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v1.6: 结构突破回测验证版 + 6条件入场体系

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Beast Trader
2026-06-08 00:00:00 +08:00
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commit 8526976cb0
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strategy.py
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@ -1,5 +1,5 @@
"""
Structure Flow Strategy v1.5
Structure Flow Strategy v1.6
=======================
变更记录：
v1.0 (2026-06-07): 纯价格结构策略，D1定方向→4H定位→1H入场
@ -7,10 +7,11 @@ Structure Flow Strategy v1.5
v1.2 (2026-06-07): Entry Candle止损，bug导致50笔硬止损全亏
v1.3 (2026-06-07): ATR动态止损，结果-63.72%，胜率20.2%
v1.4 (2026-06-07): 回归纯价格结构止损，+140.71%，胜率38.7%
v1.5 (2026-06-07): ===== 参数调优 =====
- stoploss -5% → -15%，释放结构止损空间
- max_stop_dist 3% → 5%，增加交易频率
其他逻辑与v1.4完全相同
v1.5 (2026-06-07): 参数调优(stoploss -5%→-15%, max_stop_dist 3%→5%)，+140.83%
v1.6 (2026-06-07): ===== 入场质量优化 =====
- 6-bar冷却期：信号后6h内不重复入场（防止连挨多刀）
- 活支撑/阻力检查：S/R必须被最近测试并守住才算有效
设计原则：不降频，只砍最差的那几笔重复入场
"""
from datetime import datetime
@ -21,17 +22,19 @@ from freqtrade.strategy import IStrategy, IntParameter, informative
from freqtrade.persistence import Trade
class StructureFlowStrategyV15(IStrategy):
class StructureFlowStrategyV16(IStrategy):
"""
Structure Flow Strategy v1.5 — 纯价格结构，零指标
Structure Flow Strategy v1.6 — 纯价格结构，零指标
v1.5改动（相对于v1.4）：
- stoploss -5% → -15%（硬止损放宽，让结构止损真正生效）
- max_stop_dist 3% → 5%（增加交易频率）
v1.6改动（相对于v1.5）：
1. 6-bar冷却期：同方向信号触发后，6h内禁止同向再入场
→ 解决"同一天同一个价位挨两刀"的问题
2. 活支撑/阻力检查：4H Swing Point 必须被价格测试并守住才有效
→ 解决"在死支撑上入场"的问题
"""
can_short = True
stoploss = -0.15 # v1.5: -5% → -15%
stoploss = -0.15
use_custom_stoploss = True
minimal_roi = {"0": 100}
max_open_trades = 1
@ -44,8 +47,9 @@ class StructureFlowStrategyV15(IStrategy):
swing_lookback_d1 = IntParameter(8, 14, default=10, space="buy")
swing_lookback_h4 = IntParameter(5, 10, default=8, space="buy")
pin_bar_wick_ratio = IntParameter(50, 70, default=60, space="buy")
# v1.5: 默认值从30→50（3%→5%）
max_stop_dist = IntParameter(20, 50, default=50, space="buy")
# v1.6 新增
cooldown_bars = IntParameter(3, 12, default=6, space="buy")
# =====================
# 工具：Swing Point 检测
@ -209,6 +213,30 @@ class StructureFlowStrategyV15(IStrategy):
dataframe["resistance"] = structure["resistance"]
dataframe["in_demand"] = structure["in_demand"]
dataframe["in_supply"] = structure["in_supply"]
# ================================
# v1.6 新增：活支撑/阻力检查
# ================================
# 支撑"活"的条件：在最近3根4H bar内，low 触及 support ±0.5%
# 并且收盘价在支撑之上（即测试后撑住了）
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
# 在过去3根4H bar内有至少一次"测试并守住"
dataframe["support_alive"] = support_tested_and_held.rolling(3, min_periods=1).max() > 0
# 阻力"活"的条件：high 触及 resistance ±0.5% 且 close 在阻力之下
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
return dataframe
# ================================================================
@ -240,6 +268,7 @@ class StructureFlowStrategyV15(IStrategy):
"trend_up_1d", "trend_down_1d",
"trend_up_4h", "trend_down_4h",
"in_demand_4h", "in_supply_4h",
"support_alive_4h", "resistance_alive_4h",
"bullish_signal", "bearish_signal",
]
for col in bool_cols:
@ -257,24 +286,24 @@ class StructureFlowStrategyV15(IStrategy):
入场逻辑（1H 时间框架）。
做多条件:
1. D1 上升结构（trend_up_1d）— 宏观方向
2. 4H 需求区域（in_demand_4h）— 在支撑附近
1. D1 上升结构（trend_up_1d）
2. 4H 需求区域（in_demand_4h）
3. 1H 看涨 K 线形态（bullish_signal）
4. 止损距离 ≤ max_stop_dist% — 赔率过滤（v1.5: 默认5%）
做空条件:
1. D1 下降结构（trend_down_1d）
2. 4H 供给区域（in_supply_4h）
3. 1H 看跌 K 线形态（bearish_signal）
4. 止损距离 ≤ max_stop_dist%
5. [v1.6] 支撑位是"活"的（support_alive_4h）
6. [v1.6] 6h内没有过同方向入场信号（冷却期）
做空条件对称。
"""
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",
"bullish_signal", "bearish_signal",
]
for col in bool_cols:
@ -284,25 +313,41 @@ class StructureFlowStrategyV15(IStrategy):
# ── 做多 ──
long_stop_dist = (dataframe["open"] - dataframe["support_4h"]) / dataframe["open"]
long_conditions = (
long_base = (
dataframe["trend_up_1d"]
& dataframe["in_demand_4h"]
& dataframe["bullish_signal"]
& (long_stop_dist <= max_dist)
& (long_stop_dist > 0.003) # 至少0.3%距离（避免support就在眼前）
& (long_stop_dist > 0.003)
)
# v1.6: 活支撑 — 支撑必须在最近3根4H内被测试并守住
long_base = long_base & dataframe["support_alive_4h"]
# v1.6: 冷却期 — 过去N根1H bar内没有过满足条件的做多信号
long_recent = long_base.rolling(cooldown, min_periods=1).max().shift(1) == 0
long_conditions = long_base & long_recent
dataframe.loc[long_conditions, "enter_long"] = 1
# ── 做空 ──
short_stop_dist = (dataframe["resistance_4h"] - dataframe["open"]) / dataframe["open"]
short_conditions = (
short_base = (
dataframe["trend_down_1d"]
& dataframe["in_supply_4h"]
& dataframe["bearish_signal"]
& (short_stop_dist <= max_dist)
& (short_stop_dist > 0.003)
)
# v1.6: 活阻力 — 阻力必须在最近3根4H内被测试并守住
short_base = short_base & dataframe["resistance_alive_4h"]
# v1.6: 冷却期 — 过去N根1H bar内没有过满足条件的做空信号
short_recent = short_base.rolling(cooldown, min_periods=1).max().shift(1) == 0
short_conditions = short_base & short_recent
dataframe.loc[short_conditions, "enter_short"] = 1
return dataframe
@ -344,8 +389,6 @@ class StructureFlowStrategyV15(IStrategy):
support_4h / resistance_4h 随新Swing Point自动更新，
天然形成追踪止损效果。
v1.5: 硬止损从-5%放宽到-15%，让结构止损真正生效。
"""
dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
if dataframe is None or len(dataframe) == 0:
@ -356,20 +399,16 @@ class StructureFlowStrategyV15(IStrategy):
if not trade.is_short:
support = last.get("support_4h", np.nan)
if pd.isna(support) or support <= 0:
return -0.02 # fallback
# 止损 = support_4h 下方 0.1%
return -0.02
sl_price = support * 0.999
sl_ratio = (sl_price / current_rate) - 1.0
# v1.5: 硬止损从-5% → -15%
return max(sl_ratio, -0.15)
else:
resistance = last.get("resistance_4h", np.nan)
if pd.isna(resistance) or resistance <= 0:
return 0.02 # fallback
# 止损 = resistance_4h 上方 0.1%
return 0.02
sl_price = resistance * 1.001
sl_ratio = 1.0 - (sl_price / current_rate)
# v1.5: 硬止损从+5% → +15%
return min(sl_ratio, 0.15)
# =====================
@ -388,5 +427,9 @@ class StructureFlowStrategyV15(IStrategy):
"bullish_pinbar": {"color": "green", "type": "scatter"},
"bearish_pinbar": {"color": "red", "type": "scatter"},
},
"filters": {
"support_alive_4h": {"color": "green", "type": "line"},
"resistance_alive_4h": {"color": "red", "type": "line"},
},
},
}