fix(web): 自动刷新保留 K 线视窗；威科夫与图表增量更新
自动刷新改用 tail update 与 scrollToPosition 恢复视窗，避免 setData 后跳到最右；拆分 chart_tv 模块并扩展 analyze/recent API。同步威科夫分析、pipeline 增量构建及相关策略与配置。 Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
jackyu66git
@@ -0,0 +1,368 @@
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# --- Do not remove these libs ---
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"""
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Wyckoff BTC V1.0 BASELINE — FROZEN
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Status: BASELINE FROZEN
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Evidence: PASS (+ Limited Evidence, N=20)
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Cost Adjusted: PASS (net PF 1.45 @ fee+slip 5bps)
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Risk: small sample — 目标积累 N>=50 再谈规模
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Branch A: Spring Reversal
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8h bias + 4h structure + 1h Spring/UTAD
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Range disabled（regime_mode=trend）
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ATR + 结构止损
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setup_type: SPRING / UTAD
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证据: user_data/Chan/scripts/wyckoff_v1_baseline_phase2.json
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LPS 是独立 Setup 研究，禁止并入本文件调参。
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"""
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from freqtrade.strategy import (
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IStrategy, IntParameter, DecimalParameter, CategoricalParameter,
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merge_informative_pair, stoploss_from_open, stoploss_from_absolute,
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)
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from freqtrade.persistence import Trade
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import talib.abstract as ta
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from pandas import DataFrame
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import pandas as pd
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import numpy as np
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from datetime import datetime
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from typing import Optional
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import logging
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logger = logging.getLogger(__name__)
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# freqtrade backtesting -c ./user_data/Chan/config/Wyckoff_BTC_V1_BASELINE.json \
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# --strategy Wyckoff_BTC_V1_BASELINE --strategy-path ./user_data/Chan/strategies --timerange=20230101-
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class Wyckoff_BTC_V1_BASELINE(IStrategy):
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"""冻结基线：Spring 反转。禁止继续调参；对比实验请用独立分支。"""
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INTERFACE_VERSION = 3
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STRATEGY_VERSION = "V1.0_BASELINE"
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SETUP_FAMILY = "SPRING"
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timeframe = "1h"
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structure_timeframe = "4h"
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bias_timeframe: Optional[str] = "8h"
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use_bias_filter = True
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# trend = bull|bear only（Range disabled — 理论一致性约束，非调参）
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regime_mode: str = "trend"
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can_short = True
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process_only_new_candles = True
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startup_candle_count = 220
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minimal_roi = {
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"0": 0.10,
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"1440": 0.05,
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"4320": 0.025,
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"10080": 0,
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}
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stoploss = -0.10
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use_custom_stoploss = True
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trailing_stop = True
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trailing_stop_positive = 0.02
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trailing_stop_positive_offset = 0.04
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trailing_only_offset_is_reached = True
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use_exit_signal = True
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exit_profit_only = False
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# ---- 冻结默认值（optimize=False）----
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range_lookback = IntParameter(12, 48, default=24, space="buy", optimize=False)
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spring_pierce_pct = DecimalParameter(0.001, 0.012, default=0.004, decimals=3, space="buy", optimize=False)
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vol_spike_mult = DecimalParameter(1.1, 2.5, default=1.8, decimals=1, space="buy", optimize=False)
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adx_min = IntParameter(10, 28, default=14, space="buy", optimize=False)
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tr_pos_long_max = DecimalParameter(0.35, 0.55, default=0.45, decimals=2, space="buy", optimize=False)
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tr_pos_short_min = DecimalParameter(0.45, 0.65, default=0.55, decimals=2, space="buy", optimize=False)
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atr_sl_mult = DecimalParameter(1.2, 3.5, default=1.5, decimals=1, space="sell", optimize=False)
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atr_sl_min = DecimalParameter(0.012, 0.04, default=0.018, decimals=3, space="sell", optimize=False)
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atr_sl_max = DecimalParameter(0.05, 0.12, default=0.08, decimals=2, space="sell", optimize=False)
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time_stop_hours = IntParameter(48, 240, default=120, space="sell", optimize=False)
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# Branch A：仅 Spring / UTAD
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use_spring_sig = CategoricalParameter([True, False], default=True, space="buy", optimize=False)
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use_utad_sig = CategoricalParameter([True, False], default=True, space="buy", optimize=False)
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use_sos_sig = CategoricalParameter([True, False], default=False, space="buy", optimize=False)
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use_sow_sig = CategoricalParameter([True, False], default=False, space="buy", optimize=False)
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lev = 1.0
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def informative_pairs(self):
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pairs = self.dp.current_whitelist() if self.dp else []
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tfs = {self.structure_timeframe}
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if self.bias_timeframe and self.use_bias_filter:
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tfs.add(self.bias_timeframe)
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return [(pair, tf) for pair in pairs for tf in tfs]
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def _add_wyckoff_structure(self, df: DataFrame) -> DataFrame:
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lb = int(self.range_lookback.value)
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df["atr"] = ta.ATR(df, timeperiod=14)
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df["ema50"] = ta.EMA(df, timeperiod=50)
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df["ema200"] = ta.EMA(df, timeperiod=200)
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df["adx"] = ta.ADX(df, timeperiod=14)
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df["rsi"] = ta.RSI(df, timeperiod=14)
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df["volume_ma"] = ta.SMA(df, timeperiod=20, price="volume")
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df["tr_high"] = df["high"].rolling(lb).max()
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df["tr_low"] = df["low"].rolling(lb).min()
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df["tr_mid"] = (df["tr_high"] + df["tr_low"]) / 2.0
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df["tr_width"] = (df["tr_high"] - df["tr_low"]) / df["tr_mid"].replace(0, np.nan)
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df["tr_width_ma"] = df["tr_width"].rolling(lb).mean()
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rng = (df["tr_high"] - df["tr_low"]).replace(0, np.nan)
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df["tr_pos"] = (df["close"] - df["tr_low"]) / rng
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df["in_range"] = (df["tr_width"] < df["tr_width_ma"] * 1.35) & (df["adx"] < 28)
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df["ema50_slope"] = df["ema50"] - df["ema50"].shift(8)
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df["prior_down"] = df["ema50_slope"].shift(lb) < 0
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df["prior_up"] = df["ema50_slope"].shift(lb) > 0
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down_bar = df["close"] < df["open"]
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up_bar = df["close"] > df["open"]
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vol_down = np.where(down_bar, df["volume"], np.nan)
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vol_up = np.where(up_bar, df["volume"], np.nan)
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df["vol_down_ma"] = pd.Series(vol_down, index=df.index).rolling(10, min_periods=3).mean()
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df["vol_up_ma"] = pd.Series(vol_up, index=df.index).rolling(10, min_periods=3).mean()
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df["effort_absorb"] = (
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df["vol_down_ma"].notna()
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& df["vol_up_ma"].notna()
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& (df["vol_up_ma"] > df["vol_down_ma"] * 1.05)
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)
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df["accum_ctx"] = (
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df["in_range"]
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& (df["prior_down"] | (df["close"] < df["ema50"]))
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& (df["tr_pos"] < float(self.tr_pos_long_max.value))
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)
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df["distrib_ctx"] = (
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df["in_range"]
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& (df["prior_up"] | (df["close"] > df["ema50"]))
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& (df["tr_pos"] > float(self.tr_pos_short_min.value))
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)
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df["bull_bias"] = (df["close"] > df["ema200"]) & (df["ema50"] > df["ema200"])
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df["bear_bias"] = (df["close"] < df["ema200"]) & (df["ema50"] < df["ema200"])
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df["vol_spike"] = df["volume"] > df["volume_ma"] * float(self.vol_spike_mult.value)
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return df
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def _merge_tf(self, dataframe: DataFrame, pair: str, tf: str) -> DataFrame:
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inf = self.dp.get_pair_dataframe(pair=pair, timeframe=tf)
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inf = self._add_wyckoff_structure(inf)
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keep = [
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"date", "atr", "ema50", "ema200", "adx", "rsi",
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"tr_high", "tr_low", "tr_mid", "tr_width", "tr_pos",
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"in_range", "accum_ctx", "distrib_ctx",
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"vol_spike", "effort_absorb", "prior_down", "prior_up",
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"bull_bias", "bear_bias",
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]
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inf = inf[[c for c in keep if c in inf.columns]].copy()
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return merge_informative_pair(dataframe, inf, self.timeframe, tf, ffill=True)
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def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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pair = metadata["pair"]
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stf = self.structure_timeframe
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dataframe = self._merge_tf(dataframe, pair, stf)
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btf = self.bias_timeframe
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if btf and self.use_bias_filter and btf != stf:
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dataframe = self._merge_tf(dataframe, pair, btf)
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ss = f"_{stf}"
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dataframe["atr"] = ta.ATR(dataframe, timeperiod=14)
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dataframe["ema21"] = ta.EMA(dataframe, timeperiod=21)
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dataframe["ema50"] = ta.EMA(dataframe, timeperiod=50)
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dataframe["rsi"] = ta.RSI(dataframe, timeperiod=14)
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dataframe["volume_ma"] = ta.SMA(dataframe, timeperiod=20, price="volume")
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dataframe["vol_ok"] = dataframe["volume"] > dataframe["volume_ma"] * float(self.vol_spike_mult.value)
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tr_high = dataframe[f"tr_high{ss}"]
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tr_low = dataframe[f"tr_low{ss}"]
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pierce = float(self.spring_pierce_pct.value)
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accum_soft = (
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dataframe[f"accum_ctx{ss}"].fillna(False).astype(bool)
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| (
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dataframe[f"in_range{ss}"].fillna(False).astype(bool)
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& dataframe[f"prior_down{ss}"].fillna(False).astype(bool)
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& (dataframe[f"tr_pos{ss}"] < float(self.tr_pos_long_max.value))
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)
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)
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distrib_soft = (
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dataframe[f"distrib_ctx{ss}"].fillna(False).astype(bool)
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| (
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dataframe[f"in_range{ss}"].fillna(False).astype(bool)
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& dataframe[f"prior_up{ss}"].fillna(False).astype(bool)
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& (dataframe[f"tr_pos{ss}"] > float(self.tr_pos_short_min.value))
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)
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)
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if btf and self.use_bias_filter:
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bs = f"_{btf}" if btf != stf else ss
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if f"bear_bias{bs}" in dataframe.columns:
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dataframe["bias_long_ok"] = ~dataframe[f"bear_bias{bs}"].fillna(False).astype(bool)
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dataframe["bias_short_ok"] = ~dataframe[f"bull_bias{bs}"].fillna(False).astype(bool)
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else:
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dataframe["bias_long_ok"] = True
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dataframe["bias_short_ok"] = True
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else:
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dataframe["bias_long_ok"] = True
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dataframe["bias_short_ok"] = True
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vol_mild = dataframe["volume"] > dataframe["volume_ma"] * max(1.1, float(self.vol_spike_mult.value) * 0.85)
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dataframe["spring"] = (
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tr_low.notna()
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& (dataframe["low"] < tr_low * (1.0 - pierce))
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& (dataframe["close"] > tr_low)
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& (dataframe["close"] > dataframe["open"])
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& accum_soft
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& vol_mild
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& (dataframe["rsi"] < 58)
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& dataframe["bias_long_ok"]
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)
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dataframe["utad"] = (
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tr_high.notna()
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& (dataframe["high"] > tr_high * (1.0 + pierce))
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& (dataframe["close"] < tr_high)
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& (dataframe["close"] < dataframe["open"])
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& distrib_soft
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& vol_mild
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& (dataframe["rsi"] > 42)
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& dataframe["bias_short_ok"]
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)
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# 基线不进 SOS/SOW；保留列供 exit 参考
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dataframe["sos"] = False
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dataframe["sow"] = False
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for col in ["spring", "utad", "sos", "sow", "vol_ok", "bias_long_ok", "bias_short_ok"]:
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dataframe[col] = dataframe[col].fillna(False).astype(bool)
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dataframe["setup_type"] = ""
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dataframe.loc[dataframe["spring"], "setup_type"] = "SPRING_LONG"
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dataframe.loc[dataframe["utad"], "setup_type"] = "UTAD_SHORT"
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return dataframe
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def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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dataframe["enter_long"] = 0
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dataframe["enter_short"] = 0
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dataframe["enter_tag"] = ""
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vol_ok = dataframe["volume"] > 0
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# 分开标签：禁止把 SPRING / UTAD 混成同一统计桶
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if bool(self.use_spring_sig.value):
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cond = vol_ok & dataframe["spring"]
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dataframe.loc[cond, ["enter_long", "enter_tag"]] = (1, "SPRING_LONG")
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if bool(self.use_utad_sig.value):
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cond = vol_ok & dataframe["utad"]
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dataframe.loc[cond, ["enter_short", "enter_tag"]] = (1, "UTAD_SHORT")
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self._apply_regime_filter(dataframe)
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return dataframe
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def _apply_regime_filter(self, dataframe: DataFrame) -> None:
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rm = getattr(self, "regime_mode", "all")
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if rm == "all" or not self.bias_timeframe:
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return
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bs = f"_{self.bias_timeframe}"
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bc, ec = f"bull_bias{bs}", f"bear_bias{bs}"
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if bc not in dataframe.columns or ec not in dataframe.columns:
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return
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bull = dataframe[bc].fillna(False).astype(bool)
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bear = dataframe[ec].fillna(False).astype(bool)
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both = bull & bear
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bull, bear = bull & ~both, bear & ~both
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range_m = (~bull) & (~bear)
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if rm == "bull":
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mask = ~bull
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elif rm == "bear":
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mask = ~bear
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elif rm == "range":
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mask = ~range_m
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elif rm == "trend":
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mask = range_m # Range disabled
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else:
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return
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dataframe.loc[mask, ["enter_long", "enter_short"]] = (0, 0)
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dataframe.loc[mask, "enter_tag"] = ""
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def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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dataframe["exit_long"] = 0
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dataframe["exit_short"] = 0
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dataframe["exit_tag"] = ""
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ss = f"_{self.structure_timeframe}"
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exit_long = dataframe["utad"] | (
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dataframe[f"distrib_ctx{ss}"].fillna(False).astype(bool)
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& (dataframe["close"] < dataframe["ema21"])
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& (dataframe["rsi"] < 45)
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)
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exit_short = dataframe["spring"] | (
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dataframe[f"accum_ctx{ss}"].fillna(False).astype(bool)
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& (dataframe["close"] > dataframe["ema21"])
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& (dataframe["rsi"] > 55)
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)
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dataframe.loc[exit_long, ["exit_long", "exit_tag"]] = (1, "wyckoff_phase_flip")
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dataframe.loc[exit_short, ["exit_short", "exit_tag"]] = (1, "wyckoff_phase_flip")
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return dataframe
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def custom_stoploss(
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self, pair: str, trade: Trade, current_time: datetime,
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current_rate: float, current_profit: float, after_fill: bool, **kwargs,
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) -> Optional[float]:
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dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
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if dataframe.empty:
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return None
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last = dataframe.iloc[-1]
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atr = float(last["atr"]) if pd.notna(last["atr"]) else 0.0
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if atr <= 0 or trade.open_rate <= 0:
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return None
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atr_dist = float(self.atr_sl_mult.value) * atr
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tag = trade.enter_tag or ""
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buffer = atr * 0.15
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if after_fill and trade.get_custom_data("struct_stop") is None:
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if trade.is_short:
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trade.set_custom_data("struct_stop", float(last["high"]) + buffer)
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else:
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trade.set_custom_data("struct_stop", float(last["low"]) - buffer)
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struct = trade.get_custom_data("struct_stop")
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if trade.is_short:
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atr_stop = trade.open_rate + atr_dist
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stop_price = min(atr_stop, float(struct)) if struct is not None else atr_stop
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else:
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atr_stop = trade.open_rate - atr_dist
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stop_price = max(atr_stop, float(struct)) if struct is not None else atr_stop
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raw = abs(trade.open_rate - stop_price) / trade.open_rate
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raw = min(max(raw, float(self.atr_sl_min.value)), float(self.atr_sl_max.value))
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if struct is not None and tag in (
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"SPRING_LONG", "UTAD_SHORT", "SPRING", "UTAD", "wyckoff_spring", "wyckoff_utad",
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):
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sl = stoploss_from_absolute(
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stop_price, current_rate, is_short=trade.is_short, leverage=trade.leverage
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)
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return sl if sl and sl > 0 else None
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return stoploss_from_open(
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-raw, current_profit, is_short=trade.is_short, leverage=trade.leverage
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) or None
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def custom_exit(
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self, pair: str, trade: Trade, current_time: datetime,
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current_rate: float, current_profit: float, **kwargs,
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) -> Optional[str]:
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hours = (current_time - trade.open_date_utc).total_seconds() / 3600
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if hours > float(self.time_stop_hours.value) and current_profit < 0:
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return "wyckoff_time_stop"
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if hours > float(self.time_stop_hours.value) * 2:
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return "wyckoff_time_stop_max"
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return None
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def leverage(
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self, pair: str, current_time: datetime, current_rate: float,
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proposed_leverage: float, max_leverage: float, entry_tag: Optional[str],
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side: str, **kwargs,
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) -> float:
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return min(self.lev, max_leverage)
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Block a user