feat(ECR-009): Crypto Wyckoff Screener 独立页（D/W/M）
移植 A_Share_DP 引擎；本地缓存与 60s tip；月线由日线 UTC 聚合；不碰主站 analyze/缠论叠层。 Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
jackyu66git
@@ -0,0 +1,254 @@
|
||||
"""Event rules: Spring/SOS/LPS/UTAD/SC/AR/ST/..."""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
from typing import Any
|
||||
|
||||
from crypto_wyckoff.domain_models import WyckoffCycle, WyckoffEvent, WyckoffPhase
|
||||
from crypto_wyckoff.rules.base import RuleHit, WyckoffRule
|
||||
|
||||
|
||||
def _f(ctx: dict[str, Any], key: str, default: float = 0.0) -> float:
|
||||
v = ctx.get("features", {}).get(key, default)
|
||||
try:
|
||||
return float(v) if v is not None else default
|
||||
except (TypeError, ValueError):
|
||||
return default
|
||||
|
||||
|
||||
def _cycle(ctx: dict[str, Any]) -> str:
|
||||
return (ctx.get("cycle") or {}).get("cycle") or ""
|
||||
|
||||
|
||||
def _phase(ctx: dict[str, Any]) -> str:
|
||||
return (ctx.get("phase") or {}).get("phase") or ""
|
||||
|
||||
|
||||
class SpringRule(WyckoffRule):
|
||||
rule_id = "event_spring"
|
||||
category = "event"
|
||||
timeframes = ("1d",)
|
||||
|
||||
def evaluate(self, context: dict[str, Any]) -> RuleHit | None:
|
||||
cycle = _cycle(context)
|
||||
if cycle not in (WyckoffCycle.ACCUMULATION.value, WyckoffCycle.RE_ACCUMULATION.value,
|
||||
WyckoffCycle.MARKUP.value):
|
||||
# Allow spring only in accumulative contexts; Decision will filter MTF
|
||||
if cycle == WyckoffCycle.DISTRIBUTION.value:
|
||||
pass # still detect for facts but lower confidence
|
||||
pierce = _f(context, "pierce_below_range")
|
||||
reclaim = _f(context, "reclaim_speed")
|
||||
vol_ratio = _f(context, "volume_ratio")
|
||||
close_in_range = _f(context, "close_back_in_range")
|
||||
if pierce >= 0.002 and close_in_range >= 0.5 and reclaim >= 0.3:
|
||||
strength = min(98.0, 50 + pierce * 2000 + reclaim * 20 + (15 if vol_ratio < 1.2 else 5))
|
||||
return RuleHit(
|
||||
rule_id=self.rule_id,
|
||||
event=WyckoffEvent.SPRING.value,
|
||||
confidence=strength,
|
||||
score=strength,
|
||||
reasons=[
|
||||
f"跌破区间后收回 (pierce={pierce:.3%})",
|
||||
f"回收速度={reclaim:.2f}",
|
||||
f"量比={vol_ratio:.2f}",
|
||||
],
|
||||
metrics={"pierce": pierce, "reclaim": reclaim, "volume_ratio": vol_ratio},
|
||||
)
|
||||
return None
|
||||
|
||||
|
||||
class TestRule(WyckoffRule):
|
||||
rule_id = "event_test"
|
||||
category = "event"
|
||||
timeframes = ("1d", "1w")
|
||||
|
||||
def evaluate(self, context: dict[str, Any]) -> RuleHit | None:
|
||||
pos = _f(context, "range_position")
|
||||
vol_ratio = _f(context, "volume_ratio")
|
||||
near_low = pos < 0.2
|
||||
if near_low and vol_ratio < 0.85:
|
||||
return RuleHit(
|
||||
rule_id=self.rule_id,
|
||||
event=WyckoffEvent.TEST.value,
|
||||
confidence=68.0,
|
||||
score=65.0,
|
||||
reasons=["低位缩量回测"],
|
||||
)
|
||||
return None
|
||||
|
||||
|
||||
class SOSRule(WyckoffRule):
|
||||
rule_id = "event_sos"
|
||||
category = "event"
|
||||
timeframes = ("1d", "1w")
|
||||
|
||||
def evaluate(self, context: dict[str, Any]) -> RuleHit | None:
|
||||
breakout = _f(context, "breakout_above_range")
|
||||
vol_ratio = _f(context, "volume_ratio")
|
||||
close = _f(context, "close")
|
||||
ma20 = _f(context, "ma20")
|
||||
if breakout >= 0.0 and vol_ratio >= 1.2 and close > ma20:
|
||||
conf = min(95.0, 70 + vol_ratio * 8)
|
||||
return RuleHit(
|
||||
rule_id=self.rule_id,
|
||||
event=WyckoffEvent.SOS.value,
|
||||
confidence=conf,
|
||||
score=conf,
|
||||
reasons=["放量突破区间上沿 (SOS)"],
|
||||
metrics={"vol_ratio": vol_ratio},
|
||||
)
|
||||
return None
|
||||
|
||||
|
||||
class LPSRule(WyckoffRule):
|
||||
rule_id = "event_lps"
|
||||
category = "event"
|
||||
timeframes = ("1d", "1w")
|
||||
|
||||
def evaluate(self, context: dict[str, Any]) -> RuleHit | None:
|
||||
# Pullback hold above broken range / MA20 after prior strength
|
||||
pullback = _f(context, "pullback_hold")
|
||||
vol_ratio = _f(context, "volume_ratio")
|
||||
above_ma = _f(context, "close") > _f(context, "ma20")
|
||||
if pullback >= 0.5 and above_ma and vol_ratio <= 1.1:
|
||||
return RuleHit(
|
||||
rule_id=self.rule_id,
|
||||
event=WyckoffEvent.LPS.value,
|
||||
confidence=74.0,
|
||||
score=76.0,
|
||||
reasons=["突破后缩量回踩支撑 (LPS)"],
|
||||
)
|
||||
return None
|
||||
|
||||
|
||||
class SCRule(WyckoffRule):
|
||||
rule_id = "event_sc"
|
||||
category = "event"
|
||||
timeframes = ("1w", "1d")
|
||||
|
||||
def evaluate(self, context: dict[str, Any]) -> RuleHit | None:
|
||||
vol_ratio = _f(context, "volume_ratio")
|
||||
bar_range = _f(context, "bar_range_atr")
|
||||
pos = _f(context, "range_position")
|
||||
if vol_ratio >= 1.8 and bar_range >= 1.5 and pos < 0.35:
|
||||
return RuleHit(
|
||||
rule_id=self.rule_id,
|
||||
event=WyckoffEvent.SC.value,
|
||||
confidence=72.0,
|
||||
score=70.0,
|
||||
reasons=["低位放量宽幅，疑似 Selling Climax"],
|
||||
)
|
||||
return None
|
||||
|
||||
|
||||
class ARRule(WyckoffRule):
|
||||
rule_id = "event_ar"
|
||||
category = "event"
|
||||
timeframes = ("1w", "1d")
|
||||
|
||||
def evaluate(self, context: dict[str, Any]) -> RuleHit | None:
|
||||
# Automatic rally: bounce from lows
|
||||
bounce = _f(context, "bounce_from_low")
|
||||
if bounce >= 0.04:
|
||||
return RuleHit(
|
||||
rule_id=self.rule_id,
|
||||
event=WyckoffEvent.AR.value,
|
||||
confidence=65.0,
|
||||
score=62.0,
|
||||
reasons=["低点后自动反弹 (AR)"],
|
||||
)
|
||||
return None
|
||||
|
||||
|
||||
class STRule(WyckoffRule):
|
||||
rule_id = "event_st"
|
||||
category = "event"
|
||||
timeframes = ("1w", "1d")
|
||||
|
||||
def evaluate(self, context: dict[str, Any]) -> RuleHit | None:
|
||||
pos = _f(context, "range_position")
|
||||
vol_ratio = _f(context, "volume_ratio")
|
||||
if 0.15 < pos < 0.45 and vol_ratio < 1.0:
|
||||
return RuleHit(
|
||||
rule_id=self.rule_id,
|
||||
event=WyckoffEvent.ST.value,
|
||||
confidence=60.0,
|
||||
score=58.0,
|
||||
reasons=["次级测试 (ST)"],
|
||||
)
|
||||
return None
|
||||
|
||||
|
||||
class UTADRule(WyckoffRule):
|
||||
rule_id = "event_utad"
|
||||
category = "event"
|
||||
timeframes = ("1w", "1d")
|
||||
|
||||
def evaluate(self, context: dict[str, Any]) -> RuleHit | None:
|
||||
cycle = _cycle(context)
|
||||
pierce_up = _f(context, "pierce_above_range")
|
||||
fail = _f(context, "fail_back_into_range")
|
||||
if cycle in (WyckoffCycle.DISTRIBUTION.value, WyckoffCycle.RE_DISTRIBUTION.value,
|
||||
WyckoffCycle.MARKUP.value):
|
||||
if pierce_up >= 0.002 and fail >= 0.5:
|
||||
return RuleHit(
|
||||
rule_id=self.rule_id,
|
||||
event=WyckoffEvent.UTAD.value,
|
||||
confidence=76.0,
|
||||
score=74.0,
|
||||
reasons=["冲高失败回到区间 (UTAD)"],
|
||||
)
|
||||
return None
|
||||
|
||||
|
||||
class JumpRule(WyckoffRule):
|
||||
rule_id = "event_jump"
|
||||
category = "event"
|
||||
timeframes = ("1d",)
|
||||
|
||||
def evaluate(self, context: dict[str, Any]) -> RuleHit | None:
|
||||
gap = _f(context, "gap_up_pct")
|
||||
vol_ratio = _f(context, "volume_ratio")
|
||||
if gap >= 0.03 and vol_ratio >= 1.3:
|
||||
return RuleHit(
|
||||
rule_id=self.rule_id,
|
||||
event=WyckoffEvent.JUMP.value,
|
||||
confidence=70.0,
|
||||
score=72.0,
|
||||
reasons=["放量向上跳跃 (Jump)"],
|
||||
)
|
||||
return None
|
||||
|
||||
|
||||
class BackupRule(WyckoffRule):
|
||||
rule_id = "event_backup"
|
||||
category = "event"
|
||||
timeframes = ("1d",)
|
||||
|
||||
def evaluate(self, context: dict[str, Any]) -> RuleHit | None:
|
||||
pullback = _f(context, "pullback_hold")
|
||||
after_jump = _f(context, "after_strength")
|
||||
if after_jump >= 0.5 and pullback >= 0.5:
|
||||
return RuleHit(
|
||||
rule_id=self.rule_id,
|
||||
event=WyckoffEvent.BACKUP.value,
|
||||
confidence=68.0,
|
||||
score=70.0,
|
||||
reasons=["跳跃后回踩 (Backup)"],
|
||||
)
|
||||
return None
|
||||
|
||||
|
||||
def build_rules() -> list[WyckoffRule]:
|
||||
return [
|
||||
SpringRule(),
|
||||
UTADRule(),
|
||||
SOSRule(),
|
||||
LPSRule(),
|
||||
SCRule(),
|
||||
JumpRule(),
|
||||
BackupRule(),
|
||||
TestRule(),
|
||||
ARRule(),
|
||||
STRule(),
|
||||
]
|
||||
Reference in New Issue
Block a user