新增实盘策略：FisherTrendStrategy(FG)

futures_trading_strategies/FG/FisherTrendStrategy/FisherTrendStrategy.py

@@ -0,0 +1,216 @@
+import numpy as np
+import math
+from collections import deque
+from typing import Optional, Any, List, Dict
+
+from src.core_data import Bar, Order
+from src.indicators.base_indicators import Indicator
+from src.strategies.base_strategy import Strategy
+
+
+class PragmaticCyberneticStrategy(Strategy):
+    """
+    【务实优化版·控制论策略】
+
+    优化核心：
+    1. 保持“钝感”：拒绝灵敏的趋势反转平仓，保留“死拿趋势”的盈利特性。
+    2. 修复系数：将 Stoch 映射系数从 0.66 提升至 1.98，使 Fisher 值域恢复到 [-3, 3] 可调范围。
+       - 现在你可以设置 exit_level = 2.0 来捕捉极端利润，而不是被迫等到换月。
+    3. 纯粹逻辑：开仓是开仓，平仓是平仓。互不干扰，消除中间地带的内耗。
+    """
+
+    def __init__(
+            self,
+            context: Any,
+            main_symbol: str,
+            enable_log: bool,
+            trade_volume: int,
+            min_tick: float = 1.0,
+
+            # --- 核心参数 (保持原策略风格) ---
+            trend_period: int = 26,  # T: 趋势中轴
+            fisher_period: int = 20,  # FB: 动能周期 (原策略 46 可能太慢，建议 20-30)
+            atr_period: int = 23,
+
+            # --- 阈值参数 (关键调整) ---
+            # 1. 止盈阈值：因为系数修复了，现在 FB 能跑到 2.5 以上。
+            #    建议设为 2.0 - 2.5。如果设得很高(如 5.0)，效果就等于你原来的“死拿”。
+            fisher_exit_level: float = 2.2,
+
+            # 2. 入场阈值：保持在 0.5 左右，只接深回调
+            fb_entry_threshold: float = 0.,
+
+            stop_mult: float = 2,  # 稍微放宽止损，适应趋势震荡
+            limit_offset_mult: float = 0.2,  # FV 挂单偏移
+
+            order_direction: Optional[List[str]] = None,
+            indicator: Indicator = None,
+    ):
+        super().__init__(context, main_symbol, enable_log)
+        self.trade_volume = trade_volume
+        self.min_tick = min_tick
+
+        self.t_len = trend_period
+        self.f_len = fisher_period
+        self.atr_len = atr_period
+
+        self.fisher_exit_level = fisher_exit_level
+        self.fb_entry_threshold = fb_entry_threshold
+        self.stop_mult = stop_mult
+        self.limit_offset_mult = limit_offset_mult
+
+        self.order_direction = order_direction or ['BUY', 'SELL']
+        self.indicator = indicator
+
+        # 缓存
+        self._buf_len = max(self.t_len, self.f_len, self.atr_len) + 5
+        self._highs = deque(maxlen=self._buf_len)
+        self._lows = deque(maxlen=self._buf_len)
+        self._closes = deque(maxlen=self._buf_len)
+
+        # 记录上一根 Bar 的 FB，仅用于判断拐点
+        self._prev_fb = 0.0
+        self.order_id_counter = 0
+
+    def round_to_tick(self, price: float) -> float:
+        if self.min_tick <= 0: return price
+        return round(price / self.min_tick) * self.min_tick
+
+    def _calculate_indicators(self):
+        """
+        计算逻辑：保留原策略的简洁性，仅修复 Scaling 系数
+        """
+        if len(self._closes) < self._buf_len:
+            return None, None, None, None
+
+        # 1. 趋势中轴 T (物理中轴)
+        h_trend = list(self._highs)[-self.t_len:]
+        l_trend = list(self._lows)[-self.t_len:]
+        T = (max(h_trend) + min(l_trend)) / 2.0
+
+        # 2. 公平价 FV (FIR 滤波)
+        FV = (self._closes[-1] + 2 * self._closes[-2] + 2 * self._closes[-3] + self._closes[-4]) / 6.0
+
+        # 3. Fisher Transform (非递归版，响应更快)
+        h_fisher = list(self._highs)[-self.f_len:]
+        l_fisher = list(self._lows)[-self.f_len:]
+        max_h, min_l = max(h_fisher), min(l_fisher)
+        denom = max_h - min_l if max_h != min_l else self.min_tick
+
+        # --- 关键修正点 ---
+        # 你的原代码是 0.66 * (stoc - 0.5)，这导致最大值被锁死。
+        # 改为 1.98，使得输入范围从 [-0.33, 0.33] 扩大到 [-0.99, 0.99]。
+        # 这样 math.log 就能计算出 -3 到 +3 的值，让止盈逻辑“复活”且可控。
+        stoc = (self._closes[-1] - min_l) / denom
+        value = max(-0.999, min(0.999, 1.98 * (stoc - 0.5)))
+        FB = 0.5 * math.log((1.0 + value) / (1.0 - value))
+
+        # 4. ATR
+        tr_list = []
+        for i in range(1, self.atr_len + 1):
+            h, l, pc = self._highs[-i], self._lows[-i], self._closes[-i - 1]
+            tr = max(h - l, abs(h - pc), abs(l - pc))
+            tr_list.append(tr)
+        ATR = sum(tr_list) / self.atr_len
+
+        return T, FV, FB, ATR
+
+    def on_open_bar(self, open_price: float, symbol: str):
+        self.symbol = symbol
+        # 每次 Bar 重置挂单，防止挂单“长在”图表上
+        self.cancel_all_pending_orders(self.symbol)
+
+        bars = self.get_bar_history()
+        if len(bars) < 1: return
+        prev_bar = bars[-1]
+
+        self._highs.append(prev_bar.high)
+        self._lows.append(prev_bar.low)
+        self._closes.append(prev_bar.close)
+
+        T, FV, FB, ATR = self._calculate_indicators()
+        if T is None: return
+
+        pos = self.get_current_positions().get(self.symbol, 0)
+        entry_price = self.get_average_position_price(self.symbol)
+
+        # 状态定义
+        # 这里我们不去定义 "short_signal" 这种会诱发反向平仓的变量
+        # 而是只关注眼下的：大势(T) 和 动能(FB)
+        trend_up = prev_bar.close > T
+        trend_down = prev_bar.close < T
+
+        # ==========================================
+        # 1. 持仓逻辑：简单、迟钝、粘性强
+        # ==========================================
+        if pos != 0:
+            stop_dist = max(self.stop_mult * ATR, self.min_tick * 20)
+
+            if pos > 0:
+                # A. 动能止盈 (Mean Reversion Exit)
+                # 只有当行情极其疯狂(FB > 2.2) 且开始回头时才止盈。
+                # 正常波动绝不下车。
+                if FB > self.fisher_exit_level and FB < self._prev_fb:
+                    self.log(f"TAKE PROFIT (Long): FB {FB:.2f} Peak Reached")
+                    self.send_market_order("CLOSE_LONG", abs(pos), "CLOSE")
+                    return
+
+                # B. 硬止损 (ATR Stop) - 最后的防线
+                if prev_bar.close < entry_price - stop_dist:
+                    self.send_market_order("CLOSE_LONG", abs(pos), "CLOSE")
+                    return
+
+                # C. (可选) 极端趋势反转保护
+                # 如果你希望策略更像原来的“死拿”，这部分可以注释掉，或者把判定条件设严
+                # if prev_bar.close < T - ATR: ...
+
+            elif pos < 0:
+                # A. 动能止盈
+                if FB < -self.fisher_exit_level and FB > self._prev_fb:
+                    self.log(f"TAKE PROFIT (Short): FB {FB:.2f} Bottom Reached")
+                    self.send_market_order("CLOSE_SHORT", abs(pos), "CLOSE")
+                    return
+
+                # B. 硬止损
+                if prev_bar.close > entry_price + stop_dist:
+                    self.send_market_order("CLOSE_SHORT", abs(pos), "CLOSE")
+                    return
+
+        # ==========================================
+        # 2. 开仓逻辑：严苛、左侧、顺大势
+        # ==========================================
+        if pos == 0:
+            is_met = self.indicator is None or self.indicator.is_condition_met(*self.get_indicator_tuple())
+
+            # 挂单价格优化：
+            # 在 FV 基础上再便宜一点点，增加胜率
+            long_limit = self.round_to_tick(FV - (self.limit_offset_mult * ATR))
+            short_limit = self.round_to_tick(FV + (self.limit_offset_mult * ATR))
+
+            # 开多：趋势向上 + 动能深跌 (FB < -0.5)
+            if trend_up and FB < -self.fb_entry_threshold and is_met:
+                if "BUY" in self.order_direction:
+                    self.send_limit_order(long_limit, "BUY", self.trade_volume, "OPEN")
+
+            # 开空：趋势向下 + 动能冲高 (FB > 0.5)
+            elif trend_down and FB > self.fb_entry_threshold and is_met:
+                if "SELL" in self.order_direction:
+                    self.send_limit_order(short_limit, "SELL", self.trade_volume, "OPEN")
+
+        # 记录上一根FB，仅用于止盈时的拐点比较
+        self._prev_fb = FB
+
+    # --- 辅助 ---
+    def send_market_order(self, direction, volume, offset):
+        ts = self.get_current_time().strftime('%H%M%S')
+        oid = f"{self.symbol}_{direction}_MKT_{ts}_{self.order_id_counter}"
+        self.order_id_counter += 1
+        self.send_order(Order(id=oid, symbol=self.symbol, direction=direction, volume=volume, price_type="MARKET",
+                              submitted_time=self.get_current_time(), offset=offset))
+
+    def send_limit_order(self, price, direction, volume, offset):
+        ts = self.get_current_time().strftime('%H%M%S')
+        oid = f"{self.symbol}_{direction}_LMT_{ts}_{self.order_id_counter}"
+        self.order_id_counter += 1
+        self.send_order(Order(id=oid, symbol=self.symbol, direction=direction, volume=volume, price_type="LIMIT",
+                              submitted_time=self.get_current_time(), offset=offset, limit_price=price))

futures_trading_strategies/FG/FisherTrendStrategy/FisherTrendStrategy2.py

@@ -0,0 +1,224 @@
+import numpy as np
+import math
+import talib
+from collections import deque
+from typing import Optional, Any, List
+
+from src.core_data import Bar, Order
+from src.indicators.base_indicators import Indicator
+from src.strategies.base_strategy import Strategy
+
+
+class PragmaticCyberneticStrategy(Strategy):
+    """
+    【务实回归版·控制论策略】(TA-Lib 提速 + 换月支持)
+
+    哲学坚守：
+    1. 捍卫原版出场逻辑：坚决使用基于 entry_price 的固定硬止损。脱离成本区后，给予价格无限宽容度，实现长线死拿。
+    2. 动能极值止盈：恢复 FB > 1.6 且拐头时的精准落袋为安。
+    3. 拒绝画蛇添足：没有任何 _target_state，不堆砌 Trick，底层数据即真理。
+    """
+
+    def __init__(
+            self,
+            context: Any,
+            main_symbol: str,
+            enable_log: bool,
+            trade_volume: int,
+            min_tick: float = 1.0,
+
+            # --- 核心周期 ---
+            trend_period: int = 26,
+            fisher_period: int = 20,
+            atr_period: int = 23,
+
+            # --- 经过验证的优秀参数 ---
+            fisher_exit_level: float = 1.6,  # 配合 1.98 修复后的 FB，1.6 是一个非常好的极值止盈点
+            fb_entry_threshold: float = 0.1,  # 0.1 确保在顺大势的前提下，动能稍有配合即可入场
+
+            # --- 风险控制 ---
+            stop_mult: float = 2.0,  # 原始的硬止损乘数
+            limit_offset_mult: float = 0.,
+
+            order_direction: Optional[List[str]] = None,
+            indicator: Indicator = None,
+    ):
+        super().__init__(context, main_symbol, enable_log)
+        self.trade_volume = trade_volume
+        self.min_tick = min_tick
+
+        self.t_len = trend_period
+        self.f_len = fisher_period
+        self.atr_len = atr_period
+
+        self.fisher_exit_level = fisher_exit_level
+        self.fb_entry_threshold = fb_entry_threshold
+        self.stop_mult = stop_mult
+        self.limit_offset_mult = limit_offset_mult
+
+        self.order_direction = order_direction or ['BUY', 'SELL']
+        self.indicator = indicator
+
+        # 为 talib.ATR 预留充足的数据预热空间
+        self._buf_len = max(self.t_len, self.f_len, self.atr_len * 2) + 100
+        self._highs = deque(maxlen=self._buf_len)
+        self._lows = deque(maxlen=self._buf_len)
+        self._closes = deque(maxlen=self._buf_len)
+
+        # 使用 deque 记录 FB，相比单独的 _prev_fb 变量更安全，不会因为初始 0 导致误判
+        self._fbs = deque(maxlen=2)
+        self.order_id_counter = 0
+
+    def round_to_tick(self, price: float) -> float:
+        if self.min_tick <= 0: return price
+        return round(price / self.min_tick) * self.min_tick
+
+    def _calculate_indicators(self):
+        """完全无状态的纯数学指标计算 (基于 TA-Lib)"""
+        if len(self._closes) < self._buf_len:
+            return None, None, None, None
+
+        np_highs = np.array(self._highs, dtype=np.float64)
+        np_lows = np.array(self._lows, dtype=np.float64)
+        np_closes = np.array(self._closes, dtype=np.float64)
+
+        # 1. T轴 (大势过滤)
+        t_max_h = talib.MAX(np_highs, timeperiod=self.t_len)[-1]
+        t_min_l = talib.MIN(np_lows, timeperiod=self.t_len)[-1]
+        T = (t_max_h + t_min_l) / 2.0
+
+        # 2. FV (公允价值挂单基准)
+        FV = (np_closes[-1] + 2 * np_closes[-2] + 2 * np_closes[-3] + np_closes[-4]) / 6.0
+
+        # 3. Fisher Transform (1.98 数学修复版)
+        f_max_h = talib.MAX(np_highs, timeperiod=self.f_len)[-1]
+        f_min_l = talib.MIN(np_lows, timeperiod=self.f_len)[-1]
+        denom = f_max_h - f_min_l if f_max_h != f_min_l else self.min_tick
+
+        stoc = (np_closes[-1] - f_min_l) / denom
+        value = max(-0.999, min(0.999, 1.98 * (stoc - 0.5)))
+        FB = 0.5 * math.log((1.0 + value) / (1.0 - value))
+
+        # 4. ATR
+        atr_array = talib.ATR(np_highs, np_lows, np_closes, timeperiod=self.atr_len)
+        ATR = atr_array[-1]
+
+        return T, FV, FB, ATR
+
+    def on_open_bar(self, open_price: float, symbol: str):
+        self.symbol = symbol
+        self.cancel_all_pending_orders(self.symbol)
+
+        bars = self.get_bar_history()
+        if len(bars) < 1: return
+        prev_bar = bars[-1]
+
+        self._highs.append(prev_bar.high)
+        self._lows.append(prev_bar.low)
+        self._closes.append(prev_bar.close)
+
+        T, FV, FB, ATR = self._calculate_indicators()
+        if T is None or math.isnan(ATR): return
+
+        self._fbs.append(FB)
+        # 必须凑齐两根 FB 才能判断拐点，否则跳过
+        if len(self._fbs) < 2: return
+
+        current_fb = self._fbs[-1]
+        prev_fb = self._fbs[-2]
+
+        # 绝对无状态：从账户物理数据获取真实持仓和开仓均价
+        pos = self.get_current_positions().get(self.symbol, 0)
+        entry_price = self.get_average_position_price(self.symbol)
+
+        is_met = self.indicator is None or self.indicator.is_condition_met(*self.get_indicator_tuple())
+
+        # ==========================================
+        # 核心一：经典出场逻辑 (你的原版设计)
+        # ==========================================
+        if pos != 0:
+            # 最小 20 tick 保护，防止 ATR 极度萎缩时止损过窄
+            stop_dist = max(self.stop_mult * ATR, self.min_tick * 20)
+
+            if pos > 0:
+                # A. 动能极值止盈：到达 1.6 且刚刚发生向下拐头
+                if current_fb > self.fisher_exit_level and current_fb < prev_fb:
+                    self.log(f"TAKE PROFIT (Long): FB {current_fb:.2f} Peak Reached")
+                    self.send_market_order("CLOSE_LONG", abs(pos), "CLOSE")
+                    return
+
+                # B. 原版硬止损：只看 entry_price，给趋势震荡留出无限空间
+                if prev_bar.close < entry_price - stop_dist:
+                    self.log(f"HARD STOP (Long): Close {prev_bar.close} < Limit {entry_price - stop_dist}")
+                    self.send_market_order("CLOSE_LONG", abs(pos), "CLOSE")
+                    return
+
+            elif pos < 0:
+                # A. 动能极值止盈
+                if current_fb < -self.fisher_exit_level and current_fb > prev_fb:
+                    self.log(f"TAKE PROFIT (Short): FB {current_fb:.2f} Bottom Reached")
+                    self.send_market_order("CLOSE_SHORT", abs(pos), "CLOSE")
+                    return
+
+                # B. 原版硬止损
+                if prev_bar.close > entry_price + stop_dist:
+                    self.log(f"HARD STOP (Short): Close {prev_bar.close} > Limit {entry_price + stop_dist}")
+                    self.send_market_order("CLOSE_SHORT", abs(pos), "CLOSE")
+                    return
+
+        # ==========================================
+        # 核心二：经典入场逻辑
+        # ==========================================
+        elif pos == 0 and is_met:
+            # 趋势向上，且 FB < -0.1 (符合你的优异参数)
+            if prev_bar.close > T and current_fb < -self.fb_entry_threshold:
+                if "BUY" in self.order_direction:
+                    long_limit = self.round_to_tick(FV - (self.limit_offset_mult * ATR))
+                    self.send_limit_order(long_limit, "BUY", self.trade_volume, "OPEN")
+                    self.log(f"ENTRY LONG SIGNAL: T={T:.2f}, FB={current_fb:.2f}")
+
+            # 趋势向下，且 FB > 0.1
+            elif prev_bar.close < T and current_fb > self.fb_entry_threshold:
+                if "SELL" in self.order_direction:
+                    short_limit = self.round_to_tick(FV + (self.limit_offset_mult * ATR))
+                    self.send_limit_order(short_limit, "SELL", self.trade_volume, "OPEN")
+                    self.log(f"ENTRY SHORT SIGNAL: T={T:.2f}, FB={current_fb:.2f}")
+
+    # ==========================================
+    # 彻底隔离历史噪音：原生换月机制
+    # ==========================================
+    def on_contract_rollover(self, old_symbol: str, new_symbol: str):
+        self.log(f"ROLLOVER TRIGGERED: {old_symbol} -> {new_symbol}")
+
+        # 撤销老合约全部残留动作
+        self.cancel_all_pending_orders(old_symbol)
+
+        # 市价清空老合约，因为换月会导致 entry_price 和盘面断层，强制物理归零最安全
+        pos = self.get_current_positions().get(old_symbol, 0)
+        if pos > 0:
+            self.send_order(Order(id=f"ROLLOVER_CLOSE_L_{old_symbol}", symbol=old_symbol, direction="CLOSE_LONG",
+                                  volume=abs(pos), price_type="MARKET", submitted_time=self.get_current_time(),
+                                  offset="CLOSE"))
+        elif pos < 0:
+            self.send_order(Order(id=f"ROLLOVER_CLOSE_S_{old_symbol}", symbol=old_symbol, direction="CLOSE_SHORT",
+                                  volume=abs(pos), price_type="MARKET", submitted_time=self.get_current_time(),
+                                  offset="CLOSE"))
+
+        # 切换主交易标的
+        self.main_symbol = new_symbol
+        self.symbol = new_symbol
+
+    # --- 下单系统 ---
+    def send_market_order(self, direction, volume, offset):
+        ts = self.get_current_time().strftime('%H%M%S')
+        oid = f"{self.symbol}_{direction}_MKT_{ts}_{self.order_id_counter}"
+        self.order_id_counter += 1
+        self.send_order(Order(id=oid, symbol=self.symbol, direction=direction, volume=volume, price_type="MARKET",
+                              submitted_time=self.get_current_time(), offset=offset))
+
+    def send_limit_order(self, price, direction, volume, offset):
+        ts = self.get_current_time().strftime('%H%M%S')
+        oid = f"{self.symbol}_{direction}_LMT_{ts}_{self.order_id_counter}"
+        self.order_id_counter += 1
+        self.send_order(Order(id=oid, symbol=self.symbol, direction=direction, volume=volume, price_type="LIMIT",
+                              submitted_time=self.get_current_time(), offset=offset, limit_price=price))

futures_trading_strategies/FG/FisherTrendStrategy/Strategy3.py

@@ -0,0 +1,239 @@
+import numpy as np
+import math
+import talib
+from collections import deque
+from typing import Optional, Any, List
+
+from src.core_data import Bar, Order
+from src.indicators.base_indicators import Indicator
+from src.strategies.base_strategy import Strategy
+
+
+class PragmaticCyberneticStrategy(Strategy):
+    """
+    【务实回归版·控制论策略】(TA-Lib 提速 + 换月支持)
+
+    哲学坚守：
+    1. 捍卫原版出场逻辑：坚决使用基于 entry_price 的固定硬止损。脱离成本区后，给予价格无限宽容度，实现长线死拿。
+    2. 动能极值止盈：恢复 FB > 1.6 且拐头时的精准落袋为安。
+    3. 拒绝画蛇添足：没有任何 _target_state，不堆砌 Trick，底层数据即真理。
+    """
+
+    def __init__(
+            self,
+            context: Any,
+            main_symbol: str,
+            enable_log: bool,
+            trade_volume: int,
+            min_tick: float = 1.0,
+
+            # --- 核心周期 ---
+            trend_period: int = 26,
+            fisher_period: int = 20,
+            atr_period: int = 23,
+
+            # --- 经过验证的优秀参数 ---
+            fisher_exit_level: float = 1.6,  # 配合 1.98 修复后的 FB，1.6 是一个非常好的极值止盈点
+            fb_entry_threshold: float = 0.1,  # 0.1 确保在顺大势的前提下，动能稍有配合即可入场
+
+            # --- 风险控制 ---
+            stop_mult: float = 2.0,  # 原始的硬止损乘数
+            limit_offset_mult: float = 0.,
+
+            order_direction: Optional[List[str]] = None,
+            indicator: Indicator = None,
+    ):
+        super().__init__(context, main_symbol, enable_log)
+        self.trade_volume = trade_volume
+        self.min_tick = min_tick
+
+        self.t_len = trend_period
+        self.f_len = fisher_period
+        self.atr_len = atr_period
+
+        self.fisher_exit_level = fisher_exit_level
+        self.fb_entry_threshold = fb_entry_threshold
+        self.stop_mult = stop_mult
+        self.limit_offset_mult = limit_offset_mult
+
+        self.order_direction = order_direction or ['BUY', 'SELL']
+        self.indicator = indicator
+
+        # 为 talib.ATR 预留充足的数据预热空间
+        self._buf_len = max(self.t_len, self.f_len, self.atr_len * 2) + 100
+        self._highs = deque(maxlen=self._buf_len)
+        self._lows = deque(maxlen=self._buf_len)
+        self._closes = deque(maxlen=self._buf_len)
+
+        # 使用 deque 记录 FB，相比单独的 _prev_fb 变量更安全，不会因为初始 0 导致误判
+        self._fbs = deque(maxlen=2)
+        self.order_id_counter = 0
+
+    def round_to_tick(self, price: float) -> float:
+        if self.min_tick <= 0: return price
+        return round(price / self.min_tick) * self.min_tick
+
+    def _calculate_indicators(self):
+        """完全无状态的纯数学指标计算 (基于 TA-Lib)"""
+        if len(self._closes) < self._buf_len:
+            return None, None, None, None
+
+        np_highs = np.array(self._highs, dtype=np.float64)
+        np_lows = np.array(self._lows, dtype=np.float64)
+        np_closes = np.array(self._closes, dtype=np.float64)
+
+        # 1. T轴 (大势过滤)
+        t_max_h = talib.MAX(np_highs, timeperiod=self.t_len)[-1]
+        t_min_l = talib.MIN(np_lows, timeperiod=self.t_len)[-1]
+        T = (t_max_h + t_min_l) / 2.0
+
+        # 2. FV (公允价值挂单基准)
+        FV = (np_closes[-1] + 2 * np_closes[-2] + 2 * np_closes[-3] + np_closes[-4]) / 6.0
+
+        # 3. Fisher Transform (1.98 数学修复版)
+        f_max_h = talib.MAX(np_highs, timeperiod=self.f_len)[-1]
+        f_min_l = talib.MIN(np_lows, timeperiod=self.f_len)[-1]
+        denom = f_max_h - f_min_l if f_max_h != f_min_l else self.min_tick
+
+        stoc = (np_closes[-1] - f_min_l) / denom
+        value = max(-0.999, min(0.999, 1.98 * (stoc - 0.5)))
+        FB = 0.5 * math.log((1.0 + value) / (1.0 - value))
+
+        # 4. ATR
+        atr_array = talib.ATR(np_highs, np_lows, np_closes, timeperiod=self.atr_len)
+        ATR = atr_array[-1]
+
+        return T, FV, FB, ATR
+
+    def on_open_bar(self, open_price: float, symbol: str):
+        self.symbol = symbol
+        self.cancel_all_pending_orders(self.symbol)
+
+        bars = self.get_bar_history()
+        if len(bars) < 1: return
+        prev_bar = bars[-1]
+
+        self._highs.append(prev_bar.high)
+        self._lows.append(prev_bar.low)
+        self._closes.append(prev_bar.close)
+
+        T, FV, FB, ATR = self._calculate_indicators()
+        if T is None or math.isnan(ATR): return
+
+        self._fbs.append(FB)
+        # 必须凑齐两根 FB 才能判断拐点，否则跳过
+        if len(self._fbs) < 2: return
+
+        current_fb = self._fbs[-1]
+        prev_fb = self._fbs[-2]
+
+        # 绝对无状态：从账户物理数据获取真实持仓和开仓均价
+        pos = self.get_current_positions().get(self.symbol, 0)
+        entry_price = self.get_average_position_price(self.symbol)
+
+        is_met = self.indicator is None or self.indicator.is_condition_met(*self.get_indicator_tuple())
+
+        # ==========================================
+        # 核心一：经典出场逻辑 (你的原版设计)
+        # ==========================================
+        if pos != 0:
+            stop_dist = max(self.stop_mult * ATR, self.min_tick * 20)
+
+            # --- 预判：是否存在反向入场信号？ ---
+            # 反向做多信号：大势已多 (C > T)，且动能回调 (FB < -0.1)
+            is_long_signal = (prev_bar.close > T) and (current_fb < -self.fb_entry_threshold)
+            # 反向做空信号：大势已空 (C < T)，且动能反弹 (FB > 0.1)
+            is_short_signal = (prev_bar.close < T) and (current_fb > self.fb_entry_threshold)
+
+            if pos > 0:
+                # A. 动能极值止盈
+                if current_fb > self.fisher_exit_level and current_fb < prev_fb:
+                    self.log(f"TAKE PROFIT (Long): FB {current_fb:.2f} Peak Reached")
+                    self.send_market_order("CLOSE_LONG", abs(pos), "CLOSE")
+                    return
+
+                # B. 原版硬止损 (最后的底线)
+                if prev_bar.close < entry_price - stop_dist:
+                    self.log(f"HARD STOP (Long): Close {prev_bar.close} < Limit {entry_price - stop_dist}")
+                    self.send_market_order("CLOSE_LONG", abs(pos), "CLOSE")
+                    return
+
+                # C. 解决冲突：反向信号强制平仓
+                # 如果我们持有多单，但盘面竟然发出了“做空”信号，说明大势已去，逻辑矛盾，必须平仓！
+                if is_short_signal and is_met:
+                    self.log(f"REVERSAL SIGNAL EXIT (Long): Trend Down & Short Signal Triggered.")
+                    self.send_market_order("CLOSE_LONG", abs(pos), "CLOSE")
+                    return
+
+            elif pos < 0:
+                # A. 动能极值止盈
+                if current_fb < -self.fisher_exit_level and current_fb > prev_fb:
+                    self.log(f"TAKE PROFIT (Short): FB {current_fb:.2f} Bottom Reached")
+                    self.send_market_order("CLOSE_SHORT", abs(pos), "CLOSE")
+                    return
+
+                # B. 原版硬止损
+                if prev_bar.close > entry_price + stop_dist:
+                    self.log(f"HARD STOP (Short): Close {prev_bar.close} > Limit {entry_price + stop_dist}")
+                    self.send_market_order("CLOSE_SHORT", abs(pos), "CLOSE")
+                    return
+
+                # C. 解决冲突：反向信号强制平仓
+                # 如果我们持有空单，但盘面发出了“做多”信号，平空！
+                if is_long_signal and is_met:
+                    self.log(f"REVERSAL SIGNAL EXIT (Short): Trend Up & Long Signal Triggered.")
+                    self.send_market_order("CLOSE_SHORT", abs(pos), "CLOSE")
+                    return
+
+            # ==========================================
+            # 核心二：经典入场逻辑 (完全不变)
+            # ==========================================
+        elif pos == 0 and is_met:
+            if prev_bar.close > T and current_fb < -self.fb_entry_threshold:
+                if "BUY" in self.order_direction:
+                    long_limit = self.round_to_tick(FV - (self.limit_offset_mult * ATR))
+                    self.send_limit_order(long_limit, "BUY", self.trade_volume, "OPEN")
+
+            elif prev_bar.close < T and current_fb > self.fb_entry_threshold:
+                if "SELL" in self.order_direction:
+                    short_limit = self.round_to_tick(FV + (self.limit_offset_mult * ATR))
+                    self.send_limit_order(short_limit, "SELL", self.trade_volume, "OPEN")
+
+    # ==========================================
+    # 彻底隔离历史噪音：原生换月机制
+    # ==========================================
+    def on_contract_rollover(self, old_symbol: str, new_symbol: str):
+        self.log(f"ROLLOVER TRIGGERED: {old_symbol} -> {new_symbol}")
+
+        # 撤销老合约全部残留动作
+        self.cancel_all_pending_orders(old_symbol)
+
+        # 市价清空老合约，因为换月会导致 entry_price 和盘面断层，强制物理归零最安全
+        pos = self.get_current_positions().get(old_symbol, 0)
+        if pos > 0:
+            self.send_order(Order(id=f"ROLLOVER_CLOSE_L_{old_symbol}", symbol=old_symbol, direction="CLOSE_LONG",
+                                  volume=abs(pos), price_type="MARKET", submitted_time=self.get_current_time(),
+                                  offset="CLOSE"))
+        elif pos < 0:
+            self.send_order(Order(id=f"ROLLOVER_CLOSE_S_{old_symbol}", symbol=old_symbol, direction="CLOSE_SHORT",
+                                  volume=abs(pos), price_type="MARKET", submitted_time=self.get_current_time(),
+                                  offset="CLOSE"))
+
+        # 切换主交易标的
+        self.main_symbol = new_symbol
+        self.symbol = new_symbol
+
+    # --- 下单系统 ---
+    def send_market_order(self, direction, volume, offset):
+        ts = self.get_current_time().strftime('%H%M%S')
+        oid = f"{self.symbol}_{direction}_MKT_{ts}_{self.order_id_counter}"
+        self.order_id_counter += 1
+        self.send_order(Order(id=oid, symbol=self.symbol, direction=direction, volume=volume, price_type="MARKET",
+                              submitted_time=self.get_current_time(), offset=offset))
+
+    def send_limit_order(self, price, direction, volume, offset):
+        ts = self.get_current_time().strftime('%H%M%S')
+        oid = f"{self.symbol}_{direction}_LMT_{ts}_{self.order_id_counter}"
+        self.order_id_counter += 1
+        self.send_order(Order(id=oid, symbol=self.symbol, direction=direction, volume=volume, price_type="LIMIT",
+                              submitted_time=self.get_current_time(), offset=offset, limit_price=price))