1、新增傅里叶策略

2、新增策略管理、策略重启功能
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2025-11-20 16:15:45 +08:00
parent 2c917a467a
commit 711b86d33f
46 changed files with 12136 additions and 0 deletions

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import numpy as np
from scipy.signal import stft
from datetime import datetime, timedelta
from typing import Optional, Any, List, Dict
from src.core_data import Bar, Order
from src.indicators.base_indicators import Indicator
from src.indicators.indicators import Empty, NormalizedATR, AtrVolatility
from src.strategies.base_strategy import Strategy
# =============================================================================
# 策略实现 (SpectralTrendStrategy)
# =============================================================================
class TestConnectionStrategy(Strategy):
"""
频域能量相变策略 - 捕获肥尾趋势
核心哲学:
1. 显式傅里叶变换: 直接分离低频(趋势)、高频(噪音)能量
2. 相变临界点: 仅当低频能量占比 > 阈值时入场
3. 低频交易: 每月仅2-5次信号持仓数日捕获肥尾
4. 完全参数化: 无硬编码,适配任何市场时间结构
参数说明:
- bars_per_day: 市场每日K线数量 (e.g., 23 for 15min US markets)
- low_freq_days: 低频定义下限 (天), 默认2.0
- high_freq_days: 高频定义上限 (天), 默认1.0
"""
def __init__(
self,
context: Any,
main_symbol: str,
enable_log: bool,
):
super().__init__(context, main_symbol, enable_log)
# --- 内部状态变量 ---
self.main_symbol = main_symbol
def on_open_bar(self, open_price: float, symbol: str):
self.log(f'on open bar: {symbol}')
def on_init(self):
super().on_init()
def on_rollover(self, old_symbol: str, new_symbol: str):
super().on_rollover(old_symbol, new_symbol)