adjust_postion_trade 优化参数和逻辑, 实现加仓间隔密度逐次提高, 加仓幅度放量提高
This commit is contained in:
zhangkun9038@dingtalk.com
parent
ade68cdc96
commit
8e654376e4
@ -15,8 +15,6 @@
|
||||
"max_open_trades": 5
|
||||
},
|
||||
"buy": {
|
||||
"stake_divisor": 2,
|
||||
"add_position_callback": 0.053,
|
||||
"bb_length": 13,
|
||||
"bb_lower_deviation": 1.04,
|
||||
"bb_std": 3.0,
|
||||
|
||||
@ -103,8 +103,10 @@ class FreqaiPrimer(IStrategy):
|
||||
h1_max_consecutive_candles = IntParameter(1, 4, default=2, optimize=True, load=True, space='buy')
|
||||
# 定义可优化参数
|
||||
max_entry_adjustments = IntParameter(2, 5, default=3, optimize=True, load=True, space='buy') # 最大加仓次数
|
||||
add_position_callback = DecimalParameter(0.03, 0.06, decimals=3, default=0.047, optimize=True, load=True, space='buy') # 加仓回调百分比
|
||||
stake_divisor = IntParameter(2, 4, default=2, optimize=False, load=True, space='buy') # 加仓金额分母
|
||||
add_position_callback = DecimalParameter(0.02, 0.06, decimals=3, default=0.043, optimize=False, load=True, space='buy') # 加仓回调百分比
|
||||
add_position_growth = DecimalParameter(1.5, 3.0, decimals=2, default=4.5, optimize=False, load=True, space='buy') # 加仓金额增长因子，保留2位小数用于hyperopt优化
|
||||
add_position_multiplier = DecimalParameter(0.2, 10.5, decimals=2, default=0.86, optimize=False, load=True, space='buy') # 加仓间隔系数，保留2位小数用于hyperopt优化
|
||||
stake_divisor = DecimalParameter(2.0, 12.0, decimals=2, default=9.3, optimize=False, load=True, space='buy') # 加仓金额分母（小数类型，保留2位小数）
|
||||
|
||||
# 线性ROI参数 - 用于线性函数: y = (a * (x + k)) + t
|
||||
roi_param_a = DecimalParameter(-0.0002, -0.00005, decimals=5, default=-0.0001, optimize=True, load=True, space='sell') # 系数a
|
||||
@ -596,7 +598,7 @@ class FreqaiPrimer(IStrategy):
|
||||
return exit_ratio
|
||||
|
||||
|
||||
def adjust_trade_position(self, trade: 'Trade', current_time, current_rate: float,
|
||||
def adjust_trade_position(self, trade: 'Trade', current_time, current_rate: float,
|
||||
current_profit: float, min_stake: float, max_stake: float, **kwargs) -> float:
|
||||
"""
|
||||
根据用户要求实现加仓逻辑
|
||||
@ -605,41 +607,44 @@ class FreqaiPrimer(IStrategy):
|
||||
"""
|
||||
# 获取当前交易对
|
||||
pair = trade.pair
|
||||
|
||||
|
||||
# 获取当前交易的加仓次数
|
||||
entry_count = len(trade.orders) # 获取所有入场订单数量
|
||||
|
||||
|
||||
# 如果已经达到最大加仓次数，则不再加仓
|
||||
if entry_count - 1 >= self.max_entry_adjustments.value:
|
||||
return 0.0
|
||||
|
||||
|
||||
# 获取初始入场价格和当前价格的差值百分比
|
||||
initial_price = trade.open_rate
|
||||
if initial_price == 0:
|
||||
return 0.0
|
||||
price_diff_pct = (current_rate - initial_price) / initial_price
|
||||
|
||||
|
||||
# 计算加仓次数（从1开始计数）
|
||||
adjustment_count = entry_count - 1 # 已加仓次数
|
||||
|
||||
# 检查价格回调是否达到加仓间隔
|
||||
dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
|
||||
current_state = dataframe['market_state'].iloc[-1] if 'market_state' in dataframe.columns else 'neutral'
|
||||
|
||||
if price_diff_pct <= -self.add_position_callback.value and current_state not in ['bear', 'weak_bear']:
|
||||
|
||||
# 计算当前所需的加仓间隔百分比 = 基础间隔 * (系数 ^ 已加仓次数)
|
||||
current_callback = self.add_position_callback.value * (self.add_position_multiplier.value ** adjustment_count)
|
||||
|
||||
if price_diff_pct <= -current_callback:
|
||||
# 计算初始入场金额
|
||||
initial_stake = trade.orders[0].cost # 第一笔订单的成本
|
||||
|
||||
# 计算加仓次数（从1开始计数）
|
||||
adjustment_count = entry_count - 1 # 已加仓次数
|
||||
|
||||
|
||||
# 计算加仓金额: (initial_stake / stake_divisor) ^ (adjustment_count + 1)
|
||||
additional_stake = (initial_stake / self.stake_divisor.value) ** (adjustment_count + 1)
|
||||
|
||||
additional_stake = (initial_stake / self.stake_divisor.value) * (self.add_position_growth.value ** (adjustment_count + 1))
|
||||
|
||||
# 确保加仓金额在允许的范围内
|
||||
additional_stake = max(min_stake, min(additional_stake, max_stake - trade.stake_amount))
|
||||
|
||||
|
||||
#logger.info(f"[{pair}] 触发加仓: 第{adjustment_count + 1}次加仓, 初始金额{initial_stake:.2f}, \
|
||||
# 加仓金额{additional_stake:.2f}, 价格差{price_diff_pct:.2%}, 当前利润{current_profit:.2%}")
|
||||
|
||||
|
||||
return additional_stake
|
||||
|
||||
|
||||
# 不符合加仓条件，返回0
|
||||
return 0.0
|
||||
|
||||
141
tools/calculate_dca.sh
Executable file
141
tools/calculate_dca.sh
Executable file
@ -0,0 +1,141 @@
|
||||
#!/bin/bash
|
||||
|
||||
# freqai 加仓策略计算器 (DCA Calculator)
|
||||
# 根据 FreqaiPrimer 策略的5个参数进行计算
|
||||
|
||||
# 设置默认值 (与您的 freqaiprimer.py 代码中一致)
|
||||
MAX_ENTRY_ADJUSTMENTS=4
|
||||
ADD_POSITION_CALLBACK=0.025
|
||||
ADD_POSITION_GROWTH=2.97
|
||||
ADD_POSITION_MULTIPLIER=1.78
|
||||
STAKE_DIVISOR=4.6
|
||||
INITIAL_STAKE=75
|
||||
|
||||
# 函数：显示使用帮助
|
||||
usage() {
|
||||
echo "Usage: $0 [OPTIONS]"
|
||||
echo "计算FreqaiPrimer策略的加仓计划"
|
||||
echo ""
|
||||
echo "选项:"
|
||||
echo " -h, --help 显示此帮助信息"
|
||||
echo " -m, --max-adjustments N 最大加仓次数 (默认: $MAX_ENTRY_ADJUSTMENTS)"
|
||||
echo " -c, --callback FLOAT 基础回调百分比 (默认: $ADD_POSITION_CALLBACK)"
|
||||
echo " -g, --growth FLOAT 加仓金额增长因子 (默认: $ADD_POSITION_GROWTH)"
|
||||
echo " -p, --multiplier FLOAT 加仓间隔系数 (默认: $ADD_POSITION_MULTIPLIER)"
|
||||
echo " -d, --divisor FLOAT 加仓金额分母 (默认: $STAKE_DIVISOR)"
|
||||
echo " -s, --stake FLOAT 首次入场金额 (默认: $INITIAL_STAKE USDT)"
|
||||
exit 1
|
||||
}
|
||||
|
||||
# 解析命令行参数
|
||||
while [[ $# -gt 0 ]]; do
|
||||
case $1 in
|
||||
-h|--help)
|
||||
usage
|
||||
;;
|
||||
-m|--max-adjustments)
|
||||
MAX_ENTRY_ADJUSTMENTS="$2"
|
||||
shift 2
|
||||
;;
|
||||
-c|--callback)
|
||||
ADD_POSITION_CALLBACK="$2"
|
||||
shift 2
|
||||
;;
|
||||
-g|--growth)
|
||||
ADD_POSITION_GROWTH="$2"
|
||||
shift 2
|
||||
;;
|
||||
-p|--multiplier)
|
||||
ADD_POSITION_MULTIPLIER="$2"
|
||||
shift 2
|
||||
;;
|
||||
-d|--divisor)
|
||||
STAKE_DIVISOR="$2"
|
||||
shift 2
|
||||
;;
|
||||
-s|--stake)
|
||||
INITIAL_STAKE="$2"
|
||||
shift 2
|
||||
;;
|
||||
*)
|
||||
echo "未知参数: $1"
|
||||
usage
|
||||
;;
|
||||
esac
|
||||
done
|
||||
|
||||
# 检查 bc 是否安装
|
||||
if ! command -v bc &> /dev/null; then
|
||||
echo "错误: 计算需要 'bc' 工具，请先安装。"
|
||||
echo "在 Ubuntu/Debian 上: sudo apt-get install bc"
|
||||
echo "在 CentOS/RHEL 上: sudo yum install bc"
|
||||
exit 1
|
||||
fi
|
||||
|
||||
# 计算并输出结果
|
||||
echo "=================================================="
|
||||
echo " FreqaiPrimer 加仓策略计算报告"
|
||||
echo "=================================================="
|
||||
echo "初始入场金额: ${INITIAL_STAKE} USDT"
|
||||
echo "最大加仓次数: ${MAX_ENTRY_ADJUSTMENTS}"
|
||||
echo "基础回调阈值: $(awk "BEGIN {printf \"%.3f\", ${ADD_POSITION_CALLBACK}*100}")%"
|
||||
echo "增长因子 (G): ${ADD_POSITION_GROWTH}"
|
||||
echo "间隔系数 (M): ${ADD_POSITION_MULTIPLIER}"
|
||||
echo "金额分母 (D): ${STAKE_DIVISOR}"
|
||||
echo "=================================================="
|
||||
printf "%-8s %-12s %-12s %-12s %-12s\n" "阶段" "累计跌幅" "本次下滑" "加仓金额" "累计投入"
|
||||
printf "%-8s %-12s %-12s %-12s %-12s\n" "--------" "------------" "------------" "------------" "------------"
|
||||
|
||||
# 初始化变量
|
||||
total_investment=$INITIAL_STAKE
|
||||
current_callback=$ADD_POSITION_CALLBACK
|
||||
previous_callback=0
|
||||
|
||||
# 循环计算每次加仓
|
||||
for ((i=0; i<=MAX_ENTRY_ADJUSTMENTS; i++)); do
|
||||
# 计算当前阶段名称
|
||||
if [ $i -eq 0 ]; then
|
||||
stage="首次开仓"
|
||||
else
|
||||
stage="第${i}次加仓"
|
||||
fi
|
||||
|
||||
# 计算累计跌幅 (从初始价算起)
|
||||
cumulative_drop=$(echo "$current_callback * 100" | bc -l)
|
||||
|
||||
# 计算本次加仓与上一次之间的实际价格下滑
|
||||
if [ $i -eq 0 ]; then
|
||||
price_slip="--"
|
||||
else
|
||||
actual_slip=$(echo "($current_callback - $previous_callback) * 100" | bc -l)
|
||||
price_slip=$(printf "%.2f%%" $actual_slip)
|
||||
fi
|
||||
|
||||
# 计算加仓金额
|
||||
if [ $i -eq 0 ]; then
|
||||
stake_amount=$INITIAL_STAKE
|
||||
else
|
||||
# additional_stake = (initial_stake / stake_divisor) * (add_position_growth) ^ (adjustment_count + 1)
|
||||
exponent=$((i + 1))
|
||||
stake_amount=$(echo "scale=2; ($INITIAL_STAKE / $STAKE_DIVISOR) * e(l($ADD_POSITION_GROWTH) * $exponent)" | bc -l)
|
||||
fi
|
||||
|
||||
# 更新累计投入
|
||||
total_investment=$(echo "scale=2; $total_investment + $stake_amount" | bc -l)
|
||||
|
||||
# 格式化输出
|
||||
printf "%-8s %-12s %-12s %-12s %-12s\n" \
|
||||
"$stage" \
|
||||
"$(printf "%.2f%%" $cumulative_drop)" \
|
||||
"$price_slip" \
|
||||
"$(printf "%.2f" $stake_amount)" \
|
||||
"$(printf "%.2f" $total_investment)"
|
||||
|
||||
# 为下一次迭代准备
|
||||
previous_callback=$current_callback
|
||||
current_callback=$(echo "$current_callback * $ADD_POSITION_MULTIPLIER" | bc -l)
|
||||
done
|
||||
|
||||
echo "=================================================="
|
||||
echo "总投入资金: ${total_investment} USDT"
|
||||
echo "=================================================="
|
||||
Loading…
x
Reference in New Issue
Block a user