diff --git a/core/trade/__pycache__/mean_reversion_sandbox.cpython-312.pyc b/core/trade/__pycache__/mean_reversion_sandbox.cpython-312.pyc index 88faf8a..63c3cb6 100644 Binary files a/core/trade/__pycache__/mean_reversion_sandbox.cpython-312.pyc and b/core/trade/__pycache__/mean_reversion_sandbox.cpython-312.pyc differ diff --git a/core/trade/mean_reversion_sandbox.py b/core/trade/mean_reversion_sandbox.py index bfd0561..547c479 100644 --- a/core/trade/mean_reversion_sandbox.py +++ b/core/trade/mean_reversion_sandbox.py @@ -45,7 +45,7 @@ class MeanReversionSandbox: desc_dict = { "买入": [ "1. 窗口周期为100, 即100个K线", - "2. 当前close_10_low为1, 即当前收盘价在窗口周期的10分位以下", + "2. 满足close_10_low为1, 即当前收盘价在窗口周期的10分位以下", "3. 之前2个K线与当前K线, 存在任意一个K线huge_volume为1, 即存在一个K线是巨量", "4. 当前K线为阳线, 即close > open或者K线为一字, 长倒T线, 倒T线, 长十字星, 十字星", # "5. 相同symbol的1H当前周期, ma5大于ma10", @@ -143,7 +143,7 @@ class MeanReversionSandbox: for index, row in market_data.iterrows(): # check buy condition if trade_pair_dict.get("buy_timestamp", None) is None: - buy_condition = self.check_buy_condition(market_data, row, index) + buy_condition = self.check_buy_condition(market_data, row, index, window_size) else: buy_condition = False if buy_condition: @@ -170,17 +170,20 @@ class MeanReversionSandbox: sell_condition = False # check stop loss condition sell_condition = self.check_stop_loss_condition(trade_pair_dict, row) - if sell_condition: + sell = sell_condition["sell"] + if sell: trade_pair_dict["sell_type"] = "止损" else: # check take profit condition sell_condition = self.check_take_profit_condition( trade_pair_dict, market_data, row, index ) - if sell_condition: + sell = sell_condition["sell"] + if sell: trade_pair_dict["sell_type"] = "止盈" - if sell_condition: + if sell: + trade_pair_dict["sell_reason"] = sell_condition["reason"] trade_pair_dict["sell_timestamp"] = row["timestamp"] trade_pair_dict["sell_date_time"] = timestamp_to_datetime( row["timestamp"] @@ -218,17 +221,50 @@ class MeanReversionSandbox: if len(trade_list) == 0: return None trade_data = pd.DataFrame(trade_list) + trade_data = trade_data[ + [ + "solution", + "symbol", + "bar", + "window_size", + "sell_type", + "sell_reason", + "profit_pct", + "buy_timestamp", + "buy_date_time", + "sell_timestamp", + "sell_date_time", + "buy_close", + "buy_pct_chg", + "sell_close", + "sell_pct_chg", + "buy_volume", + "buy_huge_volume", + "buy_volume_ratio", + "buy_k_shape", + "buy_close_10_low", + "buy_ma5_lt_ma10", + "sell_volume", + "sell_huge_volume", + "sell_volume_ratio", + "sell_k_shape", + "sell_close_80_high", + "sell_close_90_high", + "sell_close_10_low", + "sell_close_20_low", + ] + ] trade_data.sort_values(by="buy_timestamp", inplace=True) trade_data.reset_index(drop=True, inplace=True) return trade_data def check_buy_condition( - self, market_data: pd.DataFrame, row: pd.Series, index: int + self, market_data: pd.DataFrame, row: pd.Series, index: int, window_size: int ): """ 买入条件 1. 窗口周期为100, 即100个K线, - 2. 当前close_10_low为1, 即当前收盘价在窗口周期的10分位以下, + 2. 满足close_10_low为1, 即当前收盘价在窗口周期的10分位以下 3. 之前2个K线与当前K线, 存在任意一个K线huge_volume为1, 即存在一个K线是巨量, 4. (当前K线为阳线, 即close > open)或者K线为一字, 长倒T线, 倒T线, 长十字星, 十字星, """ @@ -243,6 +279,8 @@ class MeanReversionSandbox: ]: return False + + # 满足close_10_low为1, 即当前收盘价在窗口周期的10分位以下 if row["close_10_low"] != 1: return False @@ -310,13 +348,18 @@ class MeanReversionSandbox: ) buy_close = trade_pair_dict["buy_close"] current_close = row["close"] + result = {"sell": False, "reason": ""} if ( current_close < buy_close and (current_close - buy_close) / buy_close < down_median ): logger.info(f"符合止损条件") - return True - return False + result["sell"] = True + result["reason"] = f"亏损超过下跌波段跌幅中位数" + return result + result["sell"] = False + result["reason"] = "未达到止损条件" + return result def check_take_profit_condition( self, @@ -353,16 +396,23 @@ class MeanReversionSandbox: 1. 当前close_80_high为1或者close_90_high为1 2. 之前2个K线与当前K线, 存在任意一个K线huge_volume为1, 即存在一个K线是巨量 """ + result = {"sell": False, "reason": ""} if row["close_80_high"] != 1 and row["close_90_high"] != 1: - return False + result["sell"] = False + result["reason"] = "未达到止盈条件" + return result if ( row["huge_volume"] != 1 and market_data.loc[index - 1, "huge_volume"] != 1 and market_data.loc[index - 2, "huge_volume"] != 1 ): - return False + result["sell"] = False + result["reason"] = "未达到止盈条件" + return result logger.info(f"符合高位放量止盈 - 简易版条件") - return True + result["sell"] = True + result["reason"] = "符合高位放量止盈 - 简易版条件" + return result def check_take_profit_condition_solution_2( self, @@ -380,11 +430,16 @@ class MeanReversionSandbox: 2. K线为阳线, 即close >= open, 且k_shape满足: 一字, 长吊锤线, 吊锤线, 长倒T线, 倒T线, 长十字星, 十字星, 长上影线纺锤体, 长下影线纺锤体 """ + result = {"sell": False, "reason": ""} if not self.check_take_profit_condition_solution_1(market_data, row, index): - return False + result["sell"] = False + result["reason"] = "未达到止盈条件" + return result if row["close"] < row["open"]: logger.info(f"符合高位放量止盈 - 复杂版条件") - return True + result["sell"] = True + result["reason"] = "符合高位放量止盈 - 复杂版条件" + return result elif row["k_shape"] in [ "一字", "长吊锤线", @@ -397,9 +452,13 @@ class MeanReversionSandbox: "长下影线纺锤体", ]: logger.info(f"符合高位放量止盈 - 复杂版条件") - return True + result["sell"] = True + result["reason"] = "符合高位放量止盈 - 复杂版条件" + return result else: - return False + result["sell"] = False + result["reason"] = "未达到止盈条件" + return result def check_take_profit_condition_solution_3( self, trade_pair_dict: dict, row: pd.Series @@ -413,12 +472,14 @@ class MeanReversionSandbox: """ current_close = row["close"] last_max_close = trade_pair_dict.get("last_max_close", None) - + result = {"sell": False, "reason": ""} if trade_pair_dict["buy_ma5_lt_ma10"]: if trade_pair_dict.get("process_ma5_gt_ma10", None): if row["ma5"] < row["ma10"]: logger.info(f"MA5小于MA10发生转势, 卖出") - return True + result["sell"] = True + result["reason"] = "MA5小于MA10发生转势" + return result if row["ma5"] > row["ma10"]: trade_pair_dict["process_ma5_gt_ma10"] = True @@ -429,10 +490,14 @@ class MeanReversionSandbox: if current_close >= last_max_close: logger.info(f"价格上涨, 继续持仓") trade_pair_dict["last_max_close"] = current_close - return False + result["sell"] = False + result["reason"] = "价格上涨, 继续持仓" + return result else: logger.info(f"符合上涨波段盈利中位数止盈法条件") - return True + result["sell"] = True + result["reason"] = "符合上涨波段盈利中位数止盈条件" + return result else: symbol = trade_pair_dict["symbol"] bar = trade_pair_dict["bar"] @@ -461,7 +526,9 @@ class MeanReversionSandbox: need_record = False if need_record: trade_pair_dict["last_max_close"] = current_close - return False + result["sell"] = False + result["reason"] = "未达到止盈条件" + return result def check_metrics_over_buy(self, row: pd.Series): """ diff --git a/trade_sandbox_main.py b/trade_sandbox_main.py index bcf4a9e..3714c00 100644 --- a/trade_sandbox_main.py +++ b/trade_sandbox_main.py @@ -112,6 +112,7 @@ class MeanReversionSandboxMain: profit_pct_max = bar["profit_pct"].max() profit_pct_min = bar["profit_pct"].min() profit_pct_mean = bar["profit_pct"].mean() + profit_pct_sum = bar["profit_pct"].sum() profit_pct_gt_0_mean = bar[bar["profit_pct"] > 0]["profit_pct"].mean() profit_pct_lt_0_mean = bar[bar["profit_pct"] < 0]["profit_pct"].mean() @@ -125,6 +126,7 @@ class MeanReversionSandboxMain: "solution": solution, "symbol": symbol_name, "bar": bar_name, + "profit_pct_sum": profit_pct_sum, "take_profit_count": take_profit_count, "take_profit_ratio": take_profit_ratio, "stop_loss_count": stop_loss_count, @@ -133,9 +135,9 @@ class MeanReversionSandboxMain: "profit_pct_gt_0_ratio": profit_pct_gt_0_ratio, "profit_pct_lt_0_count": profit_pct_lt_0_count, "profit_pct_lt_0_ratio": profit_pct_lt_0_ratio, + "profit_pct_mean": profit_pct_mean, "profit_pct_max": profit_pct_max, "profit_pct_min": profit_pct_min, - "profit_pct_mean": profit_pct_mean, "profit_pct_gt_0_mean": profit_pct_gt_0_mean, "profit_pct_lt_0_mean": profit_pct_lt_0_mean, } @@ -176,6 +178,7 @@ class MeanReversionSandboxMain: y_axis_fields = [ "take_profit_ratio", "stop_loss_ratio", + "profit_pct_sum", "profit_pct_mean", "profit_pct_gt_0_mean", "profit_pct_lt_0_mean",