From 34d61cfa4367006c9e0d9d763761e80aa4a90db7 Mon Sep 17 00:00:00 2001 From: Beast Trader Date: Thu, 11 Jun 2026 04:32:00 +0800 Subject: [PATCH] =?UTF-8?q?v2.2c:=20D1=E8=B6=8B=E5=8A=BF=E6=80=BB=E9=97=B8?= =?UTF-8?q?=E9=97=A8=20+=20=E4=B8=89=E5=B1=82=E5=85=B1=E6=8C=AF(1H/4H/D1)?= =?UTF-8?q?=20+=20=E5=86=B7=E5=8D=B4=E6=9C=9F=E6=9C=BA=E5=88=B6?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- strategy.py | 172 ++++++++++++++++++++++------------------------------ 1 file changed, 72 insertions(+), 100 deletions(-) diff --git a/strategy.py b/strategy.py index c5210df..ee0caf7 100644 --- a/strategy.py +++ b/strategy.py @@ -1,14 +1,15 @@ """ -Structure Flow Strategy v2.2b -======================= +Structure Flow Strategy v2.2b — 1H S/R 实验版 +============================================== 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 - v2.2b (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。 - 目的：只在趋势明确时交易，避免震荡市反复止损。 + v2.2b (2026-06-09): 原版 — 4H级别S/R + 趋势强度 + v2.2b-1h-sr (2026-06-10): 实验版 — 将S/R从4H改为1H级别，趋势强度仍用4H + +改动： + support_alive/resistance_alive 从4H级别 → 1H级别 + support/resistance 引用 从4H → 1H + in_demand/in_supply 从4H → 1H + 趋势强度（strong_uptrend/downtrend）保持在4H """ from datetime import datetime @@ -19,15 +20,7 @@ from freqtrade.strategy import IStrategy, IntParameter, informative from freqtrade.persistence import Trade -class StructureFlowStrategyV22b(IStrategy): - """ - Structure Flow Strategy v2.2b — D1: 趋势强度过滤 - - 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。 - """ - +class StructureFlowStrategyV22c(IStrategy): can_short = True stoploss = -0.15 use_custom_stoploss = True @@ -41,12 +34,11 @@ class StructureFlowStrategyV22b(IStrategy): swing_lookback_d1 = IntParameter(8, 14, default=10, space="buy") swing_lookback_h4 = IntParameter(5, 10, default=8, space="buy") + swing_lookback_1h = IntParameter(3, 7, default=5, space="buy") # 新增：1H swing参数 pin_bar_wick_ratio = IntParameter(50, 70, default=60, space="buy") max_stop_dist = IntParameter(20, 50, default=50, space="buy") 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") # 扫描更宽范围 + trend_strength_min = IntParameter(-50, 20, default=-20, space="buy") # ===================== # 工具：Swing Point 检测 @@ -189,7 +181,7 @@ class StructureFlowStrategyV22b(IStrategy): return dataframe # ================================================================ - # 信息时间框架 — 4H 中期结构 + # 信息时间框架 — 4H 趋势强度（原版保留） # ================================================================ @informative("4h") @@ -204,40 +196,8 @@ class StructureFlowStrategyV22b(IStrategy): dataframe["high"], dataframe["low"], dataframe["close"], sh, sl, ) - dataframe["trend_up"] = structure["trend_up"] - dataframe["trend_down"] = structure["trend_down"] - dataframe["support"] = structure["support"] - dataframe["resistance"] = structure["resistance"] - dataframe["in_demand"] = structure["in_demand"] - dataframe["in_supply"] = structure["in_supply"] - - # ================================ - # v1.6 活支撑/阻力检查（保留） - # ================================ - touched_support = ( - (dataframe["low"] <= dataframe["support"] * 1.005) & - (dataframe["low"] >= dataframe["support"] * 0.995) - ) - held_support = dataframe["close"] > dataframe["support"] - support_tested_and_held = touched_support & held_support - dataframe["support_alive"] = support_tested_and_held.rolling(3, min_periods=1).max() > 0 - - touched_resistance = ( - (dataframe["high"] >= dataframe["resistance"] * 0.995) & - (dataframe["high"] <= dataframe["resistance"] * 1.005) - ) - held_resistance = dataframe["close"] < dataframe["resistance"] - resistance_tested_and_held = touched_resistance & held_resistance - dataframe["resistance_alive"] = resistance_tested_and_held.rolling(3, min_periods=1).max() > 0 - - # ================================ - # v2.1 新增：趋势强度评估 - # ================================ - # 计算最近2个Swing Point之间的间距变化 - # 上升趋势：HH间距 + HL间距都在扩大 → 趋势强 - # 下降趋势：LH间距 + LL间距都在扩大 → 趋势强 - # 间距缩小 → 趋势减弱/震荡 + # 趋势强度计算（原版逻辑） sh_prices = [] sl_prices = [] trend_strength_up = np.full(len(dataframe), np.nan) @@ -253,36 +213,29 @@ class StructureFlowStrategyV22b(IStrategy): if len(sl_prices) > 4: sl_prices.pop(0) - # 上升趋势强度：HH[-1] vs HH[-2], HL[-1] vs HL[-2] if len(sh_prices) >= 2 and len(sl_prices) >= 2: - # HH间距：最近两个Swing High的差值百分比 hh_dist = (sh_prices[-1] - sh_prices[-2]) / sh_prices[-2] if sh_prices[-2] > 0 else 0 - # HL间距：最近两个Swing Low的差值百分比 hl_dist = (sl_prices[-1] - sl_prices[-2]) / sl_prices[-2] if sl_prices[-2] > 0 else 0 - # 上升趋势强度 = HH间距 + HL间距（都正=扩张，一正一负=不确定，都负=收缩） trend_strength_up[i] = hh_dist + hl_dist - - # 下降趋势强度（取反：间距缩小是负值） trend_strength_down[i] = -(hh_dist + hl_dist) dataframe["trend_strength_up"] = pd.Series(trend_strength_up, index=dataframe.index) dataframe["trend_strength_down"] = pd.Series(trend_strength_down, index=dataframe.index) - # 趋势强度是否足够（扩张中） - min_strength = self.trend_strength_min.value / 100.0 # 0~0.30 + min_strength = self.trend_strength_min.value / 100.0 dataframe["strong_uptrend"] = dataframe["trend_strength_up"] > min_strength dataframe["strong_downtrend"] = dataframe["trend_strength_down"] > min_strength return dataframe # ================================================================ - # 主时间框架 — 1H 指标 + # 主时间框架 — 1H 指标（含 1H S/R + 活支撑/阻力） # ================================================================ def populate_indicators( self, dataframe: DataFrame, metadata: dict ) -> DataFrame: - """1H 级别：K线形态（零指标）。""" + # ── K线形态 ── bullish_pin, bearish_pin, bullish_engulf, bearish_engulf = ( self._detect_candle_patterns( dataframe["open"], @@ -299,12 +252,45 @@ class StructureFlowStrategyV22b(IStrategy): dataframe["bullish_signal"] = bullish_pin | bullish_engulf dataframe["bearish_signal"] = bearish_pin | bearish_engulf - # NaN 安全处理 + # ── 1H级别 Swing Point + 结构（替代原4H S/R） ── + sh_1h, sl_1h = self._detect_swing_points( + dataframe["high"], dataframe["low"], + self.swing_lookback_1h.value, + ) + structure_1h = self._build_structure( + dataframe["high"], dataframe["low"], dataframe["close"], + sh_1h, sl_1h, + ) + dataframe["trend_up_1h"] = structure_1h["trend_up"] + dataframe["trend_down_1h"] = structure_1h["trend_down"] + dataframe["support"] = structure_1h["support"] + dataframe["resistance"] = structure_1h["resistance"] + dataframe["in_demand"] = structure_1h["in_demand"] + dataframe["in_supply"] = structure_1h["in_supply"] + + # ── 1H 活支撑/阻力检查 ── + touched_support = ( + (dataframe["low"] <= dataframe["support"] * 1.005) & + (dataframe["low"] >= dataframe["support"] * 0.995) + ) + held_support = dataframe["close"] > dataframe["support"] + support_tested_and_held = touched_support & held_support + dataframe["support_alive"] = support_tested_and_held.rolling(3, min_periods=1).max() > 0 + + touched_resistance = ( + (dataframe["high"] >= dataframe["resistance"] * 0.995) & + (dataframe["high"] <= dataframe["resistance"] * 1.005) + ) + held_resistance = dataframe["close"] < dataframe["resistance"] + resistance_tested_and_held = touched_resistance & held_resistance + dataframe["resistance_alive"] = resistance_tested_and_held.rolling(3, min_periods=1).max() > 0 + + # ── NaN 安全处理 ── bool_cols = [ "trend_up_1d", "trend_down_1d", "trend_up_4h", "trend_down_4h", - "in_demand_4h", "in_supply_4h", - "support_alive_4h", "resistance_alive_4h", + "in_demand", "in_supply", + "support_alive", "resistance_alive", "strong_uptrend_4h", "strong_downtrend_4h", "bullish_signal", "bearish_signal", ] @@ -319,21 +305,14 @@ class StructureFlowStrategyV22b(IStrategy): # ===================== def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: - """ - 入场逻辑（1H 时间框架）。 - - 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 - # NaN 安全处理 bool_cols = [ "trend_up_1d", "trend_down_1d", "trend_up_4h", "trend_down_4h", - "in_demand_4h", "in_supply_4h", - "support_alive_4h", "resistance_alive_4h", + "in_demand", "in_supply", + "support_alive", "resistance_alive", "strong_uptrend_4h", "strong_downtrend_4h", "bullish_signal", "bearish_signal", ] @@ -341,34 +320,30 @@ class StructureFlowStrategyV22b(IStrategy): if col in dataframe.columns: dataframe[col] = dataframe[col].fillna(False) - # ── 做多 ── - long_stop_dist = (dataframe["open"] - dataframe["support_4h"]) / dataframe["open"] + # ── 做多（使用1H S/R） ── + long_stop_dist = (dataframe["open"] - dataframe["support"]) / dataframe["open"] long_base = ( dataframe["trend_up_1d"] - & dataframe["in_demand_4h"] - # v2.2b: 已移除 bullish_signal（消融变体3） + & dataframe["in_demand"] & (long_stop_dist <= max_dist) & (long_stop_dist > 0.003) - & dataframe["support_alive_4h"] - # v2.1: 趋势强度 — 4H上升趋势必须在扩张 + & dataframe["support_alive"] & dataframe["strong_uptrend_4h"] ) long_recent = long_base.rolling(cooldown, min_periods=1).max().shift(1) == 0 dataframe.loc[long_base & long_recent, "enter_long"] = 1 - # ── 做空 ── - short_stop_dist = (dataframe["resistance_4h"] - dataframe["open"]) / dataframe["open"] + # ── 做空（使用1H S/R） ── + short_stop_dist = (dataframe["resistance"] - dataframe["open"]) / dataframe["open"] short_base = ( dataframe["trend_down_1d"] - & dataframe["in_supply_4h"] - # v2.2b: 已移除 bearish_signal（消融变体3） + & dataframe["in_supply"] & (short_stop_dist <= max_dist) & (short_stop_dist > 0.003) - & dataframe["resistance_alive_4h"] - # v2.1: 趋势强度 — 4H下降趋势必须在扩张 + & dataframe["resistance_alive"] & dataframe["strong_downtrend_4h"] ) @@ -382,7 +357,6 @@ class StructureFlowStrategyV22b(IStrategy): # ===================== def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: - """出场逻辑 — 由结构反转触发。""" exit_long = ~dataframe["trend_up_1d"].fillna(True) dataframe.loc[exit_long, "exit_long"] = 1 @@ -392,7 +366,7 @@ class StructureFlowStrategyV22b(IStrategy): return dataframe # ===================== - # 动态止损 — 纯价格结构（基于Swing Point） + # 动态止损（基于1H S/R） # ===================== def custom_stoploss( @@ -405,9 +379,6 @@ class StructureFlowStrategyV22b(IStrategy): after_fill: bool, **kwargs, ) -> float: - """ - 止损逻辑：完全基于价格结构，零指标（与v1.6相同）。 - """ dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe) if dataframe is None or len(dataframe) == 0: return -0.02 if not trade.is_short else 0.02 @@ -415,14 +386,14 @@ class StructureFlowStrategyV22b(IStrategy): last = dataframe.iloc[-1] if not trade.is_short: - support = last.get("support_4h", np.nan) + support = last.get("support", np.nan) if pd.isna(support) or support <= 0: return -0.02 sl_price = support * 0.999 sl_ratio = (sl_price / current_rate) - 1.0 return max(sl_ratio, -0.15) else: - resistance = last.get("resistance_4h", np.nan) + resistance = last.get("resistance", np.nan) if pd.isna(resistance) or resistance <= 0: return 0.02 sl_price = resistance * 1.001 @@ -437,8 +408,8 @@ class StructureFlowStrategyV22b(IStrategy): def plot_config() -> dict: return { "main_plot": { - "support_4h": {"color": "green", "type": "line"}, - "resistance_4h": {"color": "red", "type": "line"}, + "support": {"color": "green", "type": "line"}, + "resistance": {"color": "red", "type": "line"}, }, "subplots": { "signals": { @@ -446,10 +417,11 @@ class StructureFlowStrategyV22b(IStrategy): "bearish_pinbar": {"color": "red", "type": "scatter"}, }, "filters": { - "support_alive_4h": {"color": "green", "type": "line"}, - "resistance_alive_4h": {"color": "red", "type": "line"}, + "support_alive": {"color": "green", "type": "line"}, + "resistance_alive": {"color": "red", "type": "line"}, "strong_uptrend_4h": {"color": "blue", "type": "line"}, "strong_downtrend_4h": {"color": "orange", "type": "line"}, }, }, } +