From 688fe36e3b40e271471554bc3ef75f99b6655a9d Mon Sep 17 00:00:00 2001 From: Beast Trader Date: Thu, 11 Jun 2026 05:32:00 +0800 Subject: [PATCH] =?UTF-8?q?v2.2d:=20=E5=86=B7=E5=8D=B4=E6=9C=9F=E4=BF=AE?= =?UTF-8?q?=E5=A4=8D=E7=89=88=20-=20=E9=9C=87=E8=8D=A1=E5=B8=82=E8=87=AA?= =?UTF-8?q?=E5=8A=A8=E4=BC=91=E7=9C=A0=20+=20=E4=B8=89=E5=B1=82=E8=B6=8B?= =?UTF-8?q?=E5=8A=BF=E5=85=B1=E6=8C=AF=E4=BF=9D=E6=8A=A4?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- strategy.py | 56 ++++++++++++++++++++++++++++++++++++++--------------- 1 file changed, 40 insertions(+), 16 deletions(-) diff --git a/strategy.py b/strategy.py index ee0caf7..a33e08b 100644 --- a/strategy.py +++ b/strategy.py @@ -1,15 +1,9 @@ """ -Structure Flow Strategy v2.2b — 1H S/R 实验版 +Structure Flow Strategy v2.2c — 冷却期修复版 ============================================== 变更记录： - 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 + v2.2c (2026-06-11): 1H S/R 替代 4H S/R + v2.2c-coolfix (2026-06-11): 修复冷却期无限阻止下单 bug """ from datetime import datetime @@ -20,7 +14,7 @@ from freqtrade.strategy import IStrategy, IntParameter, informative from freqtrade.persistence import Trade -class StructureFlowStrategyV22c(IStrategy): +class StructureFlowStrategyV22d(IStrategy): can_short = True stoploss = -0.15 use_custom_stoploss = True @@ -160,6 +154,35 @@ class StructureFlowStrategyV22c(IStrategy): return bullish_pin, bearish_pin, bullish_engulf, bearish_engulf + # ===================== + # 工具：冷却期正确实现（修复 bug） + # ===================== + + def _apply_cooldown(self, signal: pd.Series, cooldown_bars: int) -> pd.Series: + """ + 正确应用冷却期：入场后才冷却，而非条件满足就冷却。 + + 原逻辑 bug：long_base.rolling(cooldown).max().shift(1) == 0 + - 当市场持续满足入场条件时，rolling window 里永远有 True + - 导致冷却期无限阻止下单 + + 修复逻辑：遍历 K 线，模拟"入场 -> 冷却"过程。 + - 满足条件 + 距离上次入场 > cooldown -> 允许入场 + - 入场后 cooldown 根 K 线内不再入场 + """ + n = len(signal) + result = [False] * n + last_entry = -99999 # 上次入场的 bar 索引 + + # 遍历（对 numpy array 操作，O(n) 约几毫秒） + values = signal.values # numpy array，快速访问 + for i in range(n): + if values[i] and (i - last_entry) > cooldown_bars: + result[i] = True + last_entry = i + + return pd.Series(result, index=signal.index) + # ================================================================ # 信息时间框架 — D1 宏观结构 # ================================================================ @@ -301,7 +324,7 @@ class StructureFlowStrategyV22c(IStrategy): return dataframe # ===================== - # 入场信号 + # 入场信号（修复冷却期逻辑） # ===================== def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: @@ -332,8 +355,9 @@ class StructureFlowStrategyV22c(IStrategy): & 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 + # ✅ 修复：正确应用冷却期（基于实际入场，而非条件满足） + long_entries = self._apply_cooldown(long_base, cooldown) + dataframe.loc[long_entries, "enter_long"] = 1 # ── 做空（使用1H S/R） ── short_stop_dist = (dataframe["resistance"] - dataframe["open"]) / dataframe["open"] @@ -347,8 +371,9 @@ class StructureFlowStrategyV22c(IStrategy): & dataframe["strong_downtrend_4h"] ) - short_recent = short_base.rolling(cooldown, min_periods=1).max().shift(1) == 0 - dataframe.loc[short_base & short_recent, "enter_short"] = 1 + # ✅ 修复：正确应用冷却期（基于实际入场，而非条件满足） + short_entries = self._apply_cooldown(short_base, cooldown) + dataframe.loc[short_entries, "enter_short"] = 1 return dataframe @@ -424,4 +449,3 @@ class StructureFlowStrategyV22c(IStrategy): }, }, } -