337 lines
13 KiB
Python
337 lines
13 KiB
Python
"""
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ATR策略模块 - 基于平均真实波幅(ATR)的动态止损止盈策略
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"""
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import logging
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from typing import Optional, Dict, Tuple
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try:
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from . import config
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from .indicators import TechnicalIndicators
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except ImportError:
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import config
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from indicators import TechnicalIndicators
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logger = logging.getLogger(__name__)
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class ATRStrategy:
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"""ATR策略类 - 基于ATR的动态止损止盈计算"""
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def __init__(self):
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"""初始化ATR策略"""
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self.use_atr = config.TRADING_CONFIG.get('USE_ATR_STOP_LOSS', True)
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self.atr_sl_multiplier = config.TRADING_CONFIG.get('ATR_STOP_LOSS_MULTIPLIER', 1.8)
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self.atr_tp_multiplier = config.TRADING_CONFIG.get('ATR_TAKE_PROFIT_MULTIPLIER', 3.0)
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self.risk_reward_ratio = config.TRADING_CONFIG.get('RISK_REWARD_RATIO', 3.0)
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self.atr_period = config.TRADING_CONFIG.get('ATR_PERIOD', 14)
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# 动态调整ATR倍数的参数
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self.use_dynamic_atr_multiplier = config.TRADING_CONFIG.get('USE_DYNAMIC_ATR_MULTIPLIER', False)
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self.atr_multiplier_min = config.TRADING_CONFIG.get('ATR_MULTIPLIER_MIN', 1.5)
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self.atr_multiplier_max = config.TRADING_CONFIG.get('ATR_MULTIPLIER_MAX', 2.5)
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def _refresh_from_config(self) -> None:
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"""
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动态刷新配置（重要：配置页修改后希望立即生效）。
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之前这些参数只在 __init__ 时读取，会导致“改了配置但策略仍按旧值运行”。
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"""
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try:
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cfg = getattr(config, "TRADING_CONFIG", {}) or {}
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self.use_atr = bool(cfg.get('USE_ATR_STOP_LOSS', True))
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self.atr_sl_multiplier = float(cfg.get('ATR_STOP_LOSS_MULTIPLIER', 1.8))
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self.atr_tp_multiplier = float(cfg.get('ATR_TAKE_PROFIT_MULTIPLIER', 3.0))
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self.risk_reward_ratio = float(cfg.get('RISK_REWARD_RATIO', 3.0))
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self.atr_period = int(cfg.get('ATR_PERIOD', 14))
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self.use_dynamic_atr_multiplier = bool(cfg.get('USE_DYNAMIC_ATR_MULTIPLIER', False))
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self.atr_multiplier_min = float(cfg.get('ATR_MULTIPLIER_MIN', 1.5))
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self.atr_multiplier_max = float(cfg.get('ATR_MULTIPLIER_MAX', 2.5))
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except Exception:
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# 刷新失败则继续使用旧值（不影响下单流程）
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return
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def calculate_stop_loss(
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self,
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entry_price: float,
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side: str,
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atr: Optional[float] = None,
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atr_percent: Optional[float] = None,
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volatility: Optional[float] = None
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) -> Tuple[Optional[float], Optional[float], Dict]:
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"""
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计算基于ATR的止损价格
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Args:
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entry_price: 入场价格
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side: 方向 'BUY' 或 'SELL'
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atr: ATR绝对值（可选，如果提供则直接使用）
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atr_percent: ATR百分比（可选，如果提供则直接使用，否则从atr计算）
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volatility: 市场波动率（可选，用于动态调整ATR倍数）
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Returns:
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(止损价格, 止损距离, 详细信息字典)
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"""
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self._refresh_from_config()
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if not self.use_atr:
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return None, None, {}
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# 如果没有提供ATR，无法计算
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if atr is None and atr_percent is None:
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logger.debug("ATR不可用，无法计算ATR止损")
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return None, None, {}
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# 计算ATR百分比（如果未提供）
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if atr_percent is None and atr is not None and entry_price > 0:
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atr_percent = atr / entry_price
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if atr_percent is None or atr_percent <= 0:
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logger.debug("ATR百分比无效，无法计算ATR止损")
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return None, None, {}
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# 动态调整ATR倍数（根据市场波动率）
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if self.use_dynamic_atr_multiplier and volatility is not None:
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# 波动率越高，ATR倍数越大（更宽松的止损）
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# 波动率范围假设：0.01-0.10 (1%-10%)
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volatility_factor = min(max((volatility - 0.01) / 0.09, 0), 1) # 归一化到0-1
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dynamic_multiplier = (
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self.atr_multiplier_min +
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(self.atr_multiplier_max - self.atr_multiplier_min) * volatility_factor
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)
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atr_multiplier = dynamic_multiplier
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logger.debug(f"动态ATR倍数: 波动率={volatility:.4f}, 倍数={atr_multiplier:.2f}")
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else:
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atr_multiplier = self.atr_sl_multiplier
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# 计算止损距离（基于ATR百分比）
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stop_distance_percent = atr_percent * atr_multiplier
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# 计算止损价格
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if side == 'BUY': # 做多，止损价低于入场价
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stop_loss_price = entry_price * (1 - stop_distance_percent)
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stop_distance = entry_price - stop_loss_price
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else: # 做空，止损价高于入场价
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stop_loss_price = entry_price * (1 + stop_distance_percent)
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stop_distance = stop_loss_price - entry_price
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details = {
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'atr': atr,
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'atr_percent': atr_percent,
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'atr_multiplier': atr_multiplier,
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'stop_distance_percent': stop_distance_percent,
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'stop_distance': stop_distance,
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'method': 'ATR动态止损'
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}
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# 格式化ATR显示
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atr_display = f"{atr:.4f}" if atr is not None and atr > 0 else "N/A"
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logger.info(
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f"ATR止损计算 ({side}): "
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f"ATR={atr_display}, "
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f"ATR%={atr_percent*100:.2f}%, "
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f"倍数={atr_multiplier:.2f}, "
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f"止损距离={stop_distance_percent*100:.2f}%, "
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f"止损价={stop_loss_price:.4f}"
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)
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return stop_loss_price, stop_distance, details
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def calculate_take_profit(
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self,
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entry_price: float,
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side: str,
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stop_distance: Optional[float] = None,
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atr: Optional[float] = None,
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atr_percent: Optional[float] = None,
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use_risk_reward_ratio: bool = True
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) -> Tuple[Optional[float], Optional[float], Dict]:
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"""
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计算基于ATR的止盈价格
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Args:
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entry_price: 入场价格
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side: 方向 'BUY' 或 'SELL'
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stop_distance: 止损距离（价格差，可选，如果提供则基于盈亏比计算）
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atr: ATR绝对值（可选）
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atr_percent: ATR百分比（可选）
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use_risk_reward_ratio: 是否使用盈亏比（True：基于止损距离×盈亏比，False：基于ATR倍数）
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Returns:
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(止盈价格, 止盈距离, 详细信息字典)
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"""
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self._refresh_from_config()
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if not self.use_atr:
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return None, None, {}
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# 方法1：基于止损距离和盈亏比计算（优先）
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if use_risk_reward_ratio and stop_distance is not None and stop_distance > 0:
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take_profit_distance = stop_distance * self.risk_reward_ratio
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if side == 'BUY': # 做多，止盈价高于入场价
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take_profit_price = entry_price + take_profit_distance
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else: # 做空，止盈价低于入场价
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take_profit_price = entry_price - take_profit_distance
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details = {
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'stop_distance': stop_distance,
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'risk_reward_ratio': self.risk_reward_ratio,
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'take_profit_distance': take_profit_distance,
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'method': 'ATR止损距离×盈亏比'
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}
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logger.info(
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f"ATR止盈计算 ({side}, 基于盈亏比): "
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f"止损距离={stop_distance:.4f}, "
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f"盈亏比={self.risk_reward_ratio:.1f}, "
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f"止盈距离={take_profit_distance:.4f}, "
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f"止盈价={take_profit_price:.4f}"
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)
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return take_profit_price, take_profit_distance, details
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# 方法2：基于ATR倍数计算（备选）
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if atr is None and atr_percent is None:
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logger.debug("ATR不可用，无法计算ATR止盈")
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return None, None, {}
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# 计算ATR百分比（如果未提供）
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if atr_percent is None and atr is not None and entry_price > 0:
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atr_percent = atr / entry_price
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if atr_percent is None or atr_percent <= 0:
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logger.debug("ATR百分比无效，无法计算ATR止盈")
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return None, None, {}
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# 计算止盈距离（基于ATR百分比）
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take_profit_distance_percent = atr_percent * self.atr_tp_multiplier
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# 计算止盈价格
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if side == 'BUY': # 做多，止盈价高于入场价
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take_profit_price = entry_price * (1 + take_profit_distance_percent)
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take_profit_distance = take_profit_price - entry_price
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else: # 做空，止盈价低于入场价
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take_profit_price = entry_price * (1 - take_profit_distance_percent)
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take_profit_distance = entry_price - take_profit_price
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details = {
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'atr': atr,
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'atr_percent': atr_percent,
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'atr_multiplier': self.atr_tp_multiplier,
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'take_profit_distance_percent': take_profit_distance_percent,
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'take_profit_distance': take_profit_distance,
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'method': 'ATR倍数止盈'
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}
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# 格式化ATR显示
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atr_display = f"{atr:.4f}" if atr is not None and atr > 0 else "N/A"
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logger.info(
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f"ATR止盈计算 ({side}, 基于ATR倍数): "
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f"ATR={atr_display}, "
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f"ATR%={atr_percent*100:.2f}%, "
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f"倍数={self.atr_tp_multiplier:.2f}, "
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f"止盈距离={take_profit_distance_percent*100:.2f}%, "
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f"止盈价={take_profit_price:.4f}"
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)
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return take_profit_price, take_profit_distance, details
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def calculate_atr_levels(
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self,
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entry_price: float,
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side: str,
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atr: Optional[float] = None,
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atr_percent: Optional[float] = None,
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volatility: Optional[float] = None
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) -> Dict:
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"""
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计算完整的ATR止损止盈方案
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Args:
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entry_price: 入场价格
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side: 方向 'BUY' 或 'SELL'
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atr: ATR绝对值（可选）
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atr_percent: ATR百分比（可选）
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volatility: 市场波动率（可选）
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Returns:
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包含止损、止盈等信息的字典
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"""
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result = {
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'use_atr': self.use_atr,
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'entry_price': entry_price,
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'side': side,
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'stop_loss_price': None,
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'stop_loss_distance': None,
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'take_profit_price': None,
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'take_profit_distance': None,
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'risk_reward_ratio': None,
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'details': {}
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}
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if not self.use_atr:
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return result
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# 计算止损
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stop_loss_price, stop_distance, stop_details = self.calculate_stop_loss(
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entry_price, side, atr, atr_percent, volatility
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)
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if stop_loss_price is None:
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return result
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result['stop_loss_price'] = stop_loss_price
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result['stop_loss_distance'] = stop_distance
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result['details']['stop_loss'] = stop_details
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# 计算止盈（基于止损距离和盈亏比）
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take_profit_price, take_profit_distance, tp_details = self.calculate_take_profit(
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entry_price, side, stop_distance, atr, atr_percent, use_risk_reward_ratio=True
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)
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if take_profit_price is not None:
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result['take_profit_price'] = take_profit_price
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result['take_profit_distance'] = take_profit_distance
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result['risk_reward_ratio'] = (
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take_profit_distance / stop_distance if stop_distance > 0 else None
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)
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result['details']['take_profit'] = tp_details
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return result
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@staticmethod
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def calculate_atr_from_klines(
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klines: list,
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period: int = 14
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) -> Tuple[Optional[float], Optional[float], Optional[float]]:
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"""
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从K线数据计算ATR和ATR百分比
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Args:
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klines: K线数据列表，格式为 [open, high, low, close, ...]
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period: ATR计算周期，默认14
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Returns:
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(ATR绝对值, ATR百分比, 当前价格)
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"""
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if not klines or len(klines) < period + 1:
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return None, None, None
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try:
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high_prices = [float(k[2]) for k in klines] # high
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low_prices = [float(k[3]) for k in klines] # low
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close_prices = [float(k[4]) for k in klines] # close
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current_price = close_prices[-1] if close_prices else None
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atr = TechnicalIndicators.calculate_atr(high_prices, low_prices, close_prices, period)
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if atr is None or current_price is None or current_price <= 0:
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return None, None, None
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atr_percent = atr / current_price
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return atr, atr_percent, current_price
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except (IndexError, ValueError, TypeError) as e:
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logger.debug(f"从K线计算ATR失败: {e}")
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return None, None, None
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