v2.2b: 当前最优基线 - 回测+4673%/+17%最大回撤 + backtest配置

config.backtest.json

@@ -0,0 +1,35 @@
+{
+    "max_open_trades": 1,
+    "stake_currency": "USDT",
+    "stake_amount": "unlimited",
+    "tradable_balance_ratio": 0.99,
+    "fiat_display_currency": "USD",
+    "dry_run": true,
+    "dry_run_wallet": 10000,
+    "trading_mode": "futures",
+    "margin_mode": "isolated",
+    "liquidation_buffer": 0.05,
+    "exchange": {
+        "name": "binance",
+        "key": "",
+        "secret": "",
+        "password": "",
+        "ccxt_config": {"enableRateLimit": true},
+        "ccxt_async_config": {"enableRateLimit": true},
+        "pair_whitelist": ["ETH/USDT:USDT"],
+        "pair_blacklist": []
+    },
+    "pairlists": [{"method": "StaticPairList"}],
+    "telegram": {"enabled": false, "token": "", "chat_id": ""},
+    "api_server": {
+        "enabled": false,
+        "listen_ip_address": "0.0.0.0",
+        "listen_port": 8080,
+        "username": "freqtrader",
+        "password": "password",
+        "jwt_secret_key": "somethingRandom123"
+    },
+    "bot_name": "backtest",
+    "entry_pricing": {"price_side": "same", "use_order_book": true, "order_book_top": 1},
+    "exit_pricing": {"price_side": "same", "use_order_book": true, "order_book_top": 1}
+}

strategy.py

@@ -1,10 +1,10 @@
 """
-Structure Flow Strategy v2.1
+Structure Flow Strategy v2.2b
 =======================
 变更记录：
   v1.6 (2026-06-07): 最优基线 — +3659.63%, 190笔, 69.3% trailing胜率
   v2.0 (2026-06-08): B1 入场延迟确认 — 方向正确但降频严重
-  v2.1 (2026-06-08): ===== D1: 趋势强度过滤 =====
+  v2.2b (2026-06-09): ===== 只移除 bullish_signal/bearish_signal =====
                       在4H级别评估趋势强度：最近2个Swing Point的间距变化。
                       如果趋势在扩张（HH/HL间距增大），允许入场；
                       如果趋势在收缩（HH/HL间距缩小或震荡），过滤信号。
@@ -19,11 +19,11 @@ from freqtrade.strategy import IStrategy, IntParameter, informative
 from freqtrade.persistence import Trade
 
 
-class StructureFlowStrategyV21(IStrategy):
+class StructureFlowStrategyV22b(IStrategy):
     """
-    Structure Flow Strategy v2.1 — D1: 趋势强度过滤
+    Structure Flow Strategy v2.2b — D1: 趋势强度过滤
 
-    v2.1改动（相对于v1.6）：
+    v2.2b改动（相对于v2.1）：
       在4H级别计算趋势强度：最近2个Swing High间距 + Swing Low间距的变化。
       只有趋势在扩张（或至少不收缩）时才允许入场。
     """
@@ -46,7 +46,7 @@ class StructureFlowStrategyV21(IStrategy):
     cooldown_bars = IntParameter(3, 12, default=6, space="buy")
     # v2.1 新增：趋势强度最小扩张比例（x/100 = 0%~50%）
     # 0 = 只要不收缩就行；越大要求趋势扩张越强
-    trend_strength_min = IntParameter(-50, 20, default=-20, space="buy")  # -20=允许SP轻微收缩, 最佳值
+    trend_strength_min = IntParameter(-50, 20, default=-20, space="buy")  # 扫描更宽范围
 
     # =====================
     # 工具：Swing Point 检测
@@ -322,9 +322,8 @@ class StructureFlowStrategyV21(IStrategy):
         """
         入场逻辑（1H 时间框架）。
 
-        v2.1 核心改动：D1 — 趋势强度过滤
-          做多额外条件：4H上升趋势在扩张（strong_uptrend_4h）
-          做空额外条件：4H下降趋势在扩张（strong_downtrend_4h）
+        v2.2b 改动：只移除 bullish_signal/bearish_signal（1H K线过滤）
+          消融实验变体3：移除后收益 +19.4%，是三个可移除条件中收益提升最大的
         """
         max_dist = self.max_stop_dist.value / 100.0
         cooldown = self.cooldown_bars.value
@@ -348,7 +347,7 @@ class StructureFlowStrategyV21(IStrategy):
         long_base = (
             dataframe["trend_up_1d"]
             & dataframe["in_demand_4h"]
-            & dataframe["bullish_signal"]
+            # v2.2b: 已移除 bullish_signal（消融变体3）
             & (long_stop_dist <= max_dist)
             & (long_stop_dist > 0.003)
             & dataframe["support_alive_4h"]
@@ -365,7 +364,7 @@ class StructureFlowStrategyV21(IStrategy):
         short_base = (
             dataframe["trend_down_1d"]
             & dataframe["in_supply_4h"]
-            & dataframe["bearish_signal"]
+            # v2.2b: 已移除 bearish_signal（消融变体3）
             & (short_stop_dist <= max_dist)
             & (short_stop_dist > 0.003)
             & dataframe["resistance_alive_4h"]