColumnNameFromFieldList(fields))) + klu = ChanKLU(time_str, o, h, l, c, v) + #print(klu.time, klu.open, klu.high, klu.low, klu.close, klu.volume) + klu.set_idx(i) + klu_list.append(klu) + if last_klu: + last_klu.set_next(klu) + klu.set_pre(last_klu) + last_klu = klu + if 'macd' in item: + klu.set_indicators(item) + return klu_list + def get_klc_list(self, dataframe): + klu_list = self.get_klu_list(dataframe) klc_list = [] last_klu = None macd = ChanMACD(klu_list) @@ -309,19 +527,33 @@ class TF_DF(): for klu in klu_list: if len(klc_list) > 0: last_klc = klc_list[-1] - included = last_klc.check_klu_included(klu) - if not included: + if klu.exception: ddir = Chan_KLINE_DIR.DOWN if last_klc.high < klu.high: ddir = Chan_KLINE_DIR.UP klc = ChanKLC(klu, index=len(klc_list), ddir=ddir) + klc.high = klu.close if klu.close > klu.open else klu.open + klc.low = klu.open if klu.close > klu.open else klu.close klc_list.append(klc) last_klc.set_next(klc) klc.set_pre(last_klc) last_klc.set_end_klu(last_klu) klc.set_pre_fx() + #print(klu.time, klu.high, klu.low, klu.close, klu.open, klu.exception) else: - last_klc.add_klu(klu) + included = last_klc.check_klu_included(klu) + if not included: + ddir = Chan_KLINE_DIR.DOWN + if last_klc.high < klu.high: + ddir = Chan_KLINE_DIR.UP + klc = ChanKLC(klu, index=len(klc_list), ddir=ddir) + klc_list.append(klc) + last_klc.set_next(klc) + klc.set_pre(last_klc) + last_klc.set_end_klu(last_klu) + klc.set_pre_fx() + else: + last_klc.add_klu(klu) else: ddir = Chan_KLINE_DIR.UP if klu.open > klu.close: @@ -332,7 +564,7 @@ class TF_DF(): klc_list = self.cal_trend(klc_list) return klc_list - def cal_seg_list(self, bi_list): + def get_seg_list(self, bi_list): seg_list = [] up_bi_list = [] down_bi_list = [] @@ -371,7 +603,7 @@ class TF_DF(): if last_down_sbi.has_fx_gap: look_for_bottom = True last_seg.pre_set_end_bi(bi_list[last_down_sbi.start_bi.index - 1]) - seg = ChanSEG(last_down_sbi.start_bi, len(seg_list), Chan_SEG_DIR.DOWN) + seg = ChanSEG(last_down_sbi.start_bi, len(seg_list), Chan_SEG_DIR.DOWN, bi) seg_list.append(seg) last_seg.set_next(seg) seg.set_pre(last_seg) @@ -397,7 +629,7 @@ class TF_DF(): #print(bi.start_time, look_for_top, "UP 3") else: last_seg.set_end_bi(bi_list[last_down_sbi.start_bi.index - 1], bi) - seg = ChanSEG(last_down_sbi.start_bi, len(seg_list), Chan_SEG_DIR.DOWN) + seg = ChanSEG(last_down_sbi.start_bi, len(seg_list), Chan_SEG_DIR.DOWN, bi) seg_list.append(seg) last_seg.set_next(seg) seg.set_pre(last_seg) @@ -465,7 +697,7 @@ class TF_DF(): if last_up_sbi.has_fx_gap: look_for_top = True last_seg.pre_set_end_bi(bi_list[last_up_sbi.start_bi.index - 1]) - seg = ChanSEG(last_up_sbi.start_bi, len(seg_list), Chan_SEG_DIR.UP) + seg = ChanSEG(last_up_sbi.start_bi, len(seg_list), Chan_SEG_DIR.UP, bi) seg_list.append(seg) last_seg.set_next(seg) seg.set_pre(last_seg) @@ -491,7 +723,7 @@ class TF_DF(): #print(bi.start_time, look_for_top, "DOWN 3") else: last_seg.set_end_bi(bi_list[last_up_sbi.start_bi.index - 1], bi) - seg = ChanSEG(last_up_sbi.start_bi, len(seg_list), Chan_SEG_DIR.UP) + seg = ChanSEG(last_up_sbi.start_bi, len(seg_list), Chan_SEG_DIR.UP, bi) #print(last_up_sbi.start_bi.start_time) last_seg.set_next(seg) seg.set_pre(last_seg) @@ -539,14 +771,14 @@ class TF_DF(): else: if bi.check_overlap(): if bi.dir == Chan_BI_DIR.UP: - seg = ChanSEG(bi, len(seg_list), Chan_SEG_DIR.UP) + seg = ChanSEG(bi, len(seg_list), Chan_SEG_DIR.UP, bi) last_up_bi = bi last_up_sbi = ChanSBI(bi, len(up_sbi_list), bi.dir) seg_list.append(seg) last_seg = seg #print(bi.start_time, 'Create first UP SEG') else: - seg = ChanSEG(bi, len(seg_list), Chan_SEG_DIR.DOWN) + seg = ChanSEG(bi, len(seg_list), Chan_SEG_DIR.DOWN, bi) last_down_bi = bi last_down_sbi = ChanSBI(bi, len(down_sbi_list), bi.dir) seg_list.append(seg) @@ -573,7 +805,7 @@ class TF_DF(): # The confirmed print("Last UP seg is broken, create a new seg. 1") seg.pre_set_end_bi(bi_list[i]) - seg = ChanSEG(bi_list[i+1], len(seg_list), Chan_SEG_DIR.DOWN) + seg = ChanSEG(bi_list[i+1], len(seg_list), Chan_SEG_DIR.DOWN, bi) seg_list.append(seg) last_seg = seg_list[-2] if len(last_seg.bi_list) > 3: @@ -585,7 +817,7 @@ class TF_DF(): if bi_list[i].low < last_seg_peak: print("Last DOWN seg is broken, create a new seg. 1") seg.pre_set_end_bi(bi_list[i]) - seg = ChanSEG(bi_list[i+1], len(seg_list), Chan_SEG_DIR.UP) + seg = ChanSEG(bi_list[i+1], len(seg_list), Chan_SEG_DIR.UP, bi) seg_list.append(seg) last_seg = seg_list[-2] if len(last_seg.bi_list) > 3: @@ -603,12 +835,13 @@ class TF_DF(): if bi_list[i].high > last_seg_peak: print("Last seg is broken, create a new seg. 2") last_seg.pre_set_end_bi(bi_list[i-1]) - seg = ChanSEG(bi_list[i], len(seg_list), Chan_SEG_DIR.UP) + seg = ChanSEG(bi_list[i], len(seg_list), Chan_SEG_DIR.UP, bi) seg_list.append(seg) last_seg = seg last_seg_bi = bi_list[i] break """ + self.cal_bi_zs(seg_list) return seg_list def cal_bi_list(self, klc_list): @@ -617,7 +850,14 @@ class TF_DF(): last_bottom = None for klc in klc_list: fx = self.check_fx(klc) - + if fx == Chan_FX_TYPE.TOP: + if last_bottom: + if self.check_top_fx(last_bottom, klc) == False: + fx = Chan_FX_TYPE.UNKNOWN + if fx == Chan_FX_TYPE.BOTTOM: + if last_top: + if self.check_bottom_fx(last_top, klc) == False: + fx = Chan_FX_TYPE.UNKNOWN # Do nothing if fx == Chan_FX_TYPE.UNKNOWN: continue @@ -665,6 +905,7 @@ class TF_DF(): #klc.set_state("20") bi_list[-1].add_klc(klc) klc.set_bi(bi_list[-1]) + #klc.cal_invisible() #klc.set_klc_fx_type(Chan_KLC_FX.TOP3) #print(klc.start_time, klc.fx, "二类卖点Sell 1") else: @@ -789,6 +1030,7 @@ class TF_DF(): #klc.set_state("-20") bi_list[-1].add_klc(klc) klc.set_bi(bi_list[-1]) + #klc.cal_invisible() #klc.set_klc_fx_type(Chan_KLC_FX.BOTTOM3) #print(last_bottom.start_time, last_bottom.end_time, "--------------------------------1") #print(klc.start_time, klc.fx, "二类买点Buy 1") @@ -917,11 +1159,25 @@ class TF_DF(): #for index in range(0, 10): #print(bi_list[index].start_time, bi_list[index].start_klc.start_time, bi_list[index].dir) return bi_list + def check_top_fx(self, last_bottom, klc): + if last_bottom.high > klc.pre.low or last_bottom.high > klc.next.low: + return False + return True + + def check_bottom_fx(self, last_top, klc): + if last_top.low < klc.pre.high or last_top.low < klc.next.high: + return False + return True - def get_decimal(self, value): - return Decimal("{:.2f}".format(value)) + def cal_bi_zs(self, seg_list): + bi_zs_list = [] + for seg in seg_list: + zs_list = seg.cal_bi_zs() + if len(zs_list) > 0: + bi_zs_list.append(zs_list) + return bi_zs_list - def cal_zs_list(self, bi_list, seg_list): + def get_zs_list(self, bi_list, seg_list): zs_list = [] bsp_list = [] if len(seg_list) > 3: @@ -940,7 +1196,6 @@ class TF_DF(): zd = max(seg.low, seg.next.low, seg.next.next.low) gg = max(seg.high, seg.next.high, seg.next.next.high) dd = min(seg.low, seg.next.low, seg.next.next.low) - ddir = Chan_ZS_DIR.UP ddir = None if last_zs: if zg < last_zs.zd: @@ -981,7 +1236,7 @@ class TF_DF(): # SEG is not in ZS if seg.is_sure: if ((seg.low > last_zs.zg and seg.high > last_zs.zg) or (seg.high < last_zs.zd and seg.low < last_zs.zd)): - last_zs.set_end_klc(last_zs.last_bi_in.end_klc, seg.sure_time, bi_out_count, seg) + last_zs.set_end_klc(seg.pre.end_bi.end_klc, seg.sure_time, bi_out_count, seg.pre) bi_out_count = 0 #print(seg.start_bi.start_klc.start_time) first_bi_out = None @@ -1095,4 +1350,72 @@ class TF_DF(): bsp = ChanBSP(bi, len(bsp_list), Chan_BSP_TYPE.T3E, Chan_BSP_DIR.BUY if bi.dir == Chan_BI_DIR.DOWN else Chan_BSP_DIR.SELL, bi.sure_time, zs_count, zs, seg) bsp_list.append(bsp) #self.print_zs(zs_list) - return zs_list \ No newline at end of file + return zs_list + + def get_klu_list(self, dataframe): + klu_list = self.get_kl_data(dataframe) + return self.cal_klu_pattern(klu_list) + def cal_klu_pattern(self, klu_list): + """ + 计算裸K的pattern - 只识别反转形态 + """ + if not klu_list or len(klu_list) < 3: + return klu_list + + for i, klu in enumerate(klu_list): + # 单根K线反转模式识别 + self._detect_single_reversal_pattern(klu) + if klu.pattern != Chan_KLU_PATTERN.UNKNOWN: + print(klu.time, klu.pattern) + return klu_list + + def _detect_single_reversal_pattern(self, klu): + """检测单根K线反转模式""" + body = abs(klu.close - klu.open) + upper_shadow = klu.high - max(klu.close, klu.open) + lower_shadow = min(klu.close, klu.open) - klu.low + total_range = klu.high - klu.low + + # 避免除零 + if total_range == 0: + return + + body_ratio = body / total_range + upper_ratio = upper_shadow / total_range + lower_ratio = lower_shadow / total_range + + # 锤子线/上吊线 - 反转信号 + if lower_ratio / body_ratio >= 2: + # 锤子线：底部反转，需要前面一段 + if klu.close > klu.open and klu.pre and klu.pre.close < klu.pre.open: + klu.set_pattern(Chan_KLU_PATTERN.HAMMER) # 底部反转 + # 上吊线：顶部反转，需要前一根是上涨趋势 + elif klu.close < klu.open and klu.pre and klu.pre.close > klu.pre.open: + klu.set_pattern(Chan_KLU_PATTERN.HANGING_MAN) # 顶部反转 + + # 倒锤子线/射击之星 - 反转信号 + elif upper_ratio / body_ratio >= 2: + # 倒锤子线：底部反转，需要前一根是下跌趋势 + if klu.close > klu.open and klu.pre and klu.pre.close < klu.pre.open: + klu.set_pattern(Chan_KLU_PATTERN.INVERTED_HAMMER) # 底部反转 + # 射击之星：顶部反转，需要前一根是上涨趋势 + elif klu.close < klu.open and klu.pre and klu.pre.close > klu.pre.open: + klu.set_pattern(Chan_KLU_PATTERN.SHOOTING_STAR) # 顶部反转 + + # 十字星 - 反转信号 + elif body_ratio <= 0.1: + if upper_ratio > 0.4 and lower_ratio > 0.4: + klu.set_pattern(Chan_KLU_PATTERN.LONG_LEGGED_DOJI) # 强烈反转信号 + elif upper_ratio > 0.4 and lower_ratio <= 0.1: + # 墓碑十字星：顶部反转，需要前一根是上涨趋势 + if klu.pre and klu.pre.close > klu.pre.open: + klu.set_pattern(Chan_KLU_PATTERN.GRAVESTONE_DOJI) # 顶部反转 + elif lower_ratio > 0.4 and upper_ratio <= 0.1: + # 蜻蜓十字星：底部反转，需要前一根是下跌趋势 + if klu.pre and klu.pre.close < klu.pre.open: + klu.set_pattern(Chan_KLU_PATTERN.DRAGONFLY_DOJI) # 底部反转 + else: + klu.set_pattern(Chan_KLU_PATTERN.DOJI) # 一般反转信号 + + def get_decimal(self, value): + return Decimal("{:.2f}".format(value)) \ No newline at end of file diff --git a/algorithm_comparison_test.py b/algorithm_comparison_test.py deleted file mode 100644 index 43aca62..0000000 --- a/algorithm_comparison_test.py +++ /dev/null @@ -1,223 +0,0 @@ -#!/usr/bin/env python3 -# -*- coding: utf-8 -*- -""" -KLU与KLC分型强度算法一致性测试 -验证两种算法在相同数据下是否产生一致的结果 -""" - -from ChanKLU import ChanKLU -from ChanKLC import ChanKLC -from ChanEnum import Chan_FX_TYPE, Chan_KLINE_DIR -import pandas as pd -from datetime import datetime, timedelta - -def create_test_data(): - """创建测试用的K线数据""" - test_cases = [ - # 测试用例1：标准顶分型 - { - 'name': '标准顶分型', - 'data': [ - {'open': 100, 'high': 102, 'low': 99, 'close': 101, 'volume': 1000}, # K1 - {'open': 101, 'high': 105, 'low': 100, 'close': 103, 'volume': 1500}, # K2 (顶分型中心) - {'open': 103, 'high': 104, 'low': 98, 'close': 99, 'volume': 1200}, # K3 - ] - }, - # 测试用例2：标准底分型 - { - 'name': '标准底分型', - 'data': [ - {'open': 100, 'high': 102, 'low': 99, 'close': 101, 'volume': 1000}, # K1 - {'open': 101, 'high': 103, 'low': 95, 'close': 97, 'volume': 1500}, # K2 (底分型中心) - {'open': 97, 'high': 104, 'low': 96, 'close': 102, 'volume': 1200}, # K3 - ] - }, - # 测试用例3：强势顶分型（放量+下影线） - { - 'name': '强势顶分型', - 'data': [ - {'open': 100, 'high': 102, 'low': 99, 'close': 101, 'volume': 1000}, # K1 - {'open': 101, 'high': 108, 'low': 100, 'close': 102, 'volume': 2500}, # K2 (强顶分型) - {'open': 102, 'high': 103, 'low': 95, 'close': 96, 'volume': 1800}, # K3 (大阴线确认) - ] - } - ] - return test_cases - -def setup_klu_chain(data_list): - """设置KLU链""" - klus = [] - base_time = datetime.now() - - for i, data in enumerate(data_list): - time_str = (base_time + timedelta(minutes=i)).strftime("%Y-%m-%d %H:%M:%S") - klu = ChanKLU(time_str, data['open'], data['high'], data['low'], data['close'], data['volume']) - klu.set_idx(i) - - # 设置基础技术指标 - indicators = { - 'ma5': data['close'] + (i-1) * 0.1, - 'ma10': data['close'] + (i-1) * 0.05, - 'rsi': 50 + (i % 3 - 1) * 15, - 'macd': (i % 3 - 1) * 0.01, - 'macdhist': (i % 2) * 0.005, - 'volume_ratio': 1.0 + (i % 2) * 0.3 - } - klu.set_indicators(indicators) - klus.append(klu) - - # 建立前后关系 - for i in range(len(klus)): - if i > 0: - klus[i].set_pre(klus[i-1]) - if i < len(klus) - 1: - klus[i].set_next(klus[i+1]) - - return klus - -def setup_klc_chain(data_list): - """设置KLC链（基于KLU）""" - klus = setup_klu_chain(data_list) - klcs = [] - - # 为简化测试，假设每个KLU对应一个KLC（无包含关系处理） - for i, klu in enumerate(klus): - klc = ChanKLC(klu, i, Chan_KLINE_DIR.UP) - klc.set_end_klu(klu) - klcs.append(klc) - - # 建立前后关系 - for i in range(len(klcs)): - if i > 0: - klcs[i].set_pre(klcs[i-1]) - if i < len(klcs) - 1: - klcs[i].set_next(klcs[i+1]) - - # 设置分型类型 - if len(klcs) >= 3: - middle_klc = klcs[1] - if (middle_klc.high > klcs[0].high and middle_klc.high > klcs[2].high): - middle_klc.set_fx(Chan_FX_TYPE.TOP) - elif (middle_klc.low < klcs[0].low and middle_klc.low < klcs[2].low): - middle_klc.set_fx(Chan_FX_TYPE.BOTTOM) - - return klcs - -def compare_algorithms(test_cases): - """对比KLU和KLC算法""" - - print("=" * 80) - print("KLU与KLC分型强度算法一致性测试") - print("=" * 80) - - for case in test_cases: - print(f"\n🔍 测试用例: {case['name']}") - print("-" * 50) - - # 准备数据 - klus = setup_klu_chain(case['data']) - klcs = setup_klc_chain(case['data']) - - if len(klus) >= 3 and len(klcs) >= 3: - middle_klu = klus[1] - middle_klc = klcs[1] - - # KLU分析 - middle_klu.update_realtime_analysis() - klu_fx_type = middle_klu.fx_type - klu_strength = middle_klu.fx_strength - klu_confirmed = middle_klu.fx_confirmed - - # KLC分析 - klc_fx_type = middle_klc.fx - klc_strength_raw = middle_klc.cal_fx_strength() # -3到3 - klc_strength_converted = int((klc_strength_raw + 3) * 100 / 6) # 转换为0-100 - - # 输出对比结果 - print(f"K线数据: {case['data'][1]}") - print(f"\nKLU算法结果:") - print(f" 分型类型: {klu_fx_type}") - print(f" 分型强度: {klu_strength}") - print(f" 是否确认: {klu_confirmed}") - - print(f"\nKLC算法结果:") - print(f" 分型类型: {klc_fx_type}") - print(f" 分型强度(原始): {klc_strength_raw}") - print(f" 分型强度(转换): {klc_strength_converted}") - - # 一致性检查 - type_consistent = (klu_fx_type == klc_fx_type) - strength_diff = abs(klu_strength - klc_strength_converted) - strength_consistent = strength_diff <= 10 # 允许10分以内的差异 - - print(f"\n一致性检查:") - print(f" 分型类型一致: {'✅' if type_consistent else '❌'}") - print(f" 强度差异: {strength_diff}分 {'✅' if strength_consistent else '❌'}") - - if not type_consistent or not strength_consistent: - print(f" ⚠️ 算法结果不一致!") - else: - print(f" ✅ 算法结果一致") - else: - print("❌ 数据不足，无法进行对比") - -def detailed_strength_analysis(): - """详细的强度分析对比""" - print("\n" + "=" * 80) - print("详细强度分析对比") - print("=" * 80) - - # 创建一个明确的强分型案例 - strong_top_data = [ - {'open': 100, 'high': 101, 'low': 99, 'close': 100, 'volume': 1000}, - {'open': 100, 'high': 110, 'low': 99, 'close': 102, 'volume': 3000}, # 强顶分型 - {'open': 102, 'high': 103, 'low': 92, 'close': 93, 'volume': 2000}, # 强确认 - {'open': 93, 'high': 94, 'low': 90, 'close': 91, 'volume': 1500}, # 继续下跌 - {'open': 91, 'high': 92, 'low': 88, 'close': 89, 'volume': 1200}, # 进一步确认 - ] - - klus = setup_klu_chain(strong_top_data) - - if len(klus) >= 5: - target_klu = klus[1] # 目标分型K线 - - print(f"分析目标: 第2根K线 (索引1)") - print(f"K线数据: {strong_top_data[1]}") - - # 更新分析 - target_klu.update_realtime_analysis() - - print(f"\n分型检测结果:") - print(f" 分型类型: {target_klu.fx_type}") - print(f" 分型确认: {target_klu.fx_confirmed}") - print(f" 最终强度: {target_klu.fx_strength}") - - # 显示中间计算过程（需要重新调用以获取详细信息） - if target_klu.fx_confirmed: - print(f"\n强度计算过程:") - is_bi_end = target_klu._check_if_bi_ending_fx() - post_confirmation = target_klu._check_post_fx_confirmation() - fx_quality = target_klu._check_fx_quality() - - print(f" 笔终结判断: {is_bi_end}") - print(f" 后续确认: {post_confirmation}") - print(f" 分型质量: {fx_quality}") - - raw_score = is_bi_end + post_confirmation + fx_quality - final_raw = max(-3, min(3, raw_score)) - converted_score = int((final_raw + 3) * 100 / 6) - - print(f" 原始总分: {raw_score} -> {final_raw}") - print(f" 转换分数: {converted_score}") - -if __name__ == "__main__": - # 运行测试 - test_cases = create_test_data() - compare_algorithms(test_cases) - - # 详细分析 - detailed_strength_analysis() - - print("\n" + "=" * 80) - print("测试完成！") - print("=" * 80) \ No newline at end of file diff --git a/chanlun_trading.log b/chanlun_trading.log deleted file mode 100644 index 250079b..0000000 --- a/chanlun_trading.log +++ /dev/null @@ -1,39 +0,0 @@ -2025-04-18 20:25:03,767 - INFO - Fetched 500 K-lines for BTC/USDT (5m) -2025-04-18 20:25:06,074 - INFO - Fetched 200 K-lines for BTC/USDT (30m) -2025-04-18 20:25:06,104 - INFO - Merged K-lines: 500 -> 404 -2025-04-18 20:25:06,105 - INFO - Detected 49 top fractals and 48 bottom fractals -2025-04-18 20:25:06,111 - INFO - Detected 80 strokes -2025-04-18 20:25:06,111 - INFO - Detected 22 segments -2025-04-18 20:25:06,111 - INFO - Detected 0 pivots -2025-04-18 20:25:06,112 - INFO - Detected 27 top fractals and 29 bottom fractals -2025-04-18 20:25:06,115 - INFO - Detected 45 strokes -2025-04-18 20:25:06,115 - INFO - 30m trend: down -2025-04-18 20:25:06,119 - INFO - Detected 4 buy signals and 0 sell signals -2025-04-18 20:25:06,233 - ERROR - Chart plotting failed: x and y must have same first dimension, but have shapes (404,) and (2,) -2025-04-18 20:25:06,233 - ERROR - Main function failed: x and y must have same first dimension, but have shapes (404,) and (2,) -2025-04-18 20:27:05,455 - INFO - Fetched 500 K-lines for BTC/USDT (5m) -2025-04-18 20:27:08,491 - INFO - Fetched 200 K-lines for BTC/USDT (30m) -2025-04-18 20:27:08,521 - INFO - Merged K-lines: 500 -> 404 -2025-04-18 20:27:08,522 - INFO - Detected 49 top fractals and 48 bottom fractals -2025-04-18 20:27:08,528 - INFO - Detected 80 strokes -2025-04-18 20:27:08,528 - INFO - Detected 22 segments -2025-04-18 20:27:08,528 - INFO - Detected 0 pivots -2025-04-18 20:27:08,529 - INFO - Detected 27 top fractals and 29 bottom fractals -2025-04-18 20:27:08,532 - INFO - Detected 45 strokes -2025-04-18 20:27:08,532 - INFO - 30m trend: down -2025-04-18 20:27:08,537 - INFO - Detected 4 buy signals and 0 sell signals -2025-04-18 20:27:08,647 - ERROR - Chart plotting failed: x and y must have same first dimension, but have shapes (404,) and (2,) -2025-04-18 20:27:08,647 - ERROR - Main function failed: x and y must have same first dimension, but have shapes (404,) and (2,) -2025-04-18 20:28:51,970 - INFO - Fetched 500 K-lines for BTC/USDT (5m) -2025-04-18 20:28:53,861 - INFO - Fetched 200 K-lines for BTC/USDT (30m) -2025-04-18 20:28:53,897 - INFO - Merged K-lines: 500 -> 404 -2025-04-18 20:28:53,898 - INFO - Detected 49 top fractals and 48 bottom fractals -2025-04-18 20:28:53,904 - INFO - Detected 80 strokes -2025-04-18 20:28:53,904 - INFO - Detected 22 segments -2025-04-18 20:28:53,904 - INFO - Detected 0 pivots -2025-04-18 20:28:53,905 - INFO - Detected 27 top fractals and 29 bottom fractals -2025-04-18 20:28:53,908 - INFO - Detected 45 strokes -2025-04-18 20:28:53,908 - INFO - 30m trend: down -2025-04-18 20:28:53,913 - INFO - Detected 4 buy signals and 0 sell signals -2025-04-18 20:28:53,913 - ERROR - Chart plotting failed: Wrong type for data, in make_addplot() -2025-04-18 20:28:53,913 - ERROR - Main function failed: Wrong type for data, in make_addplot() diff --git a/config/EMA_Pattern.json b/config/EMA_Pattern.json new file mode 100644 index 0000000..96a3377 --- /dev/null +++ b/config/EMA_Pattern.json @@ -0,0 +1,83 @@ +{ + "$schema": "https://schema.freqtrade.io/schema.json", + "max_open_trades": 1, + "stake_currency": "USDT", + "stake_amount": "unlimited", + "tradable_balance_ratio": 0.99, + "fiat_display_currency": "USD", + "dry_run": true, + "db_url": "sqlite:///tradesv3.ema_pattern.sqlite", + "dry_run_wallet": 1000, + "cancel_open_orders_on_exit": true, + "trading_mode": "futures", + "margin_mode": "isolated", + "can_short" : true, + "timeframe" : "15m", + "process_only_new_candles" : false, + "unfilledtimeout": { + "entry": 1, + "exit": 1, + "exit_timeout_count": 5, + "unit": "minutes" + }, + "entry_pricing": { + "price_side": "same", + "use_order_book": true, + "order_book_top": 1, + "price_last_balance": 0.0, + "check_depth_of_market": { + "enabled": false, + "bids_to_ask_delta": 1 + } + }, + "exit_pricing":{ + "price_side": "same", + "use_order_book": true, + "order_book_top": 1 + }, + "exchange": { + "name": "binance", + "key": "hvoXanRExQvcN4tyGFvEnsSF4gqxXp6ZJnBu5lnhvlVuHaDbj2PhLBQGCLkkyeI8", + "secret": "3UKA2oyDj7OoXrausmnaLwLlNfXmlNf2imBdmQqqKHArcJfk6X9xjaUF19wzu82l", + "ccxt_config": {}, + "ccxt_async_config": {}, + "pair_whitelist": [ + "BTC/USDT:USDT" + ], + "pair_blacklist": [ + "BNB/.*" + ] + }, + "pairlists": [ + { + "method": "StaticPairList", + "number_assets": 1, + "sort_key": "quoteVolume", + "min_value": 0, + "refresh_period": 1800 + } + ], + "telegram": { + "enabled": false, + "token": "7677670958:AAFL_jgZvNUTPR3R3vWieREX_tDVi9w2C1Y", + "chat_id": "580807463" + }, + "api_server": { + "enabled": true, + "listen_ip_address": "0.0.0.0", + "listen_port": 8888, + "verbosity": "error", + "enable_openapi": false, + "jwt_secret_key": "14d3510740e2c39a973a8895f1aa2704d98d08b86170260085709fa5ea48251d", + "ws_token": "dtKKDnafBrX4icq_ZCw7acJTahTK4h_yvg", + "CORS_origins": [], + "username": "freqtrader", + "password": "FreqTrade007" + }, + "bot_name": "freqtrade", + "initial_state": "running", + "force_entry_enable": false, + "internals": { + "process_throttle_secs": 2 + } +} \ No newline at end of file diff --git a/strategies/BB9033.py b/strategies/BB9033.py index f3a89f7..c9c20e8 100644 --- a/strategies/BB9033.py +++ b/strategies/BB9033.py @@ -22,7 +22,7 @@ logger = logging.getLogger(__name__) # freqtrade plot-dataframe --strategy BB9033 --datadir user_data/data/binance -c ./user_data/ChanLun_SOL_30.json --timerange=20250309- # freqtrade trade -c ./user_data/Chan/config/ChanLun_BTC_30.json --strategy BB9033 --strategy-path ./user_data/Chan/strategies -# freqtrade backtesting -c ./user_data/Chan/config/ChanLun_BTC_30.json --strategy BB9033 --strategy-path ./user_data/Chan/strategies --timerange=20250623- +# freqtrade backtesting -c ./user_data/Chan/config/ChanLun_BTC_30.json --strategy BB9033 --strategy-path ./user_data/Chan/strategies --timerange=20251023- # freqtrade download-data -c ./user_data/Chan/config/ChanLun_BTC_30.json -t 1m --pairs BTC/USDT:USDT --timerange=20250501- # freqtrade hyperopt --hyperopt-loss SharpeHyperOptLossDaily --spaces roi stoploss --strategy BB9033 --strategy-path ./user_data/Chan/strategies -c ./user_data/Chan/config/ChanLun_BTC_30.json -e 200 --timerange=20250201-20250401 diff --git a/strategies/EMA_Pattern.py b/strategies/EMA_Pattern.py new file mode 100644 index 0000000..3e26e6e --- /dev/null +++ b/strategies/EMA_Pattern.py @@ -0,0 +1,115 @@ +# --- Do not remove these libs --- +from statistics import median +from freqtrade.strategy import IStrategy +from technical.util import resample_to_interval, resampled_merge +from pandas import DataFrame +import talib.abstract as ta +from technical import qtpylib + +### Now you can use logger.info('asfd') to log +# freqtrade plot-dataframe --strategy EMA_Pattern --datadir user_data/data/binance -c ./user_data/Chan/EMA_Pattern.json --timerange=20250309- +# freqtrade backtesting -c ./user_data/Chan/config/EMA_Pattern.json --strategy EMA_Pattern --strategy-path ./user_data/Chan/strategies --timerange=20251030- +# freqtrade download-data -c ./user_data/Chan/config/EMA_Pattern.json -t 1m 3m 5m 15m 30m 1h --pairs BTC/USDT:USDT --timerange=20250405- +# freqtrade download-data -c ./user_data/Chan/config/EMA_Pattern.json -t 1m 1h 1d 1M --pairs BTC/USDT --timerange=20170101- +# freqtrade hyperopt --hyperopt-loss SharpeHyperOptLossDaily --spaces roi --strategy EMA_Pattern --strategy-path ./user_data/Chan/strategies -c ./user_data/Chan/config/EMA_Pattern.json -e 200 --timerange=20250201-20250901 +# freqtrade edge -c ./user_data/Chan/config/EMA_Pattern.json --strategy EMA_Pattern --strategy-path ./user_data/Chan/strategies --timerange 20250721-20250901 +# freqtrade plot-dataframe -c ./user_data/Chan/config/EMA_Pattern.json --strategy EMA_Pattern --strategy-path ./user_data/Chan/strategies --timerange 20250721-20250901 + +class EMA_Pattern(IStrategy): + time1h = 1440 + can_short: bool = True + timeframe: str = "1m" + process_only_new_candles: bool = False + + # ROI 与止损可根据需要在配置中覆盖 + minimal_roi = { + "60": 0.005, + "30": 0.01, + "0": 0.02, + } + stoploss: float = -0.30 + # 需要的历史K线数量（包含EMA等指标预热） + startup_candle_count: int = 200 + + def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + if dataframe is None or dataframe.empty: + return dataframe + dataframe = self.add_indicators(dataframe) + return dataframe + def add_indicators(self, dataframe: DataFrame) -> DataFrame: + macd = ta.MACD(dataframe, timeperiod=12, fastperiod=12, slowperiod=26, signalperiod=9) + dataframe['macd'] = macd['macd'] + dataframe['macdsignal'] = macd['macdsignal'] + dataframe['macdhist'] = macd['macdhist'] + dataframe['ema6'] = ta.EMA(dataframe, timeperiod=6) + dataframe['ema12'] = ta.EMA(dataframe, timeperiod=12) + dataframe['ema24'] = ta.EMA(dataframe, timeperiod=24) + dataframe['ema52'] = ta.EMA(dataframe, timeperiod=52) + dataframe['adx'] = ta.ADX(dataframe, timeperiod=14) + dataframe['strong_trend'] = dataframe['adx'] > 25 + dataframe['UP_Pattern'] = (dataframe['ema6'] > dataframe['ema12']) & (dataframe['ema12'] > dataframe['ema24']) & (dataframe['ema24'] > dataframe['ema52']) + dataframe['DOWN_Pattern'] = (dataframe['ema6'] < dataframe['ema12']) & (dataframe['ema12'] < dataframe['ema24']) & (dataframe['ema24'] < dataframe['ema52']) + dataframe['UP_Confirm'] = (dataframe['ema6'] > dataframe['ema6'].shift(1)) & (dataframe['ema12'] > dataframe['ema12'].shift(1)) & (dataframe['ema24'] > dataframe['ema24'].shift(1)) & (dataframe['ema52'] > dataframe['ema52'].shift(1)) + dataframe['DOWN_Confirm'] = (dataframe['ema6'] < dataframe['ema6'].shift(1)) & (dataframe['ema12'] < dataframe['ema12'].shift(1)) & (dataframe['ema24'] < dataframe['ema24'].shift(1)) & (dataframe['ema52'] < dataframe['ema52'].shift(1)) + dataframe['EMA52_Cross_EMA24_UP'] = (dataframe['ema52'] < dataframe['ema24']) & (dataframe['ema52'].shift(1) > dataframe['ema24'].shift(1)) + dataframe['EMA52_Cross_EMA24_DOWN'] = (dataframe['ema52'] > dataframe['ema24']) & (dataframe['ema52'].shift(1) < dataframe['ema24'].shift(1)) + dataframe['Price_Above_EMA52'] = (dataframe['close'] > dataframe['ema52']) + dataframe['Price_Below_EMA52'] = (dataframe['close'] < dataframe['ema52']) + dataframe['MACD_Above_Zero'] = (dataframe['macd'] > 0) & (dataframe['macdsignal'] > 0) + dataframe['MACD_Below_Zero'] = (dataframe['macd'] < 0) & (dataframe['macdsignal'] < 0) + dataframe['BUY_END'] = dataframe['close'] < dataframe['ema52'] + dataframe['SELL_END'] = dataframe['close'] > dataframe['ema52'] + return dataframe + def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + if dataframe is None or dataframe.empty: + return dataframe + dataframe.loc[ + ( + (dataframe['UP_Pattern']) & + (dataframe['UP_Confirm']) & + (dataframe['Price_Above_EMA52']) & + (dataframe['MACD_Above_Zero']) & + (dataframe['EMA52_Cross_EMA24_UP']) & + (dataframe['strong_trend']) + ), + ["enter_long", "enter_tag"], + ] = (1, "ema_up_trend") + + dataframe.loc[ + ( + (dataframe['DOWN_Pattern']) & + (dataframe['DOWN_Confirm']) & + (dataframe['Price_Below_EMA52']) & + (dataframe['MACD_Below_Zero']) & + (dataframe['EMA52_Cross_EMA24_DOWN']) & + (dataframe['strong_trend']) + ), + ["enter_short", "enter_tag"], + ] = (1, "ema_down_trend") + + return dataframe + + def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + if dataframe is None or dataframe.empty: + return dataframe + dataframe.loc[ + ( + (dataframe['BUY_END']) | + (dataframe['DOWN_Pattern']) | + (dataframe['EMA52_Cross_EMA24_DOWN']) + ), + ["exit_long", "exit_tag"], + ] = (1, "ema_long_exit") + + dataframe.loc[ + ( + (dataframe['SELL_END']) | + (dataframe['UP_Pattern']) | + (dataframe['EMA52_Cross_EMA24_UP']) + ), + ["exit_short", "exit_tag"], + ] = (1, "ema_short_exit") + + return dataframe + def get_ticker_indicator(self): + return int(self.timeframe[:-1]) \ No newline at end of file