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feat(position_manager, config): 添加早止盈功能以优化山寨币交易策略

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在 `position_manager.py` 中实现了早止盈逻辑，允许在盈利达到一定比例且持仓时间超过指定小时数时，自动市价止盈，避免反转风险。同时，在 `config.py` 中新增相关配置项以支持该功能，提升了交易策略的灵活性与风险控制能力。
This commit is contained in:
薇薇安 2026-02-20 00:33:28 +08:00
parent 43daa922a4
commit d31c44a22a
3 changed files with 31 additions and 703 deletions
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6
trading_system/config.py
View File

@ -198,7 +198,7 @@ DEFAULT_TRADING_CONFIG = {
'EXCLUDE_MAJOR_COINS': True, # 排除主流币
'STOP_LOSS_PERCENT': 0.05, # 基础止损5%（配合ATR动态止损，作为保底）
'TAKE_PROFIT_PERCENT': 0.25, # 第二目标止盈25%（略拉近止盈以提高触达率）
'TAKE_PROFIT_1_PERCENT': 0.15, # 第一目标止盈15%（更容易先锁定部分利润）
'TAKE_PROFIT_1_PERCENT': 0.12, # 第一目标止盈12%（山寨币不必久拿，早点落袋为安，降低反转风险）
'MIN_RR_FOR_TP1': 1.2, # 第一目标止盈的最小盈亏比（相对于止损距离），略放宽以提高触发率
'MIN_STOP_LOSS_PRICE_PCT': 0.03, # 最小止损价格变动3%（适当放宽止损，减少正常波动被扫）
'MIN_TAKE_PROFIT_PRICE_PCT': 0.02, # 最小止盈价格变动2%
@ -253,6 +253,10 @@ DEFAULT_TRADING_CONFIG = {
'TIME_STOP_MAX_HOLD_HOURS': 8, # 持仓超过 N 小时且未达最小盈利则考虑平仓（低波动期更适用）
'TIME_STOP_MIN_PNL_PCT_TO_HOLD': 0.0, # 持仓超过时间阈值时，若 pnl% 低于此值则平仓（0=允许小亏即走）
'TIME_STOP_ENABLED': True, # 是否启用时间/无盈利止损（可与 regime 结合：仅低波动期或始终启用）
# 山寨币早止盈：盈利达标且持仓满 N 小时则市价止盈，不等挂单 TP，避免反转回吐
'EARLY_TAKE_PROFIT_ENABLED': True, # 是否启用「盈利达标+持仓时长」早止盈
'EARLY_TAKE_PROFIT_MIN_PNL_PCT': 10.0, # 盈利达到此比例（% of margin）即符合条件，默认 10%
'EARLY_TAKE_PROFIT_MIN_HOLD_HOURS': 2.0, # 且持仓至少 N 小时才触发（避免刚开仓就平）
# 开仓前流动性检查（价差/深度）：低量期可减少滑点与冲击成本
'LIQUIDITY_CHECK_BEFORE_ENTRY': False, # 默认关闭；开启后开仓前检查盘口价差与深度，不通过则跳过
'LIQUIDITY_MAX_SPREAD_PCT': 0.005, # 买一卖一价差超过此比例（0.5%）则跳过

26
trading_system/position_manager.py
View File

@ -1985,6 +1985,32 @@ class PositionManager:
except Exception as e:
logger.debug(f"从Redis重新加载配置失败: {e}")
# 山寨币早止盈：盈利达标且持仓满 N 小时则市价止盈，不必等挂单 TP，避免反转回吐
early_tp_enabled = config.TRADING_CONFIG.get('EARLY_TAKE_PROFIT_ENABLED', True)
if early_tp_enabled and pnl_percent_margin > 0:
min_pnl_pct = float(config.TRADING_CONFIG.get('EARLY_TAKE_PROFIT_MIN_PNL_PCT', 10) or 10)
min_hold_hours = float(config.TRADING_CONFIG.get('EARLY_TAKE_PROFIT_MIN_HOLD_HOURS', 2) or 2)
hold_hours = 0.0
entry_time = position_info.get('entryTime')
if entry_time is not None:
try:
if isinstance(entry_time, datetime):
hold_hours = (get_beijing_time() - entry_time).total_seconds() / 3600.0
elif isinstance(entry_time, str) and len(entry_time) >= 19:
entry_dt = datetime.strptime(entry_time[:19], '%Y-%m-%d %H:%M:%S')
hold_hours = (get_beijing_time() - entry_dt).total_seconds() / 3600.0
else:
hold_hours = (time.time() - (float(entry_time) if isinstance(entry_time, (int, float)) else 0)) / 3600.0
except Exception:
pass
if pnl_percent_margin >= min_pnl_pct and hold_hours >= min_hold_hours:
logger.info(
f"{symbol} [早止盈] 盈利{pnl_percent_margin:.2f}%≥{min_pnl_pct}% 且持仓{hold_hours:.1f}h≥{min_hold_hours}h，市价止盈离场（山寨币不必久拿）"
)
if await self.close_position(symbol, reason='early_take_profit'):
closed_positions.append(symbol)
continue
# 检查是否启用移动止损（默认False，需要显式启用）
use_trailing = config.TRADING_CONFIG.get('USE_TRAILING_STOP', False)
if use_trailing:

702
持仓记录_2026-02-19T09-39-29.json
View File

@ -1,702 +0,0 @@
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"mark_price": 260.07,
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}
],
"active_sl_orders": "STOP_MARKET @ 127.69 (NEW)",
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]
},
{
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