102 lines
4.7 KiB
Plaintext
102 lines
4.7 KiB
Plaintext
FUNCTION set_freqai_targets(dataframe, metadata, config):
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"""
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设置回归模型的目标变量，为不同币对设置动态止损和ROI阈值。
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输入：dataframe（K线数据：close, high, low），metadata（交易对信息），config（FreqAI配置）
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输出：更新后的dataframe，包含目标标签
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"""
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# 获取配置参数
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label_period = `config["feature_parameters"]`["label_period_candles"] # 标签预测周期（如5分钟K线的N根）
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pair = `metadata["pair"]` # 当前交易对（如DOGE/USDT）
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# 计算未来价格变化率（现有逻辑）
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SET `dataframe["&-s_close"]` = (`dataframe["close"]`.shift(-label_period) - `dataframe["close"]`) / `dataframe["close"]`
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# 计算不同时间窗口的ROI（现有逻辑）
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FOR minutes IN [0, 15, 30]:
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candles = INTEGER(minutes / 5) # 假设5分钟K线
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IF candles > 0:
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SET `dataframe["&-roi_{minutes}"]` = (`dataframe["close"]`.shift(-candles) - `dataframe["close"]`) / `dataframe["close"]`
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ELSE:
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SET `dataframe["&-roi_{minutes}"]` = 0.0
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# 计算市场状态指标：ADX（14周期，与label_period_candles对齐）
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SET `dataframe["adx"]` = CALCULATE_ADX(`dataframe["high"]`, `dataframe["low"]`, `dataframe["close"]`, period=14)
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# 定义币对特定的ADX阈值和止损/ROI范围
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INITIALIZE pair_thresholds = {
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"DOGE/USDT": {
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"adx_trend": 20, # 趋势市场ADX阈值
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"adx_oscillation": 15, # 震荡市场ADX阈值
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"stoploss_trend": -0.08, # 趋势市场止损：-8%
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"stoploss_oscillation": -0.04, # 震荡市场止损：-4%
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"stoploss_mid": -0.06, # 中间状态止损：-6%
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"roi_trend": 0.06, # 趋势市场ROI：6%
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"roi_oscillation": 0.025, # 震荡市场ROI：2.5%
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"roi_mid": 0.04 # 中间状态ROI：4%
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},
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"BTC/USDT": {
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"adx_trend": 25,
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"adx_oscillation": 20,
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"stoploss_trend": -0.03,
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"stoploss_oscillation": -0.015,
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"stoploss_mid": -0.02,
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"roi_trend": 0.03,
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"roi_oscillation": 0.015,
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"roi_mid": 0.02
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},
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"SOL/USDT": {
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"adx_trend": 22,
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"adx_oscillation": 18,
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"stoploss_trend": -0.06,
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"stoploss_oscillation": -0.03,
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"stoploss_mid": -0.045,
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"roi_trend": 0.045,
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"roi_oscillation": 0.02,
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"roi_mid": 0.03
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},
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"XRP/USDT": {
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"adx_trend": 22,
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"adx_oscillation": 18,
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"stoploss_trend": -0.06,
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"stoploss_oscillation": -0.03,
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"stoploss_mid": -0.045,
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"roi_trend": 0.045,
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"roi_oscillation": 0.02,
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"roi_mid": 0.03
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}
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}
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# 动态化 &-stoploss_pred（基于市场状态和币对）
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INITIALIZE `dataframe["&-stoploss_pred"]` = 0.0
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FOR EACH row IN dataframe:
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thresholds = `pair_thresholds[pair]` # 获取当前币对的阈值
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IF `row["adx"]` > `thresholds["adx_trend"]`: # 趋势市场
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SET `row["&-stoploss_pred"]` = `thresholds["stoploss_trend"]` # 宽松止损
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ELSE IF `row["adx"]` < `thresholds["adx_oscillation"]`: # 震荡市场
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SET `row["&-stoploss_pred"]` = `thresholds["stoploss_oscillation"]` # 严格止损
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ELSE: # 中间状态
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SET `row["&-stoploss_pred"]` = `thresholds["stoploss_mid"]` # 中等止损
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# 风险控制：设置止损下限
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IF `row["&-stoploss_pred"]` < -0.10: # 防止过大止损
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SET `row["&-stoploss_pred"]` = -0.10
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# 动态化 &-roi_0_pred（基于市场趋势和币对）
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INITIALIZE `dataframe["&-roi_0_pred"]` = 0.0
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FOR EACH row IN dataframe:
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thresholds = `pair_thresholds[pair]` # 获取当前币对的阈值
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IF `row["adx"]` > `thresholds["adx_trend"]`: # 强趋势市场
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SET `row["&-roi_0_pred"]` = `thresholds["roi_trend"]` # 高ROI
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ELSE IF `row["adx"]` < `thresholds["adx_oscillation"]`: # 震荡市场
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SET `row["&-roi_0_pred"]` = `thresholds["roi_oscillation"]` # 低ROI
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ELSE: # 中间状态
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SET `row["&-roi_0_pred"]` = `thresholds["roi_mid"]` # 中等ROI
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# 风险控制：设置ROI上限
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IF `row["&-roi_0_pred"]` > 0.10: # 防止过高目标
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SET `row["&-roi_0_pred"]` = 0.10
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# 计算RSI预测（现有逻辑）
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SET `dataframe["&-buy_rsi_pred"]` = CALCULATE_RSI(`dataframe["close"]`, period=14).ROLLING_MEAN(window=20)
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RETURN dataframe
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