退出逻辑更新, 并增加了新的sell space内容
This commit is contained in:
zhangkun9038@dingtalk.com
parent
f8672df24f
commit
b79261ec09
@ -117,6 +117,13 @@ class FreqaiPrimer(IStrategy):
|
||||
exit_volume_multiplier = DecimalParameter(1.5, 3.0, decimals=1, default=2.0, optimize=False, load=True, space='sell')
|
||||
|
||||
rsi_overbought = IntParameter(57, 59, default=58, optimize=False, load=True, space='sell')
|
||||
|
||||
# 新增的可优化参数 - 用于should_exit逻辑
|
||||
rsi_overbought_level = IntParameter(60, 80, default=70, optimize=True, load=True, space='sell')
|
||||
macd_cross_threshold = DecimalParameter(0.0, 0.005, decimals=4, default=0.001, optimize=True, load=True, space='sell')
|
||||
volume_spike_multiplier = DecimalParameter(2.0, 4.0, decimals=1, default=3.0, optimize=True, load=True, space='sell')
|
||||
volume_drop_multiplier = DecimalParameter(0.1, 0.5, decimals=2, default=0.3, optimize=True, load=True, space='sell')
|
||||
cci_overbought_level = IntParameter(150, 250, default=200, optimize=True, load=True, space='sell')
|
||||
|
||||
|
||||
def informative_pairs(self):
|
||||
@ -330,7 +337,27 @@ class FreqaiPrimer(IStrategy):
|
||||
return dataframe
|
||||
|
||||
def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||||
# 出场信号基于趋势和量价关系
|
||||
# 计算额外需要的指标
|
||||
# 前一根K线的指标值
|
||||
dataframe['rsi_1h_prev'] = dataframe['rsi_1h'].shift(1)
|
||||
dataframe['macd_1h_prev'] = dataframe['macd_1h'].shift(1)
|
||||
dataframe['macd_signal_1h_prev'] = dataframe['macd_signal_1h'].shift(1)
|
||||
|
||||
# 下一根K线的成交量
|
||||
dataframe['volume_next'] = dataframe['volume'].shift(-1)
|
||||
|
||||
# 计算EMA指标
|
||||
dataframe['ema_5_1h'] = ta.ema(dataframe['close'], length=5)
|
||||
dataframe['ema_10_1h'] = ta.ema(dataframe['close'], length=10)
|
||||
|
||||
# 计算CCI指标
|
||||
dataframe['cci_1h'] = ta.cci(dataframe['high'], dataframe['low'], dataframe['close'], length=14)
|
||||
dataframe['cci_1h_prev'] = dataframe['cci_1h'].shift(1)
|
||||
|
||||
# 计算抛物线SAR指标
|
||||
dataframe['sar_1h'] = ta.sar(dataframe['high'], dataframe['low'], acceleration=0.02, maximum=0.2)
|
||||
|
||||
# 原有出场条件
|
||||
# 条件1: 价格突破布林带上轨（使用可优化的偏差参数）
|
||||
breakout_condition = dataframe['close'] >= dataframe['bb_upper_1h'] * self.exit_bb_upper_deviation.value
|
||||
|
||||
@ -341,22 +368,45 @@ class FreqaiPrimer(IStrategy):
|
||||
macd_downward = dataframe['macd_1h'] < dataframe['macd_signal_1h']
|
||||
|
||||
# 条件4: RSI 进入超买区域（使用可优化的超买阈值）
|
||||
rsi_overbought = dataframe['rsi_1h'] > self.rsi_overbought.value
|
||||
rsi_overbought_old = dataframe['rsi_1h'] > self.rsi_overbought.value
|
||||
|
||||
# 新增的出场条件 - should_exit逻辑
|
||||
# 条件1: MACD死叉 + RSI超买回落
|
||||
macd_dead_cross = (dataframe['macd_1h_prev'] > dataframe['macd_signal_1h_prev']) & \
|
||||
(dataframe['macd_1h'] <= dataframe['macd_signal_1h']) & \
|
||||
(abs(dataframe['macd_1h'] - dataframe['macd_signal_1h']) >= self.macd_cross_threshold.value)
|
||||
rsi_overbought_fallback = (dataframe['rsi_1h_prev'] > self.rsi_overbought_level.value) & \
|
||||
(dataframe['rsi_1h'] < self.rsi_overbought_level.value)
|
||||
exit_condition_1 = macd_dead_cross & rsi_overbought_fallback
|
||||
|
||||
# 条件2: 成交量异常放大后萎缩 + EMA死叉
|
||||
volume_spike_new = dataframe['volume'] > dataframe['volume_ma'] * self.volume_spike_multiplier.value
|
||||
volume_drop = dataframe['volume_next'] < dataframe['volume'] * self.volume_drop_multiplier.value
|
||||
ema_dead_cross = dataframe['ema_5_1h'] < dataframe['ema_10_1h']
|
||||
exit_condition_2 = volume_spike_new & volume_drop & ema_dead_cross
|
||||
|
||||
# 条件3: CCI超买回落 + 抛物线SAR反转
|
||||
cci_overbought_fallback = (dataframe['cci_1h_prev'] > self.cci_overbought_level.value) & \
|
||||
(dataframe['cci_1h'] < self.cci_overbought_level.value)
|
||||
sar_reversal = dataframe['close'] < dataframe['sar_1h']
|
||||
exit_condition_3 = cci_overbought_fallback & sar_reversal
|
||||
|
||||
# 合并所有条件
|
||||
final_condition = breakout_condition | volume_spike | macd_downward | rsi_overbought
|
||||
final_condition = (breakout_condition | volume_spike | macd_downward | rsi_overbought_old) | \
|
||||
(exit_condition_1 | exit_condition_2 | exit_condition_3)
|
||||
|
||||
# 设置出场信号
|
||||
dataframe.loc[final_condition, 'exit_long'] = 1
|
||||
|
||||
# 增强调试信息
|
||||
#logger.info(f"[{metadata['pair']}] 出场条件检查:")
|
||||
#logger.info(f" - 价格突破布林带上轨: {breakout_condition.sum()} 次")
|
||||
#logger.info(f" - 成交量显著放大: {volume_spike.sum()} 次")
|
||||
#logger.info(f" - MACD 下降趋势: {macd_downward.sum()} 次")
|
||||
#logger.info(f" - RSI 超买: {rsi_overbought.sum()} 次")
|
||||
#logger.info(f" - 原有条件: 价格突破布林带上轨: {breakout_condition.sum()} 次, 成交量显著放大: {volume_spike.sum()} 次, MACD下降趋势: {macd_downward.sum()} 次, RSI超买: {rsi_overbought_old.sum()} 次")
|
||||
#logger.info(f" - 新增条件1 (MACD死叉+RSI回落): {exit_condition_1.sum()} 次")
|
||||
#logger.info(f" - 新增条件2 (放量缩量+EMA死叉): {exit_condition_2.sum()} 次")
|
||||
#logger.info(f" - 新增条件3 (CCI回落+SAR反转): {exit_condition_3.sum()} 次")
|
||||
#logger.info(f" - 最终条件: {final_condition.sum()} 次")
|
||||
#logger.info(f" - 使用参数: exit_bb_upper_deviation={self.exit_bb_upper_deviation.value}, exit_volume_multiplier={self.exit_volume_multiplier.value}, rsi_overbought={self.rsi_overbought.value}")
|
||||
#logger.info(f" - 新增参数: rsi_overbought_level={self.rsi_overbought_level.value}, macd_cross_threshold={self.macd_cross_threshold.value}, volume_spike_multiplier={self.volume_spike_multiplier.value}, volume_drop_multiplier={self.volume_drop_multiplier.value}, cci_overbought_level={self.cci_overbought_level.value}")
|
||||
|
||||
# 日志记录
|
||||
if dataframe['exit_long'].sum() > 0:
|
||||
|
||||
Loading…
x
Reference in New Issue
Block a user