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优化逻辑

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aszerW
2025-10-27 00:51:34 +08:00
parent 17f43f6baa
commit a1a06d055a
1 changed files with 64 additions and 65 deletions
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127
user_data/strategies/trend_strategy.py
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@@ -48,49 +48,51 @@ class TrendStrategy(IStrategy):
stoploss = -0.05 # 5% 止损 stoploss = -0.05 # 5% 止损
# Trailing stoploss # Trailing stoploss
trailing_stop = False # trailing_stop = False
trailing_stop_positive = None # trailing_stop_positive = None
trailing_stop_positive_offset = 0.0 # trailing_stop_positive_offset = 0.0
trailing_only_offset_is_reached = False # trailing_only_offset_is_reached = False
# Run "populate_indicators" only for new candle # Run "populate_indicators" only for new candle
process_only_new_candles = False # process_only_new_candles = False
# These values can be overridden in the config # These values can be overridden in the config
use_exit_signal = True # use_exit_signal = True
exit_profit_only = False # exit_profit_only = False
ignore_roi_if_entry_signal = False # ignore_roi_if_entry_signal = False
# Number of candles the strategy requires before producing valid signals # Number of candles the strategy requires before producing valid signals
startup_candle_count: int = 30 startup_candle_count: int = 0
# Optional order type mapping # Optional order type mapping
order_types = { # order_types = {
'entry': 'limit', # 'entry': 'limit',
'exit': 'limit', # 'exit': 'limit',
'stoploss': 'market', # 'stoploss': 'market',
'stoploss_on_exchange': False # 'stoploss_on_exchange': False
} # }
# Optional order time in force # Optional order time in force
order_time_in_force = { # order_time_in_force = {
'entry': 'gtc', # 'entry': 'gtc',
'exit': 'gtc' # 'exit': 'gtc'
} # }
# 策略参数 # 策略参数
ema_short_window = IntParameter(8, 15, default=10, space="buy") ema_10_window = IntParameter(8, 15, default=10, space="buy")
ema_long_window = IntParameter(15, 25, default=20, space="buy") ema_20_window = IntParameter(15, 25, default=20, space="buy")
rsi_short_window = IntParameter(4, 8, default=6, space="buy") rsi_6_window = IntParameter(4, 8, default=6, space="buy")
rsi_long_window = IntParameter(10, 15, default=12, space="buy") rsi_12_window = IntParameter(10, 15, default=12, space="buy")
# RSI超卖阈值 # RSI超卖阈值
rsi_short_oversold = DecimalParameter(15.0, 25.0, default=21.0, space="buy") rsi_6_oversold = DecimalParameter(15.0, 30.0, default=21.0, space="buy")
rsi_long_oversold = DecimalParameter(20.0, 30.0, default=26.25, space="buy") rsi_12_oversold = DecimalParameter(20.0, 35.0, default=26.25, space="buy")
# 趋势检查窗口 # 趋势检查窗口（用于RSI超卖检查）
trend_check_window = IntParameter(3, 7, default=3, space="buy") rsi_check_window = IntParameter(2, 5, default=3, space="buy")
momentum_check_window = IntParameter(3, 7, default=5, space="sell") # EMA下跌动量检查窗口（用于卖出条件）
ema_fall_window = IntParameter(3, 7, default=5, space="sell")
# EMA价差扩大检查窗口（用于卖出条件）
diff_check_window = IntParameter(4, 8, default=6, space="sell") diff_check_window = IntParameter(4, 8, default=6, space="sell")
def informative_pairs(self): def informative_pairs(self):
@@ -113,37 +115,21 @@ class TrendStrategy(IStrategy):
""" """
# EMA指标 # EMA指标
dataframe['ema_short'] = ta.EMA(dataframe, timeperiod=self.ema_short_window.value) dataframe['ema_10'] = ta.EMA(dataframe, timeperiod=self.ema_10_window.value)
dataframe['ema_long'] = ta.EMA(dataframe, timeperiod=self.ema_long_window.value) dataframe['ema_20'] = ta.EMA(dataframe, timeperiod=self.ema_20_window.value)
# RSI指标 # RSI指标
dataframe['rsi_short'] = ta.RSI(dataframe, timeperiod=self.rsi_short_window.value) dataframe['rsi_6'] = ta.RSI(dataframe, timeperiod=self.rsi_6_window.value)
dataframe['rsi_long'] = ta.RSI(dataframe, timeperiod=self.rsi_long_window.value) dataframe['rsi_12'] = ta.RSI(dataframe, timeperiod=self.rsi_12_window.value)
# 计算EMA价差（用于卖出条件） # 计算EMA价差（用于卖出条件）
dataframe['ema_diff'] = dataframe['ema_long'] - dataframe['ema_short'] dataframe['diff'] = dataframe['ema_20'] - dataframe['ema_10']
# 计算EMA短期趋势（用于买入条件） macd = ta.MACD(dataframe, fastperiod=12, slowperiod=26, signalperiod=9,)
dataframe['ema_short_rising'] = dataframe['ema_short'] > dataframe['ema_short'].shift(1) dataframe["macd"] = macd["macd"]
dataframe['ema_short_rising_2'] = dataframe['ema_short'].shift(1) > dataframe['ema_short'].shift(2) dataframe["macdsignal"] = macd["macdsignal"]
dataframe["macdhist"] = macd["macdhist"]
# 计算RSI超卖条件 dataframe['cci'] = ta.CCI(dataframe, 14)
dataframe['rsi_short_oversold'] = (
dataframe['rsi_short'].shift(1).rolling(window=self.trend_check_window.value).max() < self.rsi_short_oversold.value
)
dataframe['rsi_long_oversold'] = (
dataframe['rsi_long'].shift(1).rolling(window=self.trend_check_window.value).max() < self.rsi_long_oversold.value
)
# 计算EMA10连续下跌条件（用于卖出）
dataframe['ema_short_falling'] = (
dataframe['ema_short'] < dataframe['ema_short'].shift(1).rolling(window=self.momentum_check_window.value).min()
)
# 计算价差扩大条件（用于卖出）
dataframe['ema_diff_expanding'] = (
dataframe['ema_diff'] == dataframe['ema_diff'].rolling(window=self.diff_check_window.value).max()
)
return dataframe return dataframe
@@ -156,20 +142,24 @@ class TrendStrategy(IStrategy):
""" """
# 条件1：EMA多头排列 + 短期趋势加速 # 条件1：EMA多头排列 + 短期趋势加速
# EMA10 > EMA20：短期趋势强于长期趋势（多头排列）
# EMA10昨日 > 前日：短期均线继续上行，显示动量增强
ema_bullish_cross = ( ema_bullish_cross = (
(dataframe['ema_short'] > dataframe['ema_long']) & (dataframe['ema_10'] > dataframe['ema_20']) &
(dataframe['ema_short_rising'] & dataframe['ema_short_rising_2']) (dataframe['ema_10'].shift(1) > dataframe['ema_10'].shift(2))
) )
# 条件2：双周期RSI深度超卖反弹 # 条件2：双周期RSI进入深度超卖区
# 过去3天的6周期RSI最高值 < 21，表示近期极度超卖
# 过去3天的12周期RSI最高值 < 26.25，确认中周期也处于超卖状态
rsi_oversold_bounce = ( rsi_oversold_bounce = (
dataframe['rsi_short_oversold'] & (dataframe['rsi_6'].shift(1).rolling(window=self.rsi_check_window.value).max() < self.rsi_6_oversold.value) &
dataframe['rsi_long_oversold'] (dataframe['rsi_12'].shift(1).rolling(window=self.rsi_check_window.value).max() < self.rsi_12_oversold.value)
) )
# 合并买入条件：任一条件满足即产生买入信号 # 合并买入条件：任一条件满足即产生买入信号
dataframe.loc[ dataframe.loc[
ema_bullish_cross | rsi_oversold_bounce, ema_bullish_cross,
'enter_long' 'enter_long'
] = 1 ] = 1
@@ -183,12 +173,21 @@ class TrendStrategy(IStrategy):
:return: DataFrame with exit columns populated :return: DataFrame with exit columns populated
""" """
# 卖出条件：EMA10连续下跌 + 空头趋势加速 # 条件1：EMA10连续下跌（动量走弱）
sell_condition = ( # 当前EMA10 < 过去5天（不含今日）的最低EMA10值
dataframe['ema_short_falling'] & ema10_falling = (
dataframe['ema_diff_expanding'] dataframe['ema_10'] < dataframe['ema_10'].shift(1).rolling(window=self.ema_fall_window.value).min()
) )
# 条件2：空头趋势加速（价差达到近期最大）
# 当前diff是过去6天（含今日）中的最大值，表示空头力量最强
diff_expanding = (
dataframe['diff'] == dataframe['diff'].rolling(window=self.diff_check_window.value).max()
)
# 合并卖出条件：两个条件同时满足才卖出
sell_condition = ema10_falling & diff_expanding
dataframe.loc[ dataframe.loc[
sell_condition, sell_condition,
'exit_long' 'exit_long'