日志展示优化

bitmart/交易.py

@@ -67,15 +67,13 @@ class BitmartFuturesTransaction:
         # 策略优化参数
         self.min_prev_entity_pct = 0.1  # 上一根K线实体涨幅（%），仅当实体涨幅 > 此值才用作“上一根”
 
-        # 多仓止盈：基于当前K线开盘价，涨 0.4% 后回调 0.3% 平仓，涨回 0.2% 同向开多
-        self.take_profit_rise_pct = 0.4  # 触发止盈的涨幅（%）
-        self.take_profit_retrace_pct = 0.3  # 回调此幅度（%）则平仓
-        self.reentry_rise_pct = 0.2  # 平仓后涨回此幅度（%）则开多
-        self.take_profit_triggered_kline_id = None  # 本K线内是否已出现过“涨 0.4%”
-        self.take_profit_reentry_threshold = None  # 止盈平仓后，价格 >= 此值则开多（同向）
-        # 空仓止盈：跌 0.4% 后反弹 0.3% 平空，再跌到 0.2% 同向开空（复用上面三个百分比）
-        self.take_profit_triggered_kline_id_short = None  # 本K线内是否已出现过“跌 0.4%”
-        self.take_profit_reentry_threshold_short = None  # 止盈平空后，价格 <= 此值则开空（同向）
+        # 自动止盈：基于当前K线振幅四等分（多仓用 open~high，空仓用 open~low）
+        self.take_profit_close_quartile = 3  # 达到极值后，回到 3/4 位置平仓
+        self.take_profit_reentry_quartile = 2  # 止盈后，继续回到 2/4 位置同向再开仓
+        self.take_profit_triggered_kline_id = None  # 多仓：本K线内是否出现过 open~high 的极值触发
+        self.take_profit_reentry_threshold = None  # 多仓止盈平仓后，价格 <= 此值则开多（同向）
+        self.take_profit_triggered_kline_id_short = None  # 空仓：本K线内是否出现过 open~low 的极值触发
+        self.take_profit_reentry_threshold_short = None  # 空仓止盈平仓后，价格 >= 此值则开空（同向）
 
         self.optimized_params_file = Path(__file__).resolve().parent / "atr_best_params.json"
         self.strategy_log_dir = Path(__file__).resolve().parent  # 策略开仓日志目录
@@ -358,6 +356,52 @@ class BitmartFuturesTransaction:
             'lower': min(kline['open'], kline['close'])  # 实体下边
         }
 
+    def calc_long_take_profit_levels(self, current_kline):
+        """
+        多仓止盈阈值（自动四等分）：
+        基于当前K线 open~high 计算：
+        - extreme: high（4/4 极值）
+        - close: open + 3/4 * (high-open)
+        - reentry: open + 2/4 * (high-open)
+        """
+        k_open = float(current_kline['open'])
+        k_high = float(current_kline['high'])
+        if k_high <= k_open:
+            return None
+
+        move = k_high - k_open
+        close_threshold = k_open + move * (self.take_profit_close_quartile / 4)
+        reentry_threshold = k_open + move * (self.take_profit_reentry_quartile / 4)
+        return {
+            "open": k_open,
+            "extreme": k_high,
+            "close_threshold": close_threshold,
+            "reentry_threshold": reentry_threshold
+        }
+
+    def calc_short_take_profit_levels(self, current_kline):
+        """
+        空仓止盈阈值（自动四等分）：
+        基于当前K线 open~low 计算：
+        - extreme: low（4/4 极值）
+        - close: open - 3/4 * (open-low)
+        - reentry: open - 2/4 * (open-low)
+        """
+        k_open = float(current_kline['open'])
+        k_low = float(current_kline['low'])
+        if k_low >= k_open:
+            return None
+
+        move = k_open - k_low
+        close_threshold = k_open - move * (self.take_profit_close_quartile / 4)
+        reentry_threshold = k_open - move * (self.take_profit_reentry_quartile / 4)
+        return {
+            "open": k_open,
+            "extreme": k_low,
+            "close_threshold": close_threshold,
+            "reentry_threshold": reentry_threshold
+        }
+
     def check_signal(self, current_price, prev_kline, current_kline):
         """
         检查交易信号
@@ -692,36 +736,39 @@ class BitmartFuturesTransaction:
 
                 logger.debug(f"当前持仓状态: {self.start} (0=无, 1=多, -1=空)")
 
-                kline_open = current_kline['open']
                 signal = None
 
-                # 3.5 多仓止盈：当前K线涨 0.4% 后回调 0.3% 则平仓
+                # 3.5 多仓止盈（自动四等分）：open~high 达到极值后，回到 3/4 平仓
                 if self.start == 1:
-                    rise_threshold = kline_open * (1 + self.take_profit_rise_pct / 100)
-                    retrace_close_threshold = kline_open * (1 + (self.take_profit_rise_pct - self.take_profit_retrace_pct) / 100)
-                    if current_price >= rise_threshold:
-                        self.take_profit_triggered_kline_id = current_kline_time
-                    if (
-                        self.take_profit_triggered_kline_id == current_kline_time
-                        and current_price <= retrace_close_threshold
-                    ):
-                        reason = (
-                            f"当前K线开盘价={kline_open:.2f}，曾涨至≥{rise_threshold:.2f}(+{self.take_profit_rise_pct}%)，"
-                            f"现价{current_price:.2f}已回调至≤{retrace_close_threshold:.2f}(+{self.take_profit_rise_pct - self.take_profit_retrace_pct}%)，按规则止盈平多"
-                        )
-                        self._log_take_profit_action("止盈平多仓", reason)
-                        self.平仓()
-                        self.take_profit_reentry_threshold = kline_open * (1 + self.reentry_rise_pct / 100)
-                        self.take_profit_triggered_kline_id = None
-                        page_start = True
-                        time.sleep(1)
+                    long_levels = self.calc_long_take_profit_levels(current_kline)
+                    if long_levels is not None:
+                        retrace_close_threshold = long_levels["close_threshold"]
+                        # 使用当前K线 high 判定是否已触发到 4/4 极值，避免依赖分钟收盘价漏判
+                        if long_levels["extreme"] > long_levels["open"]:
+                            self.take_profit_triggered_kline_id = current_kline_time
+                        if (
+                            self.take_profit_triggered_kline_id == current_kline_time
+                            and current_price <= retrace_close_threshold
+                        ):
+                            reason = (
+                                f"当前K线开盘价={long_levels['open']:.2f}，最高价={long_levels['extreme']:.2f}(4/4)；"
+                                f"现价{current_price:.2f}已回调至≤{retrace_close_threshold:.2f}(3/4)，按规则止盈平多"
+                            )
+                            self._log_take_profit_action("止盈平多仓", reason)
+                            self.平仓()
+                            self.take_profit_reentry_threshold = long_levels["reentry_threshold"]
+                            self.take_profit_triggered_kline_id = None
+                            page_start = True
+                            time.sleep(1)
+                        else:
+                            signal = self.check_signal(current_price, prev_kline, current_kline)
                     else:
                         signal = self.check_signal(current_price, prev_kline, current_kline)
-                # 3.6 止盈平多后：价格涨回 0.2% 则同向开多
+                # 3.6 止盈平多后：价格继续回调到 2/4 则同向开多
                 elif self.start == 0 and self.take_profit_reentry_threshold is not None:
-                    if current_price >= self.take_profit_reentry_threshold:
+                    if current_price <= self.take_profit_reentry_threshold:
                         reason = (
-                            f"止盈平仓后价格涨回≥{self.take_profit_reentry_threshold:.2f}(相对当根K线开盘+{self.reentry_rise_pct}%)，按规则同向开多"
+                            f"止盈平仓后价格继续回调至≤{self.take_profit_reentry_threshold:.2f}(2/4)，按规则同向开多"
                         )
                         self._log_take_profit_action("止盈后同向开多", reason)
                         self.开单(marketPriceLongOrder=1, size=self.default_order_size)
@@ -737,33 +784,37 @@ class BitmartFuturesTransaction:
                         self.take_profit_reentry_threshold = None
                     else:
                         signal = self.check_signal(current_price, prev_kline, current_kline)
-                # 3.7 空仓止盈：当前K线跌 0.4% 后反弹 0.3% 则平空
+                # 3.7 空仓止盈（自动四等分）：open~low 达到极值后，回到 3/4 平仓
                 elif self.start == -1:
-                    drop_threshold = kline_open * (1 - self.take_profit_rise_pct / 100)
-                    retrace_close_threshold_short = kline_open * (1 - (self.take_profit_rise_pct - self.take_profit_retrace_pct) / 100)
-                    if current_price <= drop_threshold:
-                        self.take_profit_triggered_kline_id_short = current_kline_time
-                    if (
-                        self.take_profit_triggered_kline_id_short == current_kline_time
-                        and current_price >= retrace_close_threshold_short
-                    ):
-                        reason = (
-                            f"当前K线开盘价={kline_open:.2f}，曾跌至≤{drop_threshold:.2f}(-{self.take_profit_rise_pct}%)，"
-                            f"现价{current_price:.2f}已反弹至≥{retrace_close_threshold_short:.2f}(-{self.take_profit_rise_pct - self.take_profit_retrace_pct}%)，按规则止盈平空"
-                        )
-                        self._log_take_profit_action("止盈平空仓", reason)
-                        self.平仓()
-                        self.take_profit_reentry_threshold_short = kline_open * (1 - self.reentry_rise_pct / 100)
-                        self.take_profit_triggered_kline_id_short = None
-                        page_start = True
-                        time.sleep(1)
+                    short_levels = self.calc_short_take_profit_levels(current_kline)
+                    if short_levels is not None:
+                        retrace_close_threshold_short = short_levels["close_threshold"]
+                        # 使用当前K线 low 判定是否已触发到 4/4 极值，避免依赖分钟收盘价漏判
+                        if short_levels["extreme"] < short_levels["open"]:
+                            self.take_profit_triggered_kline_id_short = current_kline_time
+                        if (
+                            self.take_profit_triggered_kline_id_short == current_kline_time
+                            and current_price >= retrace_close_threshold_short
+                        ):
+                            reason = (
+                                f"当前K线开盘价={short_levels['open']:.2f}，最低价={short_levels['extreme']:.2f}(4/4)；"
+                                f"现价{current_price:.2f}已反弹至≥{retrace_close_threshold_short:.2f}(3/4)，按规则止盈平空"
+                            )
+                            self._log_take_profit_action("止盈平空仓", reason)
+                            self.平仓()
+                            self.take_profit_reentry_threshold_short = short_levels["reentry_threshold"]
+                            self.take_profit_triggered_kline_id_short = None
+                            page_start = True
+                            time.sleep(1)
+                        else:
+                            signal = self.check_signal(current_price, prev_kline, current_kline)
                     else:
                         signal = self.check_signal(current_price, prev_kline, current_kline)
-                # 3.8 止盈平空后：价格再跌到 0.2% 则同向开空
+                # 3.8 止盈平空后：价格继续反弹到 2/4 则同向开空
                 elif self.start == 0 and self.take_profit_reentry_threshold_short is not None:
-                    if current_price <= self.take_profit_reentry_threshold_short:
+                    if current_price >= self.take_profit_reentry_threshold_short:
                         reason = (
-                            f"止盈平空后价格再跌至≤{self.take_profit_reentry_threshold_short:.2f}(相对当根K线开盘-{self.reentry_rise_pct}%)，按规则同向开空"
+                            f"止盈平空后价格继续反弹至≥{self.take_profit_reentry_threshold_short:.2f}(2/4)，按规则同向开空"
                         )
                         self._log_take_profit_action("止盈后同向开空", reason)
                         self.开单(marketPriceLongOrder=-1, size=self.default_order_size)