170 lines
7.4 KiB
Python
170 lines
7.4 KiB
Python
"""
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市场状态分类引擎
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职责：
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- 根据量化特征判断当前市场处于哪类 regime
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- 输出当前允许的交易行为集合
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- 为 LLM 与执行层提供统一约束
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"""
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from typing import Any, Dict, List
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class RegimeEngine:
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"""市场状态分类引擎"""
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def classify(
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self,
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*,
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range_metrics: Dict[str, Any] | None,
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market_location: Dict[str, Any] | None,
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trend_direction: str = "neutral",
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trend_strength: str = "weak",
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derivatives_state: Dict[str, Any] | None = None,
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reversal_detection: Dict[str, Any] | None = None,
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trend_stage: Dict[str, Any] | None = None,
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) -> Dict[str, Any]:
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range_metrics = range_metrics or {}
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market_location = market_location or {}
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derivatives_state = derivatives_state or {}
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reversal_detection = reversal_detection or {}
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trend_stage = trend_stage or {}
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location_tag = str(market_location.get("location_tag") or "unknown")
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relative_to_range = str(market_location.get("relative_to_range") or "unknown")
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range_regime = str(range_metrics.get("regime") or "unknown")
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crowding_regime = str(derivatives_state.get("crowding_regime") or "low")
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crowding_bias = str(derivatives_state.get("crowding_bias") or "neutral")
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bb_squeeze = bool(range_metrics.get("bb_squeeze"))
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no_trade_reasons: List[str] = []
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profile: Dict[str, Any] = {
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"regime_key": "neutral",
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"market_state_label": "中性市",
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"tradability": "avoid",
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"risk_mode": "defensive",
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"allowed_lanes": [],
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"preferred_lanes": [],
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"allowed_setups": [],
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"preferred_entry_types": [],
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"crowding_bias": crowding_bias,
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"crowding_regime": crowding_regime,
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"no_trade_reasons": no_trade_reasons,
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"summary": "",
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}
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if location_tag in {"middle_of_range", "far_from_trade_zone"}:
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no_trade_reasons.append(f"位置不佳: {location_tag}")
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if range_regime == "ranging":
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profile.update(
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{
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"regime_key": "range",
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"market_state_label": "震荡市",
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"tradability": "selective",
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"risk_mode": "defensive",
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"allowed_lanes": ["short_term"],
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"preferred_lanes": ["short_term", "medium_term"],
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"allowed_setups": ["range_reversal"],
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"preferred_entry_types": ["limit", "market"],
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}
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)
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if relative_to_range not in {"near_range_support", "near_range_resistance"}:
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no_trade_reasons.append("震荡市但不在区间边界")
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elif range_regime == "transitional":
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if bb_squeeze and location_tag not in {"far_from_trade_zone", "middle_of_range"}:
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profile.update(
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{
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"regime_key": "breakout_compression",
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"market_state_label": "压缩待突破",
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"tradability": "selective",
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"risk_mode": "defensive",
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"allowed_lanes": ["short_term"],
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"preferred_lanes": ["short_term", "medium_term"],
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"allowed_setups": ["breakout_confirmation", "breakout_pullback"],
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"preferred_entry_types": ["market", "limit"],
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}
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)
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else:
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profile.update(
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{
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"regime_key": "transition",
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"market_state_label": "过渡市",
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"tradability": "avoid",
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"risk_mode": "defensive",
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"allowed_lanes": [],
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"preferred_lanes": [],
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"allowed_setups": [],
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"preferred_entry_types": [],
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}
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)
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no_trade_reasons.append("趋势与震荡切换期，方向优势不足")
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elif range_regime in {"weak_trend", "strong_trend"} and trend_direction in {"uptrend", "downtrend"}:
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allow_reversal = bool(reversal_detection.get("is_reversing")) and trend_strength != "strong"
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if crowding_regime == "high":
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profile.update(
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{
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"regime_key": "crowded_trend",
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"market_state_label": "拥挤趋势",
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"tradability": "selective",
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"risk_mode": "defensive",
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"allowed_lanes": ["medium_term"],
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"preferred_lanes": ["medium_term", "short_term"],
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"allowed_setups": ["deep_pullback_continuation"],
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"preferred_entry_types": ["limit"],
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}
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)
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if location_tag not in {"near_long_zone", "near_short_zone"}:
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no_trade_reasons.append("趋势拥挤，且不在深回踩/反抽交易区")
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else:
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profile.update(
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{
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"regime_key": "trend",
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"market_state_label": "趋势市",
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"tradability": "tradable",
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"risk_mode": "normal" if range_regime == "strong_trend" else "reduced",
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"allowed_lanes": ["medium_term", "short_term"],
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"preferred_lanes": ["medium_term", "short_term"],
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"allowed_setups": ["trend_continuation_pullback"],
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"preferred_entry_types": ["limit", "market"],
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}
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)
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if allow_reversal:
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profile["allowed_setups"].append("trend_reversal")
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if location_tag in {"far_from_trade_zone", "middle_of_range"}:
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profile["tradability"] = "selective"
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no_trade_reasons.append("趋势存在，但当前价格没有位置优势")
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if str(trend_stage.get("stage") or "") == "late":
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profile["tradability"] = "selective"
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profile["risk_mode"] = "defensive"
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no_trade_reasons.append("趋势晚期，避免追价")
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else:
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profile.update(
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{
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"regime_key": "neutral",
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"market_state_label": "中性市",
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"tradability": "avoid",
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"risk_mode": "defensive",
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"allowed_lanes": [],
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"preferred_lanes": [],
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"allowed_setups": [],
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"preferred_entry_types": [],
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}
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)
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no_trade_reasons.append("无清晰市场结构")
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if no_trade_reasons and profile["tradability"] == "selective":
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profile["summary"] = f"{profile['market_state_label']} | 谨慎交易 | {'；'.join(no_trade_reasons[:2])}"
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elif no_trade_reasons and profile["tradability"] == "avoid":
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profile["summary"] = f"{profile['market_state_label']} | 观望优先 | {'；'.join(no_trade_reasons[:2])}"
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else:
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profile["summary"] = (
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f"{profile['market_state_label']} | "
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f"允许: {', '.join(profile['allowed_setups']) if profile['allowed_setups'] else '空仓'}"
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)
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return profile
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