602 lines
24 KiB
Python
602 lines
24 KiB
Python
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"""
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布林带延迟反转策略 - 实盘交易
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基于回测策略 bb_backtest_march_2026.py
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使用API查询 + 浏览器自动化交易
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"""
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import time
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import numpy as np
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from datetime import datetime, timezone
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from pathlib import Path
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from loguru import logger
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from bitmart.api_contract import APIContract
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from bit_tools import openBrowser
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from DrissionPage import ChromiumPage, ChromiumOptions
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class BBDelayReversalConfig:
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"""策略配置"""
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# API凭证
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API_KEY = "6104088c65a68d7e53df5d9395b67d78e555293a"
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SECRET_KEY = "a8b14312330d8e6b9b09acfd972b34e32022fdfa9f2b06f0a0a31723b873fd01"
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MEMO = "me"
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# 合约
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CONTRACT_SYMBOL = "ETHUSDT"
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TRADE_URL = "https://derivatives.bitmart.com/zh-CN/futures/ETHUSDT"
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# 浏览器ID
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BIT_ID = "62f9107d0c674925972084e282df55b3"
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# 布林带参数
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BB_PERIOD = 10
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BB_STD = 2.5
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# 仓位管理
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LEVERAGE = 50
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OPEN_TYPE = "isolated"
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MARGIN_PCT = 0.01 # 首次开仓1%
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# 运行参数
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POLL_INTERVAL = 5
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KLINE_STEP = 5
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KLINE_HOURS = 2
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class BBDelayReversalTrader:
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"""布林带延迟反转交易器"""
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def __init__(self, cfg: BBDelayReversalConfig = None):
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self.cfg = cfg or BBDelayReversalConfig()
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self.api = APIContract(
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self.cfg.API_KEY, self.cfg.SECRET_KEY, self.cfg.MEMO,
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timeout=(5, 15)
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)
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# 浏览器
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self.page: ChromiumPage | None = None
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self.page_start = True
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self.last_page_open_time = 0.0
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self.PAGE_REFRESH_INTERVAL = 1800
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# 持仓状态
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self.position = 0 # -1空, 0无, 1多
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self.position_count = 0 # 0空仓, 1首次, 2加仓
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self.entry_price = 0
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self.current_amount = 0
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self.total_margin = 0
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# 延迟反转状态
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self.delay_reverse_price = None
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self.delay_reverse_type = None # 'long_to_short' 或 'short_to_long'
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self.delay_reverse_kline_id = None
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# 中轨平仓
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self.mid_closed_half = False
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# 交易控制
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self.last_trade_time = 0.0
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self.last_kline_id = None
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# 日志
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self.log_dir = Path(__file__).resolve().parent
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logger.add(
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self.log_dir / "bb_delay_trade_{time:YYYY-MM-DD}.log",
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rotation="1 day", retention="30 days",
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format="{time:YYYY-MM-DD HH:mm:ss} | {level} | {message}"
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)
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# ========== API查询方法 ==========
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def get_klines(self) -> list | None:
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"""获取5分钟K线"""
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try:
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end_time = int(time.time())
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start_time = end_time - 3600 * self.cfg.KLINE_HOURS
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resp = self.api.get_kline(
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contract_symbol=self.cfg.CONTRACT_SYMBOL,
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step=self.cfg.KLINE_STEP,
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start_time=start_time,
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end_time=end_time
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)[0]
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if resp.get("code") != 1000:
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logger.error(f"获取K线失败: {resp}")
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return None
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data = resp["data"]
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klines = []
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for k in data:
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klines.append({
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"id": int(k["timestamp"]),
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"open": float(k["open_price"]),
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"high": float(k["high_price"]),
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"low": float(k["low_price"]),
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"close": float(k["close_price"]),
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})
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klines.sort(key=lambda x: x["id"])
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return klines
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except Exception as e:
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logger.error(f"获取K线异常: {e}")
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return None
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def get_current_price(self) -> float | None:
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"""获取当前价格"""
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try:
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end_time = int(time.time())
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resp = self.api.get_kline(
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contract_symbol=self.cfg.CONTRACT_SYMBOL,
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step=1,
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start_time=end_time - 300,
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end_time=end_time
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)[0]
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if resp.get("code") == 1000 and resp["data"]:
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return float(resp["data"][-1]["close_price"])
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return None
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except Exception as e:
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logger.error(f"获取价格异常: {e}")
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return None
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def get_balance(self) -> float | None:
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"""获取可用余额"""
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try:
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resp = self.api.get_assets_detail()[0]
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if resp.get("code") == 1000:
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data = resp["data"]
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if isinstance(data, dict):
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return float(data.get("available_balance", 0))
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elif isinstance(data, list):
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for asset in data:
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if asset.get("currency") == "USDT":
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return float(asset.get("available_balance", 0))
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return None
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except Exception as e:
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logger.error(f"查询余额异常: {e}")
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return None
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def get_position_status(self) -> bool:
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"""查询持仓状态"""
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try:
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resp = self.api.get_position(contract_symbol=self.cfg.CONTRACT_SYMBOL)[0]
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if resp.get("code") != 1000:
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logger.error(f"查询持仓失败: {resp}")
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return False
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positions = resp["data"]
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if not positions:
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self.position = 0
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self.position_count = 0
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self.entry_price = 0
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self.current_amount = 0
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return True
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pos = positions[0]
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self.position = 1 if pos["position_type"] == 1 else -1
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self.entry_price = float(pos["open_avg_price"])
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self.current_amount = float(pos["current_amount"])
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logger.debug(f"持仓: {'多' if self.position > 0 else '空'} | "
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f"价格={self.entry_price:.2f} | 数量={self.current_amount:.4f}")
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return True
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except Exception as e:
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logger.error(f"查询持仓异常: {e}")
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return False
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def set_leverage(self) -> bool:
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"""设置杠杆"""
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try:
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resp = self.api.post_submit_leverage(
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contract_symbol=self.cfg.CONTRACT_SYMBOL,
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leverage=str(self.cfg.LEVERAGE),
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open_type=self.cfg.OPEN_TYPE
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)[0]
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if resp.get("code") == 1000:
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logger.success(f"杠杆设置成功: {self.cfg.LEVERAGE}x {self.cfg.OPEN_TYPE}")
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return True
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else:
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logger.error(f"杠杆设置失败: {resp}")
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return False
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except Exception as e:
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logger.error(f"设置杠杆异常: {e}")
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return False
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# ========== 布林带计算 ==========
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def calc_bollinger(self, closes: list):
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"""计算布林带"""
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if len(closes) < self.cfg.BB_PERIOD:
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return None
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arr = np.array(closes[-self.cfg.BB_PERIOD:], dtype=float)
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mid = arr.mean()
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std = arr.std(ddof=0)
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upper = mid + self.cfg.BB_STD * std
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lower = mid - self.cfg.BB_STD * std
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return mid, upper, lower
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# ========== 浏览器自动化 ==========
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def open_browser(self) -> bool:
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"""打开浏览器"""
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try:
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bit_port = openBrowser(id=self.cfg.BIT_ID)
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co = ChromiumOptions()
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co.set_local_port(port=bit_port)
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self.page = ChromiumPage(addr_or_opts=co)
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self.last_page_open_time = time.time()
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return True
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except Exception as e:
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logger.error(f"打开浏览器失败: {e}")
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return False
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def click_safe(self, xpath, sleep=0.5) -> bool:
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"""安全点击"""
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try:
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ele = self.page.ele(xpath)
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if not ele:
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return False
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ele.click(by_js=True)
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time.sleep(sleep)
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return True
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except Exception as e:
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logger.warning(f"点击失败: {e}")
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return False
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def browser_open_position(self, direction: str, usdt_amount: float) -> bool:
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"""浏览器开仓"""
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try:
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logger.info(f"浏览器操作: 开{'多' if direction == 'long' else '空'} {usdt_amount}U")
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# 点击市价
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self.click_safe('x://button[normalize-space(text()) ="市价"]')
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# 输入金额
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self.page.ele('x://*[@id="size_0"]').input(vals=usdt_amount, clear=True)
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time.sleep(0.5)
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# 点击开仓按钮
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if direction == 'long':
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self.click_safe('x://span[normalize-space(text()) ="买入/做多"]')
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else:
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self.click_safe('x://span[normalize-space(text()) ="卖出/做空"]')
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time.sleep(2)
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return True
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except Exception as e:
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logger.error(f"浏览器开仓失败: {e}")
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return False
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def browser_close_position(self, ratio: float = 1.0) -> bool:
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"""浏览器平仓"""
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try:
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logger.info(f"浏览器操作: 平仓{int(ratio*100)}%")
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if ratio >= 0.99:
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# 全平
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self.click_safe('x://span[normalize-space(text()) ="市价"]')
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else:
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# 平半
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self.click_safe('x://button[normalize-space(text()) ="平仓"]')
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if ratio == 0.5:
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self.click_safe('x://*[@id="futureTradeForm"]/div[5]/div[3]/div[3]/span[3]')
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if self.position > 0:
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self.click_safe('x://span[normalize-space(text()) ="卖出/平多"]')
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else:
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self.click_safe('x://span[normalize-space(text()) ="买入/平空"]')
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time.sleep(2)
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return True
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except Exception as e:
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logger.error(f"浏览器平仓失败: {e}")
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return False
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# ========== 延迟反转逻辑 ==========
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def mark_delay_reversal(self, reverse_type: str, trigger_price: float, kline_id: int):
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"""标记延迟反转"""
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self.delay_reverse_type = reverse_type
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self.delay_reverse_price = trigger_price
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self.delay_reverse_kline_id = kline_id
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logger.info(f"触发延迟反转: {reverse_type} @ {trigger_price:.2f}")
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def clear_delay_reversal(self):
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"""清除延迟反转状态"""
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self.delay_reverse_price = None
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self.delay_reverse_type = None
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self.delay_reverse_kline_id = None
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def check_delay_reversal(self, current_kline, prev_kline, kline_index) -> tuple | None:
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"""检查延迟反转确认"""
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if self.position == 0 or self.delay_reverse_price is None:
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return None
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if self.delay_reverse_kline_id is None:
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return None
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offset = kline_index - self.delay_reverse_kline_id
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if offset <= 0:
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return None
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high = current_kline['high']
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low = current_kline['low']
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if self.delay_reverse_type == 'long_to_short':
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# 多转空: 回调到记录价格
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if offset == 1 and low <= self.delay_reverse_price:
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return 'short', self.delay_reverse_price, "次K回调确认"
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if offset >= 2 and prev_kline:
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prev_body_low = min(prev_kline['open'], prev_kline['close'])
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if low <= prev_body_low:
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return 'short', prev_body_low, "跌破上一根实体"
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elif self.delay_reverse_type == 'short_to_long':
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# 空转多: 反弹到记录价格
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if offset == 1 and high >= self.delay_reverse_price:
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return 'long', self.delay_reverse_price, "次K反弹确认"
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if offset >= 2 and prev_kline:
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prev_body_high = max(prev_kline['open'], prev_kline['close'])
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if high >= prev_body_high:
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|||
|
|
return 'long', prev_body_high, "突破上一根实体"
|
|||
|
|
|
|||
|
|
return None
|
|||
|
|
|
|||
|
|
# ========== 主循环 ==========
|
|||
|
|
|
|||
|
|
def run(self):
|
|||
|
|
"""策略主循环"""
|
|||
|
|
logger.info("=" * 60)
|
|||
|
|
logger.info(f"布林带延迟反转策略启动")
|
|||
|
|
logger.info(f"BB({self.cfg.BB_PERIOD}, {self.cfg.BB_STD}) | "
|
|||
|
|
f"{self.cfg.LEVERAGE}x {self.cfg.OPEN_TYPE}")
|
|||
|
|
logger.info("=" * 60)
|
|||
|
|
|
|||
|
|
# 设置杠杆
|
|||
|
|
if not self.set_leverage():
|
|||
|
|
logger.error("杠杆设置失败，退出")
|
|||
|
|
return
|
|||
|
|
|
|||
|
|
# 初始持仓
|
|||
|
|
if not self.get_position_status():
|
|||
|
|
logger.error("初始持仓查询失败，退出")
|
|||
|
|
return
|
|||
|
|
|
|||
|
|
logger.info(f"初始持仓: {self.position}")
|
|||
|
|
|
|||
|
|
page_start = True
|
|||
|
|
kline_history = []
|
|||
|
|
|
|||
|
|
while True:
|
|||
|
|
try:
|
|||
|
|
# ===== 浏览器管理 =====
|
|||
|
|
if page_start:
|
|||
|
|
for i in range(5):
|
|||
|
|
if self.open_browser():
|
|||
|
|
logger.info("浏览器打开成功")
|
|||
|
|
break
|
|||
|
|
else:
|
|||
|
|
logger.error("打开浏览器失败")
|
|||
|
|
return
|
|||
|
|
|
|||
|
|
self.page.get(self.cfg.TRADE_URL)
|
|||
|
|
time.sleep(2)
|
|||
|
|
self.click_safe('x://button[normalize-space(text()) ="市价"]')
|
|||
|
|
page_start = False
|
|||
|
|
|
|||
|
|
# 定期刷新浏览器
|
|||
|
|
if time.time() - self.last_page_open_time >= self.PAGE_REFRESH_INTERVAL:
|
|||
|
|
logger.info("浏览器刷新")
|
|||
|
|
try:
|
|||
|
|
self.page.close()
|
|||
|
|
except:
|
|||
|
|
pass
|
|||
|
|
page_start = True
|
|||
|
|
time.sleep(3)
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
# ===== 获取K线 =====
|
|||
|
|
klines = self.get_klines()
|
|||
|
|
if not klines or len(klines) < self.cfg.BB_PERIOD + 1:
|
|||
|
|
logger.warning(f"K线数据不足: {len(klines) if klines else 0}")
|
|||
|
|
time.sleep(self.cfg.POLL_INTERVAL)
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
# 使用已收盘K线计算BB
|
|||
|
|
closed_klines = klines[:-1]
|
|||
|
|
current_kline = klines[-1]
|
|||
|
|
|
|||
|
|
if len(closed_klines) < self.cfg.BB_PERIOD:
|
|||
|
|
time.sleep(self.cfg.POLL_INTERVAL)
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
# 计算布林带
|
|||
|
|
closes = [k['close'] for k in closed_klines]
|
|||
|
|
bb = self.calc_bollinger(closes)
|
|||
|
|
if bb is None:
|
|||
|
|
time.sleep(self.cfg.POLL_INTERVAL)
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
bb_mid, bb_upper, bb_lower = bb
|
|||
|
|
|
|||
|
|
# 获取当前价格
|
|||
|
|
current_price = self.get_current_price()
|
|||
|
|
if current_price is None:
|
|||
|
|
time.sleep(self.cfg.POLL_INTERVAL)
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
cur_high = current_kline['high']
|
|||
|
|
cur_low = current_kline['low']
|
|||
|
|
kline_id = current_kline['id']
|
|||
|
|
|
|||
|
|
# 触轨判断
|
|||
|
|
touched_upper = cur_high >= bb_upper
|
|||
|
|
touched_lower = cur_low <= bb_lower
|
|||
|
|
touched_middle = cur_low <= bb_mid <= cur_high
|
|||
|
|
|
|||
|
|
logger.info(
|
|||
|
|
f"价格={current_price:.2f} | "
|
|||
|
|
f"BB: {bb_lower:.2f}/{bb_mid:.2f}/{bb_upper:.2f} | "
|
|||
|
|
f"触上={touched_upper} 触下={touched_lower} 触中={touched_middle} | "
|
|||
|
|
f"仓位={self.position}"
|
|||
|
|
)
|
|||
|
|
|
|||
|
|
# 同步持仓
|
|||
|
|
if not self.get_position_status():
|
|||
|
|
time.sleep(self.cfg.POLL_INTERVAL)
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
# 避免同一K线重复触发
|
|||
|
|
if kline_id == self.last_kline_id:
|
|||
|
|
time.sleep(self.cfg.POLL_INTERVAL)
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
# ===== 延迟反转确认 =====
|
|||
|
|
if self.delay_reverse_price is not None and len(kline_history) > 0:
|
|||
|
|
prev_kline = kline_history[-1] if len(kline_history) > 0 else None
|
|||
|
|
reversal = self.check_delay_reversal(
|
|||
|
|
current_kline, prev_kline, len(kline_history)
|
|||
|
|
)
|
|||
|
|
|
|||
|
|
if reversal:
|
|||
|
|
new_direction, reversal_price, reason = reversal
|
|||
|
|
logger.info(f"延迟反转确认: {reason} @ {reversal_price:.2f}")
|
|||
|
|
|
|||
|
|
# 平仓
|
|||
|
|
self.browser_close_position(1.0)
|
|||
|
|
time.sleep(2)
|
|||
|
|
self.get_position_status()
|
|||
|
|
|
|||
|
|
if self.position == 0:
|
|||
|
|
# 反向开仓
|
|||
|
|
balance = self.get_balance()
|
|||
|
|
if balance:
|
|||
|
|
usdt_amount = round(balance * self.cfg.MARGIN_PCT, 2)
|
|||
|
|
self.browser_open_position(new_direction, usdt_amount)
|
|||
|
|
time.sleep(2)
|
|||
|
|
self.get_position_status()
|
|||
|
|
|
|||
|
|
if self.position != 0:
|
|||
|
|
self.position_count = 1
|
|||
|
|
self.mid_closed_half = False
|
|||
|
|
self.clear_delay_reversal()
|
|||
|
|
self.last_kline_id = kline_id
|
|||
|
|
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
# ===== 中轨平仓 =====
|
|||
|
|
if self.position != 0 and touched_middle:
|
|||
|
|
if not self.mid_closed_half:
|
|||
|
|
logger.info("触中轨，平50%")
|
|||
|
|
self.browser_close_position(0.5)
|
|||
|
|
time.sleep(2)
|
|||
|
|
self.mid_closed_half = True
|
|||
|
|
self.last_kline_id = kline_id
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
elif self.mid_closed_half:
|
|||
|
|
# 回到开仓价全平+反手
|
|||
|
|
if (self.position > 0 and cur_low <= self.entry_price) or \
|
|||
|
|
(self.position < 0 and cur_high >= self.entry_price):
|
|||
|
|
logger.info("回到开仓价，全平+反手")
|
|||
|
|
|
|||
|
|
old_direction = 'long' if self.position > 0 else 'short'
|
|||
|
|
new_direction = 'short' if old_direction == 'long' else 'long'
|
|||
|
|
|
|||
|
|
self.browser_close_position(1.0)
|
|||
|
|
time.sleep(2)
|
|||
|
|
self.get_position_status()
|
|||
|
|
|
|||
|
|
if self.position == 0:
|
|||
|
|
balance = self.get_balance()
|
|||
|
|
if balance:
|
|||
|
|
usdt_amount = round(balance * self.cfg.MARGIN_PCT, 2)
|
|||
|
|
self.browser_open_position(new_direction, usdt_amount)
|
|||
|
|
time.sleep(2)
|
|||
|
|
self.get_position_status()
|
|||
|
|
|
|||
|
|
if self.position != 0:
|
|||
|
|
self.position_count = 1
|
|||
|
|
self.mid_closed_half = False
|
|||
|
|
self.last_kline_id = kline_id
|
|||
|
|
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
# ===== 开仓与加仓 =====
|
|||
|
|
if self.position == 0:
|
|||
|
|
self.clear_delay_reversal()
|
|||
|
|
|
|||
|
|
balance = self.get_balance()
|
|||
|
|
if not balance:
|
|||
|
|
time.sleep(self.cfg.POLL_INTERVAL)
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
usdt_amount = round(balance * self.cfg.MARGIN_PCT, 2)
|
|||
|
|
|
|||
|
|
if touched_upper:
|
|||
|
|
logger.info(f"空仓触上轨，开空 {usdt_amount}U")
|
|||
|
|
self.browser_open_position('short', usdt_amount)
|
|||
|
|
time.sleep(2)
|
|||
|
|
self.get_position_status()
|
|||
|
|
if self.position == -1:
|
|||
|
|
self.position_count = 1
|
|||
|
|
self.last_kline_id = kline_id
|
|||
|
|
|
|||
|
|
elif touched_lower:
|
|||
|
|
logger.info(f"空仓触下轨，开多 {usdt_amount}U")
|
|||
|
|
self.browser_open_position('long', usdt_amount)
|
|||
|
|
time.sleep(2)
|
|||
|
|
self.get_position_status()
|
|||
|
|
if self.position == 1:
|
|||
|
|
self.position_count = 1
|
|||
|
|
self.last_kline_id = kline_id
|
|||
|
|
|
|||
|
|
# ===== 延迟反转触发 =====
|
|||
|
|
elif self.position > 0 and touched_upper:
|
|||
|
|
logger.info("多仓触上轨，标记延迟反转")
|
|||
|
|
self.mark_delay_reversal('long_to_short', bb_upper, len(kline_history))
|
|||
|
|
self.last_kline_id = kline_id
|
|||
|
|
|
|||
|
|
elif self.position < 0 and touched_lower:
|
|||
|
|
logger.info("空仓触下轨，标记延迟反转")
|
|||
|
|
self.mark_delay_reversal('short_to_long', bb_lower, len(kline_history))
|
|||
|
|
self.last_kline_id = kline_id
|
|||
|
|
|
|||
|
|
# ===== 加仓 =====
|
|||
|
|
elif self.position_count == 1 and self.delay_reverse_price is None:
|
|||
|
|
balance = self.get_balance()
|
|||
|
|
if balance:
|
|||
|
|
usdt_amount = round(balance * self.cfg.MARGIN_PCT, 2)
|
|||
|
|
|
|||
|
|
if self.position > 0 and touched_lower:
|
|||
|
|
logger.info(f"多仓触下轨，加仓 {usdt_amount}U")
|
|||
|
|
self.browser_open_position('long', usdt_amount)
|
|||
|
|
time.sleep(2)
|
|||
|
|
self.get_position_status()
|
|||
|
|
if self.position == 1:
|
|||
|
|
self.position_count = 2
|
|||
|
|
self.last_kline_id = kline_id
|
|||
|
|
|
|||
|
|
elif self.position < 0 and touched_upper:
|
|||
|
|
logger.info(f"空仓触上轨，加仓 {usdt_amount}U")
|
|||
|
|
self.browser_open_position('short', usdt_amount)
|
|||
|
|
time.sleep(2)
|
|||
|
|
self.get_position_status()
|
|||
|
|
if self.position == -1:
|
|||
|
|
self.position_count = 2
|
|||
|
|
self.last_kline_id = kline_id
|
|||
|
|
|
|||
|
|
# 更新K线历史
|
|||
|
|
kline_history.append(current_kline)
|
|||
|
|
if len(kline_history) > 100:
|
|||
|
|
kline_history = kline_history[-100:]
|
|||
|
|
|
|||
|
|
time.sleep(self.cfg.POLL_INTERVAL)
|
|||
|
|
|
|||
|
|
except KeyboardInterrupt:
|
|||
|
|
logger.info("用户中断")
|
|||
|
|
break
|
|||
|
|
except Exception as e:
|
|||
|
|
logger.error(f"主循环异常: {e}")
|
|||
|
|
page_start = True
|
|||
|
|
time.sleep(10)
|
|||
|
|
|
|||
|
|
|
|||
|
|
if __name__ == "__main__":
|
|||
|
|
trader = BBDelayReversalTrader()
|
|||
|
|
trader.run()
|