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薇薇安 2026-02-02 20:05:10 +08:00
parent d3f2cce922
commit 76e6e5efd0
2 changed files with 32 additions and 18 deletions
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5
trading_system/config.py
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@ -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） '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） '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） '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） '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） '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）

45
trading_system/strategy.py
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@ -405,8 +405,8 @@ class TradingStrategy:
# MACD金叉/死叉（权重最高） # MACD金叉/死叉（权重最高）
if macd and macd['macd'] > macd['signal'] and macd['histogram'] > 0: 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） # 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 # 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 == 'up': if trend_4h in ('up', 'neutral'):
# OPTIMIZATION: 添加 RSI 过滤，避免追高 # OPTIMIZATION: 添加 RSI 过滤，避免追高
if rsi is None or rsi < 70: if rsi is None or rsi < 70:
signal_strength += TREND_SIGNAL_WEIGHTS['macd_cross'] signal_strength += TREND_SIGNAL_WEIGHTS['macd_cross']
@ -416,12 +416,12 @@ class TradingStrategy:
else: else:
reasons.append(f"MACD金叉但RSI超买({rsi:.1f})，禁止追多") reasons.append(f"MACD金叉但RSI超买({rsi:.1f})，禁止追多")
else: 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: 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） # MACD死叉，做空信号（严格4H趋势向下）
# OPTIMIZATION: 仅允许明确向下趋势 # OPTIMIZATION: 允许明确向下趋势或中性趋势
if trend_4h == 'down': if trend_4h in ('down', 'neutral'):
# OPTIMIZATION: 添加 RSI 过滤，避免杀跌 # OPTIMIZATION: 添加 RSI 过滤，避免杀跌
if rsi is None or rsi > 30: if rsi is None or rsi > 30:
signal_strength += TREND_SIGNAL_WEIGHTS['macd_cross'] signal_strength += TREND_SIGNAL_WEIGHTS['macd_cross']
@ -431,13 +431,13 @@ class TradingStrategy:
else: else:
reasons.append(f"MACD死叉但RSI超卖({rsi:.1f})，禁止追空") reasons.append(f"MACD死叉但RSI超卖({rsi:.1f})，禁止追空")
else: 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 # EMA均线系统
if ema20 and ema50: if ema20 and ema50:
if current_price > ema20 > ema50: # 上升趋势 if current_price > ema20 > ema50: # 上升趋势
# OPTIMIZATION: 仅允许明确向上趋势 # OPTIMIZATION: 允许明确向上趋势或中性趋势
if trend_4h == 'up': if trend_4h in ('up', 'neutral'):
# OPTIMIZATION: 添加 RSI 过滤 # OPTIMIZATION: 添加 RSI 过滤
if rsi is None or rsi < 70: if rsi is None or rsi < 70:
signal_strength += TREND_SIGNAL_WEIGHTS['ema_cross'] signal_strength += TREND_SIGNAL_WEIGHTS['ema_cross']
@ -445,10 +445,10 @@ class TradingStrategy:
if direction is None: if direction is None:
direction = 'BUY' direction = 'BUY'
else: 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 elif current_price < ema20 < ema50: # 下降趋势
# OPTIMIZATION: 仅允许明确向下趋势 # OPTIMIZATION: 允许明确向下趋势或中性趋势
if trend_4h == 'down': if trend_4h in ('down', 'neutral'):
# OPTIMIZATION: 添加 RSI 过滤 # OPTIMIZATION: 添加 RSI 过滤
if rsi is None or rsi > 30: if rsi is None or rsi > 30:
signal_strength += TREND_SIGNAL_WEIGHTS['ema_cross'] signal_strength += TREND_SIGNAL_WEIGHTS['ema_cross']
@ -456,16 +456,16 @@ class TradingStrategy:
if direction is None: if direction is None:
direction = 'SELL' direction = 'SELL'
else: 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 # 价格与EMA20关系
if ema20: if ema20:
if current_price > 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'] signal_strength += TREND_SIGNAL_WEIGHTS['price_above_ema20']
reasons.append("价格在EMA20之上") reasons.append("价格在EMA20之上")
elif current_price < ema20: 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'] signal_strength += TREND_SIGNAL_WEIGHTS['price_above_ema20']
reasons.append("价格在EMA20之下") 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） # 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。 # 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)) 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: 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 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） # 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: if direction and trend_4h and not reversed_by_rsi:
if (direction == 'BUY' and trend_4h == 'down') or (direction == 'SELL' and trend_4h == 'up'): if (direction == 'BUY' and trend_4h == 'down') or (direction == 'SELL' and trend_4h == 'up'):
should_trade = False should_trade = False
reasons.append("❌ 禁止逆4H趋势交易") 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 # 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): 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})") reasons.append(f"信号强度不足({signal_strength}/10，需要≥{min_signal_strength})")