190 lines
6.4 KiB
Python
190 lines
6.4 KiB
Python
"""
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交易策略 - 趋势跟踪策略定义
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"""
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from typing import Dict, List, Any
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from app.utils.logger import logger
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class TrendFollowingStrategy:
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"""趋势跟踪策略"""
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# 趋势判断规则（1H + 4H）
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TREND_RULES = {
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'bullish': {
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'description': '看涨趋势',
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'conditions': [
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{'name': 'price_above_ma20', 'desc': '价格在MA20上方'},
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{'name': 'ma5_above_ma20', 'desc': 'MA5在MA20上方'},
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{'name': 'macd_positive', 'desc': 'MACD在信号线上方'},
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{'name': 'rsi_above_50', 'desc': 'RSI大于50'}
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]
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},
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'bearish': {
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'description': '看跌趋势',
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'conditions': [
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{'name': 'price_below_ma20', 'desc': '价格在MA20下方'},
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{'name': 'ma5_below_ma20', 'desc': 'MA5在MA20下方'},
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{'name': 'macd_negative', 'desc': 'MACD在信号线下方'},
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{'name': 'rsi_below_50', 'desc': 'RSI小于50'}
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]
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}
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}
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# 进场规则（5M + 15M）
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ENTRY_RULES = {
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'buy': {
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'description': '做多进场',
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'conditions': [
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{'name': 'rsi_oversold_recovery', 'desc': 'RSI从超卖区回升', 'weight': 2},
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{'name': 'macd_golden_cross', 'desc': 'MACD金叉', 'weight': 2},
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{'name': 'price_break_bb_middle', 'desc': '价格突破布林中轨', 'weight': 1},
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{'name': 'kdj_golden_cross', 'desc': 'KDJ低位金叉', 'weight': 1},
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{'name': 'volume_increase', 'desc': '成交量放大', 'weight': 1}
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],
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'min_score': 3 # 最低触发分数
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},
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'sell': {
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'description': '做空进场',
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'conditions': [
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{'name': 'rsi_overbought_decline', 'desc': 'RSI从超买区回落', 'weight': 2},
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{'name': 'macd_death_cross', 'desc': 'MACD死叉', 'weight': 2},
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{'name': 'price_break_bb_middle_down', 'desc': '价格跌破布林中轨', 'weight': 1},
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{'name': 'kdj_death_cross', 'desc': 'KDJ高位死叉', 'weight': 1},
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{'name': 'volume_increase', 'desc': '成交量放大', 'weight': 1}
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],
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'min_score': 3
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}
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}
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# 出场规则
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EXIT_RULES = {
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'take_profit': {
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'description': '止盈',
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'conditions': [
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{'name': 'target_reached', 'desc': '达到目标价位'},
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{'name': 'rsi_extreme', 'desc': 'RSI达到极值'},
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{'name': 'trend_reversal', 'desc': '趋势反转信号'}
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]
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},
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'stop_loss': {
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'description': '止损',
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'conditions': [
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{'name': 'price_hit_stop', 'desc': '价格触及止损位'},
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{'name': 'trend_break', 'desc': '趋势破坏'}
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]
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}
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}
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# 风险管理参数
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RISK_PARAMS = {
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'max_position_size': 0.1, # 最大仓位比例
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'stop_loss_atr_multiplier': 2.0, # 止损 ATR 倍数
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'take_profit_atr_multiplier': 3.0, # 止盈 ATR 倍数
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'max_daily_trades': 5, # 每日最大交易次数
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'min_risk_reward_ratio': 1.5 # 最小风险收益比
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}
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def __init__(self):
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"""初始化策略"""
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logger.info("趋势跟踪策略初始化完成")
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def get_trend_rules(self, trend: str) -> Dict[str, Any]:
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"""获取趋势判断规则"""
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return self.TREND_RULES.get(trend, {})
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def get_entry_rules(self, action: str) -> Dict[str, Any]:
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"""获取进场规则"""
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return self.ENTRY_RULES.get(action, {})
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def get_exit_rules(self, exit_type: str) -> Dict[str, Any]:
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"""获取出场规则"""
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return self.EXIT_RULES.get(exit_type, {})
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def calculate_position_size(self, account_balance: float, risk_per_trade: float,
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entry_price: float, stop_loss: float) -> float:
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"""
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计算仓位大小
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Args:
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account_balance: 账户余额
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risk_per_trade: 单笔风险比例（如 0.02 表示 2%）
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entry_price: 入场价格
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stop_loss: 止损价格
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Returns:
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建议仓位大小
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"""
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risk_amount = account_balance * risk_per_trade
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price_risk = abs(entry_price - stop_loss)
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if price_risk == 0:
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return 0
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position_size = risk_amount / price_risk
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# 限制最大仓位
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max_position = account_balance * self.RISK_PARAMS['max_position_size'] / entry_price
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position_size = min(position_size, max_position)
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return round(position_size, 6)
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def validate_trade(self, entry_price: float, stop_loss: float,
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take_profit: float) -> Dict[str, Any]:
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"""
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验证交易是否符合风险管理规则
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Args:
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entry_price: 入场价格
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stop_loss: 止损价格
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take_profit: 止盈价格
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Returns:
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验证结果
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"""
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risk = abs(entry_price - stop_loss)
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reward = abs(take_profit - entry_price)
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if risk == 0:
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return {
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'valid': False,
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'reason': '止损距离为0',
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'risk_reward_ratio': 0
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}
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risk_reward_ratio = reward / risk
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if risk_reward_ratio < self.RISK_PARAMS['min_risk_reward_ratio']:
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return {
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'valid': False,
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'reason': f'风险收益比({risk_reward_ratio:.2f})低于最低要求({self.RISK_PARAMS["min_risk_reward_ratio"]})',
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'risk_reward_ratio': risk_reward_ratio
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}
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return {
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'valid': True,
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'reason': '符合风险管理规则',
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'risk_reward_ratio': risk_reward_ratio
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}
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def get_strategy_description(self) -> str:
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"""获取策略描述"""
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return """
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## 趋势跟踪策略
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### 核心理念
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顺势而为，在大周期确认趋势后，在小周期寻找最佳进场点。
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### 趋势判断（4H + 1H）
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- 看涨：价格在MA20上方，MA5>MA20，MACD>信号线，RSI>50
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- 看跌：价格在MA20下方，MA5<MA20，MACD<信号线，RSI<50
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### 进场信号（15M + 5M）
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- 做多：RSI超卖回升、MACD金叉、突破布林中轨、KDJ低位金叉
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- 做空：RSI超买回落、MACD死叉、跌破布林中轨、KDJ高位死叉
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### 风险管理
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- 止损：2倍ATR
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- 止盈：3倍ATR
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- 最小风险收益比：1.5
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"""
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