From 76e6e5efd0885aa9188dcc4dae07d7ad65eca1b0 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?=E8=96=87=E8=96=87=E5=AE=89?= Date: Mon, 2 Feb 2026 20:05:10 +0800 Subject: [PATCH] a --- trading_system/config.py | 5 +++++ trading_system/strategy.py | 45 +++++++++++++++++++++++--------------- 2 files changed, 32 insertions(+), 18 deletions(-) diff --git a/trading_system/config.py b/trading_system/config.py index b5a21d1..813aa1a 100644 --- a/trading_system/config.py +++ b/trading_system/config.py @@ -242,6 +242,11 @@ def _get_trading_config(): 'MAX_CHANGE_PERCENT_FOR_LONG': 25, # 做多时 24h 涨跌幅超过此值则不开多（避免追大涨） 'MIN_RSI_FOR_SHORT': 30, # 做空时 RSI 低于此值则不做空（避免深超卖反弹） 'MAX_CHANGE_PERCENT_FOR_SHORT': 10, # 做空时 24h 涨跌幅超过此值则不做空（24h 仍大涨时不做空） + + # ===== RSI 极限反转策略（抄底/逃顶）===== + 'RSI_EXTREME_REVERSE_ENABLED': True, # 开启RSI极限反转：超买反空，超卖反多 + 'RSI_EXTREME_REVERSE_ONLY_NEUTRAL_4H': False, # 允许在有趋势时反向操作（例如：下跌趋势中RSI超卖 -> 抄底） + 'ATR_SPIKE_THRESHOLD': 2.0, # ATR异常激增阈值（当前ATR / 平均ATR） 'SIGNAL_STRENGTH_POSITION_MULTIPLIER': {7: 0.8, 8: 0.9, 9: 1.0, 10: 1.0}, # 信号强度分级：7分80%仓位，8分90%，9-10分100%（快速验证模式：支持7-8分信号） diff --git a/trading_system/strategy.py b/trading_system/strategy.py index aa55a16..69b9c40 100644 --- a/trading_system/strategy.py +++ b/trading_system/strategy.py @@ -405,8 +405,8 @@ class TradingStrategy: # MACD金叉/死叉（权重最高） if macd and macd['macd'] > macd['signal'] and macd['histogram'] > 0: # MACD金叉，做多信号（严格4H趋势向上） - # OPTIMIZATION: 仅允许明确向上趋势，移除 neutral 和 None，避免震荡行情止损 - if trend_4h == 'up': + # OPTIMIZATION: 允许明确向上趋势或中性趋势（如果是中性，后续需依靠高分信号确认） + if trend_4h in ('up', 'neutral'): # OPTIMIZATION: 添加 RSI 过滤，避免追高 if rsi is None or rsi < 70: signal_strength += TREND_SIGNAL_WEIGHTS['macd_cross'] @@ -416,12 +416,12 @@ class TradingStrategy: else: reasons.append(f"MACD金叉但RSI超买({rsi:.1f})，禁止追多") else: - reasons.append(f"MACD金叉但4H趋势不明确({trend_4h})，禁止开仓") + reasons.append(f"MACD金叉但4H趋势相反({trend_4h})，禁止逆势") elif macd and macd['macd'] < macd['signal'] and macd['histogram'] < 0: # MACD死叉，做空信号（严格4H趋势向下） - # OPTIMIZATION: 仅允许明确向下趋势 - if trend_4h == 'down': + # OPTIMIZATION: 允许明确向下趋势或中性趋势 + if trend_4h in ('down', 'neutral'): # OPTIMIZATION: 添加 RSI 过滤，避免杀跌 if rsi is None or rsi > 30: signal_strength += TREND_SIGNAL_WEIGHTS['macd_cross'] @@ -431,13 +431,13 @@ class TradingStrategy: else: reasons.append(f"MACD死叉但RSI超卖({rsi:.1f})，禁止追空") else: - reasons.append(f"MACD死叉但4H趋势不明确({trend_4h})，禁止开仓") + reasons.append(f"MACD死叉但4H趋势相反({trend_4h})，禁止逆势") # EMA均线系统 if ema20 and ema50: if current_price > ema20 > ema50: # 上升趋势 - # OPTIMIZATION: 仅允许明确向上趋势 - if trend_4h == 'up': + # OPTIMIZATION: 允许明确向上趋势或中性趋势 + if trend_4h in ('up', 'neutral'): # OPTIMIZATION: 添加 RSI 过滤 if rsi is None or rsi < 70: signal_strength += TREND_SIGNAL_WEIGHTS['ema_cross'] @@ -445,10 +445,10 @@ class TradingStrategy: if direction is None: direction = 'BUY' else: - reasons.append(f"1H均线向上但4H趋势不明确({trend_4h})，禁止开仓") + reasons.append(f"1H均线向上但4H趋势相反({trend_4h})，禁止逆势") elif current_price < ema20 < ema50: # 下降趋势 - # OPTIMIZATION: 仅允许明确向下趋势 - if trend_4h == 'down': + # OPTIMIZATION: 允许明确向下趋势或中性趋势 + if trend_4h in ('down', 'neutral'): # OPTIMIZATION: 添加 RSI 过滤 if rsi is None or rsi > 30: signal_strength += TREND_SIGNAL_WEIGHTS['ema_cross'] @@ -456,16 +456,16 @@ class TradingStrategy: if direction is None: direction = 'SELL' else: - reasons.append(f"1H均线向下但4H趋势不明确({trend_4h})，禁止开仓") + reasons.append(f"1H均线向下但4H趋势相反({trend_4h})，禁止逆势") # 价格与EMA20关系 if ema20: if current_price > ema20: - if trend_4h == 'up' and direction == 'BUY': + if trend_4h in ('up', 'neutral') and direction == 'BUY': signal_strength += TREND_SIGNAL_WEIGHTS['price_above_ema20'] reasons.append("价格在EMA20之上") elif current_price < ema20: - if trend_4h == 'down' and direction == 'SELL': + if trend_4h in ('down', 'neutral') and direction == 'SELL': signal_strength += TREND_SIGNAL_WEIGHTS['price_above_ema20'] reasons.append("价格在EMA20之下") @@ -588,17 +588,26 @@ class TradingStrategy: # 提升胜率：4H趋势中性时不做自动交易（只保留推荐/观察） # 经验上，中性趋势下“趋势跟踪”信号更容易被来回扫损，导致胜率显著降低与交易次数激增。 allow_neutral = bool(config.TRADING_CONFIG.get("AUTO_TRADE_ALLOW_4H_NEUTRAL", False)) - if (trend_4h == 'neutral') and (not allow_neutral): + # 稳健优化：如果信号非常强（>=8），即使4H中性也允许尝试（通常意味着突破初期） + is_strong_signal = signal_strength >= 8 + if (trend_4h == 'neutral') and (not allow_neutral) and (not is_strong_signal): if should_trade: - reasons.append("❌ 4H趋势中性（为提升胜率：仅生成推荐，不自动交易）") + reasons.append("❌ 4H趋势中性且信号强度不足（<8），跳过自动交易") should_trade = False - # 如果信号方向与4H趋势相反，直接拒绝交易（所有模式） - if direction and trend_4h: + # 如果信号方向与4H趋势相反，直接拒绝交易（除非是RSI极限反转策略） + if direction and trend_4h and not reversed_by_rsi: if (direction == 'BUY' and trend_4h == 'down') or (direction == 'SELL' and trend_4h == 'up'): should_trade = False reasons.append("❌ 禁止逆4H趋势交易") + # 对于 RSI 极限反转策略，虽然允许逆势，但增加额外提示 + if direction and trend_4h and reversed_by_rsi: + if (direction == 'BUY' and trend_4h == 'down'): + reasons.append("⚠️ 逆4H趋势抄底（RSI超卖反转）") + elif (direction == 'SELL' and trend_4h == 'up'): + reasons.append("⚠️ 逆4H趋势逃顶（RSI超买反转）") + # 只在“真的强度不足”时追加该原因；避免出现“强度>=阈值但被其它过滤挡住”仍提示强度不足 if direction and (signal_strength < min_signal_strength): reasons.append(f"信号强度不足({signal_strength}/10，需要≥{min_signal_strength})")