From e2726db9c102b497e319a8d22e0c44c36e90053b Mon Sep 17 00:00:00 2001 From: jackyu66git Date: Thu, 19 Feb 2026 00:44:53 +0800 Subject: [PATCH] =?UTF-8?q?=E6=B7=BB=E5=8A=A0=E4=B8=80=E4=B8=AA=E6=96=B0?= =?UTF-8?q?=E7=9A=84=E5=8E=95=E7=8E=87?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- ChanMACDHistSet.py | 11 ++-- ChanSBI.py | 9 +++ TF_DF.py | 34 +++++++++--- strategies/ChanLun_BTC_30.py | 105 +++++++++++++++++------------------ 4 files changed, 92 insertions(+), 67 deletions(-) diff --git a/ChanMACDHistSet.py b/ChanMACDHistSet.py index f585ba6..fa990bc 100644 --- a/ChanMACDHistSet.py +++ b/ChanMACDHistSet.py @@ -26,7 +26,7 @@ class ChanMACDHistSet(): def set_middle_klu(self, middle_klu): self.middle_klu = middle_klu #self.middle_area = abs(middle_klu.macdhist) - self.middle_klu = None + #self.middle_klu = None def set_unittf_div(self, unittf_div): self.unittf_div = unittf_div def add_klu(self, klu): @@ -92,12 +92,11 @@ class ChanMACDHistSet(): self.peak_klu = self.start_klu else: self.peak_klu = end_klu - if self.start_klu.index + 2 == end_klu.index: - peak = self.klu_list[0] + if len(self.klu_list) >= 3 and self.peak_klu == None: + self.peak_klu = self.klu_list[0] for klu in self.klu_list: - if abs(klu.macdhist) > abs(peak.macdhist): - peak = klu - self.peak_klu = peak + if abs(klu.macdhist) > abs(self.peak_klu.macdhist): + self.peak_klu = klu peak_str = "" state_str = "" for peak_div in self.peak_div_list: diff --git a/ChanSBI.py b/ChanSBI.py index 2b0779e..855b621 100644 --- a/ChanSBI.py +++ b/ChanSBI.py @@ -48,6 +48,15 @@ class ChanSBI(): #print(self.start_bi.start_time, self.end_bi.end_time, self.pre.start_bi.start_time, self.next.start_bi.start_time, self.dir, self.has_fx_gap, self.fx) return Chan_FX_TYPE.BOTTOM return Chan_FX_TYPE.UNKNOWN + def check_seg_bi_broken(self): + broken = False + if self.fx == Chan_FX_TYPE.TOP: + if self.next.low < self.pre.high: + broken = True + elif self.fx == Chan_FX_TYPE.BOTTOM: + if self.next.high > self.pre.low: + broken = True + return broken def check_bi_included(self, bi): included = False if self.high > bi.high: diff --git a/TF_DF.py b/TF_DF.py index e681a34..0e5efd2 100644 --- a/TF_DF.py +++ b/TF_DF.py @@ -118,7 +118,7 @@ class TF_DF(): df['volume_ratio'] = self.cal_volume_ratio(df) return df def get_klu_state(self, dataframe): - klc_list = self.get_klc_list(dataframe) + klc_list = self.get_klc_list(self.get_klu_list(dataframe)) bi_list = self.cal_bi_list(klc_list) klu_state_list = [] klc_index = 0 @@ -127,24 +127,41 @@ class TF_DF(): klc_index = len(klc_list) - 1 klc = klc_list[klc_index] if klc.end_klu and klc.end_klu.idx == index: - if klc.klc_fx_type == Chan_KLC_FX.TOP4: + if klc.klc_fx_type == Chan_KLC_FX.TOP1 or klc.klc_fx_type == Chan_KLC_FX.TOP2: klu_state_list.append("10") - elif klc.klc_fx_type == Chan_KLC_FX.BOTTOM4: + #print(klc.end_time, klc.klc_fx_type) + elif klc.klc_fx_type == Chan_KLC_FX.BOTTOM1 or klc.klc_fx_type == Chan_KLC_FX.BOTTOM2: klu_state_list.append("-10") + #print(klc.end_time, klc.klc_fx_type) else: - klu_state_list.append("00") + if klc.continue_div: + if klc.macdhist > 0: + klu_state_list.append("20") + #print(klc.end_time, "CD", 20) + else: + klu_state_list.append("-20") + #print(klc.end_time, "CD", -20) + elif klc.separate_div: + if klc.macdhist > 0: + klu_state_list.append("30") + #print(klc.end_time, "SD", 30) + else: + klu_state_list.append("-30") + #print(klc.end_time, "SD", -30) + else: + klu_state_list.append("00") klc_index += 1 else: klu_state_list.append("00") return klu_state_list def check_fx(self, klc): if klc.pre and klc.next: - if klc.high > klc.pre.high and klc.high > klc.next.high and klc.low > klc.pre.low and klc.low > klc.next.low: + if klc.high > klc.pre.high and klc.high > klc.next.high and klc.low > klc.pre.low and klc.low > klc.next.low and klc.macd> 0: #if (klc.close > klc.ema52 or klc.next.close > klc.next.ema52) and klc.macd > 0: klc.set_fx(Chan_FX_TYPE.TOP) #print(klc.start_time, klc.end_time,klc.next.start_time, klc.next.end_time, klc.macd, klc.state, klc.fx, "TOP") return Chan_FX_TYPE.TOP - elif klc.low < klc.pre.low and klc.low < klc.next.low and klc.high < klc.pre.high and klc.high < klc.next.high: + elif klc.low < klc.pre.low and klc.low < klc.next.low and klc.high < klc.pre.high and klc.high < klc.next.high and klc.macd < 0: #if (klc.close < klc.ema52 or klc.next.close < klc.next.ema52) and klc.macd < 0: klc.set_fx(Chan_FX_TYPE.BOTTOM) #print(klc.start_time, klc.end_time,klc.next.start_time, klc.next.end_time, klc.macd, klc.state, klc.fx, "BOTTOM") @@ -862,6 +879,7 @@ class TF_DF(): if fx == Chan_FX_TYPE.BOTTOM: if last_top: if self.check_bottom_fx(last_top, klc) == False: + #print(klc.end_time, last_top.end_time, "---") fx = Chan_FX_TYPE.UNKNOWN # Do nothing if fx == Chan_FX_TYPE.UNKNOWN: @@ -1171,12 +1189,12 @@ class TF_DF(): #print(bi_list[index].start_time, bi_list[index].start_klc.start_time, bi_list[index].dir) return bi_list def check_top_fx(self, last_bottom, klc): - if last_bottom.high > klc.pre.low or last_bottom.high > klc.next.low: + if (last_bottom.high > klc.pre.low or last_bottom.high > klc.next.low) and (klc.index - last_bottom.index < 10): return False return True def check_bottom_fx(self, last_top, klc): - if last_top.low < klc.pre.high or last_top.low < klc.next.high: + if (last_top.low < klc.pre.high or last_top.low < klc.next.high) and (klc.index - last_top.index < 10): return False return True diff --git a/strategies/ChanLun_BTC_30.py b/strategies/ChanLun_BTC_30.py index 3298864..932a2c6 100644 --- a/strategies/ChanLun_BTC_30.py +++ b/strategies/ChanLun_BTC_30.py @@ -20,7 +20,7 @@ logger = logging.getLogger(__name__) # freqtrade plot-dataframe --strategy ChanLun_BTC_30 --datadir user_data/data/binance -c ./user_data/ChanLun_SOL_30.json --timerange=20250309- # freqtrade trade -c ./user_data/Chan/config/ChanLun_BTC_30.json --strategy ChanLun_BTC_30 --strategy-path ./user_data/Chan/strategies -# freqtrade backtesting -c ./user_data/Chan/config/ChanLun_BTC_30.json --strategy ChanLun_BTC_30 --strategy-path ./user_data/Chan/strategies --timerange=20250901- +# freqtrade backtesting -c ./user_data/Chan/config/ChanLun_BTC_30.json --strategy ChanLun_BTC_30 --strategy-path ./user_data/Chan/strategies --timerange=20260101- # freqtrade download-data -c ./user_data/Chan/config/ChanLun_BTC_30.json -t 1m --pairs BTC/USDT:USDT --timerange=20250405- # freqtrade hyperopt --hyperopt-loss SharpeHyperOptLossDaily --spaces roi --strategy ChanLun_BTC_30 --strategy-path ./user_data/Chan/strategies -c ./user_data/Chan/config/ChanLun_BTC_30.json -e 200 --timerange=20250201-20250901 # freqtrade edge -c ./user_data/Chan/config/ChanLun_BTC_30.json --strategy ChanLun_BTC_30 --strategy-path ./user_data/Chan/strategies --timerange 20250721-20250901 @@ -64,9 +64,9 @@ class ChanLun_BTC_30(IStrategy): } can_short = True - lev = 2.0 + lev = 1.0 stoploss = -0.3 # 设置为很大的负值，让custom_stoploss来控制 - use_custom_stoploss = True # 启用自定义止损 + use_custom_stoploss = False # 启用自定义止损 trailing_stop = False trailing_stop_positive = 0.03 @@ -75,7 +75,7 @@ class ChanLun_BTC_30(IStrategy): # 关闭分批止盈/仓位调整 position_adjustment_enable = False - startup_candle_count = 2880 + startup_candle_count = 1440 time3 = 3 time5 = 5 time15 = 15 @@ -92,61 +92,60 @@ class ChanLun_BTC_30(IStrategy): def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: # resample our dataframes - dataframe_3 = resample_to_interval(dataframe, self.get_ticker_indicator() * 3) + #dataframe_3 = resample_to_interval(dataframe, self.get_ticker_indicator() * 3) dataframe_5 = resample_to_interval(dataframe, self.get_ticker_indicator() * 5) - dataframe_15 = resample_to_interval(dataframe, self.get_ticker_indicator() * 15) + #dataframe_15 = resample_to_interval(dataframe, self.get_ticker_indicator() * 15) dataframe_30 = resample_to_interval(dataframe, self.get_ticker_indicator() * 30) - dataframe_60 = resample_to_interval(dataframe, self.get_ticker_indicator() * 60) - dataframe_2h = resample_to_interval(dataframe, self.get_ticker_indicator() * 120) - dataframe_4h = resample_to_interval(dataframe, self.get_ticker_indicator() * 240) + #dataframe_60 = resample_to_interval(dataframe, self.get_ticker_indicator() * 60) + #dataframe_2h = resample_to_interval(dataframe, self.get_ticker_indicator() * 120) + #dataframe_4h = resample_to_interval(dataframe, self.get_ticker_indicator() * 240) #dataframe_1d = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe='1d') #dataframe_1w = resample_to_interval(dataframe_1d, self.get_ticker_indicator() * 10080) #dataframe_1m = resample_to_interval(dataframe_1d, self.get_ticker_indicator() * 43200) - dataframe_1d = resample_to_interval(dataframe, self.get_ticker_indicator() * 1440) + #dataframe_1d = resample_to_interval(dataframe, self.get_ticker_indicator() * 1440) #dataframe_1w = resample_to_interval(dataframe, self.get_ticker_indicator() * 10080) #dataframe_1m = resample_to_interval(dataframe, self.get_ticker_indicator() * 43200) dataframe = self.add_indicators(dataframe) - dataframe_3 = self.add_indicators(dataframe_3) + #dataframe_3 = self.add_indicators(dataframe_3) dataframe_5 = self.add_indicators(dataframe_5) - dataframe_15 = self.add_indicators(dataframe_15) + #dataframe_15 = self.add_indicators(dataframe_15) dataframe_30 = self.add_indicators(dataframe_30) - dataframe_60 = self.add_indicators(dataframe_60) - dataframe_2h = self.add_indicators(dataframe_2h) - dataframe_4h = self.add_indicators(dataframe_4h) - dataframe_1d = self.add_indicators(dataframe_1d) + #dataframe_60 = self.add_indicators(dataframe_60) + #dataframe_2h = self.add_indicators(dataframe_2h) + #dataframe_4h = self.add_indicators(dataframe_4h) + #dataframe_1d = self.add_indicators(dataframe_1d) #self.chan.plot_dual(dataframe_5, dataframe_30) #chanpy_state = self.chanpy.get_bsp_state(dataframe_5) #dataframe_5['chanpy_state'] = chanpy_state - state_list = self.chan.get_klu_state_list(dataframe_3) - dataframe_3['state'] = state_list - state_list = self.chan.get_klu_state_list(dataframe_5) + #state_list = self.chan.get_klu_state(dataframe_3) + #dataframe_3['state'] = state_list + state_list = self.chan.get_klu_state(dataframe_5) dataframe_5['state'] = state_list - state_list = self.chan.get_klu_state_list(dataframe_15) - dataframe_15['state'] = state_list - state_list = self.chan.get_klu_state_list(dataframe_30) + #state_list = self.chan.get_klu_state(dataframe_15) + #dataframe_15['state'] = state_list + state_list = self.chan.get_klu_state(dataframe_30) dataframe_30['state'] = state_list - state_list = self.chan.get_klu_state_list(dataframe_60) - dataframe_60['state'] = state_list - state_list = self.chan.get_klu_state_list(dataframe_2h) - dataframe_2h['state'] = state_list - state_list = self.chan.get_klu_state_list(dataframe_4h) - dataframe_4h['state'] = state_list - state_list = self.chan.get_klu_state_list(dataframe_1d) - dataframe_1d['state'] = state_list - + #state_list = self.chan.get_klu_state(dataframe_60) + #dataframe_60['state'] = state_list + #state_list = self.chan.get_klu_state(dataframe_2h) + #dataframe_2h['state'] = state_list + #state_list = self.chan.get_klu_state(dataframe_4h) + #dataframe_4h['state'] = state_list + #state_list = self.chan.get_klu_state(dataframe_1d) + #dataframe_1d['state'] = state_list if self.last_time + timedelta(minutes=1) < datetime.now(): print("-------------------------------------------------------------------------------") self.last_time = datetime.now() - dataframe = resampled_merge(dataframe, dataframe_3) + #dataframe = resampled_merge(dataframe, dataframe_3) dataframe = resampled_merge(dataframe, dataframe_5) - dataframe = resampled_merge(dataframe, dataframe_15) + #dataframe = resampled_merge(dataframe, dataframe_15) dataframe = resampled_merge(dataframe, dataframe_30) - dataframe = resampled_merge(dataframe, dataframe_60) - dataframe = resampled_merge(dataframe, dataframe_2h) - dataframe = resampled_merge(dataframe, dataframe_4h) - dataframe = resampled_merge(dataframe, dataframe_1d) + #dataframe = resampled_merge(dataframe, dataframe_60) + #dataframe = resampled_merge(dataframe, dataframe_2h) + #dataframe = resampled_merge(dataframe, dataframe_4h) + #dataframe = resampled_merge(dataframe, dataframe_1d) return dataframe def print_seg(self, dataframe): klc_list = self.chan.get_klc_list(dataframe) @@ -267,9 +266,9 @@ class ChanLun_BTC_30(IStrategy): return -0.05 dataframe, _ = self.dp.get_analyzed_dataframe(trade.pair, self.timeframe) last_candle = dataframe.iloc[-1].squeeze() - ema52_str = 'resample_{}_ema52'.format(self.get_ticker_indicator()*self.time60) + ema52_str = 'resample_{}_ema52'.format(self.get_ticker_indicator()*self.time30) ema52_val = float(last_candle.get(ema52_str, 0) or 0) - close_str = 'resample_{}_close'.format(self.get_ticker_indicator()*self.time60) + close_str = 'resample_{}_close'.format(self.get_ticker_indicator()*self.time30) close_val = float(last_candle.get(close_str, 0) or 0) if close_val < ema52_val: return -0.01 @@ -282,6 +281,8 @@ class ChanLun_BTC_30(IStrategy): def custom_exit(self, pair: str, trade: Trade, current_time: datetime, current_rate: float, current_profit: float, **kwargs): # 不做分批止盈/最终止盈处理，退出由策略信号/ROI/止损决定 + if current_profit > 0.008: + return "Take profit" return None def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float, @@ -295,7 +296,7 @@ class ChanLun_BTC_30(IStrategy): if dataframe is None or len(dataframe) == 0: return False last = dataframe.iloc[-1] - atr_str = 'resample_{}_atr'.format(self.get_ticker_indicator()*self.time60) + atr_str = 'resample_{}_atr'.format(self.get_ticker_indicator()*self.time30) atr_val = float(last.get(atr_str, 0) or 0) if atr_val < 0.001: #logger.info(f"ATR过滤：atr={atr_val:.2f} < 100, 拒绝进场 {pair}") @@ -318,7 +319,7 @@ class ChanLun_BTC_30(IStrategy): # Obtain pair dataframe (just to show how to access it) dataframe, _ = self.dp.get_analyzed_dataframe(trade.pair, self.timeframe) last_candle = dataframe.iloc[-1].squeeze() - atr_str = 'resample_{}_atr'.format(self.get_ticker_indicator()*self.time60) + atr_str = 'resample_{}_atr'.format(self.get_ticker_indicator()*self.time30) # 保存开仓时的ATR值用于止损计算 if (trade.nr_of_successful_entries == 1) and (order.ft_order_side == trade.entry_side): entry_atr = last_candle[atr_str] * 4 @@ -326,36 +327,34 @@ class ChanLun_BTC_30(IStrategy): #logger.info(f"保存开仓时ATR值: {entry_atr}") return None def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: - shift60 = self.time60 - state60 = 'resample_{}_state'.format(self.get_ticker_indicator()*shift60) shift30 = self.time30 state30 = 'resample_{}_state'.format(self.get_ticker_indicator()*shift30) dataframe.loc[ ( - (dataframe[state60].shift(shift60) == "-20") + (dataframe[state30].shift(shift30) == "-10") | + (dataframe[state30].shift(shift30) == "-20") | + (dataframe[state30].shift(shift30) == "-30") ), - ['enter_long', 'enter_tag']] = (1, 'long_30') + ['enter_long', 'enter_tag']] = (1, 'long_10') dataframe.loc[ ( - (dataframe[state30].shift(shift30) == "40") + (dataframe[state30].shift(shift30) == "10") | + (dataframe[state30].shift(shift30) == "20") | + (dataframe[state30].shift(shift30) == "30") ), - ['enter_short', 'enter_tag']] = (1, 'short_30') + ['enter_short', 'enter_tag']] = (1, 'short_10') return dataframe def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: - shift60 = self.time60 - state60 = 'resample_{}_state'.format(self.get_ticker_indicator()*shift60) shift30 = self.time30 state30 = 'resample_{}_state'.format(self.get_ticker_indicator()*shift30) dataframe.loc[ ( - (dataframe[state60].shift(shift60) == "20") | - (dataframe[state60].shift(shift60) == "30") + (dataframe[state30].shift(shift30) == "10") ), ['exit_long', 'exit_tag']] = (1, 'long_close_30') dataframe.loc[ ( - (dataframe[state30].shift(shift30) == "-20") | - (dataframe[state30].shift(shift30) == "-30") + (dataframe[state30].shift(shift30) == "-10") ), ['exit_short', 'exit_tag']] = (1, 'short_close_30') return dataframe