加入一个回测，
This commit is contained in:
ddrwode
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backtest_outputs/charts/bb_backtest_2026_full_visualization.html
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backtest_outputs/charts/bb_backtest_2026_full_visualization.html
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backtest_outputs/logs/backtest_result.txt
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backtest_outputs/logs/backtest_result.txt
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backtest_outputs/reports/bb_sweep_results.csv
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backtest_outputs/reports/bb_sweep_results.csv
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backtest_outputs/reports/bb_sweep_results_snapshot.csv
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backtest_outputs/reports/bb_sweep_results_snapshot.csv
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178.5,305.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,305.5,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,306.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,306.5,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,307.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,307.5,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,308.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,308.5,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,309.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,309.5,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,310.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,310.5,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,311.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,311.5,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,312.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,312.5,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,313.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,313.5,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,314.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,314.5,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,315.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,315.5,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,316.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,316.5,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,317.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,317.5,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,318.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,318.5,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,319.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,319.5,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,320.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,320.5,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,321.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,321.5,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,322.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,322.5,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,323.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,323.5,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,324.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,324.5,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,325.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,325.5,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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178.5,326.0,5.2791790570783465e+19,2.6395895285391733e+19,33680,56.24109263657957,21.175874581988747,4.8783963655773225e+19
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backtest_outputs/trades/bb_backtest_20260101_20261231_trades.csv
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backtest_outputs/trades/bb_backtest_20260101_20261231_trades.csv
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@@ -87,12 +87,12 @@ class BollingerBandBacktest:
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self.current_run_label = "default"
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def calculate_bollinger_bands(self, df):
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"""计算布林带"""
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"""计算布林带（整体右移1根，避免使用当前K收盘价）"""
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df['sma'] = df['close'].rolling(window=self.bb_period).mean()
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df['std'] = df['close'].rolling(window=self.bb_period).std()
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df['upper'] = df['sma'] + self.bb_std * df['std']
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df['lower'] = df['sma'] - self.bb_std * df['std']
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df['middle'] = df['sma']
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df['upper'] = (df['sma'] + self.bb_std * df['std']).shift(1)
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df['lower'] = (df['sma'] - self.bb_std * df['std']).shift(1)
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df['middle'] = df['sma'].shift(1)
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return df
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def get_rebate_amount(self, fee):
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@@ -288,52 +288,54 @@ class BollingerBandBacktest:
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self.clear_delay_reversal()
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return True
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def check_and_execute_delay_reversal(self, i, row, prev_row, timestamp):
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"""执行延迟反转三段判断逻辑"""
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def check_delay_reversal_signal(self, i, row, prev_row):
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"""检查延迟反转是否在当前收盘K成立（仅返回信号，不直接执行）"""
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if self.position == 0 or self.delay_reverse_price is None or self.delay_reverse_kline_index is None:
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return False
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return None
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offset = i - self.delay_reverse_kline_index
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# 禁止同K确认，最早次K确认
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if offset <= 0:
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return None
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high = row['high']
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low = row['low']
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if self.delay_reverse_type == 'long_to_short':
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# 情况1/2：触上轨后，同K或下一K回调到记录上轨价
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if offset <= 1 and low <= self.delay_reverse_price:
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tag = "同K回调确认" if offset == 0 else "次K回调确认"
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return self.reverse_position(self.delay_reverse_price, 'short', timestamp, f"延迟反转-{tag}")
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# 情况1：触上轨后，次K回调到记录上轨价
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if offset == 1 and low <= self.delay_reverse_price:
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return 'short', "延迟反转-次K回调确认", self.delay_reverse_price
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# 情况3：持续等待，动态追踪上一根K线条件
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# 情况2：持续等待，动态追踪上一根K线条件
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if offset >= 2 and prev_row is not None:
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prev_touch_upper = prev_row['high'] >= prev_row['upper']
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prev_upper = prev_row['upper']
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prev_touch_upper = pd.notna(prev_upper) and prev_row['high'] >= prev_upper
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if prev_touch_upper:
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ref_price = prev_row['upper']
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if low <= ref_price:
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return self.reverse_position(ref_price, 'short', timestamp, "延迟反转-上一根触上轨后回调确认")
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if low <= prev_upper:
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return 'short', "延迟反转-上一根触上轨后回调确认", prev_upper
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else:
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prev_body_low = min(prev_row['open'], prev_row['close'])
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if low <= prev_body_low:
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return self.reverse_position(prev_body_low, 'short', timestamp, "延迟反转-跌破上一根实体确认")
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return 'short', "延迟反转-跌破上一根实体确认", prev_body_low
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elif self.delay_reverse_type == 'short_to_long':
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# 情况1/2：触下轨后，同K或下一K反弹到记录下轨价
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if offset <= 1 and high >= self.delay_reverse_price:
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tag = "同K反弹确认" if offset == 0 else "次K反弹确认"
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return self.reverse_position(self.delay_reverse_price, 'long', timestamp, f"延迟反转-{tag}")
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# 情况1：触下轨后，次K反弹到记录下轨价
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if offset == 1 and high >= self.delay_reverse_price:
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return 'long', "延迟反转-次K反弹确认", self.delay_reverse_price
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# 情况3：持续等待，动态追踪上一根K线条件
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# 情况2：持续等待，动态追踪上一根K线条件
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if offset >= 2 and prev_row is not None:
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prev_touch_lower = prev_row['low'] <= prev_row['lower']
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prev_lower = prev_row['lower']
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prev_touch_lower = pd.notna(prev_lower) and prev_row['low'] <= prev_lower
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if prev_touch_lower:
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ref_price = prev_row['lower']
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if high >= ref_price:
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return self.reverse_position(ref_price, 'long', timestamp, "延迟反转-上一根触下轨后反弹确认")
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if high >= prev_lower:
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return 'long', "延迟反转-上一根触下轨后反弹确认", prev_lower
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else:
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prev_body_high = max(prev_row['open'], prev_row['close'])
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if high >= prev_body_high:
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return self.reverse_position(prev_body_high, 'long', timestamp, "延迟反转-突破上一根实体确认")
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return 'long', "延迟反转-突破上一根实体确认", prev_body_high
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return False
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return None
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def open_position(self, price, direction, timestamp, reason):
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"""开仓或加仓"""
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@@ -459,8 +461,8 @@ class BollingerBandBacktest:
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f"可用资金: {self.capital:.4f}U | {reason}")
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return True
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def check_stop_loss(self, high, low, timestamp):
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"""检查止损"""
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def check_stop_loss(self, high, low):
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"""检查当前收盘K是否触发止损信号"""
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if self.position == 0:
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return False
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@@ -470,16 +472,10 @@ class BollingerBandBacktest:
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else:
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unrealized_pnl = abs(self.position) * (self.entry_price - stop_price)
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# 止损条件：亏损达到保证金的50%
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if unrealized_pnl <= -self.total_margin * self.stop_loss_ratio:
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logger.warning(f"触发止损！浮亏: {unrealized_pnl:.2f}U | 保证金: {self.total_margin:.2f}U")
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self.close_position(stop_price, 1.0, timestamp, "止损")
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return True
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return False
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return unrealized_pnl <= -self.total_margin * self.stop_loss_ratio
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def run_backtest(self, start_date, end_date):
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"""运行回测"""
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"""运行回测（开仓当K触发，平仓/止损仍按下一根K开盘执行）"""
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# 重置状态，支持同一实例重复回测
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self.capital = self.initial_capital
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self.position = 0
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@@ -533,66 +529,101 @@ class BollingerBandBacktest:
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logger.info(f"加载数据: {len(df)} 根K线")
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logger.info(f"时间范围: {df['datetime'].min()} ~ {df['datetime'].max()}")
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# 加载对应时间范围的1分钟数据，用于中轨平半确认
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one_min_start = int(df['timestamp'].min())
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one_min_end = int(df['timestamp'].max()) + 300000
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self.load_one_minute_cache(one_min_start, one_min_end)
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# 计算布林带
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df = self.calculate_bollinger_bands(df)
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# 逐根K线回测
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for i in range(self.bb_period, len(df)):
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if len(df) <= self.bb_period + 1:
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logger.error("数据不足，无法执行回测")
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return None
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# 逐根K线回测（开仓当K触发，平仓/止损下一K开盘执行）
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for i in range(self.bb_period, len(df) - 1):
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row = df.iloc[i]
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prev_row = df.iloc[i-1] if i > 0 else None
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next_row = df.iloc[i + 1]
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timestamp = row['datetime'].strftime('%Y-%m-%d %H:%M')
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signal_dt = row['datetime']
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signal_ts = signal_dt.strftime('%Y-%m-%d %H:%M')
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five_min_ts = int(row['timestamp'])
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execute_ts = next_row['datetime'].strftime('%Y-%m-%d %H:%M')
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next_open = float(next_row['open']) if pd.notna(next_row['open']) else None
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high = row['high']
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low = row['low']
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upper = row['upper']
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lower = row['lower']
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middle = row['middle']
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# 先处理当前时刻返佣到账
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self.apply_pending_rebates(row['datetime'])
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# 先处理当前收盘时刻返佣到账
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self.apply_pending_rebates(signal_dt)
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# 检查止损
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if self.check_stop_loss(high, low, timestamp):
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if pd.isna(upper) or pd.isna(lower) or pd.isna(middle):
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continue
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if next_open is None:
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continue
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||||
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# 已处于延迟反转状态时，先执行确认逻辑
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# 检查止损（收盘确认，下一K开盘平仓）
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if self.check_stop_loss(high, low):
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logger.warning(f"[{signal_ts}] 触发止损信号，下一K开盘执行")
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self.close_position(next_open, 1.0, execute_ts, f"止损-收盘确认({signal_ts})")
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continue
|
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# 已处于延迟反转状态时，先检查确认逻辑
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if self.delay_reverse_price is not None:
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if self.check_and_execute_delay_reversal(i, row, prev_row, timestamp):
|
||||
reversal_signal = self.check_delay_reversal_signal(i, row, prev_row)
|
||||
if reversal_signal is not None and self.position != 0:
|
||||
new_direction, reason, reversal_price = reversal_signal
|
||||
if reversal_price is None or pd.isna(reversal_price):
|
||||
reversal_price = float(row['close'])
|
||||
close_side = "多" if self.position > 0 else "空"
|
||||
open_side = "多" if new_direction == 'long' else "空"
|
||||
self.close_position(
|
||||
reversal_price,
|
||||
1.0,
|
||||
signal_ts,
|
||||
f"{reason}-当K确认({signal_ts})-平{close_side}"
|
||||
)
|
||||
open_price = self.apply_entry_slippage(reversal_price, new_direction)
|
||||
self.open_position(
|
||||
open_price,
|
||||
new_direction,
|
||||
signal_ts,
|
||||
f"{reason}-当K确认({signal_ts})-开{open_side}"
|
||||
)
|
||||
self.mid_closed_half = False
|
||||
self.clear_delay_reversal()
|
||||
continue
|
||||
|
||||
# === 中轨平仓逻辑 ===
|
||||
if self.position != 0:
|
||||
had_mid_closed_half = self.mid_closed_half
|
||||
if self.position > 0: # 多仓
|
||||
# 1m顺序确认：先上方再回踩中轨，平50%
|
||||
if not self.mid_closed_half and low <= middle <= high:
|
||||
should_close_half, reason_1m = self.should_close_half_by_1m_trend(
|
||||
five_min_ts, middle, 'long'
|
||||
)
|
||||
if should_close_half:
|
||||
self.close_position(middle, 0.5, timestamp, f"触中轨平50%-{reason_1m}")
|
||||
self.mid_closed_half = True
|
||||
# 继续回落到开仓均价全平
|
||||
if self.position != 0 and self.mid_closed_half and low <= self.entry_price:
|
||||
self.close_position(self.entry_price, 1.0, timestamp, "回开仓价全平")
|
||||
# 回到开仓价全平+反手（仅在此前已平半的前提下触发）
|
||||
if had_mid_closed_half and low <= self.entry_price:
|
||||
self.close_position(next_open, 1.0, execute_ts, f"回开仓价全平-收盘确认({signal_ts})")
|
||||
entry_price = self.apply_entry_slippage(next_open, 'short')
|
||||
self.open_position(entry_price, 'short', execute_ts, f"回开仓价反手开空-收盘确认({signal_ts})")
|
||||
self.mid_closed_half = False
|
||||
continue
|
||||
# 触中轨平半（收盘确认）
|
||||
if not had_mid_closed_half and low <= middle <= high:
|
||||
self.close_position(next_open, 0.5, execute_ts, f"触中轨平50%-收盘确认({signal_ts})")
|
||||
self.mid_closed_half = True
|
||||
continue
|
||||
|
||||
else: # 空仓
|
||||
# 1m顺序确认：先下方再反抽中轨，平50%
|
||||
if not self.mid_closed_half and low <= middle <= high:
|
||||
should_close_half, reason_1m = self.should_close_half_by_1m_trend(
|
||||
five_min_ts, middle, 'short'
|
||||
)
|
||||
if should_close_half:
|
||||
self.close_position(middle, 0.5, timestamp, f"触中轨平50%-{reason_1m}")
|
||||
self.mid_closed_half = True
|
||||
# 继续反弹到开仓均价全平
|
||||
if self.position != 0 and self.mid_closed_half and high >= self.entry_price:
|
||||
self.close_position(self.entry_price, 1.0, timestamp, "回开仓价全平")
|
||||
# 回到开仓价全平+反手（仅在此前已平半的前提下触发）
|
||||
if had_mid_closed_half and high >= self.entry_price:
|
||||
self.close_position(next_open, 1.0, execute_ts, f"回开仓价全平-收盘确认({signal_ts})")
|
||||
entry_price = self.apply_entry_slippage(next_open, 'long')
|
||||
self.open_position(entry_price, 'long', execute_ts, f"回开仓价反手开多-收盘确认({signal_ts})")
|
||||
self.mid_closed_half = False
|
||||
continue
|
||||
# 触中轨平半（收盘确认）
|
||||
if not had_mid_closed_half and low <= middle <= high:
|
||||
self.close_position(next_open, 0.5, execute_ts, f"触中轨平50%-收盘确认({signal_ts})")
|
||||
self.mid_closed_half = True
|
||||
continue
|
||||
|
||||
# === 开仓与加仓逻辑 ===
|
||||
if self.position == 0: # 空仓
|
||||
@@ -601,24 +632,22 @@ class BollingerBandBacktest:
|
||||
# 触上轨开空
|
||||
if high >= upper:
|
||||
entry_price = self.get_touch_entry_price(five_min_ts, 'short', upper)
|
||||
self.open_position(entry_price, 'short', timestamp, "触上轨开空")
|
||||
self.open_position(entry_price, 'short', signal_ts, f"触上轨开空-当K触发({signal_ts})")
|
||||
|
||||
# 触下轨开多
|
||||
elif low <= lower:
|
||||
entry_price = self.get_touch_entry_price(five_min_ts, 'long', lower)
|
||||
self.open_position(entry_price, 'long', timestamp, "触下轨开多")
|
||||
self.open_position(entry_price, 'long', signal_ts, f"触下轨开多-当K触发({signal_ts})")
|
||||
continue
|
||||
|
||||
# 有持仓：先检查是否触发延迟反转（核心）
|
||||
if self.position > 0 and high >= upper:
|
||||
self.mark_delay_reversal('long_to_short', upper, i, timestamp)
|
||||
if self.check_and_execute_delay_reversal(i, row, prev_row, timestamp):
|
||||
continue
|
||||
self.mark_delay_reversal('long_to_short', upper, i, signal_ts)
|
||||
continue
|
||||
|
||||
elif self.position < 0 and low <= lower:
|
||||
self.mark_delay_reversal('short_to_long', lower, i, timestamp)
|
||||
if self.check_and_execute_delay_reversal(i, row, prev_row, timestamp):
|
||||
continue
|
||||
self.mark_delay_reversal('short_to_long', lower, i, signal_ts)
|
||||
continue
|
||||
|
||||
# 进入延迟反转等待后，不再执行加仓
|
||||
if self.delay_reverse_price is not None:
|
||||
@@ -628,10 +657,13 @@ class BollingerBandBacktest:
|
||||
if self.position_count == 1:
|
||||
if self.position > 0 and low <= lower:
|
||||
entry_price = self.get_touch_entry_price(five_min_ts, 'long', lower)
|
||||
self.open_position(entry_price, 'long', timestamp, "触下轨加多")
|
||||
self.open_position(entry_price, 'long', signal_ts, f"触下轨加多-当K触发({signal_ts})")
|
||||
elif self.position < 0 and high >= upper:
|
||||
entry_price = self.get_touch_entry_price(five_min_ts, 'short', upper)
|
||||
self.open_position(entry_price, 'short', timestamp, "触上轨加空")
|
||||
self.open_position(entry_price, 'short', signal_ts, f"触上轨加空-当K触发({signal_ts})")
|
||||
|
||||
# 回测末尾再处理一次返佣到账
|
||||
self.apply_pending_rebates(df.iloc[-1]['datetime'])
|
||||
|
||||
# 最后平仓
|
||||
if self.position != 0:
|
||||
@@ -680,7 +712,9 @@ class BollingerBandBacktest:
|
||||
|
||||
# 保存交易记录
|
||||
trades_df = pd.DataFrame(self.trades)
|
||||
output_file = f'bb_backtest_{self.current_run_label}_trades.csv'
|
||||
output_dir = Path(__file__).parent / 'backtest_outputs' / 'trades'
|
||||
output_dir.mkdir(parents=True, exist_ok=True)
|
||||
output_file = output_dir / f'bb_backtest_{self.current_run_label}_trades.csv'
|
||||
trades_df.to_csv(output_file, index=False, encoding='utf-8-sig')
|
||||
logger.info(f"\n交易记录已保存到: {output_file}")
|
||||
|
||||
@@ -697,7 +731,7 @@ class BollingerBandBacktest:
|
||||
'total_trades': total_trades,
|
||||
'win_trades': win_trades,
|
||||
'loss_trades': loss_trades,
|
||||
'trades_file': output_file,
|
||||
'trades_file': str(output_file),
|
||||
'trades': self.trades
|
||||
}
|
||||
|
||||
@@ -710,8 +744,8 @@ if __name__ == '__main__':
|
||||
# 创建回测实例
|
||||
backtest = BollingerBandBacktest()
|
||||
|
||||
# 运行回测（2026年3月）
|
||||
result = backtest.run_backtest('2026-03-01', '2026-03-31')
|
||||
# 运行回测（2026年全年）
|
||||
result = backtest.run_backtest('2026-01-01', '2026-12-31')
|
||||
|
||||
if result:
|
||||
logger.success(f"\n回测完成！最终收益率: {result['roi']:.2f}%")
|
||||
|
||||
601
bb_delay_reversal_trade.py
Normal file
601
bb_delay_reversal_trade.py
Normal file
@@ -0,0 +1,601 @@
|
||||
"""
|
||||
布林带延迟反转策略 - 实盘交易
|
||||
基于回测策略 bb_backtest_march_2026.py
|
||||
使用API查询 + 浏览器自动化交易
|
||||
"""
|
||||
import time
|
||||
import numpy as np
|
||||
from datetime import datetime, timezone
|
||||
from pathlib import Path
|
||||
from loguru import logger
|
||||
from bitmart.api_contract import APIContract
|
||||
from bit_tools import openBrowser
|
||||
from DrissionPage import ChromiumPage, ChromiumOptions
|
||||
|
||||
|
||||
class BBDelayReversalConfig:
|
||||
"""策略配置"""
|
||||
# API凭证
|
||||
API_KEY = "6104088c65a68d7e53df5d9395b67d78e555293a"
|
||||
SECRET_KEY = "a8b14312330d8e6b9b09acfd972b34e32022fdfa9f2b06f0a0a31723b873fd01"
|
||||
MEMO = "me"
|
||||
|
||||
# 合约
|
||||
CONTRACT_SYMBOL = "ETHUSDT"
|
||||
TRADE_URL = "https://derivatives.bitmart.com/zh-CN/futures/ETHUSDT"
|
||||
|
||||
# 浏览器ID
|
||||
BIT_ID = "62f9107d0c674925972084e282df55b3"
|
||||
|
||||
# 布林带参数
|
||||
BB_PERIOD = 10
|
||||
BB_STD = 2.5
|
||||
|
||||
# 仓位管理
|
||||
LEVERAGE = 50
|
||||
OPEN_TYPE = "isolated"
|
||||
MARGIN_PCT = 0.01 # 首次开仓1%
|
||||
|
||||
# 运行参数
|
||||
POLL_INTERVAL = 5
|
||||
KLINE_STEP = 5
|
||||
KLINE_HOURS = 2
|
||||
|
||||
|
||||
class BBDelayReversalTrader:
|
||||
"""布林带延迟反转交易器"""
|
||||
|
||||
def __init__(self, cfg: BBDelayReversalConfig = None):
|
||||
self.cfg = cfg or BBDelayReversalConfig()
|
||||
self.api = APIContract(
|
||||
self.cfg.API_KEY, self.cfg.SECRET_KEY, self.cfg.MEMO,
|
||||
timeout=(5, 15)
|
||||
)
|
||||
|
||||
# 浏览器
|
||||
self.page: ChromiumPage | None = None
|
||||
self.page_start = True
|
||||
self.last_page_open_time = 0.0
|
||||
self.PAGE_REFRESH_INTERVAL = 1800
|
||||
|
||||
# 持仓状态
|
||||
self.position = 0 # -1空, 0无, 1多
|
||||
self.position_count = 0 # 0空仓, 1首次, 2加仓
|
||||
self.entry_price = 0
|
||||
self.current_amount = 0
|
||||
self.total_margin = 0
|
||||
|
||||
# 延迟反转状态
|
||||
self.delay_reverse_price = None
|
||||
self.delay_reverse_type = None # 'long_to_short' 或 'short_to_long'
|
||||
self.delay_reverse_kline_id = None
|
||||
|
||||
# 中轨平仓
|
||||
self.mid_closed_half = False
|
||||
|
||||
# 交易控制
|
||||
self.last_trade_time = 0.0
|
||||
self.last_kline_id = None
|
||||
|
||||
# 日志
|
||||
self.log_dir = Path(__file__).resolve().parent
|
||||
logger.add(
|
||||
self.log_dir / "bb_delay_trade_{time:YYYY-MM-DD}.log",
|
||||
rotation="1 day", retention="30 days",
|
||||
format="{time:YYYY-MM-DD HH:mm:ss} | {level} | {message}"
|
||||
)
|
||||
|
||||
# ========== API查询方法 ==========
|
||||
|
||||
def get_klines(self) -> list | None:
|
||||
"""获取5分钟K线"""
|
||||
try:
|
||||
end_time = int(time.time())
|
||||
start_time = end_time - 3600 * self.cfg.KLINE_HOURS
|
||||
resp = self.api.get_kline(
|
||||
contract_symbol=self.cfg.CONTRACT_SYMBOL,
|
||||
step=self.cfg.KLINE_STEP,
|
||||
start_time=start_time,
|
||||
end_time=end_time
|
||||
)[0]
|
||||
if resp.get("code") != 1000:
|
||||
logger.error(f"获取K线失败: {resp}")
|
||||
return None
|
||||
data = resp["data"]
|
||||
klines = []
|
||||
for k in data:
|
||||
klines.append({
|
||||
"id": int(k["timestamp"]),
|
||||
"open": float(k["open_price"]),
|
||||
"high": float(k["high_price"]),
|
||||
"low": float(k["low_price"]),
|
||||
"close": float(k["close_price"]),
|
||||
})
|
||||
klines.sort(key=lambda x: x["id"])
|
||||
return klines
|
||||
except Exception as e:
|
||||
logger.error(f"获取K线异常: {e}")
|
||||
return None
|
||||
|
||||
def get_current_price(self) -> float | None:
|
||||
"""获取当前价格"""
|
||||
try:
|
||||
end_time = int(time.time())
|
||||
resp = self.api.get_kline(
|
||||
contract_symbol=self.cfg.CONTRACT_SYMBOL,
|
||||
step=1,
|
||||
start_time=end_time - 300,
|
||||
end_time=end_time
|
||||
)[0]
|
||||
if resp.get("code") == 1000 and resp["data"]:
|
||||
return float(resp["data"][-1]["close_price"])
|
||||
return None
|
||||
except Exception as e:
|
||||
logger.error(f"获取价格异常: {e}")
|
||||
return None
|
||||
|
||||
def get_balance(self) -> float | None:
|
||||
"""获取可用余额"""
|
||||
try:
|
||||
resp = self.api.get_assets_detail()[0]
|
||||
if resp.get("code") == 1000:
|
||||
data = resp["data"]
|
||||
if isinstance(data, dict):
|
||||
return float(data.get("available_balance", 0))
|
||||
elif isinstance(data, list):
|
||||
for asset in data:
|
||||
if asset.get("currency") == "USDT":
|
||||
return float(asset.get("available_balance", 0))
|
||||
return None
|
||||
except Exception as e:
|
||||
logger.error(f"查询余额异常: {e}")
|
||||
return None
|
||||
|
||||
def get_position_status(self) -> bool:
|
||||
"""查询持仓状态"""
|
||||
try:
|
||||
resp = self.api.get_position(contract_symbol=self.cfg.CONTRACT_SYMBOL)[0]
|
||||
if resp.get("code") != 1000:
|
||||
logger.error(f"查询持仓失败: {resp}")
|
||||
return False
|
||||
positions = resp["data"]
|
||||
if not positions:
|
||||
self.position = 0
|
||||
self.position_count = 0
|
||||
self.entry_price = 0
|
||||
self.current_amount = 0
|
||||
return True
|
||||
pos = positions[0]
|
||||
self.position = 1 if pos["position_type"] == 1 else -1
|
||||
self.entry_price = float(pos["open_avg_price"])
|
||||
self.current_amount = float(pos["current_amount"])
|
||||
logger.debug(f"持仓: {'多' if self.position > 0 else '空'} | "
|
||||
f"价格={self.entry_price:.2f} | 数量={self.current_amount:.4f}")
|
||||
return True
|
||||
except Exception as e:
|
||||
logger.error(f"查询持仓异常: {e}")
|
||||
return False
|
||||
|
||||
def set_leverage(self) -> bool:
|
||||
"""设置杠杆"""
|
||||
try:
|
||||
resp = self.api.post_submit_leverage(
|
||||
contract_symbol=self.cfg.CONTRACT_SYMBOL,
|
||||
leverage=str(self.cfg.LEVERAGE),
|
||||
open_type=self.cfg.OPEN_TYPE
|
||||
)[0]
|
||||
if resp.get("code") == 1000:
|
||||
logger.success(f"杠杆设置成功: {self.cfg.LEVERAGE}x {self.cfg.OPEN_TYPE}")
|
||||
return True
|
||||
else:
|
||||
logger.error(f"杠杆设置失败: {resp}")
|
||||
return False
|
||||
except Exception as e:
|
||||
logger.error(f"设置杠杆异常: {e}")
|
||||
return False
|
||||
|
||||
# ========== 布林带计算 ==========
|
||||
|
||||
def calc_bollinger(self, closes: list):
|
||||
"""计算布林带"""
|
||||
if len(closes) < self.cfg.BB_PERIOD:
|
||||
return None
|
||||
arr = np.array(closes[-self.cfg.BB_PERIOD:], dtype=float)
|
||||
mid = arr.mean()
|
||||
std = arr.std(ddof=0)
|
||||
upper = mid + self.cfg.BB_STD * std
|
||||
lower = mid - self.cfg.BB_STD * std
|
||||
return mid, upper, lower
|
||||
|
||||
# ========== 浏览器自动化 ==========
|
||||
|
||||
def open_browser(self) -> bool:
|
||||
"""打开浏览器"""
|
||||
try:
|
||||
bit_port = openBrowser(id=self.cfg.BIT_ID)
|
||||
co = ChromiumOptions()
|
||||
co.set_local_port(port=bit_port)
|
||||
self.page = ChromiumPage(addr_or_opts=co)
|
||||
self.last_page_open_time = time.time()
|
||||
return True
|
||||
except Exception as e:
|
||||
logger.error(f"打开浏览器失败: {e}")
|
||||
return False
|
||||
|
||||
def click_safe(self, xpath, sleep=0.5) -> bool:
|
||||
"""安全点击"""
|
||||
try:
|
||||
ele = self.page.ele(xpath)
|
||||
if not ele:
|
||||
return False
|
||||
ele.click(by_js=True)
|
||||
time.sleep(sleep)
|
||||
return True
|
||||
except Exception as e:
|
||||
logger.warning(f"点击失败: {e}")
|
||||
return False
|
||||
|
||||
def browser_open_position(self, direction: str, usdt_amount: float) -> bool:
|
||||
"""浏览器开仓"""
|
||||
try:
|
||||
logger.info(f"浏览器操作: 开{'多' if direction == 'long' else '空'} {usdt_amount}U")
|
||||
|
||||
# 点击市价
|
||||
self.click_safe('x://button[normalize-space(text()) ="市价"]')
|
||||
|
||||
# 输入金额
|
||||
self.page.ele('x://*[@id="size_0"]').input(vals=usdt_amount, clear=True)
|
||||
time.sleep(0.5)
|
||||
|
||||
# 点击开仓按钮
|
||||
if direction == 'long':
|
||||
self.click_safe('x://span[normalize-space(text()) ="买入/做多"]')
|
||||
else:
|
||||
self.click_safe('x://span[normalize-space(text()) ="卖出/做空"]')
|
||||
|
||||
time.sleep(2)
|
||||
return True
|
||||
except Exception as e:
|
||||
logger.error(f"浏览器开仓失败: {e}")
|
||||
return False
|
||||
|
||||
def browser_close_position(self, ratio: float = 1.0) -> bool:
|
||||
"""浏览器平仓"""
|
||||
try:
|
||||
logger.info(f"浏览器操作: 平仓{int(ratio*100)}%")
|
||||
|
||||
if ratio >= 0.99:
|
||||
# 全平
|
||||
self.click_safe('x://span[normalize-space(text()) ="市价"]')
|
||||
else:
|
||||
# 平半
|
||||
self.click_safe('x://button[normalize-space(text()) ="平仓"]')
|
||||
if ratio == 0.5:
|
||||
self.click_safe('x://*[@id="futureTradeForm"]/div[5]/div[3]/div[3]/span[3]')
|
||||
|
||||
if self.position > 0:
|
||||
self.click_safe('x://span[normalize-space(text()) ="卖出/平多"]')
|
||||
else:
|
||||
self.click_safe('x://span[normalize-space(text()) ="买入/平空"]')
|
||||
|
||||
time.sleep(2)
|
||||
return True
|
||||
except Exception as e:
|
||||
logger.error(f"浏览器平仓失败: {e}")
|
||||
return False
|
||||
|
||||
# ========== 延迟反转逻辑 ==========
|
||||
|
||||
def mark_delay_reversal(self, reverse_type: str, trigger_price: float, kline_id: int):
|
||||
"""标记延迟反转"""
|
||||
self.delay_reverse_type = reverse_type
|
||||
self.delay_reverse_price = trigger_price
|
||||
self.delay_reverse_kline_id = kline_id
|
||||
logger.info(f"触发延迟反转: {reverse_type} @ {trigger_price:.2f}")
|
||||
|
||||
def clear_delay_reversal(self):
|
||||
"""清除延迟反转状态"""
|
||||
self.delay_reverse_price = None
|
||||
self.delay_reverse_type = None
|
||||
self.delay_reverse_kline_id = None
|
||||
|
||||
def check_delay_reversal(self, current_kline, prev_kline, kline_index) -> tuple | None:
|
||||
"""检查延迟反转确认"""
|
||||
if self.position == 0 or self.delay_reverse_price is None:
|
||||
return None
|
||||
|
||||
if self.delay_reverse_kline_id is None:
|
||||
return None
|
||||
|
||||
offset = kline_index - self.delay_reverse_kline_id
|
||||
if offset <= 0:
|
||||
return None
|
||||
|
||||
high = current_kline['high']
|
||||
low = current_kline['low']
|
||||
|
||||
if self.delay_reverse_type == 'long_to_short':
|
||||
# 多转空: 回调到记录价格
|
||||
if offset == 1 and low <= self.delay_reverse_price:
|
||||
return 'short', self.delay_reverse_price, "次K回调确认"
|
||||
|
||||
if offset >= 2 and prev_kline:
|
||||
prev_body_low = min(prev_kline['open'], prev_kline['close'])
|
||||
if low <= prev_body_low:
|
||||
return 'short', prev_body_low, "跌破上一根实体"
|
||||
|
||||
elif self.delay_reverse_type == 'short_to_long':
|
||||
# 空转多: 反弹到记录价格
|
||||
if offset == 1 and high >= self.delay_reverse_price:
|
||||
return 'long', self.delay_reverse_price, "次K反弹确认"
|
||||
|
||||
if offset >= 2 and prev_kline:
|
||||
prev_body_high = max(prev_kline['open'], prev_kline['close'])
|
||||
if high >= prev_body_high:
|
||||
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()
|
||||
38864
bb_sweep_results.csv
38864
bb_sweep_results.csv
File diff suppressed because it is too large
Load Diff
267
bitmart/框架.py
Normal file
267
bitmart/框架.py
Normal file
@@ -0,0 +1,267 @@
|
||||
import time
|
||||
|
||||
from tqdm import tqdm
|
||||
from loguru import logger
|
||||
from bit_tools import openBrowser
|
||||
from DrissionPage import ChromiumPage
|
||||
from DrissionPage import ChromiumOptions
|
||||
|
||||
from bitmart.api_contract import APIContract
|
||||
|
||||
|
||||
class BitmartFuturesTransaction:
|
||||
def __init__(self, bit_id):
|
||||
|
||||
self.page: ChromiumPage | None = None
|
||||
|
||||
self.api_key = "a0fb7b98464fd9bcce67e7c519d58ec10d0c38a8"
|
||||
self.secret_key = "4eaeba78e77aeaab1c2027f846a276d164f264a44c2c1bb1c5f3be50c8de1ca5"
|
||||
self.memo = "合约交易"
|
||||
|
||||
self.contract_symbol = "ETHUSDT"
|
||||
|
||||
self.contractAPI = APIContract(self.api_key, self.secret_key, self.memo, timeout=(5, 15))
|
||||
|
||||
self.start = 0 # 持仓状态: -1 空, 0 无, 1 多
|
||||
self.direction = None
|
||||
|
||||
self.pbar = tqdm(total=30, desc="等待K线", ncols=80)
|
||||
|
||||
self.last_kline_time = None
|
||||
|
||||
self.leverage = "100" # 高杠杆（全仓模式下可开更大仓位）
|
||||
self.open_type = "cross" # 全仓模式（你的“成本开仓”需求）
|
||||
self.risk_percent = 0.01 # 每次开仓使用可用余额的 1%
|
||||
|
||||
self.open_avg_price = None # 开仓价格
|
||||
self.current_amount = None # 持仓量
|
||||
|
||||
self.bit_id = bit_id
|
||||
|
||||
def get_klines(self):
|
||||
"""获取最近3根30分钟K线（step=30）"""
|
||||
try:
|
||||
end_time = int(time.time())
|
||||
# 获取足够多的条目确保有最新3根
|
||||
response = self.contractAPI.get_kline(
|
||||
contract_symbol=self.contract_symbol,
|
||||
step=30, # 30分钟
|
||||
start_time=end_time - 3600 * 10, # 取最近10小时
|
||||
end_time=end_time
|
||||
)[0]["data"]
|
||||
|
||||
# 每根: [timestamp, open, high, low, close, volume]
|
||||
formatted = []
|
||||
for k in response:
|
||||
formatted.append({
|
||||
'id': int(k["timestamp"]),
|
||||
'open': float(k["open_price"]),
|
||||
'high': float(k["high_price"]),
|
||||
'low': float(k["low_price"]),
|
||||
'close': float(k["close_price"])
|
||||
})
|
||||
formatted.sort(key=lambda x: x['id'])
|
||||
return formatted # 最近3根: kline_1 (最老), kline_2, kline_3 (最新)
|
||||
except Exception as e:
|
||||
logger.error(f"获取K线异常: {e}")
|
||||
self.ding(error=True, msg="获取K线异常")
|
||||
return None
|
||||
|
||||
def get_current_price(self):
|
||||
"""获取当前最新价格，用于计算张数"""
|
||||
try:
|
||||
end_time = int(time.time())
|
||||
response = self.contractAPI.get_kline(
|
||||
contract_symbol=self.contract_symbol,
|
||||
step=1, # 1分钟
|
||||
start_time=end_time - 3600 * 3, # 取最近10小时
|
||||
end_time=end_time
|
||||
)[0]
|
||||
if response['code'] == 1000:
|
||||
return float(response['data'][-1]["close_price"])
|
||||
return None
|
||||
except Exception as e:
|
||||
logger.error(f"获取价格异常: {e}")
|
||||
return None
|
||||
|
||||
def get_available_balance(self):
|
||||
"""获取合约账户可用USDT余额"""
|
||||
try:
|
||||
response = self.contractAPI.get_assets_detail()[0]
|
||||
if response['code'] == 1000:
|
||||
data = response['data']
|
||||
if isinstance(data, dict):
|
||||
return float(data.get('available_balance', 0))
|
||||
elif isinstance(data, list):
|
||||
for asset in data:
|
||||
if asset.get('currency') == 'USDT':
|
||||
return float(asset.get('available_balance', 0))
|
||||
return None
|
||||
except Exception as e:
|
||||
logger.error(f"余额查询异常: {e}")
|
||||
return None
|
||||
|
||||
# 获取当前持仓方向
|
||||
def get_position_status(self):
|
||||
"""获取当前持仓方向"""
|
||||
try:
|
||||
response = self.contractAPI.get_position(contract_symbol=self.contract_symbol)[0]
|
||||
if response['code'] == 1000:
|
||||
positions = response['data']
|
||||
if not positions:
|
||||
self.start = 0
|
||||
return True
|
||||
self.start = 1 if positions[0]['position_type'] == 1 else -1
|
||||
self.open_avg_price = positions[0]['open_avg_price']
|
||||
self.current_amount = positions[0]['current_amount']
|
||||
self.position_cross = positions[0]["position_cross"]
|
||||
return True
|
||||
|
||||
else:
|
||||
return False
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"持仓查询异常: {e}")
|
||||
return False
|
||||
|
||||
# 设置杠杆和全仓
|
||||
def set_leverage(self):
|
||||
"""程序启动时设置全仓 + 高杠杆"""
|
||||
try:
|
||||
response = self.contractAPI.post_submit_leverage(
|
||||
contract_symbol=self.contract_symbol,
|
||||
leverage=self.leverage,
|
||||
open_type=self.open_type
|
||||
)[0]
|
||||
if response['code'] == 1000:
|
||||
logger.success(f"全仓模式 + {self.leverage}x 杠杆设置成功")
|
||||
return True
|
||||
else:
|
||||
logger.error(f"杠杆设置失败: {response}")
|
||||
return False
|
||||
except Exception as e:
|
||||
logger.error(f"设置杠杆异常: {e}")
|
||||
return False
|
||||
|
||||
def openBrowser(self):
|
||||
"""打开 TGE 对应浏览器实例"""
|
||||
try:
|
||||
bit_port = openBrowser(id=self.bit_id)
|
||||
co = ChromiumOptions()
|
||||
co.set_local_port(port=bit_port)
|
||||
self.page = ChromiumPage(addr_or_opts=co)
|
||||
return True
|
||||
except:
|
||||
return False
|
||||
|
||||
def take_over_browser(self):
|
||||
"""接管浏览器"""
|
||||
try:
|
||||
co = ChromiumOptions()
|
||||
co.set_local_port(self.tge_port)
|
||||
self.page = ChromiumPage(addr_or_opts=co)
|
||||
self.page.set.window.max()
|
||||
return True
|
||||
except:
|
||||
return False
|
||||
|
||||
def close_extra_tabs(self):
|
||||
"""关闭多余 tab"""
|
||||
try:
|
||||
for idx, tab in enumerate(self.page.get_tabs()):
|
||||
if idx > 0:
|
||||
tab.close()
|
||||
return True
|
||||
except:
|
||||
return False
|
||||
|
||||
def click_safe(self, xpath, sleep=0.5):
|
||||
"""安全点击"""
|
||||
try:
|
||||
ele = self.page.ele(xpath)
|
||||
if not ele:
|
||||
return False
|
||||
ele.scroll.to_see(center=True)
|
||||
time.sleep(sleep)
|
||||
ele.click()
|
||||
return True
|
||||
except:
|
||||
return False
|
||||
|
||||
def 全平仓(self):
|
||||
self.click_safe('x://span[normalize-space(text()) ="市价"]')
|
||||
|
||||
def 平一半多仓(self):
|
||||
self.click_safe('x://button[normalize-space(text()) ="平仓"]')
|
||||
self.click_safe('x://*[@id="futureTradeForm"]/div[5]/div[3]/div[3]/span[3]')
|
||||
self.click_safe('x://span[normalize-space(text()) ="卖出/平多"]')
|
||||
|
||||
def 平一半空仓(self):
|
||||
self.click_safe('x://button[normalize-space(text()) ="平仓"]')
|
||||
self.click_safe('x://*[@id="futureTradeForm"]/div[5]/div[3]/div[3]/span[3]')
|
||||
self.click_safe('x://span[normalize-space(text()) ="买入/平空"]')
|
||||
|
||||
def 开单(self, marketPriceLongOrder=0, limitPriceShortOrder=0, size=None, price=None):
|
||||
"""
|
||||
marketPriceLongOrder 市价最多或者做空，1是做多，-1是做空
|
||||
limitPriceShortOrder 限价最多或者做空
|
||||
"""
|
||||
|
||||
if marketPriceLongOrder == -1:
|
||||
self.click_safe('x://button[normalize-space(text()) ="市价"]')
|
||||
self.page.ele('x://*[@id="size_0"]').input(size)
|
||||
self.click_safe('x://span[normalize-space(text()) ="卖出/做空"]')
|
||||
elif marketPriceLongOrder == 1:
|
||||
self.click_safe('x://button[normalize-space(text()) ="市价"]')
|
||||
self.page.ele('x://*[@id="size_0"]').input(size)
|
||||
self.click_safe('x://span[normalize-space(text()) ="买入/做多"]')
|
||||
|
||||
if limitPriceShortOrder == -1:
|
||||
self.click_safe('x://button[normalize-space(text()) ="限价"]')
|
||||
self.page.ele('x://*[@id="price_0"]').input(vals=price, clear=True)
|
||||
time.sleep(1)
|
||||
self.page.ele('x://*[@id="size_0"]').input(1)
|
||||
self.click_safe('x://span[normalize-space(text()) ="卖出/做空"]')
|
||||
elif limitPriceShortOrder == 1:
|
||||
self.click_safe('x://button[normalize-space(text()) ="限价"]')
|
||||
self.page.ele('x://*[@id="price_0"]').input(vals=price, clear=True)
|
||||
time.sleep(1)
|
||||
self.page.ele('x://*[@id="size_0"]').input(1)
|
||||
self.click_safe('x://span[normalize-space(text()) ="买入/做多"]')
|
||||
|
||||
def ding(self, text, error=False):
|
||||
logger.info(text)
|
||||
|
||||
def action(self):
|
||||
# 启动时设置全仓高杠杆
|
||||
if not self.set_leverage():
|
||||
logger.error("杠杆设置失败，程序继续运行但可能下单失败")
|
||||
return
|
||||
|
||||
# 1. 打开浏览器
|
||||
if not self.openBrowser():
|
||||
self.ding("打开 TGE 失败！", error=True)
|
||||
return
|
||||
logger.info("TGE 端口获取成功")
|
||||
|
||||
self.get_klines()
|
||||
|
||||
# self.close_extra_tabs()
|
||||
# self.page.get("https://derivatives.bitmart.com/zh-CN/futures/ETHUSDT")
|
||||
#
|
||||
self.click_safe('x://button[normalize-space(text()) ="市价"]')
|
||||
# self.click_safe('x://button[normalize-space(text()) ="限价"]')
|
||||
#
|
||||
# self.page.ele('x://*[@id="price_0"]').input(vals=3000, clear=True)
|
||||
# self.page.ele('x://*[@id="size_0"]').input(1)
|
||||
# self.click_safe('x://span[normalize-space(text()) ="买入/做多"]')
|
||||
# self.click_safe('x://span[normalize-space(text()) ="卖出/做空"]')
|
||||
|
||||
self.click_safe('x://button[normalize-space(text()) ="平仓"]')
|
||||
self.click_safe('x://span[normalize-space(text()) ="买入/平空"]')
|
||||
self.click_safe('x://span[normalize-space(text()) ="卖出/平多"]')
|
||||
self.click_safe('x://*[@id="futureTradeForm"]/div[5]/div[3]/div[3]/span[3]')
|
||||
|
||||
|
||||
if __name__ == '__main__':
|
||||
BitmartFuturesTransaction(bit_id="f2320f57e24c45529a009e1541e25961").action()
|
||||
@@ -28,12 +28,12 @@ class BitMartETH5M(Model):
|
||||
|
||||
|
||||
def calculate_bollinger_bands(df, period=10, std_dev=2.5):
|
||||
"""计算布林带"""
|
||||
"""计算布林带（右移1根，与回测口径一致）"""
|
||||
df['sma'] = df['close'].rolling(window=period).mean()
|
||||
df['std'] = df['close'].rolling(window=period).std()
|
||||
df['bb_upper'] = df['sma'] + std_dev * df['std']
|
||||
df['bb_mid'] = df['sma']
|
||||
df['bb_lower'] = df['sma'] - std_dev * df['std']
|
||||
df['bb_upper'] = (df['sma'] + std_dev * df['std']).shift(1)
|
||||
df['bb_mid'] = df['sma'].shift(1)
|
||||
df['bb_lower'] = (df['sma'] - std_dev * df['std']).shift(1)
|
||||
return df
|
||||
|
||||
|
||||
@@ -504,20 +504,24 @@ if __name__ == '__main__':
|
||||
try:
|
||||
print("正在生成回测可视化图表...")
|
||||
|
||||
output_dir = Path(__file__).parent / 'backtest_outputs' / 'charts'
|
||||
output_dir.mkdir(parents=True, exist_ok=True)
|
||||
|
||||
# 生成图表数据
|
||||
chart_data, trades_markers = generate_chart_data(
|
||||
start_date='2026-03-01',
|
||||
end_date='2026-03-03',
|
||||
trades_file='bb_backtest_march_2026_trades.csv'
|
||||
trades_file=str(Path(__file__).parent / 'backtest_outputs' / 'trades' / 'bb_backtest_march_2026_trades.csv')
|
||||
)
|
||||
|
||||
print(f"📊 K线数据: {len(chart_data)} 根")
|
||||
print(f"📍 交易标记: {len(trades_markers)} 个")
|
||||
|
||||
# 生成HTML
|
||||
generate_html(chart_data, trades_markers, 'bb_backtest_visualization.html')
|
||||
output_file = output_dir / 'bb_backtest_visualization.html'
|
||||
generate_html(chart_data, trades_markers, str(output_file))
|
||||
|
||||
print("\n🎉 完成！请在浏览器中打开 bb_backtest_visualization.html 查看图表")
|
||||
print(f"\n🎉 完成！请在浏览器中打开 {output_file} 查看图表")
|
||||
|
||||
finally:
|
||||
db.close()
|
||||
|
||||
Reference in New Issue
Block a user