""" EMA趋势策略 - 精简参数优化 v2 已知：EMA(8/21/120) ATR>0.03% SL=0.4% MaxH=1800 → 方向PnL +327, 净亏 -101 优化目标：找到净盈利 > 0 的参数组合 策略核心：减少交易次数（更长EMA/更高ATR门槛），提高每笔质量 """ import sys, time, datetime, sqlite3 from pathlib import Path class EMA: __slots__ = ('k', 'v') def __init__(self, p): self.k = 2.0 / (p + 1) self.v = None def update(self, price): if self.v is None: self.v = price else: self.v = price * self.k + self.v * (1 - self.k) return self.v def load(): db = Path(__file__).parent.parent / 'models' / 'database.db' s = int(datetime.datetime(2025,1,1).timestamp()) * 1000 e = int(datetime.datetime(2026,1,1).timestamp()) * 1000 conn = sqlite3.connect(str(db)) rows = conn.cursor().execute( "SELECT id,open,high,low,close FROM bitmart_eth_1m WHERE id>=? AND id AP + 1: s = 0.0 for i in range(-AP, 0): tr = hs_buf[i] - ls_buf[i] d1 = abs(hs_buf[i] - cs_buf[i-1]) d2 = abs(ls_buf[i] - cs_buf[i-1]) if d1 > tr: tr = d1 if d2 > tr: tr = d2 s += tr atr_pct = s / (AP * p) if p > 0 else 0 cu = pf_ is not None and pf_ <= ps_ and fast > slow cd = pf_ is not None and pf_ >= ps_ and fast < slow pf_ = fast; ps_ = slow if pos != 0 and ot is not None: pp = (p - op) / op if pos == 1 else (op - p) / op hsec = (dt - ot).total_seconds() if -pp >= hsl: pnl_ = ps * pp; cv = ps*(1+pp); cf = cv*TF; of_=ps*TF; tt=of_+cf; rb=tt*RR bal += pnl_ - cf + rb; dpnl += pnl_; tfee += tt; treb += rb tc += 1; wc += (1 if pnl_ > 0 else 0) pos=0; op=0; ot=None; ps=0; pend=None continue if hsec >= MH: do_c = False if -pp >= sl_pct: do_c = True elif hsec >= mh: do_c = True elif pos == 1 and cd: do_c = True elif pos == -1 and cu: do_c = True elif pend == 'cl' and pos == 1: do_c = True elif pend == 'cs' and pos == -1: do_c = True if do_c: pnl_ = ps * pp; cv = ps*(1+pp); cf = cv*TF; of_=ps*TF; tt=of_+cf; rb=tt*RR bal += pnl_ - cf + rb; dpnl += pnl_; tfee += tt; treb += rb tc += 1; wc += (1 if pnl_ > 0 else 0) pos=0; op=0; ot=None; ps=0; pend=None if atr_pct >= atr_min: if (cd or fast < slow) and p < big: ns = bal * RP * LEV if ns >= 1: bal -= ns*TF; pos=-1; op=p; ot=dt; ps=ns elif (cu or fast > slow) and p > big: ns = bal * RP * LEV if ns >= 1: bal -= ns*TF; pos=1; op=p; ot=dt; ps=ns continue else: if pos == 1 and cd: pend = 'cl' elif pos == -1 and cu: pend = 'cs' if pos == 0 and atr_pct >= atr_min: if cu and p > big: ns = bal * RP * LEV if ns >= 1: bal -= ns*TF; pos=1; op=p; ot=dt; ps=ns elif cd and p < big: ns = bal * RP * LEV if ns >= 1: bal -= ns*TF; pos=-1; op=p; ot=dt; ps=ns if pos != 0: p = data[-1][4] pp = (p - op) / op if pos == 1 else (op - p) / op pnl_ = ps * pp; cv = ps*(1+pp); cf = cv*TF; of_=ps*TF; tt=of_+cf; rb=tt*RR bal += pnl_ - cf + rb; dpnl += pnl_; tfee += tt; treb += rb tc += 1; wc += (1 if pnl_ > 0 else 0) net = bal - 1000.0 wr = wc/tc*100 if tc > 0 else 0 return net, tc, wr, dpnl, treb, tfee - treb def main(): print("Loading...", flush=True) data = load() print(f"{len(data)} bars loaded\n", flush=True) # 精简参数网格 - 只测最有潜力的范围 combos = [] for fp in [8, 13, 20, 30]: for sp in [21, 34, 55, 80]: if fp >= sp: continue for bp in [120, 200]: for am in [0.0003, 0.0006, 0.001, 0.0015, 0.002]: for sl in [0.004, 0.006, 0.008, 0.01]: for mh in [1200, 1800, 3600]: combos.append((fp, sp, bp, am, sl, mh)) print(f"Combos: {len(combos)}", flush=True) results = [] t0 = time.time() for idx, (fp, sp, bp, am, sl, mh) in enumerate(combos): net, tc, wr, dp, reb, nf = bt(data, fp, sp, bp, am, sl, mh) results.append((net, tc, wr, dp, reb, nf, fp, sp, bp, am, sl, mh)) if (idx+1) % 30 == 0: el = time.time() - t0 eta = el/(idx+1)*(len(combos)-idx-1) print(f" [{idx+1}/{len(combos)}] {el:.0f}s done, ~{eta:.0f}s left", flush=True) tt = time.time() - t0 print(f"\nAll done! {len(results)} combos in {tt:.1f}s\n", flush=True) results.sort(key=lambda x: x[0], reverse=True) profitable = [r for r in results if r[0] > 0] print(f"Profitable: {len(profitable)} / {len(results)} ({len(profitable)/len(results)*100:.1f}%)\n", flush=True) print(f"{'='*130}", flush=True) print(f" TOP 30", flush=True) print(f"{'='*130}", flush=True) print(f" {'#':>3} {'F':>3} {'S':>3} {'B':>4} {'ATR':>6} {'SL':>5} {'MH':>5} | {'Net%':>7} {'Net$':>9} {'#Trd':>6} {'WR':>6} {'DirPnL':>9} {'Rebate':>9} {'NetFee':>8}", flush=True) print(f" {'-'*120}", flush=True) for i, (net, tc, wr, dp, reb, nf, fp, sp, bp, am, sl, mh) in enumerate(results[:30]): mk = " <-- $$" if net > 0 else "" print(f" {i+1:>3} {fp:>3} {sp:>3} {bp:>4} {am*100:>5.2f}% {sl*100:>4.1f}% {mh:>5} | {net/10:>+6.2f}% {net:>+8.2f} {tc:>6} {wr:>5.1f}% {dp:>+8.2f} {reb:>8.2f} {nf:>8.2f}{mk}", flush=True) if profitable: print(f"\n{'='*130}", flush=True) print(f" ALL PROFITABLE COMBOS", flush=True) print(f"{'='*130}", flush=True) for i, (net, tc, wr, dp, reb, nf, fp, sp, bp, am, sl, mh) in enumerate(profitable): print(f" {i+1:>3} EMA({fp}/{sp}/{bp}) ATR>{am*100:.2f}% SL={sl*100:.1f}% MH={mh}s | net={net:+.2f} ({net/10:+.2f}%) trades={tc} WR={wr:.1f}% dirPnL={dp:+.2f} rebate={reb:.2f} netFee={nf:.2f}", flush=True) # Save csv = Path(__file__).parent.parent / 'param_results.csv' with open(csv, 'w', encoding='utf-8-sig') as f: f.write("fast,slow,big,atr_min,stop_loss,max_hold,net_pct,net_usd,trades,win_rate,dir_pnl,rebate,net_fee\n") for net, tc, wr, dp, reb, nf, fp, sp, bp, am, sl, mh in results: f.write(f"{fp},{sp},{bp},{am},{sl},{mh},{net/10:.4f},{net:.4f},{tc},{wr:.2f},{dp:.4f},{reb:.4f},{nf:.4f}\n") print(f"\nSaved: {csv}", flush=True) if __name__ == '__main__': main()