UbuntuandCursor
206b27fe72
chanlun/indicators/ta.py 接口兼容 talib.abstract，实现代码实际用到的 SMA/MA/EMA/RSI/ATR/MACD/BBANDS；chanlun/pipeline/resample.py 替代 technical.util.resample_to_interval。调用点只改 import，逻辑未动。 暖机长度与平滑种子按 TA-Lib 的约定实现，差一根 K 线就会让下游所有 笔/线段/中枢整体位移。其中 MACD 需特别处理：TA-Lib 让快慢两条 EMA 在同一根 K 线出首值，因而快线的种子取 x[slow-fast:slow] 的均值，而非 从 fastperiod-1 一路递推——两者在百元价位上相差约 0.17。 BBANDS 是有意的分歧：TA-Lib 用 sumsq/n - mean² 求方差，短窗口远离零 时灾难性抵消（timeperiod=2 误差 8.7e-7），本实现用 rolling std，对 50 位精度基准误差为 0。项目实际使用的周期两者一致到 1e-10。 顺带清理 12 个文件中 16 处从未调用的 talib/technical 导入。 验证：9440 组随机对拨；真实 K 线端到端比对 add_indicators 全部 33 个 指标列，NaN 模式一致、MACD 柱符号 100% 相同；屏蔽两个包后 60 个模块 均可导入。新增 test_ta_compat.py 将输出逐 bar 钉在 TA-Lib 上，但该文件 在 TA-Lib 缺失时静默跳过，改动 ta.py 需在装有 TA-Lib 的环境复跑。 Co-authored-by: Cursor <cursoragent@cursor.com>
411 lines
14 KiB
Python
411 lines
14 KiB
Python
"""TF_DF builder mixin — 由 split_tfdf_builders 自动生成，逻辑与原 TF_DF 一致。"""
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from __future__ import annotations
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from datetime import timedelta
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from decimal import Decimal
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import numpy as np
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import pandas as pd
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from pandas import DataFrame
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from chanlun.core.ChanBI import ChanBI
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from chanlun.core.ChanBIZS import ChanBIZS
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from chanlun.core.ChanBSP import ChanBSP
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from chanlun.core.ChanEnum import (
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Chan_BI_DIR,
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Chan_BSP_DIR,
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Chan_BSP_TYPE,
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Chan_FX_TYPE,
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Chan_K_DIR,
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Chan_KLC_FX,
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Chan_KLC_STATE,
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Chan_KLINE_DIR,
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Chan_KLU_PATTERN,
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Chan_PRICE_TREND,
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Chan_SEG_DIR,
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Chan_ZS_DIR,
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)
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from chanlun.core.ChanKLC import ChanKLC
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from chanlun.core.ChanKLU import ChanKLU
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from chanlun.core.ChanSBI import ChanSBI
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from chanlun.core.ChanSEG import ChanSEG
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from chanlun.core.ChanZS import ChanZS, ChanZS_Big
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from chanlun.indicators.ChanMACD import ChanMACD
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class BspBuilderMixin:
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def get_bsp_state(self, dataframe):
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klu_list = self.get_klu_list(dataframe)
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klc_list = self.get_klc_list(klu_list)
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bi_list = self.cal_bi_list(klc_list)
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seg_list = self.get_seg_list(bi_list)
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bi_zs_list = self.cal_bi_zs(seg_list)
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bsp_list = self.find_all_bsp(bi_list, bi_zs_list)
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bsp_state_list = [0] * len(dataframe)
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klc_index = 0
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for index in range(0, len(dataframe)):
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if klc_index == len(klc_list):
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klc_index = len(klc_list) - 1
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klc = klc_list[klc_index]
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if klc.end_klu and klc.end_klu.idx == index:
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if klc.klc_fx_type == Chan_KLC_FX.TOP2:
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bi = klc.bi.pre
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if bi and bi.is_sure and bi.end_klc.bsp_type == Chan_BSP_TYPE.B3:
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# 第三类买点
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bsp_state_list[index] = -1
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#print(klc.end_time, "B3")
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else:
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bsp_state_list[index] = 0
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elif klc.klc_fx_type == Chan_KLC_FX.BOTTOM2:
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bi = klc.bi.pre
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if bi and bi.is_sure and bi.end_klc.bsp_type == Chan_BSP_TYPE.S3:
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# 第三类卖点
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bsp_state_list[index] = 1
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#print(klc.end_time, "S3")
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else:
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bsp_state_list[index] = 0
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klc_index += 1
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else:
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bsp_state_list[index] = 0
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return bsp_state_list
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def get_above_zero_bsp(self, klc_list):
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buy_bsp_list = []
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sell_bsp_list = []
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above_zero = False
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buy_bsp = None
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sell_bsp = None
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for klc in klc_list:
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if klc.pre and klc.pre.signal < 0 and klc.signal > 0:
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above_zero = True
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if klc.pre and klc.pre.signal > 0 and klc.signal < 0:
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above_zero = False
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if above_zero and klc.klc_fx_type == Chan_KLC_FX.BOTTOM2 and klc.macd > 0:
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buy_bsp = klc
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buy_bsp_list.append(klc)
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#print(klc.end_time, "MACD 0轴上穿，回调笔底分型做多")
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if buy_bsp and klc.pre and klc.pre.macdhist > 0 and klc.macdhist < 0:
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sell_bsp = klc
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sell_bsp_list.append(klc)
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buy_bsp = None
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#print(klc.end_time, "Sell BSP Found")
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return buy_bsp_list
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def find_all_bsp(self, bi_list, bi_zs_list):
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"""
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笔中枢的三类买卖点识别
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三类买点：中枢形成后，一笔向上离开中枢（低点 > zg），
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随后回拉的一笔低点不跌回中枢（低点 >= zg），确认支撑有效。
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三类卖点：中枢形成后，一笔向下离开中枢（高点 < zd），
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随后反弹的一笔高点不回到中枢（高点 <= zd），确认压力有效。
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参数:
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bi_list: 笔列表
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bi_zs_list: 笔中枢列表（二维列表，每个seg内的中枢列表）
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返回:
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bsp_list: ChanBSP 列表，包含所有识别到的三类买卖点
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"""
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bsp_list = []
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if len(bi_list) < 4 or len(bi_zs_list) == 0:
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return bsp_list
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for zs in bi_zs_list:
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if not zs.is_sure or len(zs.bi_list) < 3:
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continue
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#print(zs.start_time, zs.end_time, zs.dir, zs.is_sure, len(zs.bi_list))
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# 中枢结束后的第一笔（离开笔）
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last_zs_bi = zs.bi_list[-1]
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if last_zs_bi.dir == Chan_BI_DIR.UP:
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if last_zs_bi.is_sure and 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):
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leave_bi = last_zs_bi.next
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else:
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leave_bi = last_zs_bi
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else:
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if last_zs_bi.is_sure and 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):
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leave_bi = last_zs_bi.next
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else:
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leave_bi = last_zs_bi
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#print(zs.zg, zs.zd)
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if leave_bi is None or not leave_bi.is_sure:
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continue
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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):
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#print("--------------------", leave_bi.dir, leave_bi.end_klc.high, leave_bi.end_klc.low, zs.zg, zs.zd)
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leave_bi = leave_bi.next
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# 三类买点：向上离开中枢后回拉不破 zg
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#print("Leave bi:", leave_bi.start_time, leave_bi.end_time, leave_bi.dir, leave_bi.is_sure, leave_bi.low, leave_bi.high)
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if leave_bi.dir == Chan_BI_DIR.UP:
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first_bsp_bi_div = self.check_bi_div(zs, leave_bi)
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# 确认一类卖点：离开断能量小于进入段能量
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if first_bsp_bi_div:
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bsp = ChanBSP(
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leave_bi, len(bsp_list),
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Chan_BSP_TYPE.S1,
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Chan_BSP_DIR.SELL,
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leave_bi.sure_time,
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zs.index+1, zs, None
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)
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leave_bi.end_klc.set_bsp_type(Chan_BSP_TYPE.S1)
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bsp_list.append(bsp)
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# 回拉笔
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pullback_bi = leave_bi.next
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#print(pullback_bi.start_klc.start_time, pullback_bi.dir, pullback_bi.is_sure, pullback_bi.low, pullback_bi.high)
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if pullback_bi and pullback_bi.is_sure and pullback_bi.dir == Chan_BI_DIR.DOWN:
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if pullback_bi.low >= zs.zg:
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# 确认三类买点：回拉笔的低点不跌回中枢
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bsp = ChanBSP(
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pullback_bi, len(bsp_list),
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Chan_BSP_TYPE.B3,
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Chan_BSP_DIR.BUY,
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pullback_bi.sure_time,
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zs.index+1, zs, None
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)
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pullback_bi.end_klc.set_bsp_type(Chan_BSP_TYPE.B3)
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bsp_list.append(bsp)
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# 二类卖点
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if first_bsp_bi_div:
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second_bsp_bi = pullback_bi.next
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if second_bsp_bi and second_bsp_bi.is_sure and second_bsp_bi.end_klc.high < leave_bi.end_klc.high:
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# 确认二类卖点：一类卖点后回拉不超过一类卖点高点
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bsp = ChanBSP(
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second_bsp_bi, len(bsp_list),
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Chan_BSP_TYPE.S2,
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Chan_BSP_DIR.SELL,
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second_bsp_bi.sure_time,
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zs.index+1, zs, None
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)
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second_bsp_bi.end_klc.set_bsp_type(Chan_BSP_TYPE.B2)
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bsp_list.append(bsp)
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# 三类卖点：向下离开中枢后反弹不破 zd
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elif leave_bi.dir == Chan_BI_DIR.DOWN:
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first_bsp_bi_div = self.check_bi_div(zs, leave_bi)
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# 确认一类买点：离开段能量小于进入段
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if first_bsp_bi_div:
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bsp = ChanBSP(
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leave_bi, len(bsp_list),
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Chan_BSP_TYPE.B1,
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Chan_BSP_DIR.BUY,
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leave_bi.sure_time,
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zs.index+1, zs, None
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)
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leave_bi.end_klc.set_bsp_type(Chan_BSP_TYPE.B1)
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bsp_list.append(bsp)
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# 反弹笔
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bounce_bi = leave_bi.next
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#print(bounce_bi.start_klc.start_time, bounce_bi.dir, bounce_bi.is_sure, bounce_bi.low, bounce_bi.high)
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if bounce_bi and bounce_bi.is_sure and bounce_bi.dir == Chan_BI_DIR.UP:
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if bounce_bi.high <= zs.zd:
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# 确认三类卖点：反弹笔的高点不回到中枢
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bsp = ChanBSP(
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bounce_bi, len(bsp_list),
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Chan_BSP_TYPE.S3,
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Chan_BSP_DIR.SELL,
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bounce_bi.sure_time,
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zs.index+1, zs, None
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)
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bounce_bi.end_klc.set_bsp_type(Chan_BSP_TYPE.S3)
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bsp_list.append(bsp)
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# 二类卖点
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if first_bsp_bi_div:
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second_bsp_bi = bounce_bi.next
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if second_bsp_bi and second_bsp_bi.is_sure and second_bsp_bi.end_klc.low > leave_bi.end_klc.low:
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# 确认二类买点：一类买点后回拉不超过一类卖点高点
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bsp = ChanBSP(
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second_bsp_bi, len(bsp_list),
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Chan_BSP_TYPE.B2,
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Chan_BSP_DIR.BUY,
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second_bsp_bi.sure_time,
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zs.index+1, zs, None
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)
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second_bsp_bi.end_klc.set_bsp_type(Chan_BSP_TYPE.B2)
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bsp_list.append(bsp)
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return bsp_list
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def check_bi_div(self, zs, leave_bi):
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enter_bi = zs.bi_list[0].pre
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macdhist_div = 0
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if enter_bi and enter_bi.dir == leave_bi.dir:
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macdhist_div = abs(leave_bi.macd_hist) - abs(enter_bi.macd_hist)
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#print(enter_bi.end_time, leave_bi.end_time, macdhist_div < 0)
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return macdhist_div < 0
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def find_first_bsp(self, bi_list, bi_zs_list):
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"""
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笔中枢的一类买卖点识别
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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，
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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），
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即趋势力竭的转折点。
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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，
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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），
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即趋势力竭的转折点。
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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。
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参数:
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bi_list: 笔列表
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bi_zs_list: 笔中枢列表（扁平列表，每个元素是一个中枢对象）
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返回:
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bsp_list: ChanBSP 列表，包含所有识别到的一类买卖点
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"""
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bsp_list = []
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if len(bi_list) < 4 or len(bi_zs_list) == 0:
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return bsp_list
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for zs in bi_zs_list:
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if not zs.is_sure or len(zs.bi_list) < 3:
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continue
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# 找到中枢的最后一笔
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last_zs_bi = zs.bi_list[-1]
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# 确定离开笔：中枢最后一笔之后的第一笔
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if last_zs_bi.dir == Chan_BI_DIR.UP:
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# 中枢最后一笔向上，如果没有真正离开中枢，取下一笔
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if last_zs_bi.is_sure and last_zs_bi.end_klc.high <= zs.zg:
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leave_bi = last_zs_bi.next
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else:
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leave_bi = last_zs_bi
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else:
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# 中枢最后一笔向下，如果没有真正离开中枢，取下一笔
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if last_zs_bi.is_sure and last_zs_bi.end_klc.low >= zs.zd:
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leave_bi = last_zs_bi.next
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else:
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leave_bi = last_zs_bi
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if leave_bi is None or not leave_bi.is_sure:
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continue
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# 一类买点：向下离开中枢（leave_bi向下，低点 < zd），趋势力竭
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if leave_bi.dir == Chan_BI_DIR.DOWN and leave_bi.low < zs.zd:
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# 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
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# 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
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compare_bi = None
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for bi in reversed(zs.bi_list):
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if bi.dir == Chan_BI_DIR.DOWN and bi is not leave_bi:
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compare_bi = bi
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break
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is_divergence = False
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if compare_bi:
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# 笔的macd_hist是该笔内所有KLU的macdhist累积面积
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leave_macd_area = abs(leave_bi.macd_hist)
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compare_macd_area = abs(compare_bi.macd_hist)
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# 价格创新低但MACD面积缩小 = 底背驰
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if leave_bi.low <= compare_bi.low and leave_macd_area < compare_macd_area:
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is_divergence = True
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# 即使没创新低，MACD面积明显缩小也算背驰
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elif leave_macd_area < compare_macd_area * 0.5:
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is_divergence = True
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else:
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# 没有对比笔时，只要离开中枢就算一类买点
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is_divergence = True
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if is_divergence:
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bsp = ChanBSP(
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leave_bi, len(bsp_list),
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Chan_BSP_TYPE.T1,
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Chan_BSP_DIR.BUY,
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leave_bi.sure_time,
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1, zs, None
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)
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bsp_list.append(bsp)
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# 一类卖点：向上离开中枢（leave_bi向上，高点 > zg），趋势力竭
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elif leave_bi.dir == Chan_BI_DIR.UP and leave_bi.high > zs.zg:
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# 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
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compare_bi = None
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for bi in reversed(zs.bi_list):
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if bi.dir == Chan_BI_DIR.UP and bi is not leave_bi:
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compare_bi = bi
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break
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is_divergence = False
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if compare_bi:
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leave_macd_area = abs(leave_bi.macd_hist)
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compare_macd_area = abs(compare_bi.macd_hist)
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# 价格创新高但MACD面积缩小 = 顶背驰
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if leave_bi.high >= compare_bi.high and leave_macd_area < compare_macd_area:
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is_divergence = True
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# 即使没创新高，MACD面积明显缩小也算背驰
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elif leave_macd_area < compare_macd_area * 0.5:
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is_divergence = True
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else:
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is_divergence = True
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if is_divergence:
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bsp = ChanBSP(
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leave_bi, len(bsp_list),
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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
|