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2026-02-17 00:08:52 +08:00
parent 50d8260437
commit 0dac15af2f
10 changed files with 9562 additions and 9585 deletions
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22
.gitignore vendored Normal file
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@@ -0,0 +1,22 @@
# IDE - IntelliJ IDEA / PyCharm
.idea/
*.iml
*.ipr
*.iws
# Python
__pycache__/
*.py[cod]
*$py.class
*.so
.Python
*.egg-info/
.eggs/
dist/
build/
venv/
.env
.env.local
# 可选：数据库文件（若不想提交到仓库可取消下一行注释）
# models/database.db

10
.idea/.gitignore generated vendored
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@@ -1,10 +0,0 @@
# 默认忽略的文件
/shelf/
/workspace.xml
# 已忽略包含查询文件的默认文件夹
/queries/
# Datasource local storage ignored files
/dataSources/
/dataSources.local.xml
# 基于编辑器的 HTTP 客户端请求
/httpRequests/

6
.idea/inspectionProfiles/profiles_settings.xml generated
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@@ -1,6 +0,0 @@
<component name="InspectionProjectProfileManager">
<settings>
<option name="USE_PROJECT_PROFILE" value="false" />
<version value="1.0" />
</settings>
</component>

8
.idea/jyx_code.iml generated
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@@ -1,8 +0,0 @@
<?xml version="1.0" encoding="UTF-8"?>
<module type="PYTHON_MODULE" version="4">
<component name="NewModuleRootManager">
<content url="file://$MODULE_DIR$" />
<orderEntry type="jdk" jdkName="jyx_code4" jdkType="Python SDK" />
<orderEntry type="sourceFolder" forTests="false" />
</component>
</module>

7
.idea/misc.xml generated
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@@ -1,7 +0,0 @@
<?xml version="1.0" encoding="UTF-8"?>
<project version="4">
<component name="Black">
<option name="sdkName" value="jyx_code" />
</component>
<component name="ProjectRootManager" version="2" project-jdk-name="jyx_code4" project-jdk-type="Python SDK" />
</project>

8
.idea/modules.xml generated
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@@ -1,8 +0,0 @@
<?xml version="1.0" encoding="UTF-8"?>
<project version="4">
<component name="ProjectModuleManager">
<modules>
<module fileurl="file://$PROJECT_DIR$/.idea/jyx_code.iml" filepath="$PROJECT_DIR$/.idea/jyx_code.iml" />
</modules>
</component>
</project>

6
.idea/vcs.xml generated
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@@ -1,6 +0,0 @@
<?xml version="1.0" encoding="UTF-8"?>
<project version="4">
<component name="VcsDirectoryMappings">
<mapping directory="" vcs="Git" />
</component>
</project>

19022
models/eth_ai_strategy/model.txt
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32
models/eth_ai_strategy/strategy_params.json
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@@ -1,31 +1,31 @@
{
"bb_period": 20,
"bb_period": 14,
"bb_std": 2.0,
"keltner_period": 20,
"keltner_period": 14,
"keltner_atr_mult": 2.0,
"donchian_period": 20,
"stoch_k_period": 14,
"stoch_d_period": 3,
"cci_period": 20,
"donchian_period": 30,
"stoch_k_period": 20,
"stoch_d_period": 5,
"cci_period": 14,
"willr_period": 14,
"rsi_period": 14,
"rsi_period": 21,
"atr_band_period": 20,
"atr_band_mult": 2.0,
"zscore_period": 20,
"lr_period": 20,
"lr_std_mult": 2.0,
"median_band_period": 20,
"pct_rank_period": 20,
"chandelier_period": 22,
"chandelier_mult": 3.0,
"pct_rank_period": 30,
"chandelier_period": 14,
"chandelier_mult": 2.5,
"std_band_period": 14,
"std_band_mult": 2.0,
"elder_period": 13,
"forward_bars": 10,
"elder_period": 10,
"forward_bars": 15,
"label_threshold": 0.002,
"prob_threshold": 0.45,
"sl_pct": 0.004,
"tp_pct": 0.006,
"prob_threshold": 0.52,
"sl_pct": 0.003,
"tp_pct": 0.005,
"min_hold_seconds": 180,
"max_hold_seconds": 1800,
"margin_per_trade": 100.0,
@@ -34,7 +34,7 @@
"rebate_rate": 0.9,
"train_period": "2020-01-01 ~ 2021-01-01",
"test_period": "2021-01-01 ~ 2022-01-01",
"kline_period": "5m",
"kline_period": "1h",
"initial_balance": 10000.0,
"max_dd_target": 500.0
}

26
训练AI策略_ETH合约.py
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@@ -41,7 +41,7 @@ NET_FEE_PER_TRADE = FULL_FEE_PER_TRADE - REBATE_PER_TRADE # 净手续费
# 本金与风控目标
INITIAL_BALANCE = 10000.0 # 本金 10000 USDT
MAX_DD_TARGET = 500.0 # 目标：可用资金最大回撤 ≤ 500 USDT
MAX_DD_TARGET = 300.0 # 目标：可用资金最大回撤 ≤ 300 USDT
# 训练 / 真实回测 时间范围（左闭右开）
TRAIN_START = '2020-01-01'
@@ -722,18 +722,18 @@ def _grid_indicator_and_strategy(max_configs: int = 220, seed: int = 42):
chandelier_opts = [(22, 3.0), (14, 2.5), (30, 3.5)]
std_band_opts = [(14, 2.0), (20, 2.0), (14, 2.5)]
elder_opts = [10, 13, 20]
# 策略：更保守选项压低回撤（紧止损、高置信、风控参数）
# 策略：严格风控压低回撤至300U以内（紧止损、高置信、严风控）
label_opts = [(8, 0.0015), (10, 0.002), (10, 0.003), (15, 0.002), (20, 0.003)]
sl_tp_opts = [
(0.0015, 0.003), (0.002, 0.004), (0.0025, 0.005), (0.003, 0.005),
(0.003, 0.006), (0.004, 0.006), (0.004, 0.008),
(0.0015, 0.003), (0.002, 0.004), (0.002, 0.005), (0.0025, 0.005),
(0.003, 0.005), (0.003, 0.006), (0.003, 0.008),
]
prob_opts = [0.48, 0.50, 0.52, 0.55]
meta_th_opts = [0.50, 0.55, 0.60, 0.65]
daily_loss_opts = [50.0, 80.0, 120.0]
dd_breaker_opts = [300.0, 400.0, 500.0]
cooldown_opts = [20, 30, 50]
consec_loss_opts = [3, 5, 7]
prob_opts = [0.50, 0.52, 0.55, 0.58]
meta_th_opts = [0.55, 0.60, 0.65, 0.70]
daily_loss_opts = [30.0, 40.0, 50.0, 60.0]
dd_breaker_opts = [150.0, 200.0, 250.0, 280.0]
cooldown_opts = [30, 50, 80]
consec_loss_opts = [2, 3, 4]
out = []
for _ in range(max_configs):
bb_p, bb_s = bb_opts[rng.integers(0, len(bb_opts))]
@@ -819,10 +819,10 @@ def run_cycle_compare(periods: list, do_save_best: bool = True):
trades, model, feature_cols = run_single(
df_2020, df_2021, ind,
forward_bars=10, label_threshold=0.002,
prob_threshold=0.50, sl_pct=0.003, tp_pct=0.006,
prob_threshold=0.52, sl_pct=0.003, tp_pct=0.006,
min_hold=180, max_hold=1800,
meta_threshold=0.55, daily_loss_limit=80.0,
dd_circuit_breaker=400.0, cooldown_bars=30, max_consec_losses=5,
meta_threshold=0.60, daily_loss_limit=40.0,
dd_circuit_breaker=200.0, cooldown_bars=50, max_consec_losses=3,
use_ensemble=True,
)
if not trades or model is None: