PorterandCursor
2c1232555e
将核心结构、指标与分析拆到 chan/{core,indicators,analysis,pipeline}；
根目录保留兼容 shim；strategies 改为从 chan 包导入；买卖点经 bsp_macd 与 MACD 接合。
Co-authored-by: Cursor <cursoragent@cursor.com>
570 lines
31 KiB
Python
570 lines
31 KiB
Python
# --- Do not remove these libs ---
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from statistics import median
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from freqtrade.strategy import IStrategy, stoploss_from_absolute
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import sys
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import os
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# 添加父目录到系统路径
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sys.path.append(os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
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from chan.pipeline.ChanLun import ChanLun
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from chan.analysis.ChanLun_Classifier import ChanLunClassifier
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from chan.core.ChanEnum import Chan_FX_TYPE, Chan_KLC_FX, Chan_BI_DIR, Chan_KLC_FX
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from chan.analysis.ChanPY import ChanPY
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# --------------------------------
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from technical.util import resample_to_interval, resampled_merge
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import talib.abstract as ta
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from pandas import DataFrame
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from datetime import datetime, timedelta
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from freqtrade.persistence import Trade, Order
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from typing import Optional
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import logging
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import numpy as np
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import pandas as pd
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from functools import reduce
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logger = logging.getLogger(__name__)
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### Now you can use logger.info('asfd') to log
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# freqtrade plot-dataframe --strategy ChanLun_BTC_K --datadir user_data/data/binance -c ./user_data/Chan/config/ChanLun_BTC_K.json --timerange=20250309-
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# freqtrade trade -c ./user_data/Chan/config/ChanLun_BTC_K.json --strategy ChanLun_BTC_K --strategy-path ./user_data/Chan/strategies
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# freqtrade backtesting -c ./user_data/Chan/config/ChanLun_BTC_K.json --strategy ChanLun_BTC_K --strategy-path ./user_data/Chan/strategies --timerange=20250701-
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# freqtrade download-data -c ./user_data/Chan/config/ChanLun_BTC_K.json -t 1m --pairs BTC/USDT:USDT --timerange=20250405-
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# freqtrade hyperopt --hyperopt-loss SharpeHyperOptLossDaily --spaces roi stoploss --strategy ChanLun_BTC_K --strategy-path ./user_data/Chan/strategies -c ./user_data/Chan/config/ChanLun_BTC_K.json -e 200 --timerange=20250201-20250401
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# sudo docker compose run --rm chan_btc backtesting -c ./user_data/Chan/config/ChanLun_BTC_K.json --strategy ChanLun_BTC_K --strategy-path ./user_data/Chan/strategies --timerange=20250101-
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# sudo docker compose run --rm chan_btc download-data -c ./user_data/Chan/config/ChanLun_BTC_K.json --pairs BTC/USDT:USDT -t 1m --timerange 20240101-
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# sudo docker compose run --rm chan_btc trade -c ./user_data/Chan/config/ChanLun_BTC_K.json --strategy ChanLun_BTC_K --strategy-path ./user_data/Chan/strategies
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class ChanLun_BTC_K(IStrategy):
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INTERFACE_VERSION: int = 3
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# 策略参数
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minimal_roi = {
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"0": 0.004, # 0.4%
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"15": 0.006, # 15分钟0.6%
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"30": 0.008, # 30分钟0.8%
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"60": 0.01 # 60分钟1.0%
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}
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stoploss = -0.03 # 3%止损
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use_custom_stoploss = True
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startup_candle_count = 200
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def get_ticker_indicator(self) -> int:
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"""返回基础时间框架的分钟数（如 '1m' -> 1）。"""
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tf = str(self.timeframe).strip().lower()
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if tf.endswith('m'):
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return int(tf[:-1])
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if tf.endswith('h'):
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return int(tf[:-1]) * 60
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if tf.endswith('d'):
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return int(tf[:-1]) * 60 * 24
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return 1
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# 时间框架
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timeframe = '5m'
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# 指标参数
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macd_fast = 24
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macd_slow = 52
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macd_signal = 18
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ema_short = 24
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ema_long = 52
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# 背离检测参数
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divergence_lookback = 20 # 背离检测回看周期
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min_divergence_bars = 5 # 最小背离确认K线数
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def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
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计算技术指标
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"""
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# MACD指标
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macd = ta.MACD(dataframe, fastperiod=self.macd_fast, slowperiod=self.macd_slow, signalperiod=self.macd_signal)
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dataframe['macd'] = macd['macd']
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dataframe['macdsignal'] = macd['macdsignal']
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dataframe['macdhist'] = macd['macdhist']
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# EMA均线
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dataframe['ema_24'] = ta.EMA(dataframe, timeperiod=self.ema_short)
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dataframe['ema_52'] = ta.EMA(dataframe, timeperiod=self.ema_long)
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# 多时间周期（3x、5x、15x）聚合与指标
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base_min = self.get_ticker_indicator()
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intervals = {
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'x3': base_min * 3,
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'x5': base_min * 5,
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'x15': base_min * 15,
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'x60': base_min * 60,
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}
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def build_htf(df_resampled: DataFrame, suffix: str) -> DataFrame:
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macd_htf = ta.MACD(df_resampled, fastperiod=self.macd_fast, slowperiod=self.macd_slow, signalperiod=self.macd_signal)
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df_resampled[f'macd_{suffix}'] = macd_htf['macd']
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df_resampled[f'macdsignal_{suffix}'] = macd_htf['macdsignal']
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df_resampled[f'macdhist_{suffix}'] = macd_htf['macdhist']
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df_resampled[f'ema_24_{suffix}'] = ta.EMA(df_resampled, timeperiod=self.ema_short)
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df_resampled[f'ema_52_{suffix}'] = ta.EMA(df_resampled, timeperiod=self.ema_long)
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# ATR及其百分比（用于波动过滤/动态止损）
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df_resampled[f'atr_{suffix}'] = ta.ATR(df_resampled, timeperiod=14)
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df_resampled[f'atr_pct_{suffix}'] = df_resampled[f'atr_{suffix}'] / df_resampled['close']
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# 近零轴/方向
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zero_dist = np.sqrt(np.square(df_resampled[f'macd_{suffix}']) + np.square(df_resampled[f'macdsignal_{suffix}']))
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zero_dist_ema = zero_dist.ewm(span=50, adjust=False).mean()
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zero_eps = zero_dist_ema * 0.2
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df_resampled[f'above_zero_{suffix}'] = (df_resampled[f'macd_{suffix}'] > 0) & (df_resampled[f'macdsignal_{suffix}'] > 0)
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df_resampled[f'below_zero_{suffix}'] = (df_resampled[f'macd_{suffix}'] < 0) & (df_resampled[f'macdsignal_{suffix}'] < 0)
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df_resampled[f'near_zero_{suffix}'] = (np.abs(df_resampled[f'macd_{suffix}']) < zero_eps) & (np.abs(df_resampled[f'macdsignal_{suffix}']) < zero_eps)
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df_resampled[f'hist_increasing_{suffix}'] = df_resampled[f'macdhist_{suffix}'] > df_resampled[f'macdhist_{suffix}'].shift(1)
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df_resampled[f'hist_decreasing_{suffix}'] = df_resampled[f'macdhist_{suffix}'] < df_resampled[f'macdhist_{suffix}'].shift(1)
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# 高位：远离零轴
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df_resampled[f'high_position_{suffix}'] = zero_dist > (zero_dist_ema * 1.5)
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# 金叉/死叉
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df_resampled[f'macd_cross_up_{suffix}'] = (df_resampled[f'macd_{suffix}'] > df_resampled[f'macdsignal_{suffix}']) & (df_resampled[f'macd_{suffix}'].shift(1) <= df_resampled[f'macdsignal_{suffix}'].shift(1))
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df_resampled[f'macd_cross_down_{suffix}'] = (df_resampled[f'macd_{suffix}'] < df_resampled[f'macdsignal_{suffix}']) & (df_resampled[f'macd_{suffix}'].shift(1) >= df_resampled[f'macdsignal_{suffix}'].shift(1))
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cols = [
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'date',
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'close',
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f'macd_{suffix}', f'macdsignal_{suffix}', f'macdhist_{suffix}',
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f'ema_24_{suffix}', f'ema_52_{suffix}',
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f'atr_{suffix}', f'atr_pct_{suffix}',
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f'above_zero_{suffix}', f'below_zero_{suffix}', f'near_zero_{suffix}', f'hist_increasing_{suffix}', f'hist_decreasing_{suffix}',
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f'high_position_{suffix}', f'macd_cross_up_{suffix}', f'macd_cross_down_{suffix}'
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]
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# 确保返回独立副本，避免下游在 resampled_merge 内部触发 SettingWithCopyWarning
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return df_resampled.loc[:, cols].copy()
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for suf, minutes in intervals.items():
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df_res = resample_to_interval(dataframe, minutes)
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df_htf = build_htf(df_res, suf)
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dataframe = resampled_merge(dataframe, df_htf)
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# 动态阈值与距离定义
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# 距离零轴的合成距离，用于高位/近零判定
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dataframe['macd_abs'] = np.abs(dataframe['macd'])
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dataframe['macdsignal_abs'] = np.abs(dataframe['macdsignal'])
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dataframe['zero_dist'] = np.sqrt(np.square(dataframe['macd']) + np.square(dataframe['macdsignal']))
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dataframe['zero_dist_ema'] = dataframe['zero_dist'].ewm(span=50, adjust=False).mean()
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# 近零动态阈值（零轴“无限接近”的量化）
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dataframe['zero_eps'] = (dataframe['zero_dist_ema'] * 0.2).clip(lower=1e-8)
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# 零轴判断（方向与近零）
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dataframe['above_zero'] = (dataframe['macd'] > 0) & (dataframe['macdsignal'] > 0)
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dataframe['below_zero'] = (dataframe['macd'] < 0) & (dataframe['macdsignal'] < 0)
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dataframe['near_zero_fast'] = dataframe['macd_abs'] < dataframe['zero_eps']
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dataframe['near_zero_slow'] = dataframe['macdsignal_abs'] < dataframe['zero_eps']
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dataframe['near_zero'] = dataframe['near_zero_fast'] & dataframe['near_zero_slow']
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# MACD与信号线穿越零轴（当根事件，用于阶段/线段识别）
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dataframe['cross_zero_up'] = (
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((dataframe['macd'].shift(1) <= 0) & (dataframe['macd'] > 0)) |
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((dataframe['macdsignal'].shift(1) <= 0) & (dataframe['macdsignal'] > 0))
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)
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dataframe['cross_zero_down'] = (
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((dataframe['macd'].shift(1) >= 0) & (dataframe['macd'] < 0)) |
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((dataframe['macdsignal'].shift(1) >= 0) & (dataframe['macdsignal'] < 0))
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)
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dataframe['cross_zero'] = dataframe['cross_zero_up'] | dataframe['cross_zero_down']
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# 价格触碰/接近EMA52（文档：K线触碰EMA52附近）
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dataframe['price_above_ema52'] = dataframe['close'] > dataframe['ema_52']
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dataframe['price_below_ema52'] = dataframe['close'] < dataframe['ema_52']
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dataframe['price_near_ema52'] = (np.abs(dataframe['close'] - dataframe['ema_52']) / dataframe['ema_52']) < 0.003
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dataframe['touch_zero_by_price'] = dataframe['price_near_ema52']
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# MACD白线（DIF）无限接近零轴（文档：白线靠近零轴）
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dataframe['touch_zero_by_macd'] = dataframe['near_zero_fast']
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# 有效击穿/突破EMA52与零轴（延后确认，信号在确认K线产生，避免前瞻）
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# 上破EMA52，并在2根K线后仍然在其上
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cond_break_up = (dataframe['close'].shift(2) > dataframe['ema_52'].shift(2)) & (
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(dataframe['close'].shift(3) <= dataframe['ema_52'].shift(3))
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)
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dataframe['effective_break_ema52_up'] = cond_break_up.fillna(False)
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# 下破EMA52，并在2根K线后仍然在其下
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cond_break_down = (dataframe['close'].shift(2) < dataframe['ema_52'].shift(2)) & (
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(dataframe['close'].shift(3) >= dataframe['ema_52'].shift(3))
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)
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dataframe['effective_break_ema52_down'] = cond_break_down.fillna(False)
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# 黄线（慢线：DEA）有效击穿零轴（2根K线后确认）
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cond_dea_up = (dataframe['macdsignal'].shift(2) > 0) & (dataframe['macdsignal'].shift(3) <= 0)
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cond_dea_down = (dataframe['macdsignal'].shift(2) < 0) & (dataframe['macdsignal'].shift(3) >= 0)
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dataframe['effective_dea_cross_up'] = cond_dea_up.fillna(False)
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dataframe['effective_dea_cross_down'] = cond_dea_down.fillna(False)
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# 高位空形态检测
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# 高位空：MACD黄白线处于高位，K线缓慢上涨或横盘，能量柱衰减，形成夹角
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# 高位：距离零轴远离，采用动态阈值（> 1.5x 距离均值）
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dataframe['high_position'] = dataframe['zero_dist'] > (dataframe['zero_dist_ema'] * 1.5)
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# 能量柱衰减检测
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dataframe['histogram_decreasing'] = dataframe['macdhist'] < dataframe['macdhist'].shift(1)
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dataframe['histogram_increasing'] = dataframe['macdhist'] > dataframe['macdhist'].shift(1)
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# 线条“横盘”（变化不大）：3根之前差值很小
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dataframe['macd_flat_3'] = (np.abs(dataframe['macd'] - dataframe['macd'].shift(3)) < dataframe['zero_eps'])
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dataframe['macdsignal_flat_3'] = (np.abs(dataframe['macdsignal'] - dataframe['macdsignal'].shift(3)) < dataframe['zero_eps'])
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# 高位空形态：高位 + 能量柱衰减 + 黄白线横盘
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dataframe['high_position_empty'] = (
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dataframe['high_position'] &
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dataframe['histogram_decreasing'] &
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# K线缓慢上涨或横盘（价格变化不大）
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(abs(dataframe['close'] - dataframe['close'].shift(3)) / dataframe['close'].shift(3) < 0.02) &
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# MACD黄白线横盘（变化不大）
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dataframe['macd_flat_3'] &
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dataframe['macdsignal_flat_3']
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)
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# 归零轴四种走势（近似量化）
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# 1) 触碰EMA52（由上至下或下至上）
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dataframe['zero_touch_ema52'] = dataframe['price_near_ema52']
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# 2) 白线无限接近零轴
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dataframe['zero_near_fastline'] = dataframe['near_zero_fast']
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# 3) 零轴粘合：刚穿零轴后，|黄白线|均小，hist不释放反向能量柱，斜率小（横向）
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small_lines = (dataframe['macd_abs'] < dataframe['zero_eps'] * 1.2) & (dataframe['macdsignal_abs'] < dataframe['zero_eps'] * 1.2)
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same_side_hist = (
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((dataframe['macdhist'] >= 0) & dataframe['cross_zero_up']) |
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((dataframe['macdhist'] <= 0) & dataframe['cross_zero_down'])
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)
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dataframe['zero_axis_adhesion'] = small_lines & same_side_hist
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# 4) K线先触碰EMA52，而黄白线未归零
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dataframe['zero_touch_price_first'] = dataframe['price_near_ema52'] & (~dataframe['near_zero'])
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# 零轴纠缠：黄白线反复在近零区上下缠绕（5根内多次变号或绝对值很小）
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near_zero_many = dataframe['near_zero'].rolling(5).sum() >= 3
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sign_flip_fast = (np.sign(dataframe['macd']) != np.sign(dataframe['macd'].shift(1)))
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sign_flip_slow = (np.sign(dataframe['macdsignal']) != np.sign(dataframe['macdsignal'].shift(1)))
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dataframe['zero_axis_entanglement'] = near_zero_many | (sign_flip_fast & sign_flip_slow & dataframe['near_zero'])
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# 零轴倒挂：靠近零轴、能量柱衰减形成夹角、黄白线交叉并释放反向能量柱
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macd_cross = ((dataframe['macd'] > dataframe['macdsignal']) & (dataframe['macd'].shift(1) <= dataframe['macdsignal'].shift(1))) | (
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(dataframe['macd'] < dataframe['macdsignal']) & (dataframe['macd'].shift(1) >= dataframe['macdsignal'].shift(1))
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)
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hist_flip = np.sign(dataframe['macdhist']) != np.sign(dataframe['macdhist'].shift(1))
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dataframe['zero_axis_inverted'] = dataframe['near_zero'] & dataframe['histogram_decreasing'] & macd_cross & hist_flip
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# 隐形形态：无能量配合
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# 高位隐形：远离零轴、价格继续拉升/下跌，但hist未释放同向能量
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dataframe['hidden_high_bull'] = dataframe['above_zero'] & dataframe['high_position'] & (dataframe['close'] > dataframe['close'].shift(1)) & (dataframe['macdhist'] <= 0)
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dataframe['hidden_high_bear'] = dataframe['below_zero'] & dataframe['high_position'] & (dataframe['close'] < dataframe['close'].shift(1)) & (dataframe['macdhist'] >= 0)
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# 归零轴隐形：近零时应释放的支撑/压力能量未出现 -> 可能反向穿零
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dataframe['hidden_zero_bull_fail'] = dataframe['near_zero'] & dataframe['price_near_ema52'] & (dataframe['macdhist'] <= 0)
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dataframe['hidden_zero_bear_fail'] = dataframe['near_zero'] & dataframe['price_near_ema52'] & (dataframe['macdhist'] >= 0)
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# 斜率/拐点/金叉死叉（上下文门控）
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dataframe['ema24_slope_up'] = dataframe['ema_24'] > dataframe['ema_24'].shift(1)
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dataframe['ema24_slope_down'] = dataframe['ema_24'] < dataframe['ema_24'].shift(1)
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dataframe['hist_turn_up'] = (dataframe['macdhist'] > dataframe['macdhist'].shift(1)) & (dataframe['macdhist'].shift(1) <= dataframe['macdhist'].shift(2))
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dataframe['hist_turn_down'] = (dataframe['macdhist'] < dataframe['macdhist'].shift(1)) & (dataframe['macdhist'].shift(1) >= dataframe['macdhist'].shift(2))
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dataframe['macd_cross_up'] = (dataframe['macd'] > dataframe['macdsignal']) & (dataframe['macd'].shift(1) <= dataframe['macdsignal'].shift(1))
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dataframe['macd_cross_down'] = (dataframe['macd'] < dataframe['macdsignal']) & (dataframe['macd'].shift(1) >= dataframe['macdsignal'].shift(1))
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# 线段与单位调整周期（近似） - 需在背离检测之前生成
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# 线段：以黄线穿零轴划分段（上穿为上涨线段，下穿为下跌线段）
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seg_change = (((dataframe['macdsignal'] <= 0) & (dataframe['macdsignal'].shift(1) > 0)) | ((dataframe['macdsignal'] >= 0) & (dataframe['macdsignal'].shift(1) < 0)))
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dataframe['segment_id'] = seg_change.cumsum().fillna(0).astype(int)
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# 单位调整周期：由近零出发-远离-回到近零（用近零作为粗略起止标记）
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dataframe['near_zero_flag'] = dataframe['near_zero'].astype(int)
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dataframe['unit_cycle_id'] = (dataframe['near_zero_flag'].diff().fillna(0) > 0).cumsum().astype(int)
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# 背离检测（线段内）
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dataframe = self.detect_divergence(dataframe)
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# 跳空检测
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dataframe = self.detect_gaps(dataframe)
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# V字反转：近零+收敛+突破横盘区
|
|
price_break = dataframe['close'] > dataframe['close'].rolling(10).max().shift(1)
|
|
macd_converge = dataframe['histogram_decreasing'].rolling(4).sum() >= 3
|
|
dataframe['v_reversal'] = dataframe['near_zero'] & dataframe['price_above_ema52'] & macd_converge & price_break
|
|
|
|
# 抢底原理（第三阶段：底背离/动能不足触发）
|
|
momentum_lack = (dataframe['below_zero'] & dataframe['histogram_decreasing'] & (dataframe['close'] <= dataframe['close'].shift(1)))
|
|
dataframe['bottom_snap_buy'] = dataframe['near_zero'] & (dataframe['bottom_divergence'] | momentum_lack)
|
|
|
|
# 归零轴强支撑（零轴粘合 + EMA52支撑）
|
|
dataframe['zero_adhesion_support'] = dataframe['zero_axis_adhesion'] & dataframe['price_near_ema52'] & dataframe['price_above_ema52']
|
|
|
|
# 高周期门控（5x 与 60x），注意列名经过 resampled_merge 改名：resample_{minutes}_<col>
|
|
min3 = intervals['x3']
|
|
min5 = intervals['x5']
|
|
min15 = intervals['x15']
|
|
min60 = intervals['x60']
|
|
ema24_5 = f'resample_{min5}_ema_24_x5'
|
|
ema52_5 = f'resample_{min5}_ema_52_x5'
|
|
above0_5 = f'resample_{min5}_above_zero_x5'
|
|
near0_5 = f'resample_{min5}_near_zero_x5'
|
|
macds_5 = f'resample_{min5}_macdsignal_x5'
|
|
d5 = f'resample_{min5}_date'
|
|
close5 = f'resample_{min5}_close'
|
|
ema24_60 = f'resample_{min60}_ema_24_x60'
|
|
ema52_60 = f'resample_{min60}_ema_52_x60'
|
|
macds_60 = f'resample_{min60}_macdsignal_x60'
|
|
above0_60 = f'resample_{min60}_above_zero_x60'
|
|
near0_60 = f'resample_{min60}_near_zero_x60'
|
|
date_60 = f'resample_{min60}_date'
|
|
|
|
dataframe['htf_buy_gate'] = (
|
|
(dataframe.get(ema24_60, np.nan) > dataframe.get(ema52_60, np.nan)) &
|
|
((dataframe.get(above0_60, False)) | (dataframe.get(near0_60, False)) | (dataframe.get(macds_60, np.nan) >= 0))
|
|
).fillna(False)
|
|
dataframe['htf_sell_gate'] = (
|
|
(dataframe.get(ema24_60, np.nan) < dataframe.get(ema52_60, np.nan)) | (dataframe.get(macds_60, np.nan) < 0)
|
|
).fillna(False)
|
|
|
|
# 1m 对 60m 均线关系
|
|
dataframe['price_above_ema52_x60'] = (dataframe['close'] > dataframe.get(ema52_60, np.nan)).fillna(False)
|
|
dataframe['price_near_ema52_x60'] = (np.abs(dataframe['close'] - dataframe.get(ema52_60, np.nan)) / dataframe.get(ema52_60, np.nan) < 0.003).fillna(False)
|
|
# 提供无前缀别名，供买卖条件使用（60m）
|
|
dataframe['near_zero_x60'] = dataframe.get(near0_60, False)
|
|
dataframe['macdsignal_x60'] = dataframe.get(macds_60, np.nan)
|
|
dataframe['ema24_x60'] = dataframe.get(ema24_60, np.nan)
|
|
dataframe['ema52_x60'] = dataframe.get(ema52_60, np.nan)
|
|
dataframe['hist_increasing_x60'] = dataframe.get(f'resample_{min60}_hist_increasing_x60', False)
|
|
dataframe['hist_decreasing_x60'] = dataframe.get(f'resample_{min60}_hist_decreasing_x60', False)
|
|
dataframe['macd_cross_up_60m'] = dataframe.get(f'resample_{min60}_macd_cross_up_x60', False)
|
|
dataframe['macd_cross_down_60m'] = dataframe.get(f'resample_{min60}_macd_cross_down_x60', False)
|
|
# 60m边界触发：仅在新60m开始的一根1m上允许交易（直接比较，避免时区转换问题）
|
|
d60 = dataframe.get(date_60)
|
|
dataframe['is_new_60m'] = d60.ne(d60.shift(1)).fillna(False)
|
|
# 5m边界（用于5m信号仅在新5m产生）
|
|
d5s = dataframe.get(d5)
|
|
dataframe['is_new_5m'] = d5s.ne(d5s.shift(1)).fillna(False)
|
|
# 60m开始后前5分钟内也允许交易
|
|
if 'date' in dataframe.columns:
|
|
dt_delta60 = (dataframe['date'] - d60)
|
|
dataframe['within_first_60m5'] = dt_delta60.dt.total_seconds().div(60).between(0, 10).fillna(False)
|
|
else:
|
|
dataframe['within_first_60m5'] = dataframe['is_new_60m']
|
|
# 60m波动过滤
|
|
dataframe['atr_pct_x60'] = dataframe.get(f'resample_{min60}_atr_pct_x60', np.nan)
|
|
dataframe['htf_vol_ok'] = (dataframe['atr_pct_x60'] > 0.0005).fillna(False)
|
|
# 价格接近1h EMA24（小回踩判定）
|
|
dataframe['price_near_ema24_x60'] = (np.abs(dataframe['close'] - dataframe.get('ema24_x60', np.nan)) / dataframe.get('ema24_x60', np.nan) < 0.0015).fillna(False)
|
|
# 5m别名与突破判定
|
|
dataframe['near_zero_x5'] = dataframe.get(near0_5, False)
|
|
dataframe['macd_cross_up_5m'] = dataframe.get(f'resample_{min5}_macd_cross_up_x5', False)
|
|
dataframe['macd_cross_down_5m'] = dataframe.get(f'resample_{min5}_macd_cross_down_x5', False)
|
|
dataframe['ema24_x5'] = dataframe.get(ema24_5, np.nan)
|
|
dataframe['ema52_x5'] = dataframe.get(ema52_5, np.nan)
|
|
dataframe['close_x5'] = dataframe.get(close5, np.nan)
|
|
# 5m突破：新5m且收盘突破近20根5m最高收盘
|
|
dataframe['breakout_5m'] = (
|
|
dataframe['is_new_5m'] &
|
|
(dataframe['close_x5'] > dataframe['close_x5'].rolling(20).max().shift(1))
|
|
).fillna(False)
|
|
|
|
return dataframe
|
|
|
|
def detect_divergence(self, dataframe: DataFrame) -> DataFrame:
|
|
"""
|
|
检测背离形态
|
|
"""
|
|
# 顶/底背离（限制在同一线段内比较，避免跨段）
|
|
df = dataframe
|
|
df['top_divergence'] = False
|
|
df['bottom_divergence'] = False
|
|
|
|
# 线段内的滚动极值（不跨段）
|
|
seg_group = df.groupby('segment_id', group_keys=False)
|
|
seg_close_max_prev = seg_group['close'].apply(lambda s: s.cummax().shift(1))
|
|
seg_macd_max_prev = seg_group['macd'].apply(lambda s: s.cummax().shift(1))
|
|
seg_close_min_prev = seg_group['close'].apply(lambda s: s.cummin().shift(1))
|
|
seg_macd_min_prev = seg_group['macd'].apply(lambda s: s.cummin().shift(1))
|
|
|
|
cond_top = (df['close'] > seg_close_max_prev) & (df['macd'] < seg_macd_max_prev) & df['above_zero']
|
|
cond_bottom = (df['close'] < seg_close_min_prev) & (df['macd'] > seg_macd_min_prev) & df['below_zero']
|
|
df.loc[cond_top.fillna(False), 'top_divergence'] = True
|
|
df.loc[cond_bottom.fillna(False), 'bottom_divergence'] = True
|
|
|
|
return df
|
|
|
|
def detect_gaps(self, dataframe: DataFrame) -> DataFrame:
|
|
"""
|
|
检测跳空形态
|
|
"""
|
|
# 连续跳空/分立跳空（单位周期内的近似判定）
|
|
df = dataframe
|
|
df['continuous_gap'] = False
|
|
df['separate_gap'] = False
|
|
|
|
# 能量柱包含在黄白线之内：|hist| <= max(|macd|, |signal|)
|
|
hist_within_lines = df['macdhist'].abs() <= np.maximum(df['macd_abs'], df['macdsignal_abs'])
|
|
|
|
for i in range(5, len(df)):
|
|
# 连续跳空：同向能量柱在单位周期中由衰减转为增长，且能量柱包含在线内
|
|
if (
|
|
df['histogram_increasing'].iloc[i-2:i+1].all() and
|
|
hist_within_lines.iloc[i-2:i+1].all() and
|
|
((df['macdhist'].iloc[i] > 0) | (df['macdhist'].iloc[i] < 0)) and
|
|
# 近似单位周期：最近出现过near_zero且当前未再次near_zero
|
|
(df['near_zero'].iloc[i-10:i].any()) and (not df['near_zero'].iloc[i])
|
|
):
|
|
df.loc[df.index[i], 'continuous_gap'] = True
|
|
|
|
# 分立跳空：两个同向能量堆被反向能量柱分隔，且远离零轴
|
|
if i > 10:
|
|
recent_hist = df['macdhist'].iloc[i-10:i+1]
|
|
same_dir = (recent_hist.max() > 0 and recent_hist.min() < 0)
|
|
far_from_zero = df['high_position'].iloc[i]
|
|
if same_dir and far_from_zero:
|
|
# 当前是同向新峰，且此前5根内出现过反向柱
|
|
if (df['macdhist'].iloc[i] > 0 and (recent_hist.iloc[-6:-1] < 0).any() and df['macdhist'].iloc[i] > recent_hist.iloc[:-1].max()) or (
|
|
df['macdhist'].iloc[i] < 0 and (recent_hist.iloc[-6:-1] > 0).any() and df['macdhist'].iloc[i] < recent_hist.iloc[:-1].min()
|
|
):
|
|
df.loc[df.index[i], 'separate_gap'] = True
|
|
|
|
return df
|
|
|
|
def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
|
"""
|
|
买入信号生成
|
|
"""
|
|
conditions = []
|
|
|
|
# 条件1: 60m门控 + 底背离确认买点（同段内）
|
|
conditions.append(
|
|
dataframe['bottom_divergence'] &
|
|
dataframe['below_zero'] &
|
|
(dataframe['price_near_ema52_x60'] | dataframe['near_zero_x60'] | dataframe['near_zero']) &
|
|
(dataframe['ema24_slope_up']) & dataframe['htf_vol_ok'] &
|
|
(dataframe['htf_buy_gate']) & (dataframe['is_new_60m'] | dataframe['within_first_60m5'])
|
|
)
|
|
|
|
# 条件2: 单位调整周期内的连续跳空背离
|
|
conditions.append(
|
|
dataframe['continuous_gap'] &
|
|
dataframe['below_zero'] &
|
|
dataframe['near_zero'] &
|
|
(dataframe['ema24_slope_up']) & dataframe['htf_vol_ok'] &
|
|
(dataframe['price_near_ema52_x60'] | dataframe['near_zero_x60'] | dataframe['price_near_ema24_x60']) &
|
|
(dataframe['htf_buy_gate'])
|
|
)
|
|
|
|
# 条件3: 底部形态V字反转 或 5m突破
|
|
conditions.append(
|
|
(
|
|
dataframe['v_reversal'] & dataframe['macd_cross_up'] |
|
|
(dataframe['breakout_5m'] & dataframe['macd_cross_up_5m'])
|
|
) &
|
|
(dataframe['price_above_ema52_x60'] | (dataframe['macdsignal_x60'] >= 0)) & dataframe['htf_vol_ok'] &
|
|
(dataframe['htf_buy_gate'])
|
|
)
|
|
|
|
# 条件4: 抢底原理（第三阶段：底背离/动能不足叠加）
|
|
conditions.append(
|
|
dataframe['bottom_snap_buy'] & (dataframe['macd_cross_up'] | dataframe['hist_turn_up']) &
|
|
(dataframe['price_near_ema52_x60'] | dataframe['near_zero_x60'] | dataframe['price_near_ema24_x60']) & (dataframe['htf_buy_gate']) & dataframe['htf_vol_ok']
|
|
)
|
|
|
|
# 条件5: 归零轴反弹（近零+EMA52附近+能量回升）
|
|
conditions.append(
|
|
dataframe['near_zero'] &
|
|
(dataframe['price_near_ema52_x60'] | dataframe['price_near_ema24_x60']) &
|
|
dataframe['histogram_increasing'] &
|
|
(dataframe['close'] > dataframe['close'].shift(1)) &
|
|
(dataframe['ema24_slope_up']) & (dataframe['htf_buy_gate']) & dataframe['htf_vol_ok']
|
|
)
|
|
|
|
# 条件6: 零轴粘合强支撑买入（文档强调强支撑、弱反弹）
|
|
conditions.append(
|
|
dataframe['zero_adhesion_support'] & dataframe['macd_cross_up'] &
|
|
(dataframe['price_above_ema52_x60'] | dataframe['near_zero_x60'] | dataframe['price_near_ema24_x60']) & (dataframe['htf_buy_gate']) & dataframe['htf_vol_ok']
|
|
)
|
|
|
|
if conditions:
|
|
dataframe.loc[
|
|
reduce(lambda x, y: x | y, conditions),
|
|
'enter_long'] = 1
|
|
|
|
return dataframe
|
|
|
|
def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
|
"""
|
|
卖出信号生成
|
|
"""
|
|
conditions = []
|
|
|
|
# 条件1: 顶背离确认卖点（同段内）
|
|
conditions.append(
|
|
dataframe['top_divergence'] &
|
|
dataframe['above_zero']
|
|
)
|
|
|
|
# 条件2: 高位空形态
|
|
conditions.append(
|
|
dataframe['high_position_empty'] &
|
|
dataframe['above_zero'] &
|
|
(dataframe['macd_cross_down'] | dataframe['hist_turn_down'])
|
|
)
|
|
|
|
# 条件3: 有效穿零轴下跌（慢线有效击穿 + EMA52下）
|
|
conditions.append(
|
|
(dataframe['effective_dea_cross_down'] | dataframe['cross_zero_down'] | dataframe['htf_sell_gate']) &
|
|
dataframe['price_below_ema52'] &
|
|
(dataframe['ema24_slope_down'])
|
|
)
|
|
|
|
# 条件4: 能量柱隐形形态（无能量配合的上涨）
|
|
conditions.append(
|
|
dataframe['hidden_high_bull'] & (dataframe['macd_cross_down'] | dataframe['hist_turn_down'])
|
|
)
|
|
|
|
# 条件5: 零轴倒挂（弱支撑弱反弹，易继续下行）
|
|
conditions.append(
|
|
dataframe['zero_axis_inverted'] &
|
|
dataframe['above_zero']
|
|
)
|
|
|
|
if conditions:
|
|
dataframe.loc[
|
|
reduce(lambda x, y: x | y, conditions),
|
|
'exit_long'] = 1
|
|
|
|
return dataframe
|
|
|
|
def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float,
|
|
time_in_force: str, current_time: datetime, entry_tag: Optional[str],
|
|
side: str, **kwargs) -> bool:
|
|
"""
|
|
交易确认
|
|
"""
|
|
# 获取当前数据
|
|
dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
|
|
last_candle = dataframe.iloc[-1].squeeze()
|
|
|
|
# 买入确认
|
|
if side == 'buy':
|
|
# 确保MACD在零轴下方且有反弹迹象
|
|
if not (last_candle['below_zero'] or last_candle['near_zero']):
|
|
return False
|
|
|
|
# 确保价格接近EMA52
|
|
if not last_candle['price_near_ema52']:
|
|
return False
|
|
|
|
# 卖出确认
|
|
elif side == 'sell':
|
|
# 确保MACD在零轴上方且有下跌迹象
|
|
if not (last_candle['above_zero'] or last_candle['near_zero']):
|
|
return False
|
|
|
|
return True
|
|
|
|
def custom_stoploss(self, pair: str, trade: Trade, current_time: datetime, current_rate: float,
|
|
current_profit: float, **kwargs) -> float:
|
|
"""
|
|
自定义止损
|
|
"""
|
|
dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
|
|
last_candle = dataframe.iloc[-1].squeeze()
|
|
|
|
# 如果出现顶背离，立即止损
|
|
if last_candle['top_divergence']:
|
|
return -0.01 # 1%止损
|
|
|
|
# 如果价格跌破EMA52，止损
|
|
if last_candle['price_below_ema52'] and current_profit < 0:
|
|
return -0.02 # 2%止损
|
|
|
|
# 如果MACD穿零轴向下，止损
|
|
if last_candle['cross_zero'] and last_candle['macd'] < 0:
|
|
return -0.015 # 1.5%止损
|
|
|
|
return self.stoploss |