优化逻辑

trend.py

@@ -1,3 +1,5 @@
+from turtle import width
+from plotly.io import renderers
 import vectorbt as vbt
 import pandas as pd
 
@@ -6,9 +8,11 @@ import pandas as pd
 # ========================
 # 从本地读取 ETH/USDT 1天K线数据（来自OKX）
 df = pd.read_feather("/Users/aszer/Documents/vscode/cta/user_data/data/okx/ADA_USDT-1d.feather")
+# df = df[df['date'] >= '2025-07-01']
+df.set_index("date", inplace=True)
 # 提取收盘价作为交易价格
 price = df["close"]
-
+open = df["open"]
 # ========================
 # 技术指标计算
 # ========================
@@ -40,7 +44,7 @@ rsi_oversold_bounce = (rsi_6.shift(1).rolling(3).max() < 21) & \
                       (rsi_12.shift(1).rolling(3).max() < 26.25)
 
 # 合并所有买入信号：任一条件满足即产生买入信号
-entries = ema_bullish_cross | rsi_oversold_bounce
+entries = ema_bullish_cross
 
 # ========================
 # 卖出条件定义
@@ -66,8 +70,9 @@ exits = sell_cond
 # 使用 vectorbt 的信号回测引擎，构建投资组合
 pf = vbt.Portfolio.from_signals(
     price,                  # 价格序列
-    entries,                # 买入信号
-    exits,                  # 卖出信号
+    entries.vbt.fshift(1),                # 买入信号
+    exits.vbt.fshift(1),                  # 卖出信号
+    price=open,
     init_cash=100,          # 初始资金 100 USDT
     fees=0.001,             # 交易手续费 0.1%（买卖均收）
     sl_stop=0.05,           # 止损：从最高价回撤5%时触发
@@ -78,4 +83,7 @@ pf = vbt.Portfolio.from_signals(
 # 输出回测统计结果
 # ========================
 print(pf.stats())
-
+# fig = pf.plot_orders(width=1200, height=800)  
+# fig.show(renderer='browser')  
+orders_df = pf.orders.records_readable  
+print(orders_df)

user_data/strategies/trend_strategy.py

@@ -48,49 +48,51 @@ class TrendStrategy(IStrategy):
     stoploss = -0.05  # 5% 止损
 
     # Trailing stoploss
-    trailing_stop = False
-    trailing_stop_positive = None
-    trailing_stop_positive_offset = 0.0
-    trailing_only_offset_is_reached = False
+    # trailing_stop = False
+    # trailing_stop_positive = None
+    # trailing_stop_positive_offset = 0.0
+    # trailing_only_offset_is_reached = False
 
     # 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
-    use_exit_signal = True
-    exit_profit_only = False
-    ignore_roi_if_entry_signal = False
+    # use_exit_signal = True
+    # exit_profit_only = False
+    # ignore_roi_if_entry_signal = False
 
     # Number of candles the strategy requires before producing valid signals
-    startup_candle_count: int = 30
+    startup_candle_count: int = 0
 
     # Optional order type mapping
-    order_types = {
-        'entry': 'limit',
-        'exit': 'limit',
-        'stoploss': 'market',
-        'stoploss_on_exchange': False
-    }
+    # order_types = {
+    #     'entry': 'limit',
+    #     'exit': 'limit',
+    #     'stoploss': 'market',
+    #     'stoploss_on_exchange': False
+    # }
 
     # Optional order time in force
-    order_time_in_force = {
-        'entry': 'gtc',
-        'exit': 'gtc'
-    }
+    # order_time_in_force = {
+    #     'entry': 'gtc',
+    #     'exit': 'gtc'
+    # }
 
     # 策略参数
-    ema_short_window = IntParameter(8, 15, default=10, space="buy")
-    ema_long_window = IntParameter(15, 25, default=20, space="buy")
-    rsi_short_window = IntParameter(4, 8, default=6, space="buy")
-    rsi_long_window = IntParameter(10, 15, default=12, space="buy")
+    ema_10_window = IntParameter(8, 15, default=10, space="buy")
+    ema_20_window = IntParameter(15, 25, default=20, space="buy")
+    rsi_6_window = IntParameter(4, 8, default=6, space="buy")
+    rsi_12_window = IntParameter(10, 15, default=12, space="buy")
     
     # RSI超卖阈值
-    rsi_short_oversold = DecimalParameter(15.0, 25.0, default=21.0, space="buy")
-    rsi_long_oversold = DecimalParameter(20.0, 30.0, default=26.25, space="buy")
+    rsi_6_oversold = DecimalParameter(15.0, 30.0, default=21.0, space="buy")
+    rsi_12_oversold = DecimalParameter(20.0, 35.0, default=26.25, space="buy")
     
-    # 趋势检查窗口
-    trend_check_window = IntParameter(3, 7, default=3, space="buy")
-    momentum_check_window = IntParameter(3, 7, default=5, space="sell")
+    # 趋势检查窗口（用于RSI超卖检查）
+    rsi_check_window = IntParameter(2, 5, default=3, space="buy")
+    # 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")
 
     def informative_pairs(self):
@@ -113,37 +115,21 @@ class TrendStrategy(IStrategy):
         """
 
         # EMA指标
-        dataframe['ema_short'] = ta.EMA(dataframe, timeperiod=self.ema_short_window.value)
-        dataframe['ema_long'] = ta.EMA(dataframe, timeperiod=self.ema_long_window.value)
+        dataframe['ema_10'] = ta.EMA(dataframe, timeperiod=self.ema_10_window.value)
+        dataframe['ema_20'] = ta.EMA(dataframe, timeperiod=self.ema_20_window.value)
         
         # RSI指标
-        dataframe['rsi_short'] = ta.RSI(dataframe, timeperiod=self.rsi_short_window.value)
-        dataframe['rsi_long'] = ta.RSI(dataframe, timeperiod=self.rsi_long_window.value)
+        dataframe['rsi_6'] = ta.RSI(dataframe, timeperiod=self.rsi_6_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）
-        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）
-        dataframe['ema_short_rising'] = dataframe['ema_short'] > dataframe['ema_short'].shift(1)
-        dataframe['ema_short_rising_2'] = dataframe['ema_short'].shift(1) > dataframe['ema_short'].shift(2)
-        
-        # 计算RSI超卖条件
-        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()
-        )
+        macd = ta.MACD(dataframe, fastperiod=12, slowperiod=26, signalperiod=9,)
+        dataframe["macd"] = macd["macd"]
+        dataframe["macdsignal"] = macd["macdsignal"]
+        dataframe["macdhist"] = macd["macdhist"]
+        dataframe['cci'] = ta.CCI(dataframe, 14)
 
         return dataframe
 
@@ -156,20 +142,24 @@ class TrendStrategy(IStrategy):
         """
         
         # 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 = (
-            (dataframe['ema_short'] > dataframe['ema_long']) &
-            (dataframe['ema_short_rising'] & dataframe['ema_short_rising_2'])
+            (dataframe['ema_10'] > dataframe['ema_20']) & 
+            (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 = (
-            dataframe['rsi_short_oversold'] &
-            dataframe['rsi_long_oversold']
+            (dataframe['rsi_6'].shift(1).rolling(window=self.rsi_check_window.value).max() < self.rsi_6_oversold.value) & 
+            (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
         dataframe.loc[
-            ema_bullish_cross | rsi_oversold_bounce,
+            ema_bullish_cross,
             'enter_long'
         ] = 1
 
@@ -183,12 +173,21 @@ class TrendStrategy(IStrategy):
         :return: DataFrame with exit columns populated
         """
         
-        # 卖出条件：EMA10连续下跌 + 空头趋势加速
-        sell_condition = (
-            dataframe['ema_short_falling'] &
-            dataframe['ema_diff_expanding']
+        # 条件1：EMA10连续下跌（动量走弱）
+        # 当前EMA10 < 过去5天（不含今日）的最低EMA10值
+        ema10_falling = (
+            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[
             sell_condition,
             'exit_long'