377 lines
16 KiB
Python
377 lines
16 KiB
Python
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import numpy as np
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from scipy.signal import stft
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from datetime import datetime, timedelta
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from typing import Optional, Any, List, Dict
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from src.core_data import Bar, Order
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from src.indicators.base_indicators import Indicator
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from src.indicators.indicators import Empty
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from src.strategies.base_strategy import Strategy
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# =============================================================================
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# 策略实现 (VolatilityAdaptiveSpectralStrategy)
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# =============================================================================
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class SpectralTrendStrategy(Strategy):
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"""
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波动率自适应频域趋势策略
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核心哲学:
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1. 显式傅里叶变换: 分离低频(趋势)、高频(噪音)能量
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2. 波动率条件信号: 根据波动率环境动态调整交易方向
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- 低波动环境: 趋势策略 (高趋势强度 → 延续)
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- 高波动环境: 反转策略 (高趋势强度 → 反转)
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3. 无硬编码参数: 所有阈值通过配置参数设定
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4. 严格无未来函数: 所有计算使用历史数据
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参数说明:
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- bars_per_day: 市场每日K线数量
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- volatility_lookback: 波动率计算窗口(天)
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- low_vol_threshold: 低波动环境阈值(0-1)
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- high_vol_threshold: 高波动环境阈值(0-1)
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"""
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def __init__(
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self,
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context: Any,
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main_symbol: str,
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enable_log: bool,
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trade_volume: int,
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# --- 【市场结构参数】 ---
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bars_per_day: int = 23, # 适配23根/天的市场
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# --- 【频域核心参数】 ---
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spectral_window_days: float = 2.0, # STFT窗口大小(天)
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low_freq_days: float = 2.0, # 低频下限(天)
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high_freq_days: float = 1.0, # 高频上限(天)
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trend_strength_threshold: float = 0.8, # 趋势强度阈值
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exit_threshold: float = 0.5, # 退出阈值
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# --- 【波动率参数】 ---
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volatility_lookback_days: float = 5.0, # 波动率计算窗口(天)
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low_vol_threshold: float = 0.3, # 低波动环境阈值(0-1)
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high_vol_threshold: float = 0.7, # 高波动环境阈值(0-1)
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# --- 【持仓管理】 ---
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max_hold_days: int = 10, # 最大持仓天数
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# --- 其他 ---
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order_direction: Optional[List[str]] = None,
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indicators: Optional[List[Indicator]] = None,
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):
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super().__init__(context, main_symbol, enable_log)
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if order_direction is None:
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order_direction = ['BUY', 'SELL']
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if indicators is None:
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indicators = [Empty(), Empty()] # 保持兼容性
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# --- 参数赋值 (完全参数化) ---
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self.trade_volume = trade_volume
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self.bars_per_day = bars_per_day
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self.spectral_window_days = spectral_window_days
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self.low_freq_days = low_freq_days
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self.high_freq_days = high_freq_days
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self.trend_strength_threshold = trend_strength_threshold
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self.exit_threshold = exit_threshold
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self.volatility_lookback_days = volatility_lookback_days
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self.low_vol_threshold = low_vol_threshold
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self.high_vol_threshold = high_vol_threshold
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self.max_hold_days = max_hold_days
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self.order_direction = order_direction
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# --- 动态计算参数 ---
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self.spectral_window = int(self.spectral_window_days * self.bars_per_day)
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self.spectral_window = self.spectral_window if self.spectral_window % 2 == 0 else self.spectral_window + 1
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self.volatility_window = int(self.volatility_lookback_days * self.bars_per_day)
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# 频率边界 (cycles/day)
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self.low_freq_bound = 1.0 / self.low_freq_days if self.low_freq_days > 0 else float('inf')
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self.high_freq_bound = 1.0 / self.high_freq_days if self.high_freq_days > 0 else 0.0
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# --- 内部状态变量 ---
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self.main_symbol = main_symbol
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self.order_id_counter = 0
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self.indicators = indicators
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self.entry_time = None # 入场时间
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self.position_direction = None # 'LONG' or 'SHORT'
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self.last_trend_strength = 0.0
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self.last_dominant_freq = 0.0 # 主导周期(天)
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self.last_volatility = 0.0 # 标准化波动率(0-1)
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self.volatility_history = [] # 存储历史波动率
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self.log(f"VolatilityAdaptiveSpectralStrategy Initialized (bars/day={bars_per_day}, "
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f"window={self.spectral_window} bars, vol_window={self.volatility_window} bars)")
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def on_open_bar(self, open_price: float, symbol: str):
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"""每根K线开盘时被调用"""
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self.symbol = symbol
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bar_history = self.get_bar_history()
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current_time = self.get_current_time()
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# 需要足够的数据 (最大窗口 + 缓冲)
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min_required = max(self.spectral_window, self.volatility_window) + 10
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if len(bar_history) < min_required:
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if self.enable_log and len(bar_history) % 50 == 0:
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self.log(f"Waiting for {len(bar_history)}/{min_required} bars")
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return
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position_volume = self.get_current_positions().get(self.symbol, 0)
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# 获取必要历史价格 (仅取所需部分)
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recent_bars = bar_history[-(max(self.spectral_window, self.volatility_window) + 5):]
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closes = np.array([b.close for b in recent_bars], dtype=np.float32)
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highs = np.array([b.high for b in recent_bars], dtype=np.float32)
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lows = np.array([b.low for b in recent_bars], dtype=np.float32)
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# 【核心】计算频域趋势强度 (显式傅里叶)
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trend_strength, dominant_freq = self.calculate_trend_strength(closes)
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self.last_trend_strength = trend_strength
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self.last_dominant_freq = dominant_freq
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# 【核心】计算标准化波动率 (0-1范围)
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volatility = self.calculate_normalized_volatility(highs, lows, closes)
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self.last_volatility = volatility
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# 检查最大持仓时间 (防止极端事件)
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if self.entry_time and (current_time - self.entry_time) >= timedelta(days=self.max_hold_days):
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self.log(f"Max hold time reached ({self.max_hold_days} days). Forcing exit.")
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self.close_all_positions()
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self.entry_time = None
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self.position_direction = None
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return
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# 核心逻辑：相变入场/退出
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if position_volume == 0:
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self.evaluate_entry_signal(open_price, trend_strength, dominant_freq, volatility, recent_bars)
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else:
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self.manage_open_position(position_volume, trend_strength, volatility)
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def calculate_trend_strength(self, closes: np.array) -> (float, float):
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"""
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【显式傅里叶】计算低频能量占比 (完全参数化)
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"""
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if len(closes) < self.spectral_window:
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return 0.0, 0.0
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# 仅使用窗口内数据
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window_data = closes[-self.spectral_window:]
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window_mean = np.mean(window_data)
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window_std = np.std(window_data)
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if window_std < 1e-8:
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return 0.0, 0.0
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normalized = (window_data - window_mean) / window_std
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try:
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f, t, Zxx = stft(
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normalized,
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fs=self.bars_per_day,
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nperseg=self.spectral_window,
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noverlap=max(0, self.spectral_window // 2),
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boundary=None,
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padded=False
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)
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except Exception as e:
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self.log(f"STFT calculation error: {str(e)}")
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return 0.0, 0.0
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# 过滤无效频率
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max_freq = self.bars_per_day / 2
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valid_mask = (f >= 0) & (f <= max_freq)
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if not np.any(valid_mask):
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return 0.0, 0.0
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f = f[valid_mask]
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Zxx = Zxx[valid_mask, :]
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if Zxx.size == 0 or Zxx.shape[1] == 0:
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return 0.0, 0.0
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# 计算最新时间点的能量
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current_energy = np.abs(Zxx[:, -1]) ** 2
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# 动态频段定义
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low_freq_mask = f < self.low_freq_bound
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high_freq_mask = f > self.high_freq_bound
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# 能量计算
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low_energy = np.sum(current_energy[low_freq_mask]) if np.any(low_freq_mask) else 0.0
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high_energy = np.sum(current_energy[high_freq_mask]) if np.any(high_freq_mask) else 0.0
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total_energy = low_energy + high_energy + 1e-8
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# 趋势强度 = 低频能量占比
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trend_strength = low_energy / total_energy
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# 计算主导趋势周期 (天)
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dominant_freq = 0.0
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if np.any(low_freq_mask) and low_energy > 0:
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low_energies = current_energy[low_freq_mask]
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max_idx = np.argmax(low_energies)
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dominant_freq = 1.0 / (f[low_freq_mask][max_idx] + 1e-8)
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return float(trend_strength), float(dominant_freq)
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def calculate_normalized_volatility(self, highs: np.array, lows: np.array, closes: np.array) -> float:
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"""
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计算标准化波动率 (0-1范围)
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步骤:
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1. 计算ATR (真实波幅)
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2. 标准化ATR (除以价格)
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3. 归一化到0-1范围 (基于历史波动率)
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"""
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if len(closes) < self.volatility_window + 1:
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return 0.5 # 默认中性值
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# 1. 计算真实波幅 (TR)
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tr1 = highs[-self.volatility_window - 1:] - lows[-self.volatility_window - 1:]
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tr2 = np.abs(highs[-self.volatility_window - 1:] - np.roll(closes, 1)[-self.volatility_window - 1:])
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tr3 = np.abs(lows[-self.volatility_window - 1:] - np.roll(closes, 1)[-self.volatility_window - 1:])
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tr = np.maximum(tr1, np.maximum(tr2, tr3))
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# 2. 计算ATR
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atr = np.mean(tr[-self.volatility_window:])
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# 3. 标准化ATR (除以当前价格)
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current_price = closes[-1]
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normalized_atr = atr / current_price if current_price > 0 else 0.0
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# 4. 归一化到0-1范围 (基于历史波动率)
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self.volatility_history.append(normalized_atr)
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if len(self.volatility_history) > 1000: # 保留1000个历史值
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self.volatility_history.pop(0)
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if len(self.volatility_history) < 50: # 需要足够历史数据
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return 0.5
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# 使用历史50-95百分位进行归一化
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low_percentile = np.percentile(self.volatility_history, 50)
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high_percentile = np.percentile(self.volatility_history, 95)
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if high_percentile - low_percentile < 1e-8:
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return 0.5
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# 归一化到0-1范围
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normalized_vol = (normalized_atr - low_percentile) / (high_percentile - low_percentile + 1e-8)
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normalized_vol = max(0.0, min(1.0, normalized_vol)) # 限制在0-1范围内
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return normalized_vol
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def evaluate_entry_signal(self, open_price: float, trend_strength: float, dominant_freq: float,
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volatility: float, recent_bars: List[Bar]):
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"""评估波动率条件入场信号"""
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# 仅当趋势强度跨越临界点且有明确周期时入场
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if trend_strength > self.trend_strength_threshold:
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direction = None
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trade_type = ""
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# 计算价格位置 (短期vs长期均值)
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window_closes = np.array([b.close for b in recent_bars[-self.spectral_window:]], dtype=np.float32)
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short_avg = np.mean(window_closes[-5:])
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long_avg = np.mean(window_closes)
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# 添加统计显著性过滤
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if abs(short_avg - long_avg) < 0.0005 * long_avg:
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return
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# 【核心】根据波动率环境决定交易逻辑
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if volatility < self.low_vol_threshold:
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# 低波动环境: 趋势策略
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trade_type = "TREND"
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if "BUY" in self.order_direction and short_avg > long_avg:
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direction = "BUY"
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elif "SELL" in self.order_direction and short_avg < long_avg:
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direction = "SELL"
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elif volatility > self.high_vol_threshold:
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# 高波动环境: 反转策略
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trade_type = "REVERSAL"
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if "BUY" in self.order_direction and short_avg < long_avg:
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direction = "BUY" # 价格低于均值，预期回归
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elif "SELL" in self.order_direction and short_avg > long_avg:
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direction = "SELL" # 价格高于均值，预期反转
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else:
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# 中波动环境: 谨慎策略 (需要更强信号)
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trade_type = "CAUTIOUS"
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if trend_strength > 0.9 and "BUY" in self.order_direction and short_avg > long_avg:
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direction = "BUY"
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elif trend_strength > 0.9 and "SELL" in self.order_direction and short_avg < long_avg:
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direction = "SELL"
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if direction:
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self.log(
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f"Entry: {direction} | Type={trade_type} | Strength={trend_strength:.2f} | "
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f"Volatility={volatility:.2f} | ShortAvg={short_avg:.4f} vs LongAvg={long_avg:.4f}"
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)
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|
self.send_market_order(direction, self.trade_volume, "OPEN")
|
||
|
|
self.entry_time = self.get_current_time()
|
||
|
|
self.position_direction = "LONG" if direction == "BUY" else "SHORT"
|
||
|
|
|
||
|
|
def manage_open_position(self, volume: int, trend_strength: float, volatility: float):
|
||
|
|
"""管理持仓：波动率条件退出"""
|
||
|
|
# 退出条件1: 趋势强度 < 退出阈值
|
||
|
|
if trend_strength < self.exit_threshold:
|
||
|
|
direction = "CLOSE_LONG" if volume > 0 else "CLOSE_SHORT"
|
||
|
|
self.log(f"Exit (Strength): {direction} | Strength={trend_strength:.2f} < {self.exit_threshold}")
|
||
|
|
self.close_position(direction, abs(volume))
|
||
|
|
self.entry_time = None
|
||
|
|
self.position_direction = None
|
||
|
|
return
|
||
|
|
|
||
|
|
# 退出条件2: 波动率环境突变 (从低波动变为高波动，或反之)
|
||
|
|
if self.position_direction == "LONG" and volatility > self.high_vol_threshold * 1.2:
|
||
|
|
# 多头仓位在波动率突增时退出
|
||
|
|
self.log(
|
||
|
|
f"Exit (Volatility Spike): CLOSE_LONG | Volatility={volatility:.2f} > {self.high_vol_threshold * 1.2:.2f}")
|
||
|
|
self.close_position("CLOSE_LONG", abs(volume))
|
||
|
|
self.entry_time = None
|
||
|
|
self.position_direction = None
|
||
|
|
elif self.position_direction == "SHORT" and volatility > self.high_vol_threshold * 1.2:
|
||
|
|
# 空头仓位在波动率突增时退出
|
||
|
|
self.log(
|
||
|
|
f"Exit (Volatility Spike): CLOSE_SHORT | Volatility={volatility:.2f} > {self.high_vol_threshold * 1.2:.2f}")
|
||
|
|
self.close_position("CLOSE_SHORT", abs(volume))
|
||
|
|
self.entry_time = None
|
||
|
|
self.position_direction = None
|
||
|
|
|
||
|
|
# --- 辅助函数区 ---
|
||
|
|
def close_all_positions(self):
|
||
|
|
"""强制平仓所有头寸"""
|
||
|
|
positions = self.get_current_positions()
|
||
|
|
if not positions or self.symbol not in positions or positions[self.symbol] == 0:
|
||
|
|
return
|
||
|
|
|
||
|
|
direction = "CLOSE_LONG" if positions[self.symbol] > 0 else "CLOSE_SHORT"
|
||
|
|
self.close_position(direction, abs(positions[self.symbol]))
|
||
|
|
if self.enable_log:
|
||
|
|
self.log(f"Closed {abs(positions[self.symbol])} contracts")
|
||
|
|
|
||
|
|
def close_position(self, direction: str, volume: int):
|
||
|
|
self.send_market_order(direction, volume, offset="CLOSE")
|
||
|
|
|
||
|
|
def send_market_order(self, direction: str, volume: int, offset: str):
|
||
|
|
order_id = f"{self.symbol}_{direction[-6:]}_{self.order_id_counter}"
|
||
|
|
self.order_id_counter += 1
|
||
|
|
order = Order(
|
||
|
|
id=order_id,
|
||
|
|
symbol=self.symbol,
|
||
|
|
direction=direction,
|
||
|
|
volume=volume,
|
||
|
|
price_type="MARKET",
|
||
|
|
submitted_time=self.get_current_time(),
|
||
|
|
offset=offset
|
||
|
|
)
|
||
|
|
self.send_order(order)
|
||
|
|
|
||
|
|
def on_init(self):
|
||
|
|
super().on_init()
|
||
|
|
self.cancel_all_pending_orders(self.main_symbol)
|
||
|
|
if self.enable_log:
|
||
|
|
self.log("Strategy initialized. Waiting for volatility-adaptive signals...")
|
||
|
|
|
||
|
|
def on_rollover(self, old_symbol: str, new_symbol: str):
|
||
|
|
super().on_rollover(old_symbol, new_symbol)
|
||
|
|
if self.enable_log:
|
||
|
|
self.log(f"Rollover: {old_symbol} -> {new_symbol}. Resetting state.")
|
||
|
|
self.entry_time = None
|
||
|
|
self.position_direction = None
|
||
|
|
self.last_trend_strength = 0.0
|
||
|
|
self.volatility_history = [] # 重置波动率历史
|