diff --git a/freqtrade/templates/freqaiprimer.py b/freqtrade/templates/freqaiprimer.py index 24d16460..a5e549d4 100644 --- a/freqtrade/templates/freqaiprimer.py +++ b/freqtrade/templates/freqaiprimer.py @@ -544,6 +544,16 @@ class FreqaiPrimer(IStrategy): df_1h['bb_lower_1h'] = bb_ma_1h - (bb_std_value * bb_std_1h) df_1h['bb_upper_1h'] = bb_ma_1h + (bb_std_value * bb_std_1h) + # 添加 EMA5 和 EMA20 用于入场过滤 + df_1h['ema_5_1h'] = df_1h['close'].ewm(span=5, adjust=False).mean() + df_1h['ema_20_1h'] = df_1h['close'].ewm(span=20, adjust=False).mean() + + # 检测 EMA5 向上穿越 EMA20 + df_1h['ema5_cross_above_ema20'] = ( + (df_1h['ema_5_1h'] > df_1h['ema_20_1h']) & + (df_1h['ema_5_1h'].shift(1) <= df_1h['ema_20_1h'].shift(1)) + ) + # 使用 rolling 计算 RSI(减少看前偏差) delta_1h = df_1h['close'].diff() gain_1h = delta_1h.where(delta_1h > 0, 0).rolling(window=rsi_length_value).mean() @@ -575,12 +585,12 @@ class FreqaiPrimer(IStrategy): df_1h = df_1h.set_index('date').reindex(dataframe['date']).ffill().bfill().reset_index() df_1h = df_1h.rename(columns={'index': 'date'}) # Include macd_1h and macd_signal_1h in the column selection - df_1h = df_1h[['date', 'rsi_1h', 'trend_1h', 'ema_50_1h', 'ema_200_1h', 'bb_lower_1h', 'bb_upper_1h', 'stochrsi_k_1h', 'stochrsi_d_1h', 'macd_1h', 'macd_signal_1h']].ffill() + df_1h = df_1h[['date', 'rsi_1h', 'trend_1h', 'ema_50_1h', 'ema_200_1h', 'bb_lower_1h', 'bb_upper_1h', 'stochrsi_k_1h', 'stochrsi_d_1h', 'macd_1h', 'macd_signal_1h', 'ema_5_1h', 'ema_20_1h', 'ema5_cross_above_ema20']].ffill() # Validate that all required columns are present required_columns = ['date', 'rsi_1h', 'trend_1h', 'ema_50_1h', 'ema_200_1h', 'bb_lower_1h', 'bb_upper_1h', 'stochrsi_k_1h', 'stochrsi_d_1h', - 'macd_1h', 'macd_signal_1h'] + 'macd_1h', 'macd_signal_1h', 'ema_5_1h', 'ema_20_1h', 'ema5_cross_above_ema20'] missing_columns = [col for col in required_columns if col not in df_1h.columns] if missing_columns: logger.error(f"[{metadata['pair']}] 缺少以下列: {missing_columns}") @@ -597,7 +607,7 @@ class FreqaiPrimer(IStrategy): logger.error(f"[{metadata['pair']}] 缺少以下列: {missing_columns}") raise KeyError(f"缺少以下列: {missing_columns}") - df_1h = df_1h[required_columns] # 确保包含 macd_1h 和 macd_signal_1h + df_1h = df_1h[required_columns] # 确保包含所有必需的列 # 合并 1h 数据 dataframe = dataframe.merge(df_1h, how='left', on='date').ffill() @@ -744,8 +754,11 @@ class FreqaiPrimer(IStrategy): # 辅助条件: 3m 和 15m 趋势确认(允许部分时间框架不一致) trend_confirmation = (dataframe['trend_3m'] == 1) | (dataframe['trend_15m'] == 1) + # 新增:EMA5向上穿越EMA20过滤条件(核心入场限制) + ema5_cross_filter = dataframe['ema5_cross_above_ema20'] == 1 + # 合并所有条件(减少强制性条件) - # 至少满足多个条件中的一定数量 + # 至少满足多个条件中的一定数量,并且必须满足EMA5向上穿越EMA20 condition_count = ( close_to_bb_lower_1h.astype(int) + rsi_condition_1h.astype(int) + @@ -754,7 +767,9 @@ class FreqaiPrimer(IStrategy): (volume_spike | bb_width_condition).astype(int) + # 成交量或布林带宽度满足其一即可 trend_confirmation.astype(int) ) - final_condition = condition_count >= self.min_condition_count.value + # 修改最终条件:必须同时满足最小条件数量和EMA5向上穿越EMA20 + basic_condition = condition_count >= self.min_condition_count.value + final_condition = basic_condition & ema5_cross_filter # 设置入场信号 dataframe.loc[final_condition, 'enter_long'] = 1 @@ -828,14 +843,24 @@ class FreqaiPrimer(IStrategy): dataframe.loc[final_condition_updated, 'enter_price'] = dataframe.loc[final_condition_updated, 'close'] * 0.9833 # 增强调试信息 - #self.strategy_log(f"[{metadata['pair']}] 入场条件检查:") - #self.strategy_log(f" - 价格接近布林带下轨: {close_to_bb_lower_1h.sum()} 次") - #self.strategy_log(f" - RSI 超卖: {rsi_condition_1h.sum()} 次") - #self.strategy_log(f" - StochRSI 超卖: {stochrsi_condition_1h.sum()} 次") - #self.strategy_log(f" - MACD 上升趋势: {macd_condition_1h.sum()} 次") - #self.strategy_log(f" - 成交量或布林带宽度: {(volume_spike | bb_width_condition).sum()} 次") - #self.strategy_log(f" - 趋势确认: {trend_confirmation.sum()} 次") - #self.strategy_log(f" - 最终条件: {final_condition.sum()} 次") + ema5_cross_count = ema5_cross_filter.sum() + basic_condition_count = basic_condition.sum() + final_condition_count = final_condition.sum() + + self.strategy_log(f"[{metadata['pair']}] 入场条件检查:") + self.strategy_log(f" - 价格接近布林带下轨: {close_to_bb_lower_1h.sum()} 次") + self.strategy_log(f" - RSI 超卖: {rsi_condition_1h.sum()} 次") + self.strategy_log(f" - StochRSI 超卖: {stochrsi_condition_1h.sum()} 次") + self.strategy_log(f" - MACD 上升趋势: {macd_condition_1h.sum()} 次") + self.strategy_log(f" - 成交量或布林带宽度: {(volume_spike | bb_width_condition).sum()} 次") + self.strategy_log(f" - 趋势确认: {trend_confirmation.sum()} 次") + self.strategy_log(f" - EMA5向上穿越EMA20: {ema5_cross_count} 次") + self.strategy_log(f" - 基本条件满足: {basic_condition_count} 次") + self.strategy_log(f" - 最终条件(基本+EMA穿越): {final_condition_count} 次") + + # 如果有EMA穿越但最终条件未满足,输出详细信息 + if ema5_cross_count > 0 and final_condition_count == 0: + self.strategy_log(f"[{metadata['pair']}] 注意:检测到 {ema5_cross_count} 次EMA5向上穿越,但由于其他条件不足未能生成入场信号") # 在populate_entry_trend方法末尾添加 # 计算条件间的相关性 conditions = DataFrame({ diff --git a/test_ema_filter.py b/test_ema_filter.py new file mode 100644 index 00000000..82ae0b99 --- /dev/null +++ b/test_ema_filter.py @@ -0,0 +1,121 @@ +#!/usr/bin/env python3 +""" +测试EMA5向上穿越EMA20入场过滤条件的脚本 +""" + +import sys +import os +sys.path.append(os.path.dirname(os.path.abspath(__file__))) + +from freqtrade.templates.freqaiprimer import FreqaiPrimer +import pandas as pd +import numpy as np +from datetime import datetime, timedelta + +def create_test_dataframe(): + """创建测试用的模拟数据""" + # 创建时间序列 + dates = pd.date_range(start='2024-01-01', periods=100, freq='1H') + + # 创建价格数据(模拟趋势) + np.random.seed(42) + prices = [] + current_price = 100.0 + + for i in range(100): + # 模拟EMA5向上穿越EMA20的情况 + if i < 30: + # 前30个周期:下跌趋势 + change = np.random.normal(-0.005, 0.01) + elif i < 50: + # 30-50周期:横盘整理 + change = np.random.normal(0, 0.005) + else: + # 50-100周期:上涨趋势(EMA5应该向上穿越EMA20) + change = np.random.normal(0.01, 0.015) + + current_price = current_price * (1 + change) + prices.append(max(current_price, 1)) # 确保价格为正数 + + # 创建DataFrame + df = pd.DataFrame({ + 'date': dates, + 'open': prices, + 'high': [p * (1 + abs(np.random.normal(0, 0.01))) for p in prices], + 'low': [p * (1 - abs(np.random.normal(0, 0.01))) for p in prices], + 'close': prices, + 'volume': [np.random.uniform(1000, 5000) for _ in range(100)] + }) + + return df + +def test_ema_calculation(): + """测试EMA计算和交叉检测""" + print("=== 测试EMA5和EMA20计算 ===") + + # 创建测试数据 + df = create_test_dataframe() + + # 计算EMA + df['ema_5'] = df['close'].ewm(span=5, adjust=False).mean() + df['ema_20'] = df['close'].ewm(span=20, adjust=False).mean() + + # 检测交叉 + df['ema5_cross_above_ema20'] = ( + (df['ema_5'] > df['ema_20']) & + (df['ema_5'].shift(1) <= df['ema_20'].shift(1)) + ) + + # 显示关键点的数据 + cross_points = df[df['ema5_cross_above_ema20'] == True] + print(f"检测到 {len(cross_points)} 次EMA5向上穿越EMA20") + + if len(cross_points) > 0: + print("\n交叉点详情:") + for idx, row in cross_points.iterrows(): + print(f" 时间: {row['date']}, 价格: {row['close']:.2f}, " + f"EMA5: {row['ema_5']:.2f}, EMA20: {row['ema_20']:.2f}") + + # 验证交叉逻辑 + print("\n=== 验证交叉检测逻辑 ===") + for i in range(1, min(10, len(df))): + current_ema5 = df['ema_5'].iloc[i] + current_ema20 = df['ema_20'].iloc[i] + prev_ema5 = df['ema_5'].iloc[i-1] + prev_ema20 = df['ema_20'].iloc[i-1] + cross_flag = df['ema5_cross_above_ema20'].iloc[i] + + # 手动验证交叉条件 + manual_cross = (current_ema5 > current_ema20) and (prev_ema5 <= prev_ema20) + + if cross_flag or manual_cross: + status = "✓" if cross_flag == manual_cross else "✗" + print(f"{status} 索引{i}: 当前({current_ema5:.3f}>{current_ema20:.3f}), " + f"前一个({prev_ema5:.3f}<={prev_ema20:.3f}), 检测结果: {cross_flag}") + +def test_strategy_integration(): + """测试策略集成""" + print("\n=== 测试策略集成 ===") + + try: + # 创建策略实例 + strategy = FreqaiPrimer(config={}) + print("✓ 策略实例创建成功") + + # 检查是否有必要的属性 + required_attrs = ['ema5_cross_above_ema20'] + print("策略属性检查:") + for attr in required_attrs: + if hasattr(strategy, attr): + print(f" ✓ {attr}") + else: + print(f" ✗ {attr}") + + except Exception as e: + print(f"✗ 策略集成测试失败: {e}") + +if __name__ == "__main__": + print("开始测试EMA5向上穿越EMA20过滤条件...") + test_ema_calculation() + test_strategy_integration() + print("\n测试完成!") \ No newline at end of file