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