v2.0: v2架构重构 - 多TF结构分析 + 信号确认体系
This commit is contained in:
165
strategy.py
165
strategy.py
@ -1,21 +1,13 @@
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"""
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Structure Flow Strategy v1.9
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Structure Flow Strategy v2.0
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=======================
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变更记录：
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v1.0 (2026-06-07): 纯价格结构策略，D1定方向→4H定位→1H入场
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v1.1 (2026-06-07): 1H futures，结构止损，首次回测成功(+61.52%)
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v1.2 (2026-06-07): Entry Candle止损，bug导致50笔硬止损全亏
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v1.3 (2026-06-07): ATR动态止损，结果-63.72%，胜率20.2%
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v1.4 (2026-06-07): 回归纯价格结构止损，+140.71%，胜率38.7%
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v1.5 (2026-06-07): 参数调优(stoploss -5%→-15%, max_stop_dist 3%→5%)，+140.83%
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v1.6 (2026-06-07): 入场质量优化（冷却期+活支撑），+151.32% ⭐ 最优基线
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v1.7 (2026-06-07): 止损优化(5%缓冲)，❌ 失败
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v1.8 (2026-06-07): 止损优化(2%缓冲)，❌ 失败
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v1.9 (2026-06-08): ===== 结构变化检测止损 =====
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入场逻辑保持 v1.6 不变。
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custom_stoploss 新增：当价格已穿越原 S/R 时，
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提前退出而非等待原止损位。
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核心假设：入场后 S/R 被否定 → 原止损逻辑无效。
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v1.6 (2026-06-07): 最优基线 — +3659.63%, 190笔, 69.3% trailing胜率
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v2.0 (2026-06-08): ===== B1: 入场延迟一根1H bar确认 =====
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信号触发后，不立即入场，等下一根1H bar收盘。
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如果收盘价仍在S/R附近（支撑上方1.5%以内 / 阻力下方1.5%以内），
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确认入场；否则放弃本次信号。
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目的：过滤假突破，减少被噪音震出的止损交易。
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"""
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from datetime import datetime
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@ -26,15 +18,14 @@ from freqtrade.strategy import IStrategy, IntParameter, informative
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from freqtrade.persistence import Trade
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class StructureFlowStrategyV19(IStrategy):
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class StructureFlowStrategyV20(IStrategy):
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"""
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Structure Flow Strategy v1.9 — 结构变化检测止损
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Structure Flow Strategy v2.0 — B1: 入场延迟确认
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v1.9改动（相对于v1.6）：
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custom_stoploss 增加结构变化检测：
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- 做多：如果当前 bar 的 close < support_4h（支撑被跌破），提前退出
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- 做空：如果当前 bar 的 close > resistance_4h（阻力被突破），提前退出
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- 否则保持 v1.6 的原有止损逻辑（support * 0.999 / resistance * 1.001）
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v2.0改动（相对于v1.6）：
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1. 入场延迟1根bar：信号触发后，等下一根bar收盘确认
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2. 确认条件：收盘价仍在S/R附近（做多在support上方1.5%内，做空在resistance下方1.5%内）
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3. 保留v1.6所有逻辑：冷却期、活支撑/阻力、D1趋势过滤
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"""
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can_short = True
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@ -53,6 +44,8 @@ class StructureFlowStrategyV19(IStrategy):
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pin_bar_wick_ratio = IntParameter(50, 70, default=60, space="buy")
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max_stop_dist = IntParameter(20, 50, default=50, space="buy")
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cooldown_bars = IntParameter(3, 12, default=6, space="buy")
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# v2.0 新增：入场确认阈值 — close必须在S/R附近多少%以内才算确认
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entry_confirm_pct = IntParameter(10, 50, default=50, space="buy") # x/1000 = 1.0%~5.0%, default 5.0%
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# =====================
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# 工具：Swing Point 检测
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@ -218,7 +211,7 @@ class StructureFlowStrategyV19(IStrategy):
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dataframe["in_supply"] = structure["in_supply"]
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# ================================
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# 活支撑/阻力检查 (v1.6)
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# v1.6 活支撑/阻力检查（保留）
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# ================================
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touched_support = (
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(dataframe["low"] <= dataframe["support"] * 1.005) &
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@ -236,39 +229,6 @@ class StructureFlowStrategyV19(IStrategy):
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resistance_tested_and_held = touched_resistance & held_resistance
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dataframe["resistance_alive"] = resistance_tested_and_held.rolling(3, min_periods=1).max() > 0
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# ================================
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# v1.9 新增：S/R 突破检测
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# ================================
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# 正确逻辑：检测当前 4H close 是否跌破了前一个 Swing Low（结构破坏）
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# 而不是检测是否跌破了当前 support（当前 support 永远在价格下方）
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sl_prices_tmp = []
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sh_prices_tmp = []
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sl_prev = np.full(len(dataframe), np.nan) # 前一个 Swing Low 的价格
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sh_prev = np.full(len(dataframe), np.nan) # 前一个 Swing High 的价格
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for i in range(len(dataframe)):
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if pd.notna(sl.iloc[i]):
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sl_prices_tmp.append(sl.iloc[i])
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if len(sl_prices_tmp) > 4:
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sl_prices_tmp.pop(0)
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if pd.notna(sh.iloc[i]):
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sh_prices_tmp.append(sh.iloc[i])
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if len(sh_prices_tmp) > 4:
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sh_prices_tmp.pop(0)
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# 前一个 Swing Low：倒数第二个
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if len(sl_prices_tmp) >= 2:
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sl_prev[i] = sl_prices_tmp[-2]
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# 前一个 Swing High：倒数第二个
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if len(sh_prices_tmp) >= 2:
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sh_prev[i] = sh_prices_tmp[-2]
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# support_broken: 4H close < 前一个 Swing Low（价格跌破了之前的支撑）
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dataframe["support_broken"] = (dataframe["close"] < pd.Series(sl_prev, index=dataframe.index)).fillna(False)
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# resistance_broken: 4H close > 前一个 Swing High（价格突破了之前的阻力）
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dataframe["resistance_broken"] = (dataframe["close"] > pd.Series(sh_prev, index=dataframe.index)).fillna(False)
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return dataframe
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# ================================================================
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@ -301,7 +261,6 @@ class StructureFlowStrategyV19(IStrategy):
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"trend_up_4h", "trend_down_4h",
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"in_demand_4h", "in_supply_4h",
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"support_alive_4h", "resistance_alive_4h",
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"support_broken_4h", "resistance_broken_4h",
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"bullish_signal", "bearish_signal",
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]
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for col in bool_cols:
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@ -311,12 +270,14 @@ class StructureFlowStrategyV19(IStrategy):
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return dataframe
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# =====================
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# 入场信号 (与 v1.6 完全一致)
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# 入场信号 — v2.0 延迟确认
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# =====================
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def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
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入场逻辑（1H 时间框架）— 与 v1.6 完全一致。
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入场逻辑（1H 时间框架）。
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v2.0 核心改动：B1 — 入场延迟一根1H bar确认
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做多条件:
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1. D1 上升结构（trend_up_1d）
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@ -325,11 +286,13 @@ class StructureFlowStrategyV19(IStrategy):
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4. 止损距离 ≤ max_stop_dist%
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5. 支撑位是"活"的（support_alive_4h）
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6. 6h内没有过同方向入场信号（冷却期）
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做空条件对称。
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7. [v2.0 NEW] 上一根bar触发了信号，当前bar收盘确认：
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做多：close 仍在 support_4h 上方 entry_confirm_pct% 以内
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做空：close 仍在 resistance_4h 下方 entry_confirm_pct% 以内
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"""
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max_dist = self.max_stop_dist.value / 100.0
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cooldown = self.cooldown_bars.value
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confirm_pct = self.entry_confirm_pct.value / 1000.0 # 1.0%~3.0%
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# NaN 安全处理
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bool_cols = [
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@ -343,7 +306,11 @@ class StructureFlowStrategyV19(IStrategy):
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if col in dataframe.columns:
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dataframe[col] = dataframe[col].fillna(False)
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# ── 做多 ──
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# =====================
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# 原始v1.6入场条件（不变）
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# =====================
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# ── 做多原始条件 ──
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long_stop_dist = (dataframe["open"] - dataframe["support_4h"]) / dataframe["open"]
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long_base = (
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@ -352,16 +319,14 @@ class StructureFlowStrategyV19(IStrategy):
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& dataframe["bullish_signal"]
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& (long_stop_dist <= max_dist)
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& (long_stop_dist > 0.003)
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& dataframe["support_alive_4h"]
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)
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long_base = long_base & dataframe["support_alive_4h"]
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# 冷却期
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long_recent = long_base.rolling(cooldown, min_periods=1).max().shift(1) == 0
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long_conditions = long_base & long_recent
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long_signal = long_base & long_recent
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dataframe.loc[long_conditions, "enter_long"] = 1
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# ── 做空 ──
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# ── 做空原始条件 ──
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short_stop_dist = (dataframe["resistance_4h"] - dataframe["open"]) / dataframe["open"]
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short_base = (
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@ -370,14 +335,35 @@ class StructureFlowStrategyV19(IStrategy):
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& dataframe["bearish_signal"]
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& (short_stop_dist <= max_dist)
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& (short_stop_dist > 0.003)
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& dataframe["resistance_alive_4h"]
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)
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short_base = short_base & dataframe["resistance_alive_4h"]
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short_recent = short_base.rolling(cooldown, min_periods=1).max().shift(1) == 0
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short_conditions = short_base & short_recent
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short_signal = short_base & short_recent
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dataframe.loc[short_conditions, "enter_short"] = 1
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# =====================
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# v2.0: B1 — 入场延迟一根bar确认
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# =====================
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# 上一根bar的信号（shift(1)）
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prev_long_signal = long_signal.shift(1).fillna(False)
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prev_short_signal = short_signal.shift(1).fillna(False)
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# 确认条件：当前bar的close仍在S/R附近
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# 做多：close在support上方确认区间内（support * 1.0 ~ support * (1+confirm_pct)）
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long_confirm = (
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(dataframe["close"] >= dataframe["support_4h"]) &
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(dataframe["close"] <= dataframe["support_4h"] * (1 + confirm_pct))
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)
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# 做空：close在resistance下方确认区间内（resistance * (1-confirm_pct) ~ resistance * 1.0）
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short_confirm = (
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(dataframe["close"] <= dataframe["resistance_4h"]) &
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(dataframe["close"] >= dataframe["resistance_4h"] * (1 - confirm_pct))
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)
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# 最终入场：上一根bar有信号 + 当前bar确认
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dataframe.loc[prev_long_signal & long_confirm, "enter_long"] = 1
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dataframe.loc[prev_short_signal & short_confirm, "enter_short"] = 1
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return dataframe
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@ -396,7 +382,7 @@ class StructureFlowStrategyV19(IStrategy):
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return dataframe
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# =====================
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# 动态止损 — v1.9 结构变化检测
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# 动态止损 — 纯价格结构（基于Swing Point）
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# =====================
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def custom_stoploss(
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@ -410,17 +396,14 @@ class StructureFlowStrategyV19(IStrategy):
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**kwargs,
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) -> float:
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"""
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v1.9 止损逻辑：结构变化检测 + 原有价格结构止损。
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止损逻辑：完全基于价格结构，零指标（与v1.6相同）。
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新增逻辑（结构变化检测）：
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做多时：如果 support_broken_4h == True（4H close 已跌破支撑），
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说明原支撑逻辑已失效，返回 0 立即平仓。
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做空时：如果 resistance_broken_4h == True（4H close 已突破阻力），
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说明原阻力逻辑已失效，返回 0 立即平仓。
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止损位：
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做多 → support_4h - 0.1%缓冲
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做空 → resistance_4h + 0.1%缓冲
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原有逻辑（保持不变）：
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做多 → support_4h * 0.999
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做空 → resistance_4h * 1.001
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support_4h / resistance_4h 随新Swing Point自动更新，
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天然形成追踪止损效果。
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"""
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dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
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if dataframe is None or len(dataframe) == 0:
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@ -429,13 +412,6 @@ class StructureFlowStrategyV19(IStrategy):
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last = dataframe.iloc[-1]
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if not trade.is_short:
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# ===== v1.9 新增：结构变化检测 =====
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support_broken = last.get("support_broken_4h", False)
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if support_broken:
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# 支撑已被跌破 → 原止损逻辑失效，立即退出
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return 0.0
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# ===== 原有逻辑 =====
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support = last.get("support_4h", np.nan)
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if pd.isna(support) or support <= 0:
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return -0.02
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@ -443,13 +419,6 @@ class StructureFlowStrategyV19(IStrategy):
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sl_ratio = (sl_price / current_rate) - 1.0
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return max(sl_ratio, -0.15)
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else:
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# ===== v1.9 新增：结构变化检测 =====
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resistance_broken = last.get("resistance_broken_4h", False)
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if resistance_broken:
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# 阻力已被突破 → 原止损逻辑失效，立即退出
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return 0.0
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# ===== 原有逻辑 =====
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resistance = last.get("resistance_4h", np.nan)
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if pd.isna(resistance) or resistance <= 0:
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return 0.02
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@ -477,9 +446,5 @@ class StructureFlowStrategyV19(IStrategy):
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"support_alive_4h": {"color": "green", "type": "line"},
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"resistance_alive_4h": {"color": "red", "type": "line"},
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},
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"structure_check": {
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"support_broken_4h": {"color": "red", "type": "scatter"},
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"resistance_broken_4h": {"color": "green", "type": "scatter"},
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},
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},
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}
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