哈哈

2026-02-07 22:33:42 +08:00
parent 644927145c
commit e1cc39a18e
1 changed files with 94 additions and 44 deletions
--- a/bitmart/四分之一，五分钟，反手条件充足修改版.py
+++ b/bitmart/四分之一，五分钟，反手条件充足修改版.py
@@ -31,9 +31,12 @@ class BitmartFuturesTransaction:
        self.leverage = "100"  # 高杠杆（全仓模式下可开更大仓位）
        self.open_type = "cross"  # 全仓模式
        self.risk_percent = 0  # 未使用；若启用则可为每次开仓占可用余额的百分比
-        self.trailing_activation_usd = 2  # 盈利达到此金额后启动移动止损
-        self.trailing_distance_usd = 1.5  # 从最高盈利回撤此金额则平仓
-        self.max_unrealized_pnl_seen = None  # 持仓期间见过的最大盈利（用于移动止损）
+
+        # ATR 移动止损：trailing_stop = 最高价 - ATR*k（多）/ 最低价 + ATR*k（空）
+        self.atr_period = 14  # ATR 周期
+        self.atr_k = 2.0  # 稳健 2.5~3，激进 1.5~2
+        self.max_high_since_open = None  # 持多仓期间最高价
+        self.min_low_since_open = None   # 持空仓期间最低价

        self.open_avg_price = None  # 开仓价格
        self.current_amount = None  # 持仓量
@@ -42,7 +45,7 @@ class BitmartFuturesTransaction:
        self.default_order_size = 25  # 开仓/反手张数，统一在此修改

        self.last_trade_kline_id = None  # 上次新开仓所在K线ID，同一根K线只允许开一笔新仓（反手不受限）
-        self.accumulated_loss = 0  # 累计亏损：反手时上一笔亏损累加，移动止损激活阈值需覆盖此亏损
+        self.accumulated_loss = 0  # 累计亏损（反手时记录，预留）

        # 策略相关变量
        self.prev_kline = None  # 上一根K线
@@ -51,7 +54,7 @@ class BitmartFuturesTransaction:
        self.current_open = None  # 当前K线开盘价

    def get_klines(self):
-        """获取最近2根K线（当前K线和上一根K线）"""
+        """获取最近多根K线（用于向前回溯查找实体足够大的K线）"""
        try:
            end_time = int(time.time())
            # 获取足够多的条目确保有最新的K线
@@ -74,14 +77,14 @@ class BitmartFuturesTransaction:
                })
            formatted.sort(key=lambda x: x['id'])

-            # 返回最近2根K线：倒数第二根（上一根）和最后一根（当前）
+            # 返回所有K线列表（按时间升序），至少需要2根
            if len(formatted) >= 2:
-                return formatted[-2], formatted[-1]
-            return None, None
+                return formatted
+            return None
        except Exception as e:
            logger.error(f"获取K线异常: {e}")
            self.ding(text="获取K线异常", error=True)
-            return None, None
+            return None

    def get_current_price(self):
        """获取当前最新价格"""
@@ -262,19 +265,55 @@ class BitmartFuturesTransaction:
            'lower': min(kline['open'], kline['close'])  # 实体下边
        }

-    def check_signal(self, current_price, prev_kline, current_kline):
+    def calc_atr(self, klines, period=14):
+        """
+        计算 ATR（Average True Range）
+        klines: 按时间升序的K线列表，至少需要 period+1 根（第一根无 prev_close 用 high-low）
+        返回: 最新一根K线对应的 ATR 值，不足数据时返回 None
+        """
+        if not klines or len(klines) < period + 1:
+            return None
+        tr_list = []
+        for i, k in enumerate(klines):
+            high, low = k['high'], k['low']
+            if i == 0:
+                tr = high - low
+            else:
+                prev_close = klines[i - 1]['close']
+                tr = max(high - low, abs(high - prev_close), abs(low - prev_close))
+            tr_list.append(tr)
+        # 取最近 period 根 K 线的 TR 的简单平均
+        atr = sum(tr_list[-period:]) / period
+        return atr
+
+    def check_signal(self, current_price, klines):
        """
        检查交易信号
+        klines: K线列表（按时间升序），最后一根为当前K线
        返回: ('long', trigger_price) / ('short', trigger_price) / None
        """
+        current_kline = klines[-1]
+
+        # 从上一根K线开始往前回溯，找到实体足够大的K线（实体 >= 0.1）
+        prev_kline = None
+        for i in range(len(klines) - 2, -1, -1):  # 从倒数第二根开始往前找
+            candidate = klines[i]
+            entity = self.calculate_entity(candidate)
+            if entity >= 0.1:
+                prev_kline = candidate
+                if i < len(klines) - 2:
+                    logger.info(f"上一根K线实体过小，回溯到第 {len(klines) - 1 - i} 根前的K线（实体: {entity:.4f}）")
+                break
+            else:
+                logger.debug(f"回溯K线 {candidate['id']} 实体过小: {entity:.4f}，继续往前")
+
+        if prev_kline is None:
+            logger.info("所有历史K线实体均过小，跳过信号检测")
+            return None
+
        # 计算上一根K线实体
        prev_entity = self.calculate_entity(prev_kline)

-        # 实体过小不交易（实体 < 0.1）
-        if prev_entity < 0.1:
-            logger.info(f"上一根K线实体过小: {prev_entity:.4f}，跳过信号检测")
-            return None
-
        # 获取上一根K线的实体上下边
        prev_entity_edge = self.get_entity_edge(prev_kline)
        prev_entity_upper = prev_entity_edge['upper']  # 实体上边
@@ -424,7 +463,8 @@ class BitmartFuturesTransaction:

            # 验证开仓是否成功
            if self.verify_position_direction(1):
-                self.max_unrealized_pnl_seen = None  # 新仓位重置移动止损记录
+                self.max_high_since_open = None
+                self.min_low_since_open = None  # ATR 移动止损重置
                self.accumulated_loss = 0  # 新开仓重置累计亏损
                logger.success("开多成功")
                return True
@@ -448,7 +488,8 @@ class BitmartFuturesTransaction:

            # 验证开仓是否成功
            if self.verify_position_direction(-1):
-                self.max_unrealized_pnl_seen = None  # 新仓位重置移动止损记录
+                self.min_low_since_open = None
+                self.max_high_since_open = None  # ATR 移动止损重置
                self.accumulated_loss = 0  # 新开仓重置累计亏损
                logger.success("开空成功")
                return True
@@ -479,7 +520,8 @@ class BitmartFuturesTransaction:
            time.sleep(3)

            if self.verify_position_direction(1):
-                self.max_unrealized_pnl_seen = None
+                self.max_high_since_open = None
+                self.min_low_since_open = None  # ATR 移动止损重置
                logger.success("反手做多成功")
                time.sleep(20)
                return True
@@ -509,7 +551,8 @@ class BitmartFuturesTransaction:
            time.sleep(3)

            if self.verify_position_direction(-1):
-                self.max_unrealized_pnl_seen = None
+                self.min_low_since_open = None
+                self.max_high_since_open = None  # ATR 移动止损重置
                logger.success("反手做空成功")
                time.sleep(20)
                return True
@@ -552,13 +595,15 @@ class BitmartFuturesTransaction:
                page_start = False

            try:
-                # 1. 获取K线数据（当前K线和上一根K线）
-                prev_kline, current_kline = self.get_klines()
-                if not prev_kline or not current_kline:
+                # 1. 获取K线数据
+                klines = self.get_klines()
+                if not klines:
                    logger.warning("获取K线失败，等待重试...")
                    time.sleep(5)
                    continue

+                current_kline = klines[-1]
+
                # 记录进入新的K线
                current_kline_time = current_kline['id']
                if self.last_kline_time != current_kline_time:
@@ -580,34 +625,39 @@ class BitmartFuturesTransaction:

                logger.debug(f"当前持仓状态: {self.start} (0=无, 1=多, -1=空)")

-                # 3.5 移动止损（激活阈值 = 基础阈值 + 累计亏损）
+                # 3.5 ATR 移动止损：每根 K 线 trailing_stop = 最高价 - ATR*k（多）/ 最低价 + ATR*k（空）
                if self.start != 0:
-                    pnl_usd = self.get_unrealized_pnl_usd()
-                    if pnl_usd is not None:
-                        # 更新持仓期间最大盈利（用于移动止损）
-                        if self.max_unrealized_pnl_seen is None:
-                            self.max_unrealized_pnl_seen = pnl_usd
-                        else:
-                            self.max_unrealized_pnl_seen = max(self.max_unrealized_pnl_seen, pnl_usd)
-                        # 移动止损激活阈值 = 基础阈值 + 累计亏损（需要先赚回之前反手的亏损）
-                        effective_activation = self.trailing_activation_usd + self.accumulated_loss
-                        if self.accumulated_loss > 0:
-                            logger.debug(f"移动止损激活阈值: {self.trailing_activation_usd} + 累计亏损 {self.accumulated_loss:.2f} = {effective_activation:.2f} 美元")
-                        # 移动止损：盈利曾达到 effective_activation 后，从最高盈利回撤 trailing_distance 则平仓
-                        if self.max_unrealized_pnl_seen >= effective_activation:
-                            if pnl_usd < self.max_unrealized_pnl_seen - self.trailing_distance_usd:
-                                logger.info(f"移动止损：当前盈利 {pnl_usd:.2f} 从最高 {self.max_unrealized_pnl_seen:.2f} 回撤 >= {self.trailing_distance_usd} 美元，平仓"
-                                            f"（激活阈值={effective_activation:.2f}，含累计亏损 {self.accumulated_loss:.2f}）")
+                    # 更新持仓以来的最高/最低价（当前K线 high/low + 当前价）
+                    if self.start == 1:  # 持多
+                        cand_high = max(current_kline['high'], current_price)
+                        self.max_high_since_open = cand_high if self.max_high_since_open is None else max(self.max_high_since_open, cand_high)
+                    else:  # 持空
+                        cand_low = min(current_kline['low'], current_price)
+                        self.min_low_since_open = cand_low if self.min_low_since_open is None else min(self.min_low_since_open, cand_low)
+
+                    atr = self.calc_atr(klines, self.atr_period)
+                    if atr is not None:
+                        if self.start == 1:  # 持多：价格跌破 trailing_stop 平仓
+                            trailing_stop = self.max_high_since_open - atr * self.atr_k
+                            if current_price < trailing_stop:
+                                logger.info(f"ATR移动止损(多)：当前价 {current_price:.2f} < 跟踪止盈 {trailing_stop:.2f} (最高{self.max_high_since_open:.2f} - ATR{atr:.4f}*{self.atr_k})，平仓")
                                self.平仓()
-                                self.max_unrealized_pnl_seen = None
-                                self.accumulated_loss = 0  # 止盈平仓后重置累计亏损
-                                self.last_trade_kline_id = current_kline_time  # 平仓后标记当前K线，下一根K线才能再开仓
-                                logger.info(f"平仓后标记K线({current_kline_time})，等待下一根K线再开仓，累计亏损已重置")
+                                self.max_high_since_open = None
+                                self.last_trade_kline_id = current_kline_time
+                                time.sleep(3)
+                                continue
+                        else:  # 持空：价格升破 trailing_stop 平仓
+                            trailing_stop = self.min_low_since_open + atr * self.atr_k
+                            if current_price > trailing_stop:
+                                logger.info(f"ATR移动止损(空)：当前价 {current_price:.2f} > 跟踪止盈 {trailing_stop:.2f} (最低{self.min_low_since_open:.2f} + ATR{atr:.4f}*{self.atr_k})，平仓")
+                                self.平仓()
+                                self.min_low_since_open = None
+                                self.last_trade_kline_id = current_kline_time
                                time.sleep(3)
                                continue

                # 4. 检查信号
-                signal = self.check_signal(current_price, prev_kline, current_kline)
+                signal = self.check_signal(current_price, klines)

                # 5. 同一根K线只允许开一笔新仓位（反手不受限制）
                if signal and signal[0] in ('long', 'short') and self.last_trade_kline_id == current_kline_time: