卡尔曼策略新增md文件

futures_trading_strategies/MA/ValueMigrationStrategy/data_class.py

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+import numpy as np
+import pandas as pd
+from dataclasses import dataclass
+from scipy.stats import kurtosis, skew
+from datetime import time, timedelta
+
+from typing import List, Tuple, Optional
+
+from src.core_data import Bar
+
+
+@dataclass
+class ProfileStats:
+    """封装剖面图的所有核心统计量。"""
+    vah: float
+    val: float
+    poc: float
+
+
+def calculate_profile_from_bars(bars: List[Bar], tick_size: float, va_percentage: int = 70) -> Optional[ProfileStats]:
+    """
+    [全局核心函数] 从给定的K线列表计算剖面图统计量 (VAH, VAL, POC)。
+    """
+    if not bars:
+        return None
+
+    data = []
+    for bar in bars:
+        price_range = np.arange(bar.low, bar.high + tick_size, tick_size)
+        if len(price_range) == 0 or bar.volume == 0: continue
+        volume_per_tick = bar.volume / len(price_range)
+        for price in price_range:
+            data.append({'price': price, 'volume': volume_per_tick})
+    if not data: return None
+    df = pd.DataFrame(data)
+    if df.empty: return None
+    price_volume_dist = df.groupby('price')['volume'].sum().sort_index()
+
+    if price_volume_dist.empty or len(price_volume_dist) < 3: return None
+
+    poc = price_volume_dist.idxmax()
+    total_volume = price_volume_dist.sum()
+    value_area_volume_target = total_volume * (va_percentage / 100.0)
+    current_va_volume = price_volume_dist.loc[poc]
+    vah, val = poc, poc
+    prices_above = price_volume_dist.index[price_volume_dist.index > poc]
+    prices_below = price_volume_dist.index[price_volume_dist.index < poc].sort_values(ascending=False)
+    idx_above, idx_below = 0, 0
+    while current_va_volume < value_area_volume_target:
+        vol_above = price_volume_dist.loc[prices_above[idx_above]] if idx_above < len(prices_above) else 0
+        vol_below = price_volume_dist.loc[prices_below[idx_below]] if idx_below < len(prices_below) else 0
+        if vol_above == 0 and vol_below == 0: break
+        if vol_above > vol_below:
+            current_va_volume += vol_above
+            vah = prices_above[idx_above]
+            idx_above += 1
+        else:
+            current_va_volume += vol_below
+            val = prices_below[idx_below]
+            idx_below += 1
+
+    return ProfileStats(vah=vah, val=val, poc=poc)