diff --git a/.DS_Store b/.DS_Store index 4f5d502..f68b505 100644 Binary files a/.DS_Store and b/.DS_Store differ diff --git a/ChanBIZS.py b/ChanBIZS.py index 91a1442..cffdf87 100644 --- a/ChanBIZS.py +++ b/ChanBIZS.py @@ -26,7 +26,7 @@ class ChanBIZS(): self.set_end_time(end_bi.end_klc.end_time) self.is_sure = True self.sure_time = sure_bi.sure_time - print(self.start_time, self.is_sure, len(self.bi_list), self.dir, self.zs_type) + #print(self.start_time, self.is_sure, len(self.bi_list), self.dir, self.zs_type) def set_end_time(self, end_time): self.end_time = end_time def set_zg(self, zg): diff --git a/ChanBSP.py b/ChanBSP.py index 756195a..568cd14 100644 --- a/ChanBSP.py +++ b/ChanBSP.py @@ -4,11 +4,11 @@ from ChanEnum import Chan_BSP_TYPE, Chan_BSP_DIR class ChanBSP(): def __init__(self, bi: ChanBI, index, type: Chan_BSP_TYPE, ddir: Chan_BSP_DIR, sure_time, zs_count, zs, seg): self.bi = bi - self.klc = bi.start_klc + self.klc = bi.end_klc self.index = index self.type = type - self.start_time = bi.end_klc.start_time - self.end_time = bi.end_klc.end_time + self.start_time = self.klc.start_time + self.end_time = self.klc.end_time if sure_time: self.is_sure = True self.sure_time = sure_time @@ -18,7 +18,7 @@ class ChanBSP(): self.dir = ddir self.zs_count = zs_count self.zs = zs - self.seg = seg + self.seg = bi.seg def set_sure_time(self, sure_time): self.is_sure = True self.sure_time = sure_time \ No newline at end of file diff --git a/ChanLun.py b/ChanLun.py index c9a753d..20aff1d 100644 --- a/ChanLun.py +++ b/ChanLun.py @@ -151,6 +151,14 @@ class ChanLun(): return self.tf_df.check_bottom_fx(last_top, klc) def cal_bi_list(self, klc_list): return self.tf_df.cal_bi_list(klc_list) + def cal_bi_list_chanlun(self, klc_list): + return self.tf_df.cal_bi_list_chanlun(klc_list) + def find_first_bsp(self, bi_list, bi_zs_list): + return self.tf_df.find_first_bsp(bi_list, bi_zs_list) + def find_second_bsp(self, bi_list, first_bsp_list): + return self.tf_df.find_second_bsp(bi_list, first_bsp_list) + def find_third_bsp(self, bi_list, bi_zs_list): + return self.tf_df.find_third_bsp(bi_list, bi_zs_list) def get_zs_list(self, bi_list, seg_list): return self.tf_df.get_zs_list(bi_list, seg_list) def cal_bi_zs(self, seg_list): 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 2100b79..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 @@ -127,32 +127,45 @@ 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 and klc.macd > 0: - if klc.pre.pre and klc.next.next: - if klc.high > klc.pre.pre.high and klc.high > klc.next.next.high: - #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 + 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 and klc.macd < 0: - if klc.pre.pre and klc.next.next: - if klc.low < klc.pre.pre.low and klc.low < klc.next.next.low: - #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") - return Chan_FX_TYPE.BOTTOM + #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") + return Chan_FX_TYPE.BOTTOM return Chan_FX_TYPE.UNKNOWN def check_fx_pattern(self, klc): klu_list = klc.pre.klu_list + klc.klu_list + klc.next.klu_list @@ -524,6 +537,7 @@ class TF_DF(): return klu_list def get_bi_list(self, dataframe): bi_list = self.cal_bi_list(self.get_klc_list(dataframe)) + #bi_list = self.cal_bi_list_chanlun(self.get_klc_list(dataframe)) return bi_list def get_kl_data(self, dataframe:DataFrame): return self.cal_kl_data(dataframe) @@ -858,13 +872,14 @@ class TF_DF(): last_bottom = None for klc in klc_list: fx = self.check_fx(klc) - if fx == Chan_FX_TYPE.TOP and False: + if fx == Chan_FX_TYPE.TOP: if last_bottom: if self.check_top_fx(last_bottom, klc) == False: fx = Chan_FX_TYPE.UNKNOWN - if fx == Chan_FX_TYPE.BOTTOM and False: + 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: @@ -1174,15 +1189,209 @@ 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 + def check_fx_chanlun(self, klc): + """标准缠论分型：仅用高低点，不用 MACD，不要求整根 K 线包在左右内。""" + if klc.pre is None or klc.next is None: + return Chan_FX_TYPE.UNKNOWN + # 顶分型：中间 K 线高点最高 + if klc.high > klc.pre.high and klc.high > klc.next.high: + klc.set_fx(Chan_FX_TYPE.TOP) + return Chan_FX_TYPE.TOP + # 底分型：中间 K 线低点最低 + if klc.low < klc.pre.low and klc.low < klc.next.low: + klc.set_fx(Chan_FX_TYPE.BOTTOM) + return Chan_FX_TYPE.BOTTOM + return Chan_FX_TYPE.UNKNOWN + + def cal_bi_list_chanlun(self, klc_list): + """ + 与 cal_bi_list 逻辑完全一致，仅分型用 check_fx_chanlun（标准缠论分型，不看 MACD）。 + """ + bi_list = [] + last_top = None + last_bottom = None + for klc in klc_list: + fx = self.check_fx_chanlun(klc) + if fx == Chan_FX_TYPE.TOP: + if last_bottom: + if self.check_top_fx(last_bottom, klc) == False: + fx = Chan_FX_TYPE.UNKNOWN + if fx == Chan_FX_TYPE.BOTTOM: + if last_top: + if self.check_bottom_fx(last_top, klc) == False: + fx = Chan_FX_TYPE.UNKNOWN + if fx == Chan_FX_TYPE.UNKNOWN: + if len(bi_list) > 0: + bi_list[-1].add_klc(klc) + continue + if len(bi_list) > 0 and klc.end_klu: + last_bi = bi_list[-1] + if last_top and last_bi.dir == Chan_BI_DIR.DOWN: + if last_bottom and klc.high > last_bi.high: + last_bi.set_end_klc(last_bottom, klc) + bi = ChanBI(last_bottom, len(bi_list), Chan_BI_DIR.UP) + last_bi.set_next(bi) + bi.set_pre(last_bi) + for klc_index in range(last_bi.end_klc.index, len(klc_list)): + bi.add_klc(klc_list[klc_index]) + bi_list.append(bi) + last_top = klc + klc.set_bi(bi) + else: + if last_bottom and last_bi.dir == Chan_BI_DIR.UP: + if last_top and klc.low < last_bi.low: + last_bi.set_end_klc(last_top, klc) + bi = ChanBI(last_top, len(bi_list), Chan_BI_DIR.DOWN) + last_bi.set_next(bi) + bi.set_pre(last_bi) + for klc_index in range(last_bi.end_klc.index, len(klc_list)): + bi.add_klc(klc_list[klc_index]) + bi_list.append(bi) + last_bottom = klc + klc.set_bi(bi) + else: + if fx == Chan_FX_TYPE.TOP: + if last_top: + if last_bottom: + if last_bottom.index < last_top.index: + if last_top.high > klc.high: + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + else: + last_top = klc + klc.set_klc_fx_type(Chan_KLC_FX.TOP1) + self.check_fx_pattern(klc) + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + else: + if last_bottom.index + 4 > klc.index: + if last_top.high > klc.high: + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + else: + if last_top.index + 4 < klc.index and len(bi_list) > 1: + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + else: + klc.set_fx(Chan_FX_TYPE.PTOP) + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + else: + last_bi = bi_list[-1] + if not last_bi.is_sure: + last_bi.set_end_klc(last_bottom, klc) + bi = ChanBI(last_bottom, len(bi_list), Chan_BI_DIR.UP) + last_bi.set_next(bi) + bi.set_pre(last_bi) + bi.add_klc(klc) + bi_list.append(bi) + last_top = klc + klc.set_klc_fx_type(Chan_KLC_FX.TOP2) + self.check_fx_pattern(klc) + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + else: + if last_top.high < klc.high: + last_bi = bi_list[-1] + last_bi.set_start_klc(klc, Chan_BI_DIR.DOWN) + last_top = klc + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + else: + klc.set_fx(Chan_FX_TYPE.TT) + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + else: + if last_bottom: + if last_bottom.index + 4 > klc.index: + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + else: + last_top = klc + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + else: + last_top = klc + bi = ChanBI(klc, len(bi_list), Chan_BI_DIR.DOWN) + bi_list.append(bi) + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + else: + if last_bottom: + if last_top: + if last_top.index < last_bottom.index: + if last_bottom.low < klc.low: + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + else: + last_bottom = klc + klc.set_klc_fx_type(Chan_KLC_FX.BOTTOM1) + self.check_fx_pattern(klc) + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + else: + if last_top.index + 4 > klc.index: + if last_bottom.low < klc.low: + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + else: + if last_bottom.index + 4 < klc.index and len(bi_list) > 1: + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + else: + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + else: + last_bi = bi_list[-1] + if not last_bi.is_sure: + last_bi.set_end_klc(last_top, klc) + bi = ChanBI(last_top, len(bi_list), Chan_BI_DIR.DOWN) + last_bi.set_next(bi) + bi.set_pre(last_bi) + bi.add_klc(klc) + bi_list.append(bi) + last_bottom = klc + klc.set_klc_fx_type(Chan_KLC_FX.BOTTOM2) + self.check_fx_pattern(klc) + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + else: + if last_bottom.low > klc.low: + last_bi = bi_list[-1] + last_bi.set_start_klc(klc, Chan_BI_DIR.UP) + last_bottom = klc + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + else: + klc.set_fx(Chan_FX_TYPE.BB) + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + else: + if last_top: + if last_top.index + 4 > klc.index: + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + else: + last_bottom = klc + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + else: + last_bottom = klc + bi = ChanBI(klc, len(bi_list), Chan_BI_DIR.UP) + bi_list.append(bi) + bi_list[-1].add_klc(klc) + klc.set_bi(bi_list[-1]) + return bi_list + def cal_bi_zs(self, seg_list): bi_zs_list = [] for seg in seg_list: @@ -1191,9 +1400,260 @@ class TF_DF(): bi_zs_list.append(zs_list) return bi_zs_list def find_third_bsp(self, bi_list, bi_zs_list): - if len(bi_list) > 3 and len(bi_zs_list) > 0: - last_bi_zs = bi_zs_list[-1] - last_bi = bi_list[-1] + """ + 笔中枢的三类买卖点识别 + + 三类买点：中枢形成后，一笔向上离开中枢（低点 > zg）， + 随后回拉的一笔低点不跌回中枢（低点 >= zg），确认支撑有效。 + 三类卖点：中枢形成后，一笔向下离开中枢（高点 < zd）， + 随后反弹的一笔高点不回到中枢（高点 <= zd），确认压力有效。 + + 参数: + bi_list: 笔列表 + bi_zs_list: 笔中枢列表（二维列表，每个seg内的中枢列表） + + 返回: + bsp_list: ChanBSP 列表，包含所有识别到的三类买卖点 + """ + bsp_list = [] + if len(bi_list) < 4 or len(bi_zs_list) == 0: + return bsp_list + + for zs in bi_zs_list: + if not zs.is_sure or len(zs.bi_list) < 3: + continue + #print(zs.start_time, zs.end_time, zs.dir, zs.is_sure, len(zs.bi_list)) + # 中枢结束后的第一笔（离开笔） + last_zs_bi = zs.bi_list[-1] + if last_zs_bi.dir == Chan_BI_DIR.UP: + if last_zs_bi.end_klc.high <= zs.zg or (last_zs_bi.next and last_zs_bi.next.is_sure and last_zs_bi.next.end_klc.low < zs.zd): + leave_bi = last_zs_bi.next + else: + leave_bi = last_zs_bi + else: + if last_zs_bi.end_klc.low >= zs.zd or (last_zs_bi.next and last_zs_bi.next.is_sure and last_zs_bi.next.end_klc.high > zs.zg): + leave_bi = last_zs_bi.next + else: + leave_bi = last_zs_bi + #print(zs.zg, zs.zd) + if leave_bi is None or not leave_bi.is_sure: + continue + if (zs.dir == Chan_ZS_DIR.UP and leave_bi.dir == Chan_BI_DIR.UP and leave_bi.end_klc.high < zs.zg and leave_bi.end_klc.high > zs.zd) or (zs.dir == Chan_ZS_DIR.DOWN and leave_bi.dir == Chan_BI_DIR.DOWN and leave_bi.end_klc.low < zs.zg and leave_bi.end_klc.low > zs.zd): + #print("--------------------", leave_bi.dir, leave_bi.end_klc.high, leave_bi.end_klc.low, zs.zg, zs.zd) + leave_bi = leave_bi.next + # 三类买点：向上离开中枢后回拉不破 zg + #print("Leave bi:", leave_bi.start_time, leave_bi.end_time, leave_bi.dir, leave_bi.is_sure, leave_bi.low, leave_bi.high) + if leave_bi.dir == Chan_BI_DIR.UP: + # 回拉笔 + pullback_bi = leave_bi.next + #print(pullback_bi.start_klc.start_time, pullback_bi.dir, pullback_bi.is_sure, pullback_bi.low, pullback_bi.high) + if pullback_bi and pullback_bi.is_sure and pullback_bi.dir == Chan_BI_DIR.DOWN: + if pullback_bi.low >= zs.zg: + # 确认三类买点：回拉笔的低点不跌回中枢 + bsp = ChanBSP( + pullback_bi, len(bsp_list), + Chan_BSP_TYPE.T3, + Chan_BSP_DIR.BUY, + pullback_bi.sure_time, + 1, zs, None + ) + bsp_list.append(bsp) + + # 三类卖点：向下离开中枢后反弹不破 zd + elif leave_bi.dir == Chan_BI_DIR.DOWN: + # 反弹笔 + bounce_bi = leave_bi.next + #print(bounce_bi.start_klc.start_time, bounce_bi.dir, bounce_bi.is_sure, bounce_bi.low, bounce_bi.high) + if bounce_bi and bounce_bi.is_sure and bounce_bi.dir == Chan_BI_DIR.UP: + if bounce_bi.high <= zs.zd: + # 确认三类卖点：反弹笔的高点不回到中枢 + bsp = ChanBSP( + bounce_bi, len(bsp_list), + Chan_BSP_TYPE.T3, + Chan_BSP_DIR.SELL, + bounce_bi.sure_time, + 1, zs, None + ) + bsp_list.append(bsp) + return bsp_list + + def find_first_bsp(self, bi_list, bi_zs_list): + """ + 笔中枢的一类买卖点识别 + + 一类买点：下跌趋势中，最后一个中枢完成后，向下离开中枢的笔创新低， + 但该笔与进入中枢前的最后一笔下跌形成底背驰（力度减弱）， + 即趋势力竭的转折点。 + 一类卖点：上涨趋势中，最后一个中枢完成后，向上离开中枢的笔创新高， + 但该笔与进入中枢前的最后一笔上涨形成顶背驰（力度减弱）， + 即趋势力竭的转折点。 + + 简化判断：中枢形成后，离开中枢的笔（突破笔）本身即为一类买卖点的触发笔。 + + 参数: + bi_list: 笔列表 + bi_zs_list: 笔中枢列表（扁平列表，每个元素是一个中枢对象） + + 返回: + bsp_list: ChanBSP 列表，包含所有识别到的一类买卖点 + """ + bsp_list = [] + if len(bi_list) < 4 or len(bi_zs_list) == 0: + return bsp_list + + for zs in bi_zs_list: + if not zs.is_sure or len(zs.bi_list) < 3: + continue + + # 找到中枢的最后一笔 + last_zs_bi = zs.bi_list[-1] + + # 确定离开笔：中枢最后一笔之后的第一笔 + if last_zs_bi.dir == Chan_BI_DIR.UP: + # 中枢最后一笔向上，如果没有真正离开中枢，取下一笔 + if last_zs_bi.end_klc.high <= zs.zg: + leave_bi = last_zs_bi.next + else: + leave_bi = last_zs_bi + else: + # 中枢最后一笔向下，如果没有真正离开中枢，取下一笔 + if last_zs_bi.end_klc.low >= zs.zd: + leave_bi = last_zs_bi.next + else: + leave_bi = last_zs_bi + + if leave_bi is None or not leave_bi.is_sure: + continue + + # 一类买点：向下离开中枢（leave_bi向下，低点 < zd），趋势力竭 + if leave_bi.dir == Chan_BI_DIR.DOWN and leave_bi.low < zs.zd: + # 背驰判断：比较离开笔与中枢内最后一笔同向笔的MACD柱状累积面积 + # 缠论原文：两段同向走势的MACD柱状面积比较，面积缩小即为背驰 + compare_bi = None + for bi in reversed(zs.bi_list): + if bi.dir == Chan_BI_DIR.DOWN and bi is not leave_bi: + compare_bi = bi + break + + is_divergence = False + if compare_bi: + # 笔的macd_hist是该笔内所有KLU的macdhist累积面积 + leave_macd_area = abs(leave_bi.macd_hist) + compare_macd_area = abs(compare_bi.macd_hist) + + # 价格创新低但MACD面积缩小 = 底背驰 + if leave_bi.low <= compare_bi.low and leave_macd_area < compare_macd_area: + is_divergence = True + # 即使没创新低，MACD面积明显缩小也算背驰 + elif leave_macd_area < compare_macd_area * 0.5: + is_divergence = True + else: + # 没有对比笔时，只要离开中枢就算一类买点 + is_divergence = True + + if is_divergence: + bsp = ChanBSP( + leave_bi, len(bsp_list), + Chan_BSP_TYPE.T1, + Chan_BSP_DIR.BUY, + leave_bi.sure_time, + 1, zs, None + ) + bsp_list.append(bsp) + + # 一类卖点：向上离开中枢（leave_bi向上，高点 > zg），趋势力竭 + elif leave_bi.dir == Chan_BI_DIR.UP and leave_bi.high > zs.zg: + # 背驰判断：比较离开笔与中枢内最后一笔同向笔的MACD柱状累积面积 + compare_bi = None + for bi in reversed(zs.bi_list): + if bi.dir == Chan_BI_DIR.UP and bi is not leave_bi: + compare_bi = bi + break + + is_divergence = False + if compare_bi: + leave_macd_area = abs(leave_bi.macd_hist) + compare_macd_area = abs(compare_bi.macd_hist) + + # 价格创新高但MACD面积缩小 = 顶背驰 + if leave_bi.high >= compare_bi.high and leave_macd_area < compare_macd_area: + is_divergence = True + # 即使没创新高，MACD面积明显缩小也算背驰 + elif leave_macd_area < compare_macd_area * 0.5: + is_divergence = True + else: + is_divergence = True + + if is_divergence: + bsp = ChanBSP( + leave_bi, len(bsp_list), + Chan_BSP_TYPE.T1, + Chan_BSP_DIR.SELL, + leave_bi.sure_time, + 1, zs, None + ) + bsp_list.append(bsp) + + return bsp_list + + def find_second_bsp(self, bi_list, first_bsp_list): + """ + 笔中枢的二类买卖点识别 + + 二类买点：一类买点出现后，价格向上反弹一笔，再回落一笔， + 回落笔的低点不跌破一类买点的低点，确认底部成立。 + 二类卖点：一类卖点出现后，价格向下回落一笔，再反弹一笔， + 反弹笔的高点不超过一类卖点的高点，确认顶部成立。 + + 参数: + bi_list: 笔列表 + first_bsp_list: 一类买卖点列表（find_first_bsp 的返回值） + + 返回: + bsp_list: ChanBSP 列表，包含所有识别到的二类买卖点 + """ + bsp_list = [] + if not first_bsp_list or len(bi_list) < 4: + return bsp_list + + for first_bsp in first_bsp_list: + trigger_bi = first_bsp.bi # 一类买卖点的触发笔 + + if first_bsp.dir == Chan_BSP_DIR.BUY: + # 一买之后：trigger_bi 向下 -> 反弹笔(向上) -> 回落笔(向下) + # 回落笔的低点 > trigger_bi 的低点 => 二类买点 + bounce_bi = trigger_bi.next # 反弹笔（向上） + if bounce_bi and bounce_bi.is_sure and bounce_bi.dir == Chan_BI_DIR.UP: + pullback_bi = bounce_bi.next # 回落笔（向下） + if pullback_bi and pullback_bi.is_sure and pullback_bi.dir == Chan_BI_DIR.DOWN: + if pullback_bi.low > trigger_bi.low: + bsp = ChanBSP( + pullback_bi, len(bsp_list), + Chan_BSP_TYPE.T2, + Chan_BSP_DIR.BUY, + pullback_bi.sure_time, + 1, first_bsp.zs, None + ) + bsp_list.append(bsp) + + elif first_bsp.dir == Chan_BSP_DIR.SELL: + # 一卖之后：trigger_bi 向上 -> 回落笔(向下) -> 反弹笔(向上) + # 反弹笔的高点 < trigger_bi 的高点 => 二类卖点 + drop_bi = trigger_bi.next # 回落笔（向下） + if drop_bi and drop_bi.is_sure and drop_bi.dir == Chan_BI_DIR.DOWN: + bounce_bi = drop_bi.next # 反弹笔（向上） + if bounce_bi and bounce_bi.is_sure and bounce_bi.dir == Chan_BI_DIR.UP: + if bounce_bi.high < trigger_bi.high: + bsp = ChanBSP( + bounce_bi, len(bsp_list), + Chan_BSP_TYPE.T2, + Chan_BSP_DIR.SELL, + bounce_bi.sure_time, + 1, first_bsp.zs, None + ) + bsp_list.append(bsp) + + return bsp_list def get_zs_list(self, bi_list, seg_list): zs_list = [] 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 diff --git a/strategies/ChanLun_EMA_Align.py b/strategies/ChanLun_EMA_Align.py index f345571..d61b4ab 100644 --- a/strategies/ChanLun_EMA_Align.py +++ b/strategies/ChanLun_EMA_Align.py @@ -42,7 +42,7 @@ EMA24，EMA52，EMA104，EMA156成下跌趋势依次排列（EMA156 > EMA104 > E # freqtrade trade -c ./user_data/Chan/config/ChanLun_EMA_Align.json --strategy ChanLun_EMA_Align --strategy-path ./user_data/Chan/strategies # freqtrade backtesting -c ./user_data/Chan/config/ChanLun_EMA_Align.json --strategy ChanLun_EMA_Align --strategy-path ./user_data/Chan/strategies --timerange=20260101- -# freqtrade download-data -c ./user_data/Chan/config/ChanLun_EMA_Align.json -t 1m 1m 1h 1d 1w 1M --pairs BTC/USDT:USDT --timerange=20240101- +# freqtrade download-data -c ./user_data/Chan/config/ChanLun_EMA_Align.json -t 1m 1m 5m 15m 30m 1h 1d 1w 1M --pairs BTC/USDT:USDT --timerange=20240101- # freqtrade download-data -c ./user_data/Chan/config/ChanLun_EMA_Align.json -t 1m 1h 1d 1M --pairs BTC/USDT --timerange=20170101- # freqtrade hyperopt --hyperopt-loss SharpeHyperOptLossDaily --spaces roi --strategy ChanLun_EMA_Align --strategy-path ./user_data/Chan/strategies -c ./user_data/Chan/config/ChanLun_EMA_Align.json -e 200 --timerange=20250201-20250901 # freqtrade edge -c ./user_data/Chan/config/ChanLun_EMA_Align.json --strategy ChanLun_EMA_Align --strategy-path ./user_data/Chan/strategies --timerange 20250721-20250901 diff --git a/web/.DS_Store b/web/.DS_Store index 4fdc9a7..a862785 100644 Binary files a/web/.DS_Store and b/web/.DS_Store differ diff --git a/web/app.py b/web/app.py index 1f025dc..5fe85b6 100644 --- a/web/app.py +++ b/web/app.py @@ -530,6 +530,9 @@ def analyze_chan(df, symbol=None, timeframe=None): bi_zs_list = [zs for group in bi_zs_nested for zs in (group or [])] if bi_zs_nested else [] except Exception: bi_zs_list = [] + bsp_list = [] + if len(bi_zs_list) > 0: + bsp_list = chan.find_third_bsp(bi_list, bi_zs_list) # 添加买卖点识别 for bi in bi_list: bi.cal_macdhist()