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 +1,130 @@
+"""
+SOL5mStrategy_ShortTerm - 真正的短线交易策略
+
+核心特征：
+    ★ 使用5分钟快速EMA交叉（EMA9/EMA21）作为信号源
+    ★ 无延迟入场，信号出现立即入场
+    ★ 小止损（-1%），快速止盈（+0.8%）
+    ★ 平均持仓时间：15-60分钟
+    ★ 交易频率：每天5-20笔
+
+逻辑：
+    - 5分钟K线，EMA9/EMA21交叉入场
+    - RSI过滤（避免极端超买超卖）
+    - 成交量确认
+    - 快速止盈止损，不持仓过夜
+
+使用命令：
+    freqtrade backtesting -c ./user_data/Chan/config/Local_Test.json \
+        --strategy SOL5mStrategy_ShortTerm --strategy-path ./user_data/Chan/strategies \
+        --timerange=20250301-
+"""
+
+import logging
+from datetime import datetime
+from typing import Optional
+
+import talib.abstract as ta
+from pandas import DataFrame
+
+from freqtrade.strategy import IStrategy
+
+logger = logging.getLogger(__name__)
+
+
+class SOL5mStrategy_ShortTerm(IStrategy):
+    INTERFACE_VERSION: int = 3
+
+    # === 基础配置 ===
+    timeframe = "5m"  # 使用5分钟K线
+    can_short = True
+    startup_candle_count: int = 100
+
+    # 小止损（-1%），适合短线
+    stoploss = -0.01
+    use_custom_stoploss = False
+
+    # Trailing stop：盈利0.5%后激活，回撤0.3%退出
+    trailing_stop = True
+    trailing_stop_positive = 0.003      # 回撤0.3%触发退出
+    trailing_stop_positive_offset = 0.005  # 盈利0.5%后才开始追踪
+    trailing_only_offset_is_reached = True
+
+    # ROI：快速止盈，从0.8%逐步递减
+    minimal_roi = {
+        "0": 0.008,   # 0.8% 立即止盈
+        "15": 0.005,  # 15分钟后 0.5%
+        "30": 0.003,  # 30分钟后 0.3%
+        "60": 0.001,  # 60分钟后 0.1%
+        "120": 0,     # 120分钟后不设止盈（但trailing会保护）
+    }
+
+    order_types = {
+        "entry": "market",
+        "exit": "market",
+        "stoploss": "market",
+        "stoploss_on_exchange": False,
+    }
+
+    def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
+        """计算快速EMA交叉信号"""
+        # 快速EMA（9）和慢速EMA（21）
+        dataframe["ema_fast"] = ta.EMA(dataframe, timeperiod=9)
+        dataframe["ema_slow"] = ta.EMA(dataframe, timeperiod=21)
+        
+        # RSI用于过滤极端情况
+        dataframe["rsi"] = ta.EMA(dataframe, timeperiod=14)
+        
+        # 成交量均线用于确认
+        dataframe["volume_mean"] = dataframe["volume"].rolling(window=20).mean()
+
+        # 上穿：本根 EMA9 > EMA21，上一根 EMA9 ≤ EMA21
+        dataframe["ema_cross_up"] = (
+            (dataframe["ema_fast"] > dataframe["ema_slow"])
+            & (dataframe["ema_fast"].shift(1) <= dataframe["ema_slow"].shift(1))
+        )
+
+        # 下穿：本根 EMA9 < EMA21，上一根 EMA9 ≥ EMA21
+        dataframe["ema_cross_down"] = (
+            (dataframe["ema_fast"] < dataframe["ema_slow"])
+            & (dataframe["ema_fast"].shift(1) >= dataframe["ema_slow"].shift(1))
+        )
+
+        return dataframe
+
+    def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
+        """5分钟EMA交叉立即入场，无延迟"""
+        # 做多：EMA9上穿EMA21 + RSI > 45（避免极端超卖）+ 成交量确认
+        dataframe.loc[
+            (dataframe["ema_cross_up"] == True) &
+            (dataframe["rsi"] > 45) &  # RSI过滤，避免极端超卖
+            (dataframe["volume"] > dataframe["volume_mean"] * 0.8),  # 成交量确认（稍微宽松）
+            ["enter_long", "enter_tag"],
+        ] = (1, "ema9x21_long")
+
+        # 做空：EMA9下穿EMA21 + RSI < 55（避免极端超买）+ 成交量确认
+        dataframe.loc[
+            (dataframe["ema_cross_down"] == True) &
+            (dataframe["rsi"] < 55) &  # RSI过滤，避免极端超买
+            (dataframe["volume"] > dataframe["volume_mean"] * 0.8),  # 成交量确认
+            ["enter_short", "enter_tag"],
+        ] = (1, "ema9x21_short")
+
+        return dataframe
+
+    def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
+        """不使用信号退出，完全依赖 ROI / trailing stop / 硬止损"""
+        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