import numpy as np import talib 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, ADX from src.strategies.base_strategy import Strategy class SpectralTrendStrategy(Strategy): """ 频域能量相变策略 - 极简回归版 (动态ATR止损) """ def __init__( self, context: Any, main_symbol: str, enable_log: bool, trade_volume: int, # --- 市场参数 --- bars_per_day: int = 23, # --- 策略参数 --- spectral_window_days: float = 2.0, low_freq_days: float = 2.0, high_freq_days: float = 1.0, trend_strength_threshold: float = 0.2, exit_threshold: float = 0.1, slope_threshold: float = 0.0, max_hold_days: int = 10, # --- 风控参数 --- stop_loss_atr_multiplier: float = 2.0, # 止损距离是当前ATR的几倍 stop_loss_atr_period: int = 14, # ATR计算周期 # --- 其他 --- order_direction: Optional[List[str]] = None, indicators: Indicator = None, model_indicator: Indicator = None, reverse: bool = False, ): super().__init__(context, main_symbol, enable_log) if order_direction is None: order_direction = ['BUY', 'SELL'] self.trade_volume = trade_volume self.bars_per_day = bars_per_day self.spectral_window_days = spectral_window_days self.low_freq_days = low_freq_days self.high_freq_days = high_freq_days self.trend_strength_threshold = trend_strength_threshold self.exit_threshold = exit_threshold self.slope_threshold = slope_threshold self.max_hold_days = max_hold_days # --- 风控参数 --- self.sl_atr_multiplier = stop_loss_atr_multiplier self.sl_atr_period = stop_loss_atr_period # 注意：移除了 self.stop_loss_price 状态变量，改为实时计算 self.order_direction = order_direction self.model_indicator = model_indicator or Empty() self.indicators = indicators or Empty() self.reverse = reverse # 计算窗口大小 self.spectral_window = int(self.spectral_window_days * self.bars_per_day) if self.spectral_window % 2 != 0: self.spectral_window += 1 self.low_freq_bound = 1.0 / self.low_freq_days if self.low_freq_days > 0 else float('inf') self.high_freq_bound = 1.0 / self.high_freq_days if self.high_freq_days > 0 else 0.0 self.order_id_counter = 0 self.entry_time = None self.position_direction = None self.log( f"SpectralTrendStrategy Init. Window: {self.spectral_window}, Dynamic ATR SL: {self.sl_atr_multiplier}x") def on_open_bar(self, open_price: float, symbol: str): self.symbol = symbol bar_history = self.get_bar_history() current_time = self.get_current_time() self.cancel_all_pending_orders(self.main_symbol) # 确保数据长度足够计算 STFT 和 ATR required_len = max(self.spectral_window, self.sl_atr_period + 5) if len(bar_history) < required_len: return # 强制平仓检查 (时间) # if self.entry_time and (current_time - self.entry_time) >= timedelta(days=self.max_hold_days): # self.close_all_positions(reason="MaxHoldDays") # return # 获取数据用于 STFT closes = np.array([b.close for b in bar_history[-self.spectral_window:]], dtype=float) # --- 计算 ATR (每一根Bar都计算最新的ATR) --- atr_window = self.sl_atr_period + 10 highs_atr = np.array([b.high for b in bar_history[-atr_window:]], dtype=float) lows_atr = np.array([b.low for b in bar_history[-atr_window:]], dtype=float) closes_atr = np.array([b.close for b in bar_history[-atr_window:]], dtype=float) try: atr_values = talib.ATR(highs_atr, lows_atr, closes_atr, timeperiod=self.sl_atr_period) current_atr = atr_values[-1] except Exception as e: self.log(f"ATR Calculation Error: {e}") current_atr = 0.0 # 计算核心指标 trend_strength, trend_slope = self.calculate_market_state(closes) position_volume = self.get_current_positions().get(self.symbol, 0) if self.trading: if position_volume == 0: self.evaluate_entry_signal(open_price, trend_strength, trend_slope) else: # 传入 current_atr 用于动态止损计算 self.manage_open_position(position_volume, trend_strength, trend_slope, open_price, current_atr) def calculate_market_state(self, prices: np.array) -> (float, float): # ... (此处逻辑保持不变) ... if len(prices) < self.spectral_window: return 0.0, 0.0 window_data = prices[-self.spectral_window:] normalized = (window_data - np.mean(window_data)) / (np.std(window_data) + 1e-8) normalized = normalized[-self.spectral_window:] try: f, t, Zxx = stft( normalized, fs=self.bars_per_day, nperseg=self.spectral_window, noverlap=max(0, self.spectral_window // 2), boundary=None, padded=False ) except Exception as e: return 0.0, 0.0 valid_mask = (f >= 0) & (f <= self.bars_per_day / 2) f = f[valid_mask] Zxx = Zxx[valid_mask, :] if Zxx.size == 0 or Zxx.shape[1] == 0: return 0.0, 0.0 current_energy = np.abs(Zxx[:, -1]) ** 2 low_freq_mask = f < self.low_freq_bound high_freq_mask = f > self.high_freq_bound low_energy = np.sum(current_energy[low_freq_mask]) if np.any(low_freq_mask) else 0.0 high_energy = np.sum(current_energy[high_freq_mask]) if np.any(high_freq_mask) else 0.0 total_energy = low_energy + high_energy + 1e-8 trend_strength = low_energy / total_energy x = np.arange(len(normalized)) slope, intercept = np.polyfit(x, normalized, 1) return trend_strength, slope def evaluate_entry_signal(self, open_price: float, trend_strength: float, trend_slope: float): """ 入场逻辑：不再计算止损价，只负责开仓 """ if trend_strength > self.trend_strength_threshold: direction = None if "BUY" in self.order_direction and trend_slope > self.slope_threshold: direction = "BUY" elif "SELL" in self.order_direction and trend_slope < -self.slope_threshold: direction = "SELL" if direction: if not self.indicators.is_condition_met(*self.get_indicator_tuple()): return if not self.model_indicator.is_condition_met(*self.get_indicator_tuple()): direction = "SELL" if direction == "BUY" else "BUY" if self.reverse: direction = "SELL" if direction == "BUY" else "BUY" self.log(f"Signal: {direction} | Strength={trend_strength:.2f} | Slope={trend_slope:.4f}") self.send_limit_order(direction, open_price, 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, trend_slope: float, current_price: float, current_atr: float): """ 离场逻辑：实时计算均价止损 """ # --- 1. 动态ATR止损检查 --- # 获取持仓均价 self.log(f'trend_strength: {trend_strength:.2f}') avg_entry_price = self.get_average_position_price(self.symbol) # 确保 ATR 和 均价 有效 if current_atr > 0 and avg_entry_price > 0: is_stop_loss = False exit_dir = "" stop_price = 0.0 sl_distance = current_atr * self.sl_atr_multiplier # 多头持仓：止损价 = 均价 - N * ATR if volume > 0: stop_price = avg_entry_price - sl_distance if current_price <= stop_price: is_stop_loss = True exit_dir = "CLOSE_LONG" # 空头持仓：止损价 = 均价 + N * ATR elif volume < 0: stop_price = avg_entry_price + sl_distance if current_price >= stop_price: is_stop_loss = True exit_dir = "CLOSE_SHORT" if is_stop_loss: self.log( f"ATR STOP LOSS: {exit_dir} | Current={current_price:.2f} | AvgEntry={avg_entry_price:.2f} | ATR={current_atr:.2f} | StopPrice={stop_price:.2f}") self.close_position(exit_dir, abs(volume)) self.entry_time = None self.position_direction = None return # 止损触发后直接返回 # --- 2. 信号离场 (原能量逻辑) --- if trend_strength < self.exit_threshold: direction = "CLOSE_LONG" if volume > 0 else "CLOSE_SHORT" self.log(f"Exit (Signal): {direction} | Strength={trend_strength:.2f} < {self.exit_threshold}") self.close_position(direction, abs(volume)) self.entry_time = None self.position_direction = None # --- 交易辅助 --- def close_all_positions(self, reason=""): positions = self.get_current_positions() if self.symbol in positions and positions[self.symbol] != 0: dir = "CLOSE_LONG" if positions[self.symbol] > 0 else "CLOSE_SHORT" self.log(f"Close All ({reason}): {dir}") self.close_position(dir, abs(positions[self.symbol])) self.entry_time = None self.position_direction = None 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}_MKT_{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 send_limit_order(self, direction: str, limit_price: float, volume: int, offset: str): order_id = f"{self.symbol}_{direction}_LMT_{self.order_id_counter}" self.order_id_counter += 1 order = Order( id=order_id, symbol=self.symbol, direction=direction, volume=volume, price_type="LIMIT", submitted_time=self.get_current_time(), offset=offset, limit_price=limit_price ) self.send_order(order)