v1.9: 趋势强度指标整合 + 供需区动态更新
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136
strategy.py
136
strategy.py
@ -1,6 +1,6 @@
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"""
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Structure Flow Strategy v1.6.4
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==============================
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Structure Flow Strategy v1.9
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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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@ -8,21 +8,14 @@ Structure Flow Strategy v1.6.4
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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 =====
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- 6-bar冷却期：信号后6h内不重复入场（防止连挨多刀）
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- 活支撑/阻力检查：S/R必须被最近测试并守住才算有效
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设计原则：不降频，只砍最差的那几笔重复入场
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v1.6.4 (2026-06-08): ===== 止损距离下限过滤器 =====
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- 核心发现：交叉对比 v1.6 的 stop_loss vs trailing_stop_loss
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止损距离是最大区分因子！
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LONG: stop_loss 2.08% vs trailing_stop 3.06% (+47%)
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SHORT: stop_loss 1.80% vs trailing_stop 2.10% (+17%)
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- 根因：止损设太近 → 被噪音震出 → 错过 trailing_stop 利润
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- 改动：min_stop_dist 从 0.3% 提升到 2.0%
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LONG: 要求 support_4h 距离入场价至少 2%
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SHORT: 要求 resistance_4h 距离入场价至少 2%
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- 预期：减少在窄止损距离上的入场 → 降低 stop_loss 比例
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但也会过滤掉部分窄止损但最终盈利的交易
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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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"""
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from datetime import datetime
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@ -33,15 +26,15 @@ from freqtrade.strategy import IStrategy, IntParameter, informative
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from freqtrade.persistence import Trade
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class StructureFlowStrategyV164(IStrategy):
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class StructureFlowStrategyV19(IStrategy):
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"""
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Structure Flow Strategy v1.6.4 — 止损距离下限过滤器
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Structure Flow Strategy v1.9 — 结构变化检测止损
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v1.6.4改动（相对于v1.6）：
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基于交叉对比分析发现止损距离是最大区分因子：
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- 盈利交易止损距离平均比亏损交易宽 30-50%
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- LONG stop_loss 65% 止损距离 <2%，trailing_stop 62% >2%
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→ 新增 min_stop_dist 参数，默认 2%，拒绝止损距离过近的入场
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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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"""
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can_short = True
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@ -59,11 +52,7 @@ class StructureFlowStrategyV164(IStrategy):
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swing_lookback_h4 = IntParameter(5, 10, default=8, space="buy")
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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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# v1.6 新增
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cooldown_bars = IntParameter(3, 12, default=6, space="buy")
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# v1.6.4 新增：止损距离下限（单位：%，参数值需除以100）
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# 默认20表示2.0%，基于交叉对比分析：盈利交易止损距离平均>2%
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min_stop_dist = IntParameter(3, 30, default=3, space="buy")
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# =====================
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# 工具：Swing Point 检测
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@ -229,7 +218,7 @@ class StructureFlowStrategyV164(IStrategy):
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dataframe["in_supply"] = structure["in_supply"]
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# ================================
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# v1.6: 活支撑/阻力检查
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# 活支撑/阻力检查 (v1.6)
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# ================================
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touched_support = (
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(dataframe["low"] <= dataframe["support"] * 1.005) &
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@ -247,6 +236,39 @@ class StructureFlowStrategyV164(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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@ -279,6 +301,7 @@ class StructureFlowStrategyV164(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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@ -288,26 +311,24 @@ class StructureFlowStrategyV164(IStrategy):
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return dataframe
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# =====================
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# 入场信号
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# 入场信号 (与 v1.6 完全一致)
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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）。
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入场逻辑（1H 时间框架）— 与 v1.6 完全一致。
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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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2. 4H 需求区域（in_demand_4h）
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3. 1H 看涨 K 线形态（bullish_signal）
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4. 止损距离在 [min_stop_dist, max_stop_dist] 区间
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5. [v1.6] 支撑位是"活"的（support_alive_4h）
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6. [v1.6] 6h内没有过同方向入场信号（冷却期）
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7. [v1.6.4] 止损距离 ≥ min_stop_dist（防止噪音震出）
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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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"""
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max_dist = self.max_stop_dist.value / 100.0
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min_dist = self.min_stop_dist.value / 100.0
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cooldown = self.cooldown_bars.value
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# NaN 安全处理
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@ -330,13 +351,11 @@ class StructureFlowStrategyV164(IStrategy):
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& dataframe["in_demand_4h"]
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& dataframe["bullish_signal"]
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& (long_stop_dist <= max_dist)
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& (long_stop_dist >= min_dist) # v1.6.4: 止损距离下限
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& (long_stop_dist > 0.003)
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)
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# v1.6: 活支撑
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long_base = long_base & dataframe["support_alive_4h"]
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# v1.6: 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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@ -350,13 +369,11 @@ class StructureFlowStrategyV164(IStrategy):
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& dataframe["in_supply_4h"]
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& dataframe["bearish_signal"]
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& (short_stop_dist <= max_dist)
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& (short_stop_dist >= min_dist) # v1.6.4: 止损距离下限
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& (short_stop_dist > 0.003)
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)
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# v1.6: 活阻力
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short_base = short_base & dataframe["resistance_alive_4h"]
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# v1.6: 冷却期
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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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@ -379,7 +396,7 @@ class StructureFlowStrategyV164(IStrategy):
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return dataframe
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# =====================
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# 动态止损 — 纯价格结构（基于Swing Point）
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# 动态止损 — v1.9 结构变化检测
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# =====================
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def custom_stoploss(
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@ -393,14 +410,17 @@ class StructureFlowStrategyV164(IStrategy):
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**kwargs,
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) -> float:
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"""
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止损逻辑：完全基于价格结构，零指标。
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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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止损位：
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做多 → support_4h - 0.1%缓冲（最近4H Swing Low下方）
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做空 → resistance_4h + 0.1%缓冲（最近4H Swing High上方）
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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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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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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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"""
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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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@ -409,6 +429,13 @@ class StructureFlowStrategyV164(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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@ -416,6 +443,13 @@ class StructureFlowStrategyV164(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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@ -443,5 +477,9 @@ class StructureFlowStrategyV164(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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