新的策略，先开单，明天继续添加条件
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jackyu66git
+204
-5
@@ -75,6 +75,26 @@ class ChanLun():
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if len(self.tf_df_dict) > 0:
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return {key: self.tf_df_dict[key].get_ema24() for key in self.ema_symbols}
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return None
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def get_klu_state(self, dataframe):
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klc_list = self.get_klc_list(dataframe)
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bi_list = self.cal_bi_list(klc_list)
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klu_state_list = []
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klc_index = 0
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for index in range(0, len(dataframe)):
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if klc_index == len(klc_list):
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klc_index = len(klc_list) - 1
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klc = klc_list[klc_index]
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if klc.end_klu and klc.end_klu.idx == index:
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if klc.klc_fx_type == Chan_KLC_FX.TOP4:
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klu_state_list.append("10")
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elif klc.klc_fx_type == Chan_KLC_FX.BOTTOM4:
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klu_state_list.append("-10")
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else:
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klu_state_list.append("00")
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klc_index += 1
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else:
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klu_state_list.append("00")
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return klu_state_list
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def get_current_klc_dict(self):
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if len(self.tf_df_dict) > 0:
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return {key: self.tf_df_dict[key].get_current_klc() for key in self.ema_symbols}
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@@ -94,7 +114,7 @@ class ChanLun():
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#print(klc.start_time, klc.end_time,klc.next.start_time, klc.next.end_time, klc.macd, klc.state, klc.fx, "BOTTOM")
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return Chan_FX_TYPE.BOTTOM
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return Chan_FX_TYPE.UNKNOWN
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def add_indicators(self, df):
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def add_indicators1(self, df):
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fast = 12
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slow = 26
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period = 9
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@@ -474,6 +494,9 @@ class ChanLun():
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if not klc_list:
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return klc_list
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last_trend = Chan_PRICE_TREND.UNKNOWN
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# 趋势延续性：参考近 N 根已完成的KLC
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lookback_n = 5
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prev_klcs = []
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for klc in klc_list:
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price = getattr(klc, 'close', None)
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ema24 = getattr(klc, 'ema24', None)
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@@ -514,6 +537,76 @@ class ChanLun():
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spread_now = ema24 - ema52
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spread_pre = pre_ema24 - pre_ema52
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score += 1 if spread_now >= spread_pre else -1
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# 3.1) MACD柱体动量趋势：考虑 macdhist 的斜率与过零
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pre_hist = getattr(pre, 'macdhist', None)
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if pre_hist is not None and hist is not None:
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# 柱体斜率：上升加分，下降减分
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if hist > pre_hist:
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score += 1
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elif hist < pre_hist:
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score -= 1
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# 过零加权：负转正更偏多，正转负更偏空
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if pre_hist < 0 and hist > 0:
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score += 1
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elif pre_hist > 0 and hist < 0:
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score -= 1
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# 3.2) EMA52 突破/跌破加权
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if ema52_valid and price_valid and pre_close is not None and pre_ema52 not in (None, 0):
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# 看多突破：从均线下方上破且动量配合
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if pre_close <= pre_ema52 and price > ema52 and (hist is None or pre_hist is None or hist >= pre_hist):
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score += 1
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# 看空跌破：从均线上方下破且动量配合
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if pre_close >= pre_ema52 and price < ema52 and (hist is None or pre_hist is None or hist <= pre_hist):
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score -= 1
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# 3.3) EMA52 支撑/阻力触碰（非强穿越）
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if ema52_valid and price_valid:
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low_v = getattr(klc, 'low', None)
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high_v = getattr(klc, 'high', None)
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if low_v is not None and high_v is not None and ema52 not in (None, 0):
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# 触碰容差（相对EMA52的0.15%）
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touch_tol = 0.0015
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# 作为支撑：收盘在上，最低靠近EMA52
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near_support_touch = (price > ema52) and (abs(low_v - ema52) / abs(ema52) <= touch_tol)
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# 作为阻力：收盘在下，最高靠近EMA52
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near_resistance_touch = (price < ema52) and (abs(high_v - ema52) / abs(ema52) <= touch_tol)
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if near_support_touch:
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# 若动量不弱，则更偏多
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score += 1 if (hist is None or pre_hist is None or hist >= pre_hist) else 0
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if near_resistance_touch:
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# 若动量不强，则更偏空
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score -= 1 if (hist is None or pre_hist is None or hist <= pre_hist) else 0
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# 3.4) 多次对 EMA52 的“拒绝”配合 MACD 逆向：易形成压/支并反向
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# 统计近窗口内的上/下拒绝次数：
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# - 上拒绝：价格位于 EMA52 下方，最高触及/越过 EMA52 但收盘仍在下方
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# - 下拒绝：价格位于 EMA52 上方，最低触及/跌破 EMA52 但收盘仍在上方
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recent_up_rejects = 0
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recent_down_rejects = 0
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if ema52_valid:
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window_rej = prev_klcs[-lookback_n:] if len(prev_klcs) > 0 else []
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rej_tol = 0.0015
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for wk in window_rej:
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wk_close = getattr(wk, 'close', None)
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wk_ema52 = getattr(wk, 'ema52', None)
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wk_high = getattr(wk, 'high', None)
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wk_low = getattr(wk, 'low', None)
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if wk_close is None or wk_ema52 in (None, 0):
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continue
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# 上拒绝（阻力）：下方多次试图上破但未站上
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if wk_close < wk_ema52 and wk_high is not None:
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if wk_high >= wk_ema52 or abs(wk_high - wk_ema52) / abs(wk_ema52) <= rej_tol:
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recent_up_rejects += 1
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# 下拒绝（支撑）：上方多次试图下破但未跌破
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if wk_close > wk_ema52 and wk_low is not None:
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if wk_low <= wk_ema52 or abs(wk_low - wk_ema52) / abs(wk_ema52) <= rej_tol:
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recent_down_rejects += 1
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# 定义 MACD 的方向偏好
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macd_bias_up = (macd >= signal) and (hist is None or pre_hist is None or hist >= pre_hist)
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macd_bias_down = (macd <= signal) and (hist is None or pre_hist is None or hist <= pre_hist)
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# 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
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if recent_up_rejects >= 2 and macd_bias_down:
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score -= 2
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if recent_down_rejects >= 2 and macd_bias_up:
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score += 2
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# 4) RSI 辅助
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if rsi is not None:
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if rsi >= 55:
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@@ -551,17 +644,121 @@ class ChanLun():
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near_macd = abs(macd - signal) <= (abs(price) * 0.00005 if price_valid else 0)
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near_flat = near_ema52 and near_macd
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# 7) 动态阈值 + 趋势记忆（更强粘滞：趋势中容忍小幅反分）
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# 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
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force_flip_down = False
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force_flip_up = False
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if near_flat:
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trend = Chan_PRICE_TREND.FLAT
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else:
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if last_trend == Chan_PRICE_TREND.UP:
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# 仅当出现明显反向才翻转，否则维持UP
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if score <= -2:
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# 计算过去窗口的趋势一致性
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window = prev_klcs[-lookback_n:] if len(prev_klcs) > 0 else []
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persist_up = 0
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persist_down = 0
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for wk in window:
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if getattr(wk, 'trend', None) == Chan_PRICE_TREND.UP:
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persist_up += 1
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elif getattr(wk, 'trend', None) == Chan_PRICE_TREND.DOWN:
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persist_down += 1
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persist_ratio_up = (persist_up / len(window)) if len(window) > 0 else 0
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persist_ratio_down = (persist_down / len(window)) if len(window) > 0 else 0
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# 基准阈值
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down_flip_threshold = -2
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up_flip_threshold = 2
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# 若最近多为UP，则从UP翻转需更强反向信号；同理对DOWN
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if last_trend == Chan_PRICE_TREND.UP and persist_ratio_up >= 0.6:
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down_flip_threshold = -3
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elif last_trend == Chan_PRICE_TREND.DOWN and persist_ratio_down >= 0.6:
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up_flip_threshold = 3
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# 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
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if ema52_valid and price_valid:
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low_v = getattr(klc, 'low', None)
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high_v = getattr(klc, 'high', None)
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if low_v is not None and high_v is not None and ema52 not in (None, 0):
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touch_tol = 0.0015
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near_support_touch = (price > ema52) and (abs(low_v - ema52) / abs(ema52) <= touch_tol)
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near_resistance_touch = (price < ema52) and (abs(high_v - ema52) / abs(ema52) <= touch_tol)
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if last_trend == Chan_PRICE_TREND.UP and near_support_touch:
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# 强化维持UP：进一步降低向下翻转阈值
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down_flip_threshold = min(down_flip_threshold - 1, -3)
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if last_trend == Chan_PRICE_TREND.DOWN and near_resistance_touch:
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# 强化维持DOWN：进一步提高向上翻转阈值
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up_flip_threshold = max(up_flip_threshold + 1, 3)
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# 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
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pre_macd = getattr(pre, 'macd', None) if pre else None
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pre_signal = getattr(pre, 'signal', None) if pre else None
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macd_slope = (macd - pre_macd) if (pre_macd is not None and macd is not None) else 0
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signal_slope = (signal - pre_signal) if (pre_signal is not None and signal is not None) else 0
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# hist 连续减弱（绝对值缩小）
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hist_seq = []
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for wk in prev_klcs[-2:]:
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val = getattr(wk, 'macdhist', None)
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if val is not None:
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hist_seq.append(val)
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if hist is not None:
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hist_seq.append(hist)
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weaken_steps = 0
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for i in range(1, len(hist_seq)):
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if abs(hist_seq[i]) < abs(hist_seq[i-1]):
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weaken_steps += 1
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# 近窗口对 EMA52 的“未能站上/跌破”统计（放宽窗口与条件）
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window_ema = prev_klcs[-4:] if len(prev_klcs) > 0 else []
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no_up_break = False
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no_down_break = False
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if ema52_valid:
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# 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
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cnt_touch_up = 0
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cnt_close_above = 0
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for wk in window_ema:
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wk_close = getattr(wk, 'close', None)
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wk_high = getattr(wk, 'high', None)
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wk_ema = getattr(wk, 'ema52', None)
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if wk_close is not None and wk_ema not in (None, 0):
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if wk_close > wk_ema:
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cnt_close_above += 1
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if wk_high is not None and (wk_high >= wk_ema or abs(wk_high - wk_ema) / abs(wk_ema) <= 0.0015):
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cnt_touch_up += 1
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no_up_break = (cnt_close_above <= 1 and cnt_touch_up >= 1 and price <= ema52)
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# 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
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cnt_touch_down = 0
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cnt_close_below = 0
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for wk in window_ema:
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wk_close = getattr(wk, 'close', None)
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wk_low = getattr(wk, 'low', None)
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wk_ema = getattr(wk, 'ema52', None)
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if wk_close is not None and wk_ema not in (None, 0):
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if wk_close < wk_ema:
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cnt_close_below += 1
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if wk_low is not None and (wk_low <= wk_ema or abs(wk_low - wk_ema) / abs(wk_ema) <= 0.0015):
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cnt_touch_down += 1
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no_down_break = (cnt_close_below <= 1 and cnt_touch_down >= 1 and price >= ema52)
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# 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
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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:
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score -= 3
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down_flip_threshold = max(down_flip_threshold, 0)
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force_flip_down = True
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# 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
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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:
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score += 3
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up_flip_threshold = min(up_flip_threshold, 0)
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force_flip_up = True
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# 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）
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if recent_up_rejects >= 2 and macd_bias_down:
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# 从 UP 向 DOWN 的翻转更容易
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down_flip_threshold = max(down_flip_threshold, -1)
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if recent_down_rejects >= 2 and macd_bias_up:
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# 从 DOWN 向 UP 的翻转更容易
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up_flip_threshold = min(up_flip_threshold, 1)
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if force_flip_down:
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trend = Chan_PRICE_TREND.DOWN
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elif force_flip_up:
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trend = Chan_PRICE_TREND.UP
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elif last_trend == Chan_PRICE_TREND.UP:
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if score <= down_flip_threshold:
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trend = Chan_PRICE_TREND.DOWN
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else:
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trend = Chan_PRICE_TREND.UP
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elif last_trend == Chan_PRICE_TREND.DOWN:
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if score >= 2:
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if score >= up_flip_threshold:
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trend = Chan_PRICE_TREND.UP
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else:
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trend = Chan_PRICE_TREND.DOWN
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@@ -583,6 +780,8 @@ class ChanLun():
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else:
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setattr(klc, 'trend', trend)
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last_trend = trend
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# 更新滑窗：仅向后看
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prev_klcs.append(klc)
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price_diff = klc.close - klc.pre.close if klc.pre else 0
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#if klc.index > len(klc_list) - 10:
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#print(klc.start_time, klc.end_time, klc.close, klc.ema24, klc.ema52, klc.macd, klc.signal, klc.macdhist, klc.trend, price_diff, score)
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