加入一个回测，
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ddrwode
443158
bb_sweep_results.csv
443158
bb_sweep_results.csv
File diff suppressed because it is too large
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@@ -48,9 +48,10 @@ class BBDelayReversalConfig:
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# 递增加仓 (D方案)
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PYRAMID_STEP = 0.01 # 每次加仓增加1%权益比例 (1%→2%→3%→4%)
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PYRAMID_MAX = 3 # 最多加仓3次 (首次开仓不算)
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PYRAMID_MAX = 1 # 最多加仓1次 (首次开仓不算)
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# 风控
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STOP_LOSS_PCT = 0.50 # 亏损百分之50就平仓
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MAX_DAILY_LOSS = 50.0 # 日最大亏损(U)，达到后停止交易
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COOLDOWN_SECONDS = 30 # 两次交易之间最小间隔(秒)
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@@ -98,6 +99,12 @@ class BBDelayReversalTrader:
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self.position = 0
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self.open_avg_price = None
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self.current_amount = None
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self.unrealized_value = 0.0
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# 半仓折返逻辑状态
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self.has_half_closed = False # 是否已经触发过“平一半”逻辑
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self.highest_since_open = None # 持有多仓以来的最高价
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self.lowest_since_open = None # 持有空仓以来的最低价
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# 加仓状态
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self.pyramid_count = 0 # 当前已加仓次数 (0=仅首次开仓)
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@@ -195,14 +202,18 @@ class BBDelayReversalTrader:
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self.position = 0
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self.open_avg_price = None
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self.current_amount = None
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self.unrealized_value = 0.0
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self.has_half_closed = False
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self.highest_since_open = None
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self.lowest_since_open = None
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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.open_avg_price = float(pos["open_avg_price"])
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self.current_amount = float(pos["current_amount"])
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unrealized = float(pos.get("unrealized_value", 0))
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self.unrealized_value = float(pos.get("unrealized_value", 0))
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logger.debug(f"持仓: dir={self.position} price={self.open_avg_price} "
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f"amt={self.current_amount} upnl={unrealized:.2f}")
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f"amt={self.current_amount} upnl={self.unrealized_value:.2f}")
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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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@@ -258,8 +269,37 @@ class BBDelayReversalTrader:
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def browser_close_position(self) -> bool:
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"""浏览器点击市价全平"""
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logger.info("浏览器操作: 市价平仓")
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self.click_safe('x://button[normalize-space(text()) ="平仓"]')
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time.sleep(0.5)
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self.click_safe('x://*[@id="futureTradeForm"]/div[5]/div[3]/div[3]/span[5]') # 100%
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time.sleep(0.5)
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return self.click_safe('x://span[normalize-space(text()) ="市价"]')
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def browser_half_close_long(self) -> bool:
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"""平一半多仓"""
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logger.info("浏览器操作: 平一半多仓")
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self.click_safe('x://button[normalize-space(text()) ="平仓"]')
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time.sleep(0.5)
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self.click_safe('x://*[@id="futureTradeForm"]/div[5]/div[3]/div[3]/span[3]') # 50%
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time.sleep(0.5)
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return self.click_safe('x://span[normalize-space(text()) ="卖出/平多"]')
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def browser_half_close_short(self) -> bool:
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"""平一半空仓"""
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logger.info("浏览器操作: 平一半空仓")
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self.click_safe('x://button[normalize-space(text()) ="平仓"]')
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time.sleep(0.5)
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self.click_safe('x://*[@id="futureTradeForm"]/div[5]/div[3]/div[3]/span[3]') # 50%
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time.sleep(0.5)
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return self.click_safe('x://span[normalize-space(text()) ="买入/平空"]')
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def reset_position_state(self):
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"""重置所有关于持仓的变量"""
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self.pyramid_count = 0
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self.has_half_closed = False
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self.highest_since_open = None
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self.lowest_since_open = None
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# ------------------------------------------------------------------
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# 仓位操作
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# ------------------------------------------------------------------
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@@ -469,7 +509,127 @@ class BBDelayReversalTrader:
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time.sleep(self.cfg.POLL_INTERVAL)
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continue
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# 5. 信号判断
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# 4.5 止损检查
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if self.position != 0 and self.current_amount and self.open_avg_price:
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position_margin = (self.open_avg_price * self.current_amount) / self.cfg.LEVERAGE
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if position_margin > 0:
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roe = self.unrealized_value / position_margin
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if roe <= -self.cfg.STOP_LOSS_PCT:
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logger.warning(f"触发止损！当前亏损比例: {roe:.2%} (<= -{self.cfg.STOP_LOSS_PCT:.0%})，开始平仓")
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action = "止损平仓"
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reason = f"亏损比例 {roe:.2%} 达到 {self.cfg.STOP_LOSS_PCT:.0%} 止损线"
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self.browser_close_position()
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time.sleep(1)
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for _ in range(10):
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if self.get_position_status() and self.position == 0:
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break
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time.sleep(1)
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if self.position == 0:
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self.reset_position_state()
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self.write_trade_log(action, current_price, bb_upper, bb_mid, bb_lower, reason)
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logger.success("止损平仓成功")
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page_start = True
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try:
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self.page.close()
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except Exception:
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pass
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self.page = None
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time.sleep(5)
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continue
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else:
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logger.error(f"止损平仓失败，当前仍有持仓({self.position})")
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# 5. 极值更新与半仓/全平反手逻辑 (需求: 如果当前做多，涨破中轨后回落碰中轨平一半；再跌到开仓价平全仓反手)
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if self.position == 1 and self.open_avg_price:
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if self.highest_since_open is None or current_price > self.highest_since_open:
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self.highest_since_open = current_price
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# 规则 A1: 涨过中轨
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if self.highest_since_open >= bb_mid:
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# 从最高点回落触碰中轨，且未平过一半
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if not self.has_half_closed and (cur_low <= bb_mid or current_price <= bb_mid):
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if self.can_trade():
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logger.info("做多回落触碰中轨，执行平一半多仓")
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self.browser_half_close_long()
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time.sleep(2)
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self.get_position_status()
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self.has_half_closed = True
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self.write_trade_log("平半仓(多)", current_price, bb_upper, bb_mid, bb_lower, "多单涨破中轨后回落触碰中轨")
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# 切换回开仓面板以防后续逻辑出错
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self.click_safe('x://button[normalize-space(text()) ="开仓"]')
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time.sleep(0.5)
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self.click_safe('x://button[normalize-space(text()) ="市价"]')
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# 规则 A2: 平过一半后，跌回开仓价 -> 全平反手开空
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if self.has_half_closed and (cur_low <= self.open_avg_price or current_price <= self.open_avg_price):
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if self.can_trade():
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logger.info("平半仓后跌回多单开仓价，全平反手开空")
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self.browser_close_position()
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time.sleep(1)
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for _ in range(10):
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if self.get_position_status() and self.position == 0:
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break
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time.sleep(1)
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self.reset_position_state()
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self.click_safe('x://button[normalize-space(text()) ="开仓"]')
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time.sleep(0.5)
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self.click_safe('x://button[normalize-space(text()) ="市价"]')
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self.click_safe('x://span[normalize-space(text()) ="卖出/做空"]')
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time.sleep(3)
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self.get_position_status()
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self.write_trade_log("全平反手(多转空)", current_price, bb_upper, bb_mid, bb_lower, "多单平半后跌回开仓价")
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page_start = True
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try: self.page.close()
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except: pass
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self.page = None
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time.sleep(5)
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continue
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elif self.position == -1 and self.open_avg_price:
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if self.lowest_since_open is None or current_price < self.lowest_since_open:
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self.lowest_since_open = current_price
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# 规则 B1: 跌破过中轨
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if self.lowest_since_open <= bb_mid:
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# 从最低点回升触碰中轨，且未平过一半
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if not self.has_half_closed and (cur_high >= bb_mid or current_price >= bb_mid):
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if self.can_trade():
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logger.info("做空反弹触碰中轨，执行平一半空仓")
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self.browser_half_close_short()
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time.sleep(2)
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self.get_position_status()
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self.has_half_closed = True
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self.write_trade_log("平半仓(空)", current_price, bb_upper, bb_mid, bb_lower, "空单跌破中轨后反弹触碰中轨")
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self.click_safe('x://button[normalize-space(text()) ="开仓"]')
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time.sleep(0.5)
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self.click_safe('x://button[normalize-space(text()) ="市价"]')
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# 规则 B2: 平过一半后，涨回开仓价 -> 全平反手开多
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if self.has_half_closed and (cur_high >= self.open_avg_price or current_price >= self.open_avg_price):
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if self.can_trade():
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logger.info("平半仓后涨回空单开仓价，全平反手开多")
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self.browser_close_position()
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time.sleep(1)
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for _ in range(10):
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if self.get_position_status() and self.position == 0:
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break
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time.sleep(1)
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self.reset_position_state()
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self.click_safe('x://button[normalize-space(text()) ="开仓"]')
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time.sleep(0.5)
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self.click_safe('x://button[normalize-space(text()) ="市价"]')
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self.click_safe('x://span[normalize-space(text()) ="买入/做多"]')
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time.sleep(3)
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self.get_position_status()
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self.write_trade_log("全平反手(空转多)", current_price, bb_upper, bb_mid, bb_lower, "空单平半后涨回开仓价")
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page_start = True
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try: self.page.close()
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except: pass
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self.page = None
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time.sleep(5)
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continue
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# 6. 基本信号判断 (上轨空/下轨多)
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kline_id = current_kline["id"]
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if kline_id == last_kline_id:
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time.sleep(self.cfg.POLL_INTERVAL)
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@@ -507,17 +667,22 @@ class BBDelayReversalTrader:
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logger.warning(f"平仓后仍有持仓({self.position})，放弃开空")
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time.sleep(self.cfg.POLL_INTERVAL)
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continue
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# 翻转时重置加仓计数
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self.pyramid_count = 0
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self.reset_position_state()
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# 平仓后在同一页面直接点卖出/做空
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logger.info("平仓完成，直接开空")
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self.click_safe('x://button[normalize-space(text()) ="开仓"]')
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time.sleep(0.5)
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self.click_safe('x://button[normalize-space(text()) ="市价"]')
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self.click_safe('x://span[normalize-space(text()) ="卖出/做空"]')
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time.sleep(3)
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if self.verify_position(-1):
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success = True
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elif self.position == 0:
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action = "开空"
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self.pyramid_count = 0
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self.reset_position_state()
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self.click_safe('x://button[normalize-space(text()) ="开仓"]')
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time.sleep(0.5)
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self.click_safe('x://button[normalize-space(text()) ="市价"]')
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self.click_safe('x://span[normalize-space(text()) ="卖出/做空"]')
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time.sleep(3)
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if self.verify_position(-1):
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@@ -529,6 +694,9 @@ class BBDelayReversalTrader:
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# 重新计算加仓金额并输入
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add_usdt = self.calc_order_usdt(is_add=True)
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if add_usdt > 0:
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self.click_safe('x://button[normalize-space(text()) ="开仓"]')
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time.sleep(0.5)
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self.click_safe('x://button[normalize-space(text()) ="市价"]')
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self.page.ele('x://*[@id="size_0"]').input(vals=add_usdt, clear=True)
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time.sleep(0.5)
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self.click_safe('x://span[normalize-space(text()) ="卖出/做空"]')
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@@ -560,16 +728,21 @@ class BBDelayReversalTrader:
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logger.warning(f"平仓后仍有持仓({self.position})，放弃开多")
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time.sleep(self.cfg.POLL_INTERVAL)
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continue
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# 翻转时重置加仓计数
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self.pyramid_count = 0
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self.reset_position_state()
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logger.info("平仓完成，直接开多")
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self.click_safe('x://button[normalize-space(text()) ="开仓"]')
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time.sleep(0.5)
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self.click_safe('x://button[normalize-space(text()) ="市价"]')
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self.click_safe('x://span[normalize-space(text()) ="买入/做多"]')
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time.sleep(3)
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if self.verify_position(1):
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success = True
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elif self.position == 0:
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action = "开多"
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self.pyramid_count = 0
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self.reset_position_state()
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self.click_safe('x://button[normalize-space(text()) ="开仓"]')
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time.sleep(0.5)
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self.click_safe('x://button[normalize-space(text()) ="市价"]')
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self.click_safe('x://span[normalize-space(text()) ="买入/做多"]')
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time.sleep(3)
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if self.verify_position(1):
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@@ -581,6 +754,9 @@ class BBDelayReversalTrader:
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# 重新计算加仓金额并输入
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add_usdt = self.calc_order_usdt(is_add=True)
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if add_usdt > 0:
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self.click_safe('x://button[normalize-space(text()) ="开仓"]')
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time.sleep(0.5)
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self.click_safe('x://button[normalize-space(text()) ="市价"]')
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self.page.ele('x://*[@id="size_0"]').input(vals=add_usdt, clear=True)
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time.sleep(0.5)
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self.click_safe('x://span[normalize-space(text()) ="买入/做多"]')
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