添加新的策略

2026-03-06 22:08:24 +08:00
parent d8f2269a49
commit d2107db6c0
19 changed files with 2712 additions and 19 deletions
@@ -0,0 +1,124 @@
+"""
+SOL15mStrategy - 基于15m时间框架的SOL/USDT期货策略
+
+核心逻辑：
+    - 15m EMA26/EMA52 交叉做多做空
+    - RSI过滤：做多要求RSI<65，做空要求RSI>35（避免超买超卖区入场）
+    - 使用 trailing_stop 让利润奔跑
+    - 宽止损（2%），给交易足够呼吸空间
+
+使用命令：
+    freqtrade backtesting -c ./user_data/Chan/config/Local_Test.json --strategy SOL15mStrategy --strategy-path ./user_data/Chan/strategies --timerange=20250301-
+"""
+
+from datetime import datetime
+from typing import Optional
+
+import talib.abstract as ta
+from pandas import DataFrame
+
+from freqtrade.persistence import Trade
+from freqtrade.strategy import IStrategy
+
+
+class SOL15mStrategy(IStrategy):
+    INTERFACE_VERSION: int = 3
+
+    # === 基础配置 ===
+    timeframe = "15m"
+    can_short = True
+    startup_candle_count: int = 200
+
+    # 止损 2%
+    stoploss = -0.02
+    use_custom_stoploss = False
+
+    # trailing stop: 利润达到1.5%后开始追踪，回撤0.5%止盈
+    trailing_stop = True
+    trailing_stop_positive = 0.005
+    trailing_stop_positive_offset = 0.015
+    trailing_only_offset_is_reached = True
+
+    # ROI: 阶梯式止盈
+    minimal_roi = {
+        "0": 0.04,      # 4%直接止盈
+        "60": 0.025,     # 60分钟后 2.5%
+        "180": 0.015,    # 3小时后 1.5%
+        "480": 0.005,    # 8小时后 0.5%
+        "720": 0,        # 12小时后保本退出
+    }
+
+    order_types = {
+        "entry": "market",
+        "exit": "market",
+        "stoploss": "market",
+        "stoploss_on_exchange": False,
+    }
+
+    def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
+        # EMA
+        dataframe["ema26"] = ta.EMA(dataframe, timeperiod=26)
+        dataframe["ema52"] = ta.EMA(dataframe, timeperiod=52)
+        dataframe["ema100"] = ta.EMA(dataframe, timeperiod=100)
+
+        # RSI
+        dataframe["rsi"] = ta.RSI(dataframe, timeperiod=14)
+
+        # MACD
+        macd = ta.MACD(dataframe, fastperiod=12, slowperiod=26, signalperiod=9)
+        dataframe["macd"] = macd["macd"]
+        dataframe["macdsignal"] = macd["macdsignal"]
+
+        # EMA26上穿EMA52
+        dataframe["ema26_cross_up_52"] = (
+            (dataframe["ema26"] > dataframe["ema52"])
+            & (dataframe["ema26"].shift(1) <= dataframe["ema52"].shift(1))
+        )
+
+        # EMA26下穿EMA52
+        dataframe["ema26_cross_dn_52"] = (
+            (dataframe["ema26"] < dataframe["ema52"])
+            & (dataframe["ema26"].shift(1) >= dataframe["ema52"].shift(1))
+        )
+
+        # MACD死叉
+        dataframe["macd_cross_dn"] = (
+            (dataframe["macd"] < dataframe["macdsignal"])
+            & (dataframe["macd"].shift(1) >= dataframe["macdsignal"].shift(1))
+        )
+
+        return dataframe
+
+    def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
+        # 做多: EMA26上穿EMA52 + RSI < 65 (不在超买区)
+        dataframe.loc[
+            (dataframe["ema26_cross_up_52"])
+            & (dataframe["rsi"] < 65),
+            ["enter_long", "enter_tag"],
+        ] = (1, "ema26x52_long")
+
+        # 做空: EMA26下穿EMA52 + RSI > 35 (不在超卖区)
+        dataframe.loc[
+            (dataframe["ema26_cross_dn_52"])
+            & (dataframe["rsi"] > 35),
+            ["enter_short", "enter_tag"],
+        ] = (1, "ema26x52_short")
+
+        return dataframe
+
+    def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
+        # 不使用信号退出，完全由 trailing_stop + ROI + stoploss 控制
+        return dataframe
+
+    def leverage(
+        self,
+        pair: str,
+        current_time: datetime,
+        current_rate: float,
+        proposed_leverage: float,
+        max_leverage: float,
+        entry_tag: Optional[str],
+        side: str,
+        **kwargs,
+    ) -> float:
+        return 1.0