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zhangkun9038@dingtalk.com 2025-04-28 12:10:17 +08:00
parent b72587ed6a
commit 456ae1fde0
2 changed files with 28 additions and 16 deletions
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5
### **4. 测试优化后的策略** Normal file
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@ -0,0 +1,5 @@
<<<<<<< HEAD
=======
freqtrade backtesting --strategy FreqaiExampleStrategy --strategy-path freqtrade/templates --config config_examples/config_freqai.example.json --timerange 20230101-20230401
>>>>>>> Snippet

39
freqtrade/templates/FreqaiExampleStrategy.py
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@ -42,9 +42,9 @@ class FreqaiExampleStrategy(IStrategy):
"shuffle": False,
},
"model_training_parameters": {
"n_estimators": 100,
"learning_rate": 0.1,
"num_leaves": 31,
"n_estimators": 200, # 增加树的数量以提升模型复杂度
"learning_rate": 0.05, # 降低学习率以避免过拟合
"num_leaves": 50, # 增加叶子节点数量以捕捉更多细节
"verbose": -1,
},
}
@ -157,8 +157,9 @@ class FreqaiExampleStrategy(IStrategy):
dataframe["&-roi_0"] = (dataframe["close"] / dataframe["close"].shift(label_period) - 1).clip(0, 0.2)
# 简化动态参数生成逻辑
dataframe["buy_rsi_pred"] = dataframe["&-buy_rsi"].clip(10, 50)
dataframe["sell_rsi_pred"] = dataframe["&-buy_rsi"] + 30
# 简化 buy_rsi 和 sell_rsi 的生成逻辑
dataframe["buy_rsi_pred"] = dataframe["&-buy_rsi"].rolling(window=10).mean().clip(20, 40)
dataframe["sell_rsi_pred"] = dataframe["buy_rsi_pred"] + 20
dataframe["stoploss_pred"] = -0.1 - (dataframe["%-volatility"] * 10).clip(0, 0.25)
dataframe["roi_0_pred"] = dataframe["&-roi_0"].clip(0.01, 0.2)
@ -175,15 +176,17 @@ class FreqaiExampleStrategy(IStrategy):
# 设置策略级参数
self.buy_rsi.value = float(dataframe["buy_rsi_pred"].iloc[-1])
self.sell_rsi.value = float(dataframe["sell_rsi_pred"].iloc[-1])
self.stoploss = float(self.stoploss_param.value)
# 更保守的止损设置
self.stoploss = -0.15 # 固定止损 15%
self.minimal_roi = {
0: float(self.roi_0.value),
15: float(self.roi_15.value),
30: float(self.roi_30.value),
60: 0
}
self.trailing_stop_positive = float(dataframe["trailing_stop_positive"].iloc[-1])
self.trailing_stop_positive_offset = float(dataframe["trailing_stop_positive_offset"].iloc[-1])
# 更保守的追踪止损设置
self.trailing_stop_positive = 0.05 # 追踪止损触发点
self.trailing_stop_positive_offset = 0.1 # 追踪止损偏移量
logger.info(f"动态参数：buy_rsi={self.buy_rsi.value}, sell_rsi={self.sell_rsi.value}, "
f"stoploss={self.stoploss}, trailing_stop_positive={self.trailing_stop_positive}")
@ -198,10 +201,12 @@ class FreqaiExampleStrategy(IStrategy):
return dataframe
def populate_entry_trend(self, df: DataFrame, metadata: dict) -> DataFrame:
enter_long_conditions = [
qtpylib.crossed_above(df["rsi"], df["buy_rsi_pred"]),
df["volume"] > 0
]
# 改进买入信号条件
enter_long_conditions = [
(df["rsi"] < df["buy_rsi_pred"]) & (df["rsi"].shift(1) >= df["buy_rsi_pred"]), # RSI 下穿买入阈值
df["volume"] > df["volume"].rolling(window=10).mean(), # 成交量高于近期均值
df["close"] > df["bb_middleband"] # 价格高于布林带中轨
]
if enter_long_conditions:
df.loc[
reduce(lambda x, y: x & y, enter_long_conditions),
@ -210,10 +215,12 @@ class FreqaiExampleStrategy(IStrategy):
return df
def populate_exit_trend(self, df: DataFrame, metadata: dict) -> DataFrame:
exit_long_conditions = [
qtpylib.crossed_above(df["rsi"], df["sell_rsi_pred"]),
df["volume"] > 0
]
# 改进卖出信号条件
exit_long_conditions = [
(df["rsi"] > df["sell_rsi_pred"]) & (df["rsi"].shift(1) <= df["sell_rsi_pred"]), # RSI 上穿卖出阈值
df["volume"] > df["volume"].rolling(window=10).mean(), # 成交量高于近期均值
df["close"] < df["bb_middleband"] # 价格低于布林带中轨
]
if exit_long_conditions:
df.loc[
reduce(lambda x, y: x & y, exit_long_conditions),