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退出条件更新并使用hyperopt

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zhangkun9038@dingtalk.com 2025-09-07 18:29:50 +08:00
parent 8210a74b25
commit 5efe759c93
1 changed files with 40 additions and 13 deletions
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53
freqtrade/templates/freqaiprimer.py
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@ -93,6 +93,15 @@ class FreqaiPrimer(IStrategy):
H1_MAX_CANDLES = IntParameter(100, 300, default=240, space="buy", optimize=True, load=True) # 检查最近200根1h K线
H1_RAPID_RISE_THRESHOLD = DecimalParameter(0.05, 0.20, default=0.12, decimals=2, space="buy", optimize=True, load=True) # 5%的抬升阈值
H1_MAX_CONSECUTIVE_CANDLES = IntParameter(1, 5, default=1, space="buy", optimize=True, load=True) # 最多连续3根K线内检查
# 退出逻辑相关hyperopt参数（sell空间）
exit_volume_multiplier = DecimalParameter(1.5, 3.0, default=2.0, decimals=1, space="sell", optimize=True, load=True) # 成交量放大倍数
exit_rsi_threshold = IntParameter(60, 80, default=65, space="sell", optimize=True, load=True) # 出场RSI阈值
exit_max_hold_hours = IntParameter(8, 12, default=9, space="sell", optimize=True, load=True) # 最大持仓时间
exit_profit_strong_bull_start = DecimalParameter(0.02, 0.04, default=0.03, decimals=3, space="sell", optimize=True, load=True) # 强劲牛市起始利润阈值
exit_profit_weak_bull_start = DecimalParameter(0.015, 0.025, default=0.02, decimals=3, space="sell", optimize=True, load=True) # 弱牛市起始利润阈值
exit_profit_neutral_start = DecimalParameter(0.01, 0.02, default=0.015, decimals=3, space="sell", optimize=True, load=True) # 中性市场起始利润阈值
exit_profit_bear_start = DecimalParameter(0.005, 0.015, default=0.01, decimals=3, space="sell", optimize=True, load=True) # 熊市起始利润阈值
@ -479,17 +488,23 @@ class FreqaiPrimer(IStrategy):
# 条件1: 价格突破布林带上轨
breakout_condition = dataframe['close'] >= dataframe['bb_upper_1h']
# 条件2: 成交量显著放大
volume_spike = dataframe['volume'] > dataframe['volume_ma'] * 2
# 条件2: 成交量显著放大（使用sell空间参数）
volume_spike = dataframe['volume'] > dataframe['volume_ma'] * self.exit_volume_multiplier.value
# 条件3: MACD 下降趋势
macd_downward = dataframe['macd_1h'] < dataframe['macd_signal_1h']
# 条件4: RSI 进入超买区域
rsi_overbought = dataframe['rsi_1h'] > self.rsi_overbought.value
# 条件4: RSI 进入超买区域（使用sell空间参数）
rsi_overbought = dataframe['rsi_1h'] > self.exit_rsi_threshold.value
# 合并所有条件
final_condition = breakout_condition | volume_spike | macd_downward | rsi_overbought
# 计算满足条件的数量
conditions_met = (breakout_condition.astype(int) +
volume_spike.astype(int) +
macd_downward.astype(int) +
rsi_overbought.astype(int))
# 设置出场信号：至少满足两个条件
final_condition = conditions_met >= 2
# 设置出场信号
dataframe.loc[final_condition, 'exit_long'] = 1
@ -711,9 +726,9 @@ class FreqaiPrimer(IStrategy):
# 如果current_time没有时区信息，直接计算
holding_time = (current_time - trade.open_date).total_seconds() / 3600
# 如果持仓时间超过9小时，强制平仓
if holding_time >= 9:
logger.info(f"[{pair}] 持仓时间超过9小时，强制平仓")
# 如果持仓时间超过最大允许时间，立即强制平仓（使用sell空间参数）
if holding_time >= self.exit_max_hold_hours.value:
logger.info(f"[{pair}] 持仓时间超过{self.exit_max_hold_hours.value}小时，强制平仓")
return 1.0 # 全部退出
"""渐进式止盈逻辑"""
@ -724,10 +739,22 @@ class FreqaiPrimer(IStrategy):
# 定义更激进的渐进式止盈水平，提高收益上限
profit_levels = {
# 状态: [(止盈触发利润, 止盈比例)]
'strong_bull': [(0.03, 0.2), (0.06, 0.4), (0.09, 0.6), (0.12, 0.8), (0.15, 1.0)], # 强劲牛市的渐进止盈，降低目标
'weak_bull': [(0.02, 0.3), (0.04, 0.5), (0.06, 0.7), (0.08, 0.9)], # 弱牛市的渐进止盈
'neutral': [(0.015, 0.4), (0.03, 0.6), (0.045, 0.8), (0.06, 1.0)], # 中性市场的渐进止盈
'bear': [(0.01, 0.6), (0.015, 0.8), (0.02, 1.0)] # 熊市的渐进止盈（更保守）
'strong_bull': [(self.exit_profit_strong_bull_start.value, 0.2),
(self.exit_profit_strong_bull_start.value * 2, 0.4),
(self.exit_profit_strong_bull_start.value * 3, 0.6),
(self.exit_profit_strong_bull_start.value * 4, 0.8),
(self.exit_profit_strong_bull_start.value * 5, 1.0)], # 强劲牛市的渐进止盈
'weak_bull': [(self.exit_profit_weak_bull_start.value, 0.3),
(self.exit_profit_weak_bull_start.value * 2, 0.5),
(self.exit_profit_weak_bull_start.value * 3, 0.7),
(self.exit_profit_weak_bull_start.value * 4, 0.9)], # 弱牛市的渐进止盈
'neutral': [(self.exit_profit_neutral_start.value, 0.4),
(self.exit_profit_neutral_start.value * 2, 0.6),
(self.exit_profit_neutral_start.value * 3, 0.8),
(self.exit_profit_neutral_start.value * 4, 1.0)], # 中性市场的渐进止盈
'bear': [(self.exit_profit_bear_start.value, 0.6),
(self.exit_profit_bear_start.value * 1.5, 0.8),
(self.exit_profit_bear_start.value * 2, 1.0)] # 熊市的渐进止盈（更保守）
}
# 默认使用中性市场的止盈设置