131 lines
4.4 KiB
Python
131 lines
4.4 KiB
Python
"""
|
||
SOL5mStrategy_ShortTerm - 真正的短线交易策略
|
||
|
||
核心特征：
|
||
★ 使用5分钟快速EMA交叉（EMA9/EMA21）作为信号源
|
||
★ 无延迟入场，信号出现立即入场
|
||
★ 小止损（-1%），快速止盈（+0.8%）
|
||
★ 平均持仓时间：15-60分钟
|
||
★ 交易频率：每天5-20笔
|
||
|
||
逻辑：
|
||
- 5分钟K线，EMA9/EMA21交叉入场
|
||
- RSI过滤（避免极端超买超卖）
|
||
- 成交量确认
|
||
- 快速止盈止损，不持仓过夜
|
||
|
||
使用命令：
|
||
freqtrade backtesting -c ./user_data/Chan/config/Local_Test.json \
|
||
--strategy SOL5mStrategy_ShortTerm --strategy-path ./user_data/Chan/strategies \
|
||
--timerange=20250301-
|
||
"""
|
||
|
||
import logging
|
||
from datetime import datetime
|
||
from typing import Optional
|
||
|
||
import talib.abstract as ta
|
||
from pandas import DataFrame
|
||
|
||
from freqtrade.strategy import IStrategy
|
||
|
||
logger = logging.getLogger(__name__)
|
||
|
||
|
||
class SOL5mStrategy_ShortTerm(IStrategy):
|
||
INTERFACE_VERSION: int = 3
|
||
|
||
# === 基础配置 ===
|
||
timeframe = "5m" # 使用5分钟K线
|
||
can_short = True
|
||
startup_candle_count: int = 100
|
||
|
||
# 小止损（-1%），适合短线
|
||
stoploss = -0.01
|
||
use_custom_stoploss = False
|
||
|
||
# Trailing stop：盈利0.5%后激活，回撤0.3%退出
|
||
trailing_stop = True
|
||
trailing_stop_positive = 0.003 # 回撤0.3%触发退出
|
||
trailing_stop_positive_offset = 0.005 # 盈利0.5%后才开始追踪
|
||
trailing_only_offset_is_reached = True
|
||
|
||
# ROI：快速止盈，从0.8%逐步递减
|
||
minimal_roi = {
|
||
"0": 0.008, # 0.8% 立即止盈
|
||
"15": 0.005, # 15分钟后 0.5%
|
||
"30": 0.003, # 30分钟后 0.3%
|
||
"60": 0.001, # 60分钟后 0.1%
|
||
"120": 0, # 120分钟后不设止盈（但trailing会保护）
|
||
}
|
||
|
||
order_types = {
|
||
"entry": "market",
|
||
"exit": "market",
|
||
"stoploss": "market",
|
||
"stoploss_on_exchange": False,
|
||
}
|
||
|
||
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||
"""计算快速EMA交叉信号"""
|
||
# 快速EMA（9）和慢速EMA（21）
|
||
dataframe["ema_fast"] = ta.EMA(dataframe, timeperiod=9)
|
||
dataframe["ema_slow"] = ta.EMA(dataframe, timeperiod=21)
|
||
|
||
# RSI用于过滤极端情况
|
||
dataframe["rsi"] = ta.EMA(dataframe, timeperiod=14)
|
||
|
||
# 成交量均线用于确认
|
||
dataframe["volume_mean"] = dataframe["volume"].rolling(window=20).mean()
|
||
|
||
# 上穿：本根 EMA9 > EMA21，上一根 EMA9 ≤ EMA21
|
||
dataframe["ema_cross_up"] = (
|
||
(dataframe["ema_fast"] > dataframe["ema_slow"])
|
||
& (dataframe["ema_fast"].shift(1) <= dataframe["ema_slow"].shift(1))
|
||
)
|
||
|
||
# 下穿：本根 EMA9 < EMA21，上一根 EMA9 ≥ EMA21
|
||
dataframe["ema_cross_down"] = (
|
||
(dataframe["ema_fast"] < dataframe["ema_slow"])
|
||
& (dataframe["ema_fast"].shift(1) >= dataframe["ema_slow"].shift(1))
|
||
)
|
||
|
||
return dataframe
|
||
|
||
def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||
"""5分钟EMA交叉立即入场，无延迟"""
|
||
# 做多：EMA9上穿EMA21 + RSI > 45（避免极端超卖）+ 成交量确认
|
||
dataframe.loc[
|
||
(dataframe["ema_cross_up"] == True) &
|
||
(dataframe["rsi"] > 45) & # RSI过滤，避免极端超卖
|
||
(dataframe["volume"] > dataframe["volume_mean"] * 0.8), # 成交量确认（稍微宽松）
|
||
["enter_long", "enter_tag"],
|
||
] = (1, "ema9x21_long")
|
||
|
||
# 做空：EMA9下穿EMA21 + RSI < 55（避免极端超买）+ 成交量确认
|
||
dataframe.loc[
|
||
(dataframe["ema_cross_down"] == True) &
|
||
(dataframe["rsi"] < 55) & # RSI过滤，避免极端超买
|
||
(dataframe["volume"] > dataframe["volume_mean"] * 0.8), # 成交量确认
|
||
["enter_short", "enter_tag"],
|
||
] = (1, "ema9x21_short")
|
||
|
||
return dataframe
|
||
|
||
def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||
"""不使用信号退出，完全依赖 ROI / trailing stop / 硬止损"""
|
||
return dataframe
|
||
|
||
def leverage(
|
||
self,
|
||
pair: str,
|
||
current_time: datetime,
|
||
current_rate: float,
|
||
proposed_leverage: float,
|
||
max_leverage: float,
|
||
entry_tag: Optional[str],
|
||
side: str,
|
||
**kwargs,
|
||
) -> float:
|
||
return 1.0
|