From 77c3362dd5cb9863bc15dfccb9219929844b6274 Mon Sep 17 00:00:00 2001 From: Beast Trader Date: Wed, 10 Jun 2026 20:55:00 +0800 Subject: [PATCH] =?UTF-8?q?v3.1=20(Swing):=20=E9=9C=87=E8=8D=A1=E5=88=A4?= =?UTF-8?q?=E5=AE=9A=E4=BC=98=E5=8C=96=20+=202025=E5=9B=9E=E6=B5=8B+65.47%?= =?UTF-8?q?/70.4%=E8=83=9C=E7=8E=87?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- strategy.py | 50 ++++++++++++++++++++++++-------------------------- 1 file changed, 24 insertions(+), 26 deletions(-) diff --git a/strategy.py b/strategy.py index 1b41667..c048121 100644 --- a/strategy.py +++ b/strategy.py @@ -1,24 +1,21 @@ """ -Structure Flow Swing Strategy v3.0 +Structure Flow Swing Strategy v3.1 ================================== -波段交易策略 — 基于4H震荡区间，保守参数 +波段交易策略 — 基于4H震荡区间，保守参数 v2 -核心思路（冯总指示）： - 1. 在4H级别识别震荡区间 - 2. 只在确认震荡时交易（区间宽度稳定、价格测试过边界、无突破） - 3. 止损设在支撑/阻力外侧，确保几乎不被噪音触发 - 4. 止损被触发 = 结构已坏，离场正确 - 5. 止盈：区间高度的70% +v3.1 改动（基于v3.0诊断结果）： + 1. 双边测试 AND→OR：在10根K线内测试过支撑 OR 阻力即可（不需两者都测过） + 2. 区间稳定性 15%→25%：放宽波动容忍度 + 3. 入场范围 2%→3%：增加候选信号密度 + 4. 冷却期 3根→1根：减少过渡过滤 -保守参数： - - 杠杆：1x（无杠杆） - - 止损安全边际：ATR(4H, 14) * 1.5 - - 区间宽度稳定阈值：15% - - 止盈：区间70% - - 入场范围：支撑/阻力2%以内 +保留：纯震荡定位、ATR×1.5止损、区间70%止盈、D1趋势过滤 + +预期：年交易量从9笔 → 50-80笔（约1-2单/周） 版本历史： v3.0 (2026-06-10): 初版，基于冯总波段交易新思路 + v3.1 (2026-06-10): 降低条件门槛，提升交易频率 """ from datetime import datetime @@ -29,10 +26,10 @@ from freqtrade.strategy import IStrategy, IntParameter, informative from freqtrade.persistence import Trade -class StructureFlowSwingV30(IStrategy): +class StructureFlowSwingV31(IStrategy): """ - Structure Flow Swing Strategy v3.0 - 4H震荡区间波段交易 + Structure Flow Swing Strategy v3.1 + 4H震荡区间波段交易 — 放宽震荡判定 """ can_short = True @@ -43,12 +40,12 @@ class StructureFlowSwingV30(IStrategy): timeframe = "4h" # ===================== - # 可优化参数（保守默认值） + # 可优化参数（放宽后默认值） # ===================== swing_lookback = IntParameter(4, 8, default=5, space="buy") - zone_stability_threshold = IntParameter(10, 25, default=15, space="buy") - entry_zone_pct = IntParameter(1, 3, default=2, space="buy") - atr_stop_mult = IntParameter(10, 25, default=15, space="buy") # /10, e.g. 15 = 1.5x + zone_stability_threshold = IntParameter(15, 40, default=25, space="buy") # v3.1: 15→25↑ + entry_zone_pct = IntParameter(1, 5, default=3, space="buy") # v3.1: 2→3↑ + atr_stop_mult = IntParameter(10, 25, default=15, space="buy") take_profit_pct = IntParameter(50, 80, default=70, space="sell") # 固定参数 @@ -142,7 +139,8 @@ class StructureFlowSwingV30(IStrategy): if not is_stable: continue - # 条件2：价格测试过边界 + # 条件2：价格测试过边界 — v3.1: AND→OR + # 只需要测试过支撑或阻力之一，不需要两者都测过 start_idx = max(0, i - self.zone_touch_lookback) support_zone_upper = current_sl * 1.01 touched_support = any( @@ -155,7 +153,8 @@ class StructureFlowSwingV30(IStrategy): for j in range(start_idx, i + 1) ) - if not (touched_support and touched_resistance): + # v3.1: AND → OR + if not (touched_support or touched_resistance): continue # 条件3：无突破 @@ -261,13 +260,12 @@ class StructureFlowSwingV30(IStrategy): return dataframe # ================================================================ - # 入场信号 + # 入场信号 — v3.1: 冷却期 3→1 # ================================================================ def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: entry_zone = self.entry_zone_pct.value / 100.0 - # freqtrade adds _1d suffix to informative columns d1_downtrend_col = "d1_downtrend_1d" d1_uptrend_col = "d1_uptrend_1d" @@ -285,7 +283,7 @@ class StructureFlowSwingV30(IStrategy): & (~dataframe[d1_downtrend_col]) ) - cooldown = 3 + cooldown = 1 # v3.1: 3→1 long_recent = long_conds.rolling(cooldown, min_periods=1).max().shift(1) == 0 dataframe.loc[long_conds & long_recent, "enter_long"] = 1