180 lines
7.5 KiB
Python
180 lines
7.5 KiB
Python
"""Independent short strategy builders.
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Short setups are not inverted long setups. They need their own trigger,
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confirmation, invalidation and review lineage.
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"""
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from __future__ import annotations
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from app.core.factor_roles import CONFIRMATION, 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 BREAKDOWN_RETEST_SHORT_1H_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 detect_breakdown_retest_short_1h(df, *, change_24h: float = 0.0) -> dict:
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"""Detect a 1H breakdown followed by a failed retest of the broken box.
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This is intentionally conservative: the setup needs a prior box, a close
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below support, a retest near the broken support, and rejection back below it.
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"""
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if df is None or len(df) < 60:
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return {"detected": False, "reason": "insufficient_data"}
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try:
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work = df.tail(72).copy()
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prev = work.iloc[:-8]
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recent = work.iloc[-8:]
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current = float(work["close"].iloc[-1])
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box_low = float(prev["low"].tail(48).min())
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box_high = float(prev["high"].tail(48).max())
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if current <= 0 or box_low <= 0 or box_high <= box_low:
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return {"detected": False, "reason": "invalid_box"}
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box_width_pct = (box_high / box_low - 1) * 100
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if box_width_pct > 38:
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return {"detected": False, "reason": "box_too_wide", "box_width_pct": round(box_width_pct, 2)}
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closes = [float(x) for x in recent["close"].tolist()]
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highs = [float(x) for x in recent["high"].tolist()]
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opens = [float(x) for x in recent["open"].tolist()]
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breakdown_closes = [x for x in closes if x < box_low * 0.992]
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touched_retest = any(box_low * 0.988 <= h <= box_low * 1.035 for h in highs[-5:])
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latest_rejected = current < box_low * 0.992 and closes[-1] < opens[-1]
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below_ema = current < float(work["close"].ewm(span=25, adjust=False).mean().iloc[-1])
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if not breakdown_closes or not touched_retest:
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return {
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"detected": False,
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"reason": "no_breakdown_retest",
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"box_low": round(box_low, 8),
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"box_high": round(box_high, 8),
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}
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stop_level = max(max(highs[-5:]) * 1.012, box_low * 1.025)
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risk = max(stop_level - current, current * 0.025)
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target_1 = max(current - risk * 1.8, current * 0.72)
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quality_score = 0
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quality_score += 3 if latest_rejected else 1
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quality_score += 2 if below_ema else 0
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quality_score += 2 if float(change_24h or 0) <= -3 else 0
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quality_score += 1 if box_width_pct <= 24 else 0
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quality = "优质" if quality_score >= 7 else "良好" if quality_score >= 5 else "普通"
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return {
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"detected": True,
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"breakdown_level": round(box_low, 8),
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"box_high": round(box_high, 8),
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"box_width_pct": round(box_width_pct, 2),
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"retest_zone": round(box_low, 8),
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"stop_level": round(stop_level, 8),
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"target_1": round(target_1, 8),
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"quality": quality,
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"quality_score": quality_score,
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"score": quality_score,
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"retest_rejected": latest_rejected,
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"relative_weakness": bool(below_ema or float(change_24h or 0) <= -3),
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"pullback_age_bars": 0,
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"signals": [
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f"1H破位反抽做空(破位{box_low:.6g})",
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"反抽失败确认" if latest_rejected else "等待反抽失败确认",
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],
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}
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except Exception as exc:
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return {"detected": False, "reason": f"error:{exc}"}
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def build_breakdown_retest_short_1h_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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"""Build a short signal for breakdown -> failed retest setups.
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Expected detection fields are intentionally simple so scanner/confirm
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implementations can evolve without changing the strategy contract:
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detected, breakdown_level, retest_zone, stop_level, target_1, quality,
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retest_rejected, score.
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"""
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if not (detection or {}).get("detected"):
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return None
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entry_plan = dict(entry_plan or {})
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market_regime = market_regime or {}
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quality = str(detection.get("quality") or "")
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retest_rejected = bool(detection.get("retest_rejected"))
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current_price = _safe_float(current_price)
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retest_zone = _safe_float(detection.get("retest_zone") or detection.get("breakdown_level"))
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distance_pct = abs(current_price / retest_zone - 1) * 100 if current_price > 0 and retest_zone > 0 else 0.0
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risk_level = str(market_regime.get("risk_level") or "medium").lower()
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reasons = []
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status = "candidate"
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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"反抽质量 {quality or '未知'}，不直接做空")
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if not retest_rejected:
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status = "observe"
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reasons.append("尚未确认反抽失败")
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if risk_level in {"low", "medium"} and not bool(detection.get("relative_weakness")):
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status = "observe"
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reasons.append("市场并非明显弱势，且缺少相对弱势确认")
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if distance_pct > 8:
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status = "observe"
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reasons.append(f"当前价离反抽区 {distance_pct:.1f}%，不追空")
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entry_plan.setdefault("side", "short")
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entry_plan.setdefault("entry_action", "可即刻买入" if status == "candidate" else "观察")
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entry_plan.setdefault("entry_price", current_price)
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entry_plan.setdefault("stop_loss", detection.get("stop_level"))
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entry_plan.setdefault("tp1", detection.get("target_1"))
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entry_plan.setdefault("risk_reward_ok", True)
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score = _safe_float(detection.get("score"))
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confidence = min(100.0, max(0.0, score * 8 + (12 if retest_rejected else 0)))
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return StrategySignal(
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strategy_code=BREAKDOWN_RETEST_SHORT_1H_STRATEGY,
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strategy_version=current_strategy_version(),
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symbol=symbol,
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direction="short",
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status=status,
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confidence=confidence,
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score=score,
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trigger={
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"factor_code": "breakdown_retest_1h_short",
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"factor_label": "1H破位反抽做空",
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"breakdown_level": detection.get("breakdown_level"),
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"retest_zone": retest_zone,
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"stop_level": detection.get("stop_level"),
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"target_1": detection.get("target_1"),
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"quality": quality,
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"retest_rejected": retest_rejected,
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"distance_to_retest_zone_pct": round(distance_pct, 4),
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"risk_level": risk_level,
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},
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factor_roles={
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"breakdown_retest_1h_short": TRIGGER,
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"retest_reject_15m_short": ENTRY,
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"market_risk_off_short": CONFIRMATION,
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"false_breakout": RISK,
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"funding_extreme": RISK,
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},
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entry_plan=entry_plan,
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risk_plan={
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"invalid_if": ["重新站回破位区", "反抽放量突破", "BTC/ETH快速转强", "RR不足"],
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"risk_reasons": reasons,
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},
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decision_log=decision_log or {
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"module": BREAKDOWN_RETEST_SHORT_1H_STRATEGY,
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"decision": status,
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"reasons": reasons,
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},
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)
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__all__ = ["build_breakdown_retest_short_1h_signal", "detect_breakdown_retest_short_1h"]
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