580 lines
21 KiB
Python
580 lines
21 KiB
Python
# ============================================================================
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# Structure Flow Strategy v1.2
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# 纯价格结构策略 — 零技术指标，价格行为学驱动
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#
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# 版本变化 v1.1 → v1.2:
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# - 硬止损改为 Entry Candle 失效点（做多→入场K线低点，做空→入场K线高点）
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# - 新增时间止损：入场后 N 根K线内无盈利则主动出场
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# - 保留 trailing_stop（结构跟踪止损），盈利后切换
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# - 策略类重命名为 StructureFlowStrategyV12
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#
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# 设计哲学:
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# 趋势由 HH/HL 定义，支撑阻力由 Swing Point 定义，
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# 止损由 Entry Candle 失效点定义，出场由结构反转定义。
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#
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# 多时间框架:
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# D1 → 宏观结构方向
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# 4H → 中期结构位 + 入场区域判定
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# 1H → K线形态确认入场时机
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# ============================================================================
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from datetime import datetime, timedelta
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import numpy as np
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import pandas as pd
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from pandas import DataFrame
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from freqtrade.strategy import IStrategy, IntParameter, DecimalParameter, informative
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from freqtrade.persistence import Trade
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class StructureFlowStrategyV12(IStrategy):
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"""
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Structure Flow Strategy v1.2 — 纯价格结构策略
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不使用任何技术指标（无 EMA、ATR、RSI、MACD、布林带等）。
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一切信号来源于价格本身的 OHLC 数据和由此推导的结构信息。
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趋势判断:
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HH + HL → 上升趋势（Bullish Structure）
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LH + LL → 下降趋势（Bearish Structure）
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入场逻辑:
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做多: D1上升结构 + 价格在4H Swing区间下半区 + 1H看涨K线形态
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做空: D1下降结构 + 价格在4H Swing区间上半区 + 1H看跌K线形态
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止损逻辑（v1.2 核心改进）:
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初始止损: Entry Candle 失效点（做多→入场K线最低价，做空→入场K线最高价）
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动态止损: 盈利后切换为结构跟踪止损（custom_stoploss）
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时间止损: 入场后 N 根K线内无盈利则主动出场
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"""
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# ── 基础配置 ──────────────────────────────────────────
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timeframe = "1h"
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can_short = True
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stoploss = -0.05 # 硬止损 5%，实际由 custom_stoploss 动态管理
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use_custom_stoploss = True
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minimal_roi = {"0": 100} # 不设时间止盈，出场由结构决定
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max_open_trades = 1
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# 回测参数
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startup_candle_count = 40
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# ── 可调参数 ──────────────────────────────────────────
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swing_lookback_d1 = IntParameter(
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2, 10, default=5, space="buy",
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)
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swing_lookback_h4 = IntParameter(
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2, 10, default=5, space="buy",
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)
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# Pin Bar 确认强度：影线至少是实体的 N 倍
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pin_bar_wick_ratio = DecimalParameter(
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1.5, 4.0, default=2.0, space="buy",
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)
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# Entry Candle 止损缓冲（%）：略低于/高于 Entry Candle 低点/高点
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entry_sl_buffer = DecimalParameter(
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0.001, 0.01, default=0.005, space="sell",
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optimize=True,
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)
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# 时间止损：入场后 N 根K线内无盈利则出场
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time_stop_bars = IntParameter(
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6, 48, default=12, space="sell",
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)
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# 盈利后切换为结构止损的触发距离（ATR 倍数，暂无ATR，用固定比例代替）
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profit_to_structure_sl_pct = DecimalParameter(
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0.01, 0.05, default=0.02, space="sell",
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optimize=True,
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)
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# ================================================================
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# 工具函数 — 纯价格计算，不依赖任何技术指标
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# ================================================================
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@staticmethod
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def _detect_swing_points(
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high: pd.Series,
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low: pd.Series,
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lookback: int,
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) -> tuple[pd.Series, pd.Series]:
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"""
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检测 Swing High 和 Swing Low。
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纯价格比较：
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- Swing High: 当前高点 > 左右各 lookback 根K线的所有高点
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- Swing Low: 当前低点 < 左右各 lookback 根K线的所有低点
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"""
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n = len(high)
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is_swing_high = np.full(n, False)
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is_swing_low = np.full(n, False)
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for i in range(lookback, n - lookback):
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window_high = high.iloc[i - lookback : i + lookback + 1]
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window_low = low.iloc[i - lookback : i + lookback + 1]
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if high.iloc[i] == window_high.max():
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is_swing_high[i] = True
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if low.iloc[i] == window_low.min():
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is_swing_low[i] = True
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return (
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pd.Series(is_swing_high, index=high.index),
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pd.Series(is_swing_low, index=low.index),
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)
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@staticmethod
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def _build_structure(
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high: pd.Series,
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low: pd.Series,
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close: pd.Series,
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swing_high: pd.Series,
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swing_low: pd.Series,
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) -> DataFrame:
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"""
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从 Swing Points 构建市场结构信息。
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返回值包含:
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trend_up / trend_down：当前处于上升/下降结构
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support：最近 Swing Low 价格
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resistance：最近 Swing High 价格
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in_demand：价格在下半区（做多区域）
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in_supply：价格在上半区（做空区域）
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"""
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n = len(high)
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trend_up_arr = np.full(n, False)
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trend_down_arr = np.full(n, False)
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nearest_support = np.full(n, np.nan)
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nearest_resistance = np.full(n, np.nan)
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in_demand_zone = np.full(n, False)
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in_supply_zone = np.full(n, False)
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sh_prices: list[float] = []
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sl_prices: list[float] = []
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for i in range(n):
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# ── 更新 Swing Point 队列 ──
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if swing_high.iloc[i] and not np.isnan(high.iloc[i]):
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sh_prices.append(high.iloc[i])
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if len(sh_prices) > 4:
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sh_prices.pop(0)
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if swing_low.iloc[i] and not np.isnan(low.iloc[i]):
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sl_prices.append(low.iloc[i])
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if len(sl_prices) > 4:
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sl_prices.pop(0)
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# ── 趋势判断 ──
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if len(sh_prices) >= 2 and len(sl_prices) >= 2:
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latest_sh, prev_sh = sh_prices[-1], sh_prices[-2]
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latest_sl, prev_sl = sl_prices[-1], sl_prices[-2]
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if latest_sh > prev_sh and latest_sl > prev_sl:
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trend_up_arr[i] = True
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trend_down_arr[i] = False
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elif latest_sh < prev_sh and latest_sl < prev_sl:
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trend_up_arr[i] = False
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trend_down_arr[i] = True
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else:
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if i > 0:
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trend_up_arr[i] = trend_up_arr[i - 1]
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trend_down_arr[i] = trend_down_arr[i - 1]
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elif i > 0:
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trend_up_arr[i] = trend_up_arr[i - 1]
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trend_down_arr[i] = trend_down_arr[i - 1]
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# ── 最近支撑/阻力 ──
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if sl_prices:
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nearest_support[i] = sl_prices[-1]
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elif i > 0:
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nearest_support[i] = nearest_support[i - 1]
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if sh_prices:
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nearest_resistance[i] = sh_prices[-1]
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elif i > 0:
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nearest_resistance[i] = nearest_resistance[i - 1]
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# ── 入场区域：用 Swing 区间中点划分 ──
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if (
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not np.isnan(nearest_support[i])
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and not np.isnan(nearest_resistance[i])
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and nearest_resistance[i] > nearest_support[i]
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):
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mid = (nearest_support[i] + nearest_resistance[i]) / 2.0
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in_demand_zone[i] = low.iloc[i] <= mid
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in_supply_zone[i] = high.iloc[i] >= mid
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elif i > 0:
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in_demand_zone[i] = in_demand_zone[i - 1]
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in_supply_zone[i] = in_supply_zone[i - 1]
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result = DataFrame(
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{
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"trend_up": trend_up_arr,
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"trend_down": trend_down_arr,
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"support": nearest_support,
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"resistance": nearest_resistance,
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"in_demand": in_demand_zone,
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"in_supply": in_supply_zone,
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},
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index=high.index,
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)
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return result
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@staticmethod
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def _detect_candle_patterns(
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o: pd.Series,
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h: pd.Series,
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l: pd.Series,
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c: pd.Series,
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pin_ratio: float,
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) -> tuple[pd.Series, pd.Series, pd.Series, pd.Series]:
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"""
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检测 K 线形态 — 纯 OHLC 计算。
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"""
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body = abs(c - o)
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upper_wick = h - np.maximum(o, c)
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lower_wick = np.minimum(o, c) - l
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total_range = h - l
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valid_range = total_range > 0
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valid_body = body > 0
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bullish_pin = (
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valid_range
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& valid_body
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& (lower_wick >= pin_ratio * body)
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& (upper_wick <= 0.5 * body)
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)
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bearish_pin = (
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valid_range
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& valid_body
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& (upper_wick >= pin_ratio * body)
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& (lower_wick <= 0.5 * body)
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)
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prev_body = body.shift(1)
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prev_o = o.shift(1)
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prev_c = c.shift(1)
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bullish_engulf = (
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(c > o)
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& (prev_c < prev_o)
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& (body > prev_body)
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)
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bearish_engulf = (
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(c < o)
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& (prev_c > prev_o)
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& (body > prev_body)
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)
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return (
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pd.Series(bullish_pin, index=c.index),
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pd.Series(bearish_pin, index=c.index),
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pd.Series(bullish_engulf, index=c.index),
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pd.Series(bearish_engulf, index=c.index),
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)
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# ================================================================
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# 信息时间框架 — D1 宏观结构
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# ================================================================
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@informative("1d")
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def populate_indicators_1d(
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self, dataframe: DataFrame, metadata: dict
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) -> DataFrame:
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sh, sl = self._detect_swing_points(
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dataframe["high"], dataframe["low"],
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self.swing_lookback_d1.value,
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)
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structure = self._build_structure(
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dataframe["high"], dataframe["low"], dataframe["close"],
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sh, sl,
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)
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dataframe["trend_up"] = structure["trend_up"]
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dataframe["trend_down"] = structure["trend_down"]
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return dataframe
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# ================================================================
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# 信息时间框架 — 4H 中期结构
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# ================================================================
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@informative("4h")
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def populate_indicators_4h(
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self, dataframe: DataFrame, metadata: dict
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) -> DataFrame:
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sh, sl = self._detect_swing_points(
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dataframe["high"], dataframe["low"],
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self.swing_lookback_h4.value,
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)
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structure = self._build_structure(
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dataframe["high"], dataframe["low"], dataframe["close"],
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sh, sl,
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)
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dataframe["trend_up"] = structure["trend_up"]
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dataframe["trend_down"] = structure["trend_down"]
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dataframe["support"] = structure["support"]
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dataframe["resistance"] = structure["resistance"]
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dataframe["in_demand"] = structure["in_demand"]
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dataframe["in_supply"] = structure["in_supply"]
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return dataframe
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# ================================================================
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# 主时间框架 — 1H K线形态 + Entry Candle 记录
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# ================================================================
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# 类级别缓存：记录每笔交易的 Entry Candle 信息
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# {trade_id: {"entry_low": float, "entry_high": float, "entry_idx": int}}
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_entry_candle_cache = {}
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def populate_indicators(
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self, dataframe: DataFrame, metadata: dict
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) -> DataFrame:
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"""
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1H 一小时线：检测 K 线形态。
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同时预标记可能的入场 K 线（供 custom_stoploss 使用）。
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"""
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bullish_pin, bearish_pin, bullish_engulf, bearish_engulf = (
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self._detect_candle_patterns(
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dataframe["open"],
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dataframe["high"],
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dataframe["low"],
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dataframe["close"],
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self.pin_bar_wick_ratio.value,
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)
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)
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dataframe["bullish_pinbar"] = bullish_pin
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dataframe["bearish_pinbar"] = bearish_pin
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dataframe["bullish_engulfing"] = bullish_engulf
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dataframe["bearish_engulfing"] = bearish_engulf
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dataframe["bullish_signal"] = bullish_pin | bullish_engulf
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dataframe["bearish_signal"] = bearish_pin | bearish_engulf
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# 预标记：如果这根 K 线是入场信号，记录其 OHLC（供后续 custom_stoploss 使用）
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# 注意：这里只是标记，实际入场由 populate_entry_trend 决定
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dataframe["potential_entry_low"] = np.where(
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dataframe["bullish_signal"] | dataframe["bearish_signal"],
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dataframe["low"],
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np.nan,
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)
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dataframe["potential_entry_high"] = np.where(
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dataframe["bullish_signal"] | dataframe["bearish_signal"],
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dataframe["high"],
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np.nan,
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)
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return dataframe
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# ================================================================
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# 入场信号
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# ================================================================
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def populate_entry_trend(
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self, dataframe: DataFrame, metadata: dict
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) -> DataFrame:
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"""
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入场逻辑（1H 时间框架）。
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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 下半区 / 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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做空条件:
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1. D1 下降结构（trend_down_1d）
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2. 4H 上半区 / 供给区域（in_supply_4h）
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3. 1H 看跌 K 线形态（bearish_signal）
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"""
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# ── NaN 安全处理 ──
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bool_cols = [
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"trend_up_1d", "trend_down_1d",
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"trend_up_4h", "trend_down_4h",
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"in_demand_4h", "in_supply_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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if col in dataframe.columns:
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dataframe[col] = dataframe[col].fillna(False).infer_objects(copy=False)
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# ── 做多 ──
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long_conditions = (
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dataframe["trend_up_1d"]
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& dataframe["in_demand_4h"]
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& dataframe["bullish_signal"]
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)
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dataframe.loc[long_conditions, "enter_long"] = 1
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# ── 做空 ──
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short_conditions = (
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dataframe["trend_down_1d"]
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& dataframe["in_supply_4h"]
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& dataframe["bearish_signal"]
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)
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dataframe.loc[short_conditions, "enter_short"] = 1
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return dataframe
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# ================================================================
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# 出场信号
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# ================================================================
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def populate_exit_trend(
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self, dataframe: DataFrame, metadata: dict
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) -> DataFrame:
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"""
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出场逻辑 — 由结构反转触发。
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"""
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# 做多出场：D1 不再上升
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exit_long = (
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~dataframe["trend_up_1d"].fillna(True)
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)
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dataframe.loc[exit_long, "exit_long"] = 1
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# 做空出场：D1 不再下降
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exit_short = (
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dataframe["trend_up_1d"].fillna(False)
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)
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dataframe.loc[exit_short, "exit_short"] = 1
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return dataframe
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# ================================================================
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# 动态止损 — v1.2 核心改进
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# ================================================================
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def custom_stoploss(
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self,
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pair: str,
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trade: Trade,
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current_time: datetime,
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current_rate: float,
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current_profit: float,
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after_fill: bool,
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**kwargs,
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) -> float | None:
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"""
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v1.2 止损逻辑（核心改进）：
|
||
|
||
阶段一（刚入场，无盈利或微盈利）：
|
||
止损 = Entry Candle 失效点 + 缓冲
|
||
- 做多：入场K线最低价 × (1 - entry_sl_buffer)
|
||
- 做空：入场K线最高价 × (1 + entry_sl_buffer)
|
||
|
||
阶段二（有一定盈利，超过 profit_to_structure_sl_pct）：
|
||
切换为结构跟踪止损（同 v1.1 逻辑）
|
||
- 做多：最近 4H Swing Low × (1 - buffer)
|
||
- 做空：最近 4H Swing High × (1 + buffer)
|
||
|
||
时间止损：
|
||
入场后超过 time_stop_bars 根K线且 current_profit < 0，
|
||
返回 -0.01（立即市价出场）。
|
||
"""
|
||
dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
|
||
if dataframe is None or len(dataframe) == 0:
|
||
return None
|
||
|
||
last = dataframe.iloc[-1]
|
||
buffer = self.entry_sl_buffer.value
|
||
|
||
# ── 时间止损检查 ──
|
||
# 计算入场至今的K线数（1H = 1根/小时）
|
||
bars_held = (current_time - trade.open_date_utc).total_seconds() / 3600
|
||
if bars_held >= self.time_stop_bars.value and current_profit <= 0:
|
||
# 超时且无盈利，立即出场（返回当前价，即市价出场）
|
||
return -0.01 # 1% 内市价出场
|
||
|
||
# ── 尝试获取 Entry Candle 信息 ──
|
||
# 方法：在 dataframe 中找到 open_date_utc 附近的 K 线
|
||
entry_candle_low = None
|
||
entry_candle_high = None
|
||
|
||
# 通过 potential_entry_low/high 列找到入场信号 K 线
|
||
# 找到最先出现信号且在 open_date_utc 之前的 K 线
|
||
entry_mask = (
|
||
(dataframe["potential_entry_low"].notna())
|
||
| (dataframe["potential_entry_high"].notna())
|
||
)
|
||
entry_candidates = dataframe[
|
||
entry_mask
|
||
& (dataframe["date"] <= trade.open_date_utc + timedelta(hours=1))
|
||
& (dataframe["date"] >= trade.open_date_utc - timedelta(hours=1))
|
||
]
|
||
if len(entry_candidates) > 0:
|
||
entry_candle = entry_candidates.iloc[-1]
|
||
entry_candle_low = entry_candle.get("potential_entry_low")
|
||
entry_candle_high = entry_candle.get("potential_entry_high")
|
||
|
||
# ── 阶段一：用 Entry Candle 止损 ──
|
||
if entry_candle_low is not None or entry_candle_high is not None:
|
||
if trade.is_short:
|
||
if entry_candle_high is not None and not np.isnan(entry_candle_high):
|
||
sl_price = float(entry_candle_high) * (1 + buffer)
|
||
sl_ratio = (sl_price - current_rate) / current_rate
|
||
# 如果已经有盈利超过阈值，切换到结构止损
|
||
if current_profit > self.profit_to_structure_sl_pct.value:
|
||
pass # 继续到阶段二
|
||
else:
|
||
return max(sl_ratio, -0.25)
|
||
else:
|
||
if entry_candle_low is not None and not np.isnan(entry_candle_low):
|
||
sl_price = float(entry_candle_low) * (1 - buffer)
|
||
sl_ratio = (sl_price - current_rate) / current_rate
|
||
if current_profit > self.profit_to_structure_sl_pct.value:
|
||
pass # 继续到阶段二
|
||
else:
|
||
return max(sl_ratio, -0.25)
|
||
|
||
# ── 阶段二：结构跟踪止损（盈利足够后） ──
|
||
profit_trigger = self.profit_to_structure_sl_pct.value
|
||
if current_profit > profit_trigger:
|
||
if trade.is_short:
|
||
resistance = last.get("resistance_4h")
|
||
if resistance is not None and not (isinstance(resistance, float) and np.isnan(resistance)):
|
||
sl_price = float(resistance) * (1 + buffer)
|
||
sl_ratio = (sl_price - current_rate) / current_rate
|
||
if sl_ratio < 0:
|
||
return max(sl_ratio, -0.25)
|
||
else:
|
||
support = last.get("support_4h")
|
||
if support is not None and not (isinstance(support, float) and np.isnan(support)):
|
||
sl_price = float(support) * (1 - buffer)
|
||
sl_ratio = (sl_price - current_rate) / current_rate
|
||
if sl_ratio < 0:
|
||
return max(sl_ratio, -0.25)
|
||
|
||
return None
|
||
|
||
# ================================================================
|
||
# 时间止损的替代实现（通过 populate_exit_trend 扩展）
|
||
# ================================================================
|
||
|
||
def confirm_trade_exit(
|
||
self,
|
||
pair: str,
|
||
trade: Trade,
|
||
order_type: str,
|
||
amount: float,
|
||
rate: float,
|
||
time_in_force: str,
|
||
sell_reason: str,
|
||
**kwargs,
|
||
) -> bool:
|
||
"""
|
||
可在此处添加日志记录，便于回测分析。
|
||
"""
|
||
return True
|