102 lines
3.5 KiB
Python
102 lines
3.5 KiB
Python
"""4H box breakout retest strategy candidate.
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The detector factor is not the strategy. This module wraps that factor with
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market, freshness, entry-distance and risk semantics to produce a standard
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StrategySignal.
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"""
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from __future__ import annotations
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from app.core.factor_roles import ENTRY, RISK, TRIGGER
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from app.core.strategy_contract import StrategySignal, current_strategy_version
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from app.core.strategy_registry import BOX_RETEST_4H_STRATEGY
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def _safe_float(value, default=0.0) -> float:
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try:
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if value is None or value == "":
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return default
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return float(value)
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except Exception:
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return default
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def build_box_retest_signal(
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*,
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symbol: str,
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current_price: float,
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detection: dict,
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entry_plan: dict | None = None,
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market_regime: dict | None = None,
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decision_log: dict | None = None,
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) -> StrategySignal | None:
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if not (detection or {}).get("detected"):
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return None
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entry_plan = entry_plan or {}
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market_regime = market_regime or {}
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risk_level = str(market_regime.get("risk_level") or "medium").lower()
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entry_zone = _safe_float(detection.get("entry_zone"))
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current_price = _safe_float(current_price)
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distance_pct = (current_price / entry_zone - 1) * 100 if entry_zone > 0 and current_price > 0 else 0
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age = int(detection.get("pullback_age_bars") or 999)
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quality = str(detection.get("quality") or "")
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status = "candidate"
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reasons = []
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if risk_level == "critical":
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status = "observe"
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reasons.append("全局风险 critical，仅观察")
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if age > 4:
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status = "observe"
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reasons.append(f"回踩已过去 {age} 根4H，时效偏旧")
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if quality not in {"良好", "优质"}:
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status = "observe"
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reasons.append(f"形态质量 {quality or '未知'}，不直接交易")
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if distance_pct > 8:
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status = "observe"
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reasons.append(f"当前价离箱体上沿 {distance_pct:.1f}%，禁止追高")
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score = _safe_float(detection.get("score"))
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confidence = min(100.0, max(0.0, score * 8))
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trigger = {
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"factor_code": "box_breakout_pullback_4h",
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"factor_label": "4H箱体突破回踩",
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"box_high": detection.get("box_high"),
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"box_low": detection.get("box_low"),
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"entry_zone": detection.get("entry_zone"),
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"stop_level": detection.get("stop_level"),
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"pullback_kind": detection.get("pullback_kind"),
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"pullback_age_bars": age,
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"quality": quality,
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"distance_to_entry_zone_pct": round(distance_pct, 4),
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"market_regime": market_regime.get("regime") or "",
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"risk_level": risk_level,
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}
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risk_plan = {
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"invalid_if": ["跌回箱体", "放量冲高回落", "回踩过久", "全局风险升为critical"],
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"stop_level": detection.get("stop_level"),
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"risk_reasons": reasons,
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}
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return StrategySignal(
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strategy_code=BOX_RETEST_4H_STRATEGY,
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strategy_version=current_strategy_version(),
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symbol=symbol,
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direction="long",
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status=status,
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confidence=confidence,
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score=score,
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trigger=trigger,
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factor_roles={
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"box_breakout_pullback_4h": TRIGGER,
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"pullback_15m_confirm": ENTRY,
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"trend_exhaustion": RISK,
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"false_breakout": RISK,
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},
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entry_plan=entry_plan,
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risk_plan=risk_plan,
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decision_log=decision_log or {
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"module": "box_retest_4h_v1",
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"decision": status,
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"reasons": reasons,
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},
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)
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