98 lines
2.9 KiB
Python
98 lines
2.9 KiB
Python
# -*- coding: utf-8 -*-
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"""
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自适应三分位趋势策略 - 配置参数
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"""
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# ========== 数据与周期 ==========
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CONTRACT_SYMBOL = "ETHUSDT"
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STEP_5M = 5
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STEP_15M = 15
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STEP_60M = 60
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# 有效K线标准：实体 >= max(ATR(20)*0.1, 最小波动阈值)
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MIN_BODY_ATR_RATIO = 0.1
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MIN_VOLATILITY_PERCENT = 0.0005 # 当前价格 × 0.05%
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# ========== 趋势判断（EMA周期） ==========
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# 长期：1小时 EMA(50) vs EMA(200)
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EMA_LONG_FAST = 50
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EMA_LONG_SLOW = 200
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# 中期：15分钟 EMA(20) vs EMA(50)
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EMA_MID_FAST = 20
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EMA_MID_SLOW = 50
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# 短期：5分钟 EMA(9)
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EMA_SHORT = 9
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# 交易模式：aggressive / conservative / strict
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TREND_MODE = "conservative"
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# ========== 动态触发 ==========
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ATR_PERIOD = 20
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VOLATILITY_COEF_CLAMP = (0.3, 3.0) # 波动率系数范围
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BASE_COEF = 0.33
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# 趋势方向系数（顺势更易触发）
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TREND_FAVOR_COEF = 0.8
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TREND_AGAINST_COEF = 1.2
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# ========== 信号确认（至少满足几项） ==========
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CONFIRM_REQUIRED = 2
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VOLUME_MA_PERIOD = 20
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VOLUME_RATIO_THRESHOLD = 0.8 # 成交量 > 前20根均量 × 0.8
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# ========== 风险管理 ==========
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MAX_POSITION_PERCENT = 0.10 # 单笔最大 10%
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BASE_POSITION_PERCENT = 0.02 # 基础仓位 2%
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STOP_LOSS_ATR_MULT = 2.0 # 硬止损 = ATR × 2.0
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TIME_STOP_BARS = 3 # 3根K线未盈利平仓
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TRAIL_START_ATR = 1.0 # 盈利 1×ATR 后启动移动止损
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TRAIL_ATR_MULT = 0.5 # 移动止损距离 0.5×ATR
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# 止盈目标（ATR倍数）与分批比例
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TP1_ATR = 1.5
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TP2_ATR = 3.0
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TP3_ATR = 5.0
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TP1_RATIO = 0.30
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TP2_RATIO = 0.30
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TP3_RATIO = 0.40
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# ========== 反手条件 ==========
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REVERSE_BREAK_MULT = 0.5 # 突破幅度 > 实体/2
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REVERSE_LOSS_ATR = 0.5 # 当前持仓亏损 > 0.5×ATR 可反手
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MIN_BARS_SINCE_ENTRY = 2 # 距离上次开仓至少2根K线
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SAME_KLINE_NO_REVERSE = True # 同一K线不反手
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# ========== 市场状态调整 ==========
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# 强趋势 / 震荡 / 高波动 时的系数
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STRONG_TREND_COEF = 0.25
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STRONG_TREND_STOP_ATR = 3.0
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RANGE_COEF = 0.4
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RANGE_STOP_ATR = 1.5
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HIGH_VOL_POSITION_COEF = 0.5
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HIGH_VOL_EXTRA_CONFIRM = 1
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# ========== 禁止交易时段（UTC+8 小时:分） ==========
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FORBIDDEN_PERIODS = [
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(0, 0, 0, 30), # 00:00-00:30
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(8, 0, 8, 30), # 08:00-08:30
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(20, 0, 20, 30), # 20:00-20:30
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]
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# 高波动暂停：ATR > 平均ATR × 2 暂停
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ATR_PAUSE_MULT = 2.0
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# ========== 自适应绩效 ==========
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CONSECUTIVE_LOSS_PAUSE = 3 # 连续亏损3次仓位减半
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WIN_RATE_LOOKBACK = 20
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WIN_RATE_PAUSE_THRESHOLD = 0.40 # 胜率<40% 暂停
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MAX_DRAWDOWN_PERCENT = 0.10 # 最大回撤10% 观察期
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MAX_TRADES_PER_DAY = 20
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MAX_HOLD_BARS = 4 * 12 # 4小时 ≈ 4*12 根5分钟
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# ========== 回测/实盘通用 ==========
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CONTRACT_SIZE = 10000
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SLIPPAGE_POINTS = 3
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FEE_RATE = 0.0005
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FEE_FIXED = 5
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# 回测专用：固定手续费（合约多为按比例，可设为 0 观察策略本身）
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FEE_FIXED_BACKTEST = 0
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# 两笔开仓之间至少间隔 N 根 5 分钟 K 线，减少过度交易
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MIN_BARS_BETWEEN_TRADES = 4
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