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ddrwode
305
adaptive_third_strategy/strategy_core.py
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305
adaptive_third_strategy/strategy_core.py
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# -*- coding: utf-8 -*-
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"""
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自适应三分位趋势策略 - 核心逻辑
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趋势过滤、动态阈值、信号确认、市场状态
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"""
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from typing import List, Dict, Optional, Tuple
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import sys
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import os
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ROOT_DIR = os.path.dirname(os.path.dirname(os.path.abspath(__file__)))
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if ROOT_DIR not in sys.path:
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sys.path.insert(0, ROOT_DIR)
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from adaptive_third_strategy.config import (
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MIN_BODY_ATR_RATIO,
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MIN_VOLATILITY_PERCENT,
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EMA_SHORT,
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EMA_LONG_FAST,
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EMA_LONG_SLOW,
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EMA_MID_FAST,
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EMA_MID_SLOW,
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ATR_PERIOD,
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VOLATILITY_COEF_CLAMP,
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BASE_COEF,
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TREND_FAVOR_COEF,
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TREND_AGAINST_COEF,
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TREND_MODE,
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CONFIRM_REQUIRED,
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VOLUME_MA_PERIOD,
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VOLUME_RATIO_THRESHOLD,
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REVERSE_BREAK_MULT,
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MIN_BARS_SINCE_ENTRY,
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FORBIDDEN_PERIODS,
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ATR_PAUSE_MULT,
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STRONG_TREND_COEF,
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RANGE_COEF,
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HIGH_VOL_EXTRA_CONFIRM,
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)
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from adaptive_third_strategy.indicators import (
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get_ema_atr_from_klines,
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align_higher_tf_ema,
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ema,
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)
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def get_body_size(candle: Dict) -> float:
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return abs(float(candle["open"]) - float(candle["close"]))
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def is_bullish(candle: Dict) -> bool:
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return float(candle["close"]) > float(candle["open"])
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def get_min_body_threshold(price: float, atr_value: Optional[float]) -> float:
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"""有效K线最小实体 = max(ATR*0.1, 价格*0.05%)"""
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min_vol = price * MIN_VOLATILITY_PERCENT
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if atr_value is not None and atr_value > 0:
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min_vol = max(min_vol, atr_value * MIN_BODY_ATR_RATIO)
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return min_vol
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def find_valid_prev_bar(
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all_data: List[Dict],
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current_idx: int,
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atr_series: List[Optional[float]],
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min_body_override: Optional[float] = None,
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) -> Tuple[Optional[int], Optional[Dict]]:
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"""从当前索引往前找实体>=阈值的K线。阈值 = max(ATR*0.1, 价格*0.05%)"""
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if current_idx <= 0:
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return None, None
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for i in range(current_idx - 1, -1, -1):
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prev = all_data[i]
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body = get_body_size(prev)
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price = float(prev["close"])
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atr_val = atr_series[i] if i < len(atr_series) else None
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th = min_body_override if min_body_override is not None else get_min_body_threshold(price, atr_val)
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if body >= th:
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return i, prev
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return None, None
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def get_trend(
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klines_5m: List[Dict],
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idx_5m: int,
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ema_5m: List[Optional[float]],
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ema_15m_align: List[Dict],
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ema_60m_align: List[Dict],
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) -> str:
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"""
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多时间框架趋势。返回 "long" / "short" / "neutral"。
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长期：1h EMA50 vs EMA200；中期：15m EMA20 vs EMA50；短期：5m close vs EMA9。
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ema_*_align: 与 5m 对齐的列表，每项 {"ema_fast", "ema_slow"}。
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"""
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if idx_5m >= len(klines_5m):
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return "neutral"
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curr = klines_5m[idx_5m]
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close_5 = float(curr["close"])
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# 短期
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ema9 = ema_5m[idx_5m] if idx_5m < len(ema_5m) else None
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short_bull = (ema9 is not None and close_5 > ema9)
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# 中期
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mid = ema_15m_align[idx_5m] if idx_5m < len(ema_15m_align) else {}
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mid_bull = (mid.get("ema_fast") is not None and mid.get("ema_slow") is not None
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and mid["ema_fast"] > mid["ema_slow"])
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# 长期
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long_d = ema_60m_align[idx_5m] if idx_5m < len(ema_60m_align) else {}
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long_bull = (long_d.get("ema_fast") is not None and long_d.get("ema_slow") is not None
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and long_d["ema_fast"] > long_d["ema_slow"])
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if TREND_MODE == "aggressive":
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return "long" if short_bull else "short"
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if TREND_MODE == "conservative":
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if mid_bull and short_bull:
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return "long"
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if not mid_bull and not short_bull:
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return "short"
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return "neutral"
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# strict
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if long_bull and mid_bull and short_bull:
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return "long"
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if not long_bull and not mid_bull and not short_bull:
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return "short"
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return "neutral"
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def get_dynamic_trigger_levels(
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prev: Dict,
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atr_value: float,
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trend: str,
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market_state: str = "normal",
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) -> Tuple[Optional[float], Optional[float]]:
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"""
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动态三分位触发价。
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波动率系数 = clamp(实体/ATR, 0.3, 3.0)，调整系数 = 0.33 * 波动率系数。
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顺势方向 ×0.8，逆势 ×1.2。
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"""
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body = get_body_size(prev)
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if body < 1e-6 or atr_value <= 0:
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return None, None
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vol_coef = body / atr_value
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vol_coef = max(VOLATILITY_COEF_CLAMP[0], min(VOLATILITY_COEF_CLAMP[1], vol_coef))
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adj = BASE_COEF * vol_coef
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if market_state == "strong_trend":
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adj = STRONG_TREND_COEF
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elif market_state == "range":
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adj = RANGE_COEF
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p_close = float(prev["close"])
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if trend == "long":
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long_adj = adj * TREND_FAVOR_COEF
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short_adj = adj * TREND_AGAINST_COEF
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elif trend == "short":
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long_adj = adj * TREND_AGAINST_COEF
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short_adj = adj * TREND_FAVOR_COEF
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else:
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long_adj = short_adj = adj
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long_trigger = p_close + body * long_adj
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short_trigger = p_close - body * short_adj
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return long_trigger, short_trigger
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def check_signal_confirm(
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curr: Dict,
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direction: str,
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trigger_price: float,
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all_data: List[Dict],
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current_idx: int,
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volume_ma: Optional[float],
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required: int = CONFIRM_REQUIRED,
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) -> int:
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"""
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确认条件计数：收盘价确认、成交量确认、动量确认。
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返回满足的个数。
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"""
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count = 0
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c_close = float(curr["close"])
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c_volume = float(curr.get("volume", 0))
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# 1. 收盘价确认
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if direction == "long" and c_close >= trigger_price:
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count += 1
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elif direction == "short" and c_close <= trigger_price:
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count += 1
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# 2. 成交量确认
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if volume_ma is not None and volume_ma > 0 and c_volume >= volume_ma * VOLUME_RATIO_THRESHOLD:
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count += 1
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# 3. 动量确认：当前K线实体方向与信号一致
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if direction == "long" and is_bullish(curr):
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count += 1
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elif direction == "short" and not is_bullish(curr):
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count += 1
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return count
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def in_forbidden_period(ts_sec: int) -> bool:
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"""是否在禁止交易时段（按 UTC+8 小时:分）"""
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from datetime import datetime, timezone
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try:
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dt = datetime.fromtimestamp(ts_sec, tz=timezone.utc)
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except Exception:
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dt = datetime.utcfromtimestamp(ts_sec)
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# 转 UTC+8
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hour = (dt.hour + 8) % 24
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minute = dt.minute
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for h1, m1, h2, m2 in FORBIDDEN_PERIODS:
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t1 = h1 * 60 + m1
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t2 = h2 * 60 + m2
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t = hour * 60 + minute
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if t1 <= t < t2:
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return True
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return False
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def get_market_state(
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atr_value: float,
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atr_avg: Optional[float],
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trend: str,
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) -> str:
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"""normal / strong_trend / range / high_vol"""
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if atr_avg is not None and atr_avg > 0 and atr_value >= atr_avg * ATR_PAUSE_MULT:
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return "high_vol"
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if trend in ("long", "short") and atr_avg is not None and atr_value > atr_avg * 1.2:
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return "strong_trend"
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if trend == "neutral":
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return "range"
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return "normal"
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def check_trigger(
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all_data: List[Dict],
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current_idx: int,
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atr_series: List[Optional[float]],
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ema_5m: List[Optional[float]],
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ema_15m_align: List[Dict],
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ema_60m_align: List[Dict],
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volume_ma_list: Optional[List[Optional[float]]] = None,
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use_confirm: bool = True,
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) -> Tuple[Optional[str], Optional[float], Optional[int], Optional[Dict]]:
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"""
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检查当前K线是否产生有效信号（含趋势过滤与确认）。
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返回 (方向, 触发价, 有效前一根索引, 有效前一根K线) 或 (None, None, None, None)。
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"""
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if current_idx <= 0 or current_idx >= len(all_data):
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return None, None, None, None
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curr = all_data[current_idx]
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valid_prev_idx, prev = find_valid_prev_bar(all_data, current_idx, atr_series)
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if prev is None:
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return None, None, None, None
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atr_val = atr_series[current_idx] if current_idx < len(atr_series) else None
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if atr_val is None or atr_val <= 0:
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return None, None, None, None
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trend = get_trend(
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all_data, current_idx, ema_5m, ema_15m_align, ema_60m_align,
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)
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atr_avg = None
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if atr_series:
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valid_atr = [x for x in atr_series[: current_idx + 1] if x is not None and x > 0]
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if len(valid_atr) >= ATR_PERIOD:
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atr_avg = sum(valid_atr) / len(valid_atr)
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market_state = get_market_state(atr_val, atr_avg, trend)
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if market_state == "high_vol":
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return None, None, None, None
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long_trigger, short_trigger = get_dynamic_trigger_levels(prev, atr_val, trend, market_state)
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if long_trigger is None:
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return None, None, None, None
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c_high = float(curr["high"])
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c_low = float(curr["low"])
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long_triggered = c_high >= long_trigger
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short_triggered = c_low <= short_trigger
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direction = None
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trigger_price = None
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if long_triggered and short_triggered:
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c_open = float(curr["open"])
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if abs(c_open - short_trigger) <= abs(c_open - long_trigger):
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direction, trigger_price = "short", short_trigger
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else:
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direction, trigger_price = "long", long_trigger
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elif short_triggered:
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direction, trigger_price = "short", short_trigger
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elif long_triggered:
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direction, trigger_price = "long", long_trigger
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if direction is None:
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return None, None, None, None
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# 趋势过滤：逆势不交易（可选，这里做过滤）
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if trend == "long" and direction == "short":
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return None, None, None, None
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if trend == "short" and direction == "long":
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return None, None, None, None
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# 禁止时段
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if in_forbidden_period(curr["id"]):
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return None, None, None, None
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# 信号确认
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if use_confirm and CONFIRM_REQUIRED > 0:
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vol_ma = volume_ma_list[current_idx] if volume_ma_list and current_idx < len(volume_ma_list) else None
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n = check_signal_confirm(curr, direction, trigger_price, all_data, current_idx, vol_ma, CONFIRM_REQUIRED)
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if n < CONFIRM_REQUIRED:
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return None, None, None, None
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return direction, trigger_price, valid_prev_idx, prev
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def build_volume_ma(klines: List[Dict], period: int = VOLUME_MA_PERIOD) -> List[Optional[float]]:
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"""前 period-1 为 None，之后为 volume 的 SMA"""
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vol = [float(k.get("volume", 0)) for k in klines]
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out: List[Optional[float]] = [None] * (period - 1)
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for i in range(period - 1, len(vol)):
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out.append(sum(vol[i - period + 1 : i + 1]) / period)
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return out
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