优化回调平仓规则
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ddrwode
@@ -54,6 +54,9 @@ class BitmartFuturesTransaction:
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self.retrace_ratio = 0.5 # 回撤系数，如 0.5 表示允许回撤涨幅的 50%（类似斐波那契 50% 回撤）
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self.min_rise_pct_to_activate = 0.02 # 至少涨/跌这么多才启用动态回撤，避免噪音
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self.min_drop_pct_from_high = 0.03 # 至少从最高点回撤这么多%才平仓（保底，避免过于敏感）
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# EMA(10) + EMA(20) / ATR(14) 平仓（多单优先）：收盘跌破 EMA10 先平；或从最高价回撤 ≥ atr_multiplier×ATR(14) 平
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self.use_ema_atr_exit = True # 是否启用 EMA/ATR 平仓规则（多单）
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self.atr_multiplier = 1.1 # 追踪止盈：从最高价回撤 ≥ 此倍数 × ATR(14) 则平仓
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self._candle_high_seen = None # 当前K线内见过的最高价（多头用）
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self._candle_low_seen = None # 当前K线内见过的最低价（空头用）
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self._candle_id_for_high_low = None # 记录高低对应的K线 id，换线则重置
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@@ -103,6 +106,78 @@ class BitmartFuturesTransaction:
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self.ding(text="获取K线异常", error=True)
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return None, None
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def get_klines_series(self, count=35):
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"""获取最近 count 根 5 分钟 K 线（用于 EMA/ATR），按时间正序。最后一根为当前未收盘 K 线。"""
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try:
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end_time = int(time.time())
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response = self.contractAPI.get_kline(
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contract_symbol=self.contract_symbol,
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step=5,
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start_time=end_time - 3600 * 4,
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end_time=end_time
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)[0]["data"]
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formatted = []
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for k in response:
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formatted.append({
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'id': int(k["timestamp"]),
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'open': float(k["open_price"]),
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'high': float(k["high_price"]),
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'low': float(k["low_price"]),
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'close': float(k["close_price"])
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})
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formatted.sort(key=lambda x: x['id'])
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return formatted[-count:] if len(formatted) >= count else formatted
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except Exception as e:
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logger.error(f"获取K线序列异常: {e}")
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return []
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@staticmethod
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def _ema(series, period):
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"""对序列 series（从旧到新）计算 EMA(period)，返回最后一个 EMA 值。"""
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if not series or len(series) < period:
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return None
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alpha = 2.0 / (period + 1)
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ema = sum(series[:period]) / period # 用前 period 根收盘的 SMA 做种子
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for i in range(period, len(series)):
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ema = alpha * series[i] + (1 - alpha) * ema
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return ema
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@staticmethod
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def _atr(klines, period=14):
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"""对 klines（从旧到新，每项含 high/low/close）计算 ATR(period)，返回最后一个 ATR 值。"""
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if not klines or len(klines) < period + 1:
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return None
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tr_list = []
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for i in range(1, len(klines)):
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high, low = klines[i]['high'], klines[i]['low']
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prev_close = klines[i - 1]['close']
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tr = max(high - low, abs(high - prev_close), abs(low - prev_close))
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tr_list.append(tr)
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if len(tr_list) < period:
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return None
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# ATR = EMA(TR, period)
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alpha = 2.0 / (period + 1)
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atr = sum(tr_list[:period]) / period
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for i in range(period, len(tr_list)):
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atr = alpha * tr_list[i] + (1 - alpha) * atr
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return atr
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def get_ema_atr_for_exit(self, kline_series):
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"""
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基于已收盘 K 线计算 EMA10、EMA20、ATR(14)。
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kline_series 最后一根可为当前未收盘 K 线，计算时用倒数第 2~N 根作为已收盘。
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返回 (ema10, ema20, atr14)，任一不足则对应为 None。
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"""
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if not kline_series or len(kline_series) < 21:
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return None, None, None
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# 用除最后一根外的已收盘 K 线（若只有 21 根则用前 20 根）
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closed = kline_series[:-1] if len(kline_series) >= 21 else kline_series[:20]
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closes = [k['close'] for k in closed]
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ema10 = self._ema(closes, 10)
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ema20 = self._ema(closes, 20)
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atr14 = self._atr(closed, 14)
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return ema10, ema20, atr14
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def get_current_price(self):
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"""获取当前最新价格"""
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try:
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@@ -622,18 +697,42 @@ class BitmartFuturesTransaction:
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logger.debug(f"当前持仓状态: {self.start} (0=无, 1=多, -1=空)")
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# 3.5 止损/止盈/移动止损 + 当前K线从极值回落平仓
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# 3.5 止损/止盈/移动止损 + EMA/ATR 平仓 + 当前K线从极值回落平仓
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if self.start != 0:
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# 当前K线从最高/最低点回落平仓：换线重置跟踪，有持仓时更新本K线内最高/最低价并检查
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if self._candle_id_for_high_low != current_kline_time:
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self._candle_high_seen = None
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self._candle_low_seen = None
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self._candle_id_for_high_low = current_kline_time
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# 多头：先更新本 K 线最高价（供 ATR 追踪与后续回落逻辑用）
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if self.start == 1:
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self._candle_high_seen = max(self._candle_high_seen or 0, current_price)
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elif self.start == -1:
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self._candle_low_seen = min(self._candle_low_seen or float('inf'), current_price)
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# 多单优先：EMA(10) + ATR(14) 平仓 —— 收盘跌破 EMA10 先平；或从最高价回撤 ≥ 1.1×ATR 平
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if self.start == 1 and self.use_ema_atr_exit:
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kline_series = self.get_klines_series(35)
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ema10, ema20, atr14 = self.get_ema_atr_for_exit(kline_series)
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if ema10 is not None and current_price < ema10:
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logger.info(f"多单 EMA10 平仓：当前价 {current_price:.2f} 跌破 EMA10 {ema10:.2f}（能赚点是点）")
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self.平仓()
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self.max_unrealized_pnl_seen = None
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self._candle_high_seen = None
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time.sleep(3)
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continue
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if atr14 is not None and self._candle_high_seen and (self._candle_high_seen - current_price) >= self.atr_multiplier * atr14:
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logger.info(f"多单 ATR 追踪止盈：最高 {self._candle_high_seen:.2f}，当前 {current_price:.2f}，回撤 {(self._candle_high_seen - current_price):.2f} >= {self.atr_multiplier}×ATR(14)={atr14:.2f}")
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self.平仓()
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self.max_unrealized_pnl_seen = None
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self._candle_high_seen = None
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time.sleep(3)
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continue
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use_fixed = self.drop_from_high_mode == 'fixed' and self.drop_from_high_to_close and self.drop_from_high_to_close > 0
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use_pct = self.drop_from_high_mode == 'pct_retrace'
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if use_fixed or use_pct:
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if self.start == 1: # 多头：跟踪当前K线最高价，从最高点回落超过阈值则平仓
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self._candle_high_seen = max(self._candle_high_seen or 0, current_price)
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if self.start == 1: # 多头：最高价已在上面更新，这里只做回落判断
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do_close = False
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if use_fixed and self._candle_high_seen and current_price <= self._candle_high_seen - self.drop_from_high_to_close:
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do_close = True
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