添加新的策略

TF_DF.py

@@ -157,15 +157,41 @@ class TF_DF():
 				klu_state_list.append("00")
 		print(klu_state_list[:20])
 		return klu_state_list
-	def get_bsp_state(self, dataframe):
+	def get_bsp_signal_data(self, dataframe):
 		klu_list = self.get_klu_list(dataframe)
 		klc_list = self.get_klc_list(klu_list)
 		bi_list = self.cal_bi_list(klc_list)
-		seg_list = self.get_seg_list(bi_list)
-		bi_zs_list = self.cal_bi_zs(seg_list)
+		bi_zs_list = self.cal_bi_zs_list_pure(bi_list)
 		bsp_list = self.find_all_bsp(bi_list, bi_zs_list)
+		bsp_by_bi_type = {}
+		for bsp in bsp_list:
+			if bsp and bsp.bi:
+				bsp_by_bi_type[(bsp.bi.index, bsp.type)] = bsp
 		bsp_state_list = [0] * len(dataframe)
+		bsp_zg_list = [0.0] * len(dataframe)
+		bsp_zd_list = [0.0] * len(dataframe)
+		bsp_stop_price_list = [0.0] * len(dataframe)
+		bsp_risk_ratio_list = [0.0] * len(dataframe)
 		klc_index = 0
+		def set_bsp_signal(index, state, bsp):
+			bsp_state_list[index] = state
+			if not bsp or not bsp.zs:
+				return
+			close = float(dataframe.iloc[index]['close'])
+			atr = float(dataframe.iloc[index]['atr']) if 'atr' in dataframe.columns and not pd.isna(dataframe.iloc[index]['atr']) else 0.0
+			atr_ratio = atr / close if close > 0 else 0.0
+			buffer = atr * 0.1
+			bsp_zg_list[index] = bsp.zs.zg
+			bsp_zd_list[index] = bsp.zs.zd
+			if state == -1:
+				stop_price = bsp.zs.zg - buffer
+				risk_ratio = (close - stop_price) / close if close > stop_price else atr_ratio
+			else:
+				stop_price = bsp.zs.zd + buffer
+				risk_ratio = (stop_price - close) / close if close < stop_price else atr_ratio
+			bsp_stop_price_list[index] = stop_price
+			bsp_risk_ratio_list[index] = max(0.001, min(float(risk_ratio), 0.02))
+
 		for index in range(0, len(dataframe)):
 			if klc_index == len(klc_list):
 				klc_index = len(klc_list) - 1
@@ -175,7 +201,7 @@ class TF_DF():
 					bi = klc.bi.pre
 					if bi and bi.is_sure and bi.end_klc.bsp_type == Chan_BSP_TYPE.B3:
 						# 第三类买点
-						bsp_state_list[index] = -1
+						set_bsp_signal(index, -1, bsp_by_bi_type.get((bi.index, Chan_BSP_TYPE.B3)))
 						#print(klc.end_time, "B3")
 					else:
 						bsp_state_list[index] = 0
@@ -183,14 +209,22 @@ class TF_DF():
 					bi = klc.bi.pre
 					if bi and bi.is_sure and bi.end_klc.bsp_type == Chan_BSP_TYPE.S3:
 						# 第三类卖点
-						bsp_state_list[index] = 1
+						set_bsp_signal(index, 1, bsp_by_bi_type.get((bi.index, Chan_BSP_TYPE.S3)))
 						#print(klc.end_time, "S3")
 					else:
 						bsp_state_list[index] = 0
 				klc_index += 1
 			else:
 				bsp_state_list[index] = 0
-		return bsp_state_list
+		return {
+			'bsp_state': bsp_state_list,
+			'bsp_zg': bsp_zg_list,
+			'bsp_zd': bsp_zd_list,
+			'bsp_stop_price': bsp_stop_price_list,
+			'bsp_risk_ratio': bsp_risk_ratio_list,
+		}
+	def get_bsp_state(self, dataframe):
+		return self.get_bsp_signal_data(dataframe)['bsp_state']
 	def get_ema_state(self, dataframe):
 		klu_list = self.get_klu_list(dataframe)
 		klc_list = self.get_klc_list(klu_list)
@@ -1316,7 +1350,7 @@ class TF_DF():
 		if (last_top.low < klc.pre.high or last_top.low < klc.next.high) and (klc.index - last_top.index < 100):
 			return False
 		return True
-	# 建议用这种方式生成笔中枢
+	# 线段内的中枢
 	def cal_bi_zs(self, seg_list):
 		bi_zs_list = []
 		for seg in seg_list:
@@ -1324,7 +1358,7 @@ class TF_DF():
 			if len(zs_list) > 0:
 				bi_zs_list = list(bi_zs_list) + list(zs_list)
 		return bi_zs_list
-	# 这个种方式不是很好，会有很多重叠的
+	# 跨段不相连的中枢
 	def cal_bi_zs_list(self, bi_list):
 		"""
 		根据缠论笔中枢定义计算中枢（参照 get_zs_list 线段中枢判断规则）
@@ -1455,6 +1489,282 @@ class TF_DF():
 					if last_bi_of_zs.is_sure:
 						last_zs.set_end_bi(last_bi_of_zs, last_bi_of_zs.sure_time)
 		return bi_zs_list
+	def get_bi_zs_list(self, bi_list):
+		"""
+		根据缠论笔中枢定义计算中枢（完全参照 get_seg_zs_list 线段中枢判断规则）
+		从第4根笔开始（索引3），每3根笔为一组检查
+		上涨中枢：后中枢 zd > 前中枢 zg（不重叠上移）
+		下跌中枢：后中枢 zg < 前中枢 zd（不重叠下移）
+		盘整/扩张：后中枢与前中枢整体区间有交集 → 合并扩展
+		中枢可按两笔一组继续扩展到5根、7根...
+		"""
+		bi_zs_list = []
+		if len(bi_list) < 3:
+			return bi_zs_list
+
+		last_zs = None
+		start_idx = 3
+
+		while start_idx < len(bi_list):
+			if start_idx + 2 >= len(bi_list):
+				break
+
+			bi1 = bi_list[start_idx]
+			bi2 = bi_list[start_idx + 1]
+			bi3 = bi_list[start_idx + 2]
+
+			if not (bi1.is_sure and bi2.is_sure and bi3.is_sure):
+				start_idx += 1
+				continue
+
+			zg = min(bi1.high, bi2.high, bi3.high)
+			zd = max(bi1.low, bi2.low, bi3.low)
+
+			if zg <= zd:
+				start_idx += 1
+				continue
+
+			valid = False
+			if last_zs is None:
+				if bi1.dir == Chan_BI_DIR.DOWN:
+					zs_dir = Chan_ZS_DIR.UP
+					valid = (bi2.dir == Chan_BI_DIR.UP and bi3.dir == Chan_BI_DIR.DOWN)
+				else:
+					zs_dir = Chan_ZS_DIR.DOWN
+					valid = (bi2.dir == Chan_BI_DIR.DOWN and bi3.dir == Chan_BI_DIR.UP)
+			else:
+				is_up_zs = zd > last_zs.zg
+				is_down_zs = zg < last_zs.zd
+
+				if is_up_zs:
+					zs_dir = Chan_ZS_DIR.UP
+					valid = (bi1.dir == Chan_BI_DIR.DOWN and bi2.dir == Chan_BI_DIR.UP and bi3.dir == Chan_BI_DIR.DOWN)
+				elif is_down_zs:
+					zs_dir = Chan_ZS_DIR.DOWN
+					valid = (bi1.dir == Chan_BI_DIR.UP and bi2.dir == Chan_BI_DIR.DOWN and bi3.dir == Chan_BI_DIR.UP)
+
+			create_new_zs = False
+			if not valid:
+				# 如果新中枢和前一个中枢的中枢区间有重叠，不形成新中枢，合并扩展
+				if last_zs is not None:
+					is_in_last_zs = (zd > last_zs.zd and zd < last_zs.zg) or \
+									(zg < last_zs.zg and zg > last_zs.zd) or \
+									(zg > last_zs.zg and zd < last_zs.zd) or \
+									(zg < last_zs.zg and zd > last_zs.zd)
+					if is_in_last_zs:
+						# 扩展当前中枢：将 bi1-bi3 加入 last_zs
+						for bi in [bi1, bi2, bi3]:
+							if bi not in last_zs.bi_list:
+								last_zs.add_bi(bi)
+						create_new_zs = False
+					else:
+						start_idx += 1
+						continue
+				else:
+					start_idx += 1
+					continue
+			else:
+				create_new_zs = True
+
+			# 新中枢形成时确认前一个中枢
+			if last_zs and create_new_zs:
+				last_bi = last_zs.bi_list[-1]
+				if last_bi and last_bi.is_sure:
+					last_zs.is_sure = True
+					last_zs.set_end_bi(last_bi, last_bi.sure_time)
+
+			zs = last_zs
+			if create_new_zs:
+				gg = max(bi1.high, bi2.high, bi3.high)
+				dd = min(bi1.low, bi2.low, bi3.low)
+				zs = ChanBIZS(bi1, len(bi_zs_list), zs_dir)
+				zs.set_zg(zg)
+				zs.set_zd(zd)
+				zs.set_gg(gg)
+				zs.set_dd(dd)
+				zs.is_sure = False
+				zs.bi_list = [bi1, bi2, bi3]
+
+			# 离开后回抽扩展检查
+			added_after_leave = []
+			leave_index = start_idx + 4
+			while leave_index < len(bi_list):
+				b = bi_list[leave_index]
+				if not b.is_sure:
+					break
+				if b.high >= zs.zd and b.low <= zs.zg:
+					added_after_leave.append(b.pre)
+					added_after_leave.append(b)
+				else:
+					break
+				leave_index += 2
+
+			if added_after_leave:
+				bis_for_zs = list(zs.bi_list) + list(added_after_leave)
+				bi_highs = [bi.high for bi in bis_for_zs]
+				bi_lows = [bi.low for bi in bis_for_zs]
+				zs.set_gg(max(bi_highs))
+				zs.set_dd(min(bi_lows))
+				zs.bi_list = bis_for_zs
+				bi = bis_for_zs[-1]
+				if bi.is_sure:
+					zs.set_end_bi(bi, bi.sure_time)
+				start_idx = start_idx + len(added_after_leave)
+			else:
+				if create_new_zs:
+					zs.set_end_bi(bi3, bi3.sure_time)
+
+			if create_new_zs:
+				if last_zs:
+					last_zs.set_next(zs)
+					zs.set_pre(last_zs)
+				bi_zs_list.append(zs)
+				last_zs = zs
+
+			start_idx += 4
+
+		# 最后一个中枢：根据 bi_list 最后一笔确认状态
+		if last_zs:
+			last_zs.is_sure = bi_list[-1].is_sure
+
+		if last_zs and not last_zs.is_sure:
+			if last_zs.bi_list and len(last_zs.bi_list) > 0:
+				last_bi_of_zs = last_zs.bi_list[-1]
+				last_bi_idx = -1
+				for i, bi in enumerate(bi_list):
+					if bi == last_bi_of_zs:
+						last_bi_idx = i
+						break
+
+				has_leave = False
+				if last_bi_idx >= 0 and last_bi_idx + 1 < len(bi_list):
+					for i in range(last_bi_idx + 1, len(bi_list)):
+						bi = bi_list[i]
+						if bi.is_sure:
+							leave = (bi.low > last_zs.zg and bi.high > last_zs.zg) or \
+									(bi.high < last_zs.zd and bi.low < last_zs.zd)
+							if leave:
+								has_leave = True
+								break
+
+				if has_leave:
+					if last_bi_of_zs.is_sure:
+						last_zs.set_end_bi(last_bi_of_zs, last_bi_of_zs.sure_time)
+
+		return bi_zs_list
+
+	def cal_bi_zs_list_pure(self, bi_list):
+		bi_zs_list = []
+		if len(bi_list) < 3:
+			return bi_zs_list
+
+		def get_zs_range(bis):
+			zg = min(bi.high for bi in bis)
+			zd = max(bi.low for bi in bis)
+			return zg, zd
+
+		def is_bi_overlap_range(bi, zg, zd):
+			return bi.high >= zd and bi.low <= zg
+
+		def check_zs_position_filter(last_zs, zg, zd, bis):
+			if last_zs is None:
+				return True
+			if zg <= last_zs.zd:
+				return bis[0].dir == Chan_BI_DIR.UP and bis[-1].dir == Chan_BI_DIR.UP
+			if zd >= last_zs.zg:
+				return bis[0].dir == Chan_BI_DIR.DOWN and bis[-1].dir == Chan_BI_DIR.DOWN
+			return True
+
+		def set_zs_bi_list(zs, bis):
+			zs.bi_list = list(bis)
+			for bi in zs.bi_list:
+				bi.set_bi_zs(zs)
+			zs.set_gg(max(bi.high for bi in zs.bi_list))
+			zs.set_dd(min(bi.low for bi in zs.bi_list))
+			zs.classify_zs()
+
+		last_zs = None
+		start_idx = 0
+		while start_idx + 2 < len(bi_list):
+			bi1 = bi_list[start_idx]
+			bi2 = bi_list[start_idx + 1]
+			bi3 = bi_list[start_idx + 2]
+
+			if not (bi1.is_sure and bi2.is_sure and bi3.is_sure):
+				start_idx += 1
+				continue
+
+			if not (bi1.dir != bi2.dir and bi1.dir == bi3.dir):
+				start_idx += 1
+				continue
+
+			zg, zd = get_zs_range([bi1, bi2, bi3])
+			if zg <= zd:
+				start_idx += 1
+				continue
+
+			bis_for_zs = [bi1, bi2, bi3]
+			extend_idx = start_idx + 3
+			while extend_idx + 1 < len(bi_list):
+				leave_bi = bi_list[extend_idx]
+				back_bi = bi_list[extend_idx + 1]
+				if not (leave_bi.is_sure and back_bi.is_sure):
+					break
+				if not is_bi_overlap_range(back_bi, zg, zd):
+					break
+				bis_for_zs.append(leave_bi)
+				bis_for_zs.append(back_bi)
+				extend_idx += 2
+
+			if not check_zs_position_filter(last_zs, zg, zd, bis_for_zs):
+				start_idx += 1
+				continue
+
+			zs_dir = Chan_ZS_DIR.UP if bi1.dir == Chan_BI_DIR.DOWN else Chan_ZS_DIR.DOWN
+			zs = ChanBIZS(bi1, len(bi_zs_list), zs_dir)
+			zs.set_zg(zg)
+			zs.set_zd(zd)
+
+			set_zs_bi_list(zs, bis_for_zs)
+			zs.set_end_bi(bis_for_zs[-1], bis_for_zs[-1].sure_time)
+
+			if last_zs:
+				last_zs.set_next(zs)
+				zs.set_pre(last_zs)
+
+			bi_zs_list.append(zs)
+			last_zs = zs
+			start_idx = start_idx + len(bis_for_zs)
+
+		# 与 cal_bi_zs_list 一致：最后一笔未确认时末中枢标为未完成；若其后已出现确认的离开笔，仍按离开前最后一笔确认中枢结束
+		if last_zs:
+			last_zs.is_sure = bi_list[-1].is_sure
+
+		if last_zs and not last_zs.is_sure:
+			if last_zs.bi_list and len(last_zs.bi_list) > 0:
+				last_bi_of_zs = last_zs.bi_list[-1]
+				last_bi_idx = -1
+				for i, bi in enumerate(bi_list):
+					if bi == last_bi_of_zs:
+						last_bi_idx = i
+						break
+
+				has_leave = False
+				if last_bi_idx >= 0 and last_bi_idx + 1 < len(bi_list):
+					for i in range(last_bi_idx + 1, len(bi_list)):
+						bi = bi_list[i]
+						if bi.is_sure:
+							leave = (bi.low > last_zs.zg and bi.high > last_zs.zg) or \
+									(bi.high < last_zs.zd and bi.low < last_zs.zd)
+							if leave:
+								has_leave = True
+								break
+
+				if has_leave:
+					if last_bi_of_zs.is_sure:
+						last_zs.set_end_bi(last_bi_of_zs, last_bi_of_zs.sure_time)
+
+		return bi_zs_list
 	def find_all_bsp(self, bi_list, bi_zs_list):
 		"""
 		笔中枢的三类买卖点识别