760 lines
37 KiB
Python
760 lines
37 KiB
Python
"""
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交易策略模块 - 实现交易逻辑和优化
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"""
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import asyncio
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import logging
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from typing import List, Dict, Optional
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try:
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from .binance_client import BinanceClient
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from .market_scanner import MarketScanner
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from .risk_manager import RiskManager
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from .position_manager import PositionManager
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from . import config
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except ImportError:
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from binance_client import BinanceClient
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from market_scanner import MarketScanner
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from risk_manager import RiskManager
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from position_manager import PositionManager
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import config
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logger = logging.getLogger(__name__)
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class TradingStrategy:
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"""交易策略类"""
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def __init__(
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self,
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client: BinanceClient,
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scanner: MarketScanner,
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risk_manager: RiskManager,
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position_manager: PositionManager,
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recommender=None # 推荐器（可选）
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):
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"""
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初始化交易策略
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Args:
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client: 币安客户端
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scanner: 市场扫描器
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risk_manager: 风险管理器
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position_manager: 仓位管理器
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recommender: 推荐器（可选，如果提供则自动生成推荐）
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"""
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self.client = client
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self.scanner = scanner
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self.risk_manager = risk_manager
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self.position_manager = position_manager
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self.recommender = recommender # 推荐器
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self.running = False
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self._monitoring_started = False # 是否已启动监控
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self._sync_task = None # 定期同步任务
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async def execute_strategy(self):
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"""
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执行交易策略
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"""
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self.running = True
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logger.info("交易策略开始执行...")
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# 启动所有现有持仓的WebSocket实时监控
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if not self._monitoring_started:
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try:
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await self.position_manager.start_all_position_monitoring()
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self._monitoring_started = True
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except Exception as e:
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logger.warning(f"启动持仓监控失败: {e}，将使用定时检查模式")
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# 启动定期同步任务（独立于市场扫描）
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self._sync_task = asyncio.create_task(self._periodic_sync_positions())
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logger.info("定期持仓同步任务已启动")
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try:
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while self.running:
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# 0. 定期从Redis重新加载配置（确保配置修改能即时生效）
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# 每次循环开始时从Redis重新加载，确保使用最新配置
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try:
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if config._config_manager:
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config._config_manager.reload_from_redis()
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config.TRADING_CONFIG = config._get_trading_config()
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logger.debug("配置已从Redis重新加载")
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except Exception as e:
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logger.warning(f"从Redis重新加载配置失败: {e}")
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# 1. 扫描市场，找出涨跌幅最大的前N个货币对
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top_symbols = await self.scanner.scan_market()
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if not top_symbols:
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logger.warning("未找到符合条件的交易对，等待下次扫描...")
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await asyncio.sleep(config.TRADING_CONFIG['SCAN_INTERVAL'])
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continue
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# 2. 对每个交易对执行交易逻辑（使用技术指标）
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for symbol_info in top_symbols:
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if not self.running:
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break
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symbol = symbol_info['symbol']
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change_percent = symbol_info['changePercent']
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direction = symbol_info['direction']
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market_regime = symbol_info.get('marketRegime', 'unknown')
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logger.info(
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f"处理交易对: {symbol} "
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f"({direction} {change_percent:.2f}%, 市场状态: {market_regime})"
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)
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# 使用技术指标判断交易信号（高胜率策略）
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trade_signal = await self._analyze_trade_signal(symbol_info)
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# 记录交易信号到数据库（只有当有明确方向时才记录）
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signal_direction = trade_signal.get('direction')
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if signal_direction: # 只有当方向不为空时才记录
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try:
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import sys
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from pathlib import Path
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project_root = Path(__file__).parent.parent
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backend_path = project_root / 'backend'
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if backend_path.exists():
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sys.path.insert(0, str(backend_path))
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from database.models import TradingSignal
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TradingSignal.create(
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symbol=symbol,
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signal_direction=signal_direction,
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signal_strength=trade_signal.get('strength', 0),
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signal_reason=trade_signal.get('reason', ''),
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rsi=symbol_info.get('rsi'),
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macd_histogram=symbol_info.get('macd', {}).get('histogram') if symbol_info.get('macd') else None,
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market_regime=symbol_info.get('marketRegime')
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)
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except Exception as e:
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logger.debug(f"记录交易信号失败: {e}")
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# 自动生成推荐（即使不满足自动交易条件，只要信号强度>=5就生成推荐）
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# 注意：推荐生成不检查是否已有持仓，因为推荐是供手动参考的
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if self.recommender and signal_direction and trade_signal.get('strength', 0) >= 5:
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try:
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await self.recommender._create_recommendation(symbol_info, trade_signal)
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logger.debug(f"✓ {symbol} 自动生成推荐成功 (信号强度: {trade_signal.get('strength', 0)}/10)")
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except Exception as e:
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logger.warning(f"自动生成推荐失败 {symbol}: {e}")
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# 用户风险旋钮：自动交易总开关（关闭则只生成推荐）
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auto_enabled = bool(config.TRADING_CONFIG.get("AUTO_TRADE_ENABLED", True))
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if not auto_enabled:
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logger.info(f"{symbol} 自动交易已关闭（AUTO_TRADE_ENABLED=false），跳过自动下单（推荐已生成）")
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continue
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# 提升胜率：可配置的“仅 trending 自动交易”过滤
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only_trending = bool(config.TRADING_CONFIG.get("AUTO_TRADE_ONLY_TRENDING", True))
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if only_trending and market_regime != 'trending':
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logger.info(
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f"{symbol} 市场状态={market_regime}，跳过自动交易（仅生成推荐）"
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f"｜原因：AUTO_TRADE_ONLY_TRENDING=true"
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)
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continue
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# 检查是否应该自动交易（已有持仓则跳过自动交易，但推荐已生成）
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if not await self.risk_manager.should_trade(symbol, change_percent):
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continue
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# 优化：结合成交量确认
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if not await self._check_volume_confirmation(symbol_info):
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logger.info(f"{symbol} 成交量确认失败，跳过")
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continue
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if not trade_signal['should_trade']:
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logger.info(
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f"{symbol} 技术指标分析: {trade_signal['reason']}, 跳过自动交易"
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)
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continue
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# 确定交易方向（基于技术指标）
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trade_direction = trade_signal['direction']
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entry_reason = trade_signal['reason']
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signal_strength = trade_signal.get('strength', 0)
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logger.info(
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f"{symbol} 交易信号: {trade_direction} | "
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f"原因: {entry_reason} | "
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f"信号强度: {signal_strength}/10"
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)
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# 根据信号强度计算动态杠杆（高质量信号使用更高杠杆）
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# ⚠️ 优化：同时检查交易对支持的最大杠杆限制和小众币限制
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dynamic_leverage = await self.risk_manager.calculate_dynamic_leverage(
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signal_strength, symbol,
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atr=symbol_info.get('atr'),
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entry_price=symbol_info.get('price')
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)
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logger.info(
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f"{symbol} 使用动态杠杆: {dynamic_leverage}x "
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f"(信号强度: {signal_strength}/10)"
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)
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# 构建「入场思路/过程」并写入订单，便于事后综合分析策略执行效果
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entry_context = {
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'signal_strength': signal_strength,
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'market_regime': market_regime,
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'trend_4h': trade_signal.get('trend_4h'),
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'change_percent': change_percent,
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'direction': trade_direction,
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'reason': entry_reason,
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'rsi': symbol_info.get('rsi'),
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'volume_confirmed': True, # 已通过 _check_volume_confirmation
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'filters_passed': ['only_trending', 'should_trade', 'volume_ok', 'signal_ok', 'rsi_change_ok'], # rsi_change_ok：已通过做多/做空 RSI 与 24h 涨跌幅过滤
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}
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macd_hist = symbol_info.get('macd', {}).get('histogram') if isinstance(symbol_info.get('macd'), dict) else None
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if macd_hist is not None:
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entry_context['macd_histogram'] = macd_hist
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if symbol_info.get('atr') is not None:
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entry_context['atr'] = symbol_info.get('atr')
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# 开仓（使用改进的仓位管理）
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position = await self.position_manager.open_position(
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symbol=symbol,
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change_percent=change_percent,
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leverage=dynamic_leverage,
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trade_direction=trade_direction,
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entry_reason=entry_reason,
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signal_strength=signal_strength,
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market_regime=market_regime,
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trend_4h=trade_signal.get('trend_4h'),
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atr=symbol_info.get('atr'),
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klines=symbol_info.get('klines'), # 传递K线数据用于动态止损
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bollinger=symbol_info.get('bollinger'), # 传递布林带数据用于动态止损
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entry_context=entry_context,
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)
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if position:
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logger.info(f"{symbol} 开仓成功: {trade_direction} ({entry_reason})")
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# 开仓成功后，WebSocket监控会在position_manager中自动启动
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else:
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logger.warning(f"{symbol} 开仓失败")
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# 避免同时处理太多交易对
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await asyncio.sleep(1)
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# 3. 同步币安实际持仓状态与数据库（定期同步，确保状态一致）
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try:
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await self.position_manager.sync_positions_with_binance()
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# 同步后，确保所有持仓都有监控（包括手动开仓的）
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await self.position_manager.start_all_position_monitoring()
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except Exception as e:
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logger.warning(f"持仓状态同步失败: {e}")
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# 4. 检查止损止盈（作为备用检查，WebSocket实时监控是主要方式）
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# 注意：如果启用了WebSocket实时监控，这里主要是作为备用检查
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closed = await self.position_manager.check_stop_loss_take_profit()
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if closed:
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logger.info(f"定时检查触发平仓: {', '.join(closed)}")
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# 5. 打印持仓摘要并记录账户快照
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summary = await self.position_manager.get_position_summary()
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if summary:
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logger.info(
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f"持仓摘要: {summary['totalPositions']} 个持仓, "
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f"总盈亏: {summary['totalPnL']:.2f} USDT, "
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f"可用余额: {summary['availableBalance']:.2f} USDT"
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)
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# 输出价格缓存统计
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cache_size = len(self.client._price_cache)
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if cache_size > 0:
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logger.info(f"价格缓存: {cache_size}个交易对")
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# 记录账户快照到数据库
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try:
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import sys
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from pathlib import Path
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project_root = Path(__file__).parent.parent
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backend_path = project_root / 'backend'
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if backend_path.exists():
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sys.path.insert(0, str(backend_path))
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from database.models import AccountSnapshot
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AccountSnapshot.create(
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total_balance=summary['totalBalance'],
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available_balance=summary['availableBalance'],
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total_position_value=sum(abs(p['positionAmt'] * p['entryPrice']) for p in summary.get('positions', [])),
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total_pnl=summary['totalPnL'],
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open_positions=summary['totalPositions']
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)
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except Exception as e:
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logger.debug(f"记录账户快照失败: {e}")
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# 重新加载配置（确保使用最新配置）
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try:
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if hasattr(config, 'reload_config'):
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config.reload_config()
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logger.info("配置已重新加载，将使用最新配置进行下次扫描")
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except Exception as e:
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logger.debug(f"重新加载配置失败: {e}")
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# 等待下次扫描
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scan_interval = config.TRADING_CONFIG.get('SCAN_INTERVAL', 3600)
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logger.info(f"等待 {scan_interval} 秒后进行下次扫描...")
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await asyncio.sleep(scan_interval)
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except Exception as e:
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logger.error(f"策略执行出错: {e}", exc_info=True)
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finally:
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self.running = False
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# 停止定期同步任务
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if self._sync_task:
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self._sync_task.cancel()
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try:
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await self._sync_task
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except asyncio.CancelledError:
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pass
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logger.info("定期持仓同步任务已停止")
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# 停止所有持仓的WebSocket监控
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try:
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await self.position_manager.stop_all_position_monitoring()
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except Exception as e:
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logger.warning(f"停止持仓监控时出错: {e}")
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logger.info("交易策略已停止")
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async def _check_volume_confirmation(self, symbol_info: Dict) -> bool:
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"""
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成交量确认 - 确保有足够的成交量支撑
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Args:
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symbol_info: 交易对信息
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Returns:
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是否通过确认
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"""
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volume_24h = symbol_info.get('volume24h', 0)
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min_volume = config.TRADING_CONFIG['MIN_VOLUME_24H']
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if volume_24h < min_volume:
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return False
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return True
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async def _analyze_trade_signal(self, symbol_info: Dict) -> Dict:
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"""
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使用技术指标分析交易信号（高胜率策略）
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实施多周期共振：4H定方向，1H和15min找点位
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Args:
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symbol_info: 交易对信息（包含技术指标）
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Returns:
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交易信号字典 {'should_trade': bool, 'direction': str, 'reason': str, 'strength': int}
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"""
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symbol = symbol_info['symbol']
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# ⚠️ 优化1：大盘共振（Beta Filter）- 当BTC/ETH剧烈下跌时，屏蔽所有多单
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beta_filter_enabled = config.TRADING_CONFIG.get('BETA_FILTER_ENABLED', True)
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if beta_filter_enabled:
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beta_filter_result = await self._check_beta_filter()
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if beta_filter_result['should_block_buy']:
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# 如果大盘暴跌，屏蔽所有多单
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if symbol_info.get('direction') == 'BUY' or (symbol_info.get('changePercent', 0) > 0):
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return {
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'should_trade': False,
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'direction': None,
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'reason': f"❌ 大盘共振过滤：{beta_filter_result['reason']}，屏蔽所有多单",
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'strength': 0,
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'trend_4h': symbol_info.get('trend_4h')
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}
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logger.debug(f"{symbol} 大盘共振检查通过（做空信号不受影响）")
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current_price = symbol_info['price']
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rsi = symbol_info.get('rsi')
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macd = symbol_info.get('macd')
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bollinger = symbol_info.get('bollinger')
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market_regime = symbol_info.get('marketRegime', 'unknown')
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ema20 = symbol_info.get('ema20')
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ema50 = symbol_info.get('ema50')
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# 多周期共振检查：4H定方向（使用多指标投票机制）
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price_4h = symbol_info.get('price_4h', current_price)
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ema20_4h = symbol_info.get('ema20_4h')
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ema50_4h = symbol_info.get('ema50_4h')
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macd_4h = symbol_info.get('macd_4h')
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# 判断4H周期趋势方向（多指标投票）
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trend_4h = self._judge_trend_4h(price_4h, ema20_4h, ema50_4h, macd_4h)
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signal_strength = 0
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reasons = []
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direction = None
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# 多周期共振检查：4H定方向，禁止逆势交易
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if trend_4h == 'up':
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# 4H趋势向上，只允许做多信号
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logger.debug(f"{symbol} 4H趋势向上，只允许做多信号")
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elif trend_4h == 'down':
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# 4H趋势向下，只允许做空信号
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logger.debug(f"{symbol} 4H趋势向下，只允许做空信号")
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elif trend_4h == 'neutral':
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# 4H趋势中性，记录警告
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logger.warning(f"{symbol} 4H趋势中性，信号质量可能降低")
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# 简化策略：只做趋势跟踪，移除均值回归策略（避免信号冲突）
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# 策略权重配置（根据文档建议）
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TREND_SIGNAL_WEIGHTS = {
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'macd_cross': 5, # MACD金叉/死叉
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'ema_cross': 4, # EMA20上穿/下穿EMA50
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'price_above_ema20': 3, # 价格在EMA20之上/下
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'4h_trend_confirmation': 2, # 4H趋势确认
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}
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|
||
# 趋势跟踪策略（不再区分市场状态，统一使用趋势指标）
|
||
# MACD金叉/死叉（权重最高）
|
||
if macd and macd['macd'] > macd['signal'] and macd['histogram'] > 0:
|
||
# MACD金叉，做多信号（需4H趋势向上或中性）
|
||
if trend_4h in ('up', 'neutral', None):
|
||
signal_strength += TREND_SIGNAL_WEIGHTS['macd_cross']
|
||
reasons.append("MACD金叉")
|
||
if direction is None:
|
||
direction = 'BUY'
|
||
else:
|
||
reasons.append("MACD金叉但4H趋势向下，禁止逆势做多")
|
||
|
||
elif macd and macd['macd'] < macd['signal'] and macd['histogram'] < 0:
|
||
# MACD死叉，做空信号（需4H趋势向下或中性）
|
||
if trend_4h in ('down', 'neutral', None):
|
||
signal_strength += TREND_SIGNAL_WEIGHTS['macd_cross']
|
||
reasons.append("MACD死叉")
|
||
if direction is None:
|
||
direction = 'SELL'
|
||
else:
|
||
reasons.append("MACD死叉但4H趋势向上，禁止逆势做空")
|
||
|
||
# EMA均线系统
|
||
if ema20 and ema50:
|
||
if current_price > ema20 > ema50: # 上升趋势
|
||
if trend_4h in ('up', 'neutral', None):
|
||
signal_strength += TREND_SIGNAL_WEIGHTS['ema_cross']
|
||
reasons.append("EMA20上穿EMA50，上升趋势")
|
||
if direction is None:
|
||
direction = 'BUY'
|
||
else:
|
||
reasons.append("1H均线向上但4H趋势向下，禁止逆势做多")
|
||
elif current_price < ema20 < ema50: # 下降趋势
|
||
if trend_4h in ('down', 'neutral', None):
|
||
signal_strength += TREND_SIGNAL_WEIGHTS['ema_cross']
|
||
reasons.append("EMA20下穿EMA50，下降趋势")
|
||
if direction is None:
|
||
direction = 'SELL'
|
||
else:
|
||
reasons.append("1H均线向下但4H趋势向上，禁止逆势做空")
|
||
|
||
# 价格与EMA20关系
|
||
if ema20:
|
||
if current_price > ema20:
|
||
if trend_4h in ('up', 'neutral', None) and direction == 'BUY':
|
||
signal_strength += TREND_SIGNAL_WEIGHTS['price_above_ema20']
|
||
reasons.append("价格在EMA20之上")
|
||
elif current_price < ema20:
|
||
if trend_4h in ('down', 'neutral', None) and direction == 'SELL':
|
||
signal_strength += TREND_SIGNAL_WEIGHTS['price_above_ema20']
|
||
reasons.append("价格在EMA20之下")
|
||
|
||
# 4H趋势确认加分
|
||
if direction and trend_4h:
|
||
if (direction == 'BUY' and trend_4h == 'up') or (direction == 'SELL' and trend_4h == 'down'):
|
||
signal_strength += TREND_SIGNAL_WEIGHTS['4h_trend_confirmation']
|
||
reasons.append("4H周期共振确认")
|
||
elif (direction == 'BUY' and trend_4h == 'down') or (direction == 'SELL' and trend_4h == 'up'):
|
||
# 逆势信号，直接拒绝
|
||
signal_strength = 0
|
||
reasons.append("❌ 逆4H趋势，拒绝交易")
|
||
|
||
# 判断是否应该交易（信号强度 >= MIN_SIGNAL_STRENGTH 才交易，提高胜率）
|
||
min_signal_strength = config.TRADING_CONFIG.get('MIN_SIGNAL_STRENGTH', 7)
|
||
# 强度上限归一到 0-10，避免出现 12/10 这种误导显示
|
||
try:
|
||
signal_strength = max(0, min(int(signal_strength), 10))
|
||
except Exception:
|
||
pass
|
||
should_trade = signal_strength >= min_signal_strength and direction is not None
|
||
|
||
# ===== RSI / 24h 涨跌幅过滤：做多不追高、做空不杀跌；可选 RSI 极端反向（超买反空/超卖反多）=====
|
||
# 反向属于“逆短期超买超卖”的均值回归，在强趋势里逆势风险大；可选“仅4H中性时反向”以降低风险。
|
||
reversed_by_rsi = False
|
||
try:
|
||
max_rsi_long = config.TRADING_CONFIG.get('MAX_RSI_FOR_LONG', 70)
|
||
max_change_long = config.TRADING_CONFIG.get('MAX_CHANGE_PERCENT_FOR_LONG', 25)
|
||
min_rsi_short = config.TRADING_CONFIG.get('MIN_RSI_FOR_SHORT', 30)
|
||
max_change_short = config.TRADING_CONFIG.get('MAX_CHANGE_PERCENT_FOR_SHORT', 10)
|
||
rsi_extreme_reverse = bool(config.TRADING_CONFIG.get('RSI_EXTREME_REVERSE_ENABLED', False))
|
||
change_pct = symbol_info.get('changePercent')
|
||
if change_pct is not None and not isinstance(change_pct, (int, float)):
|
||
change_pct = float(change_pct) if change_pct else None
|
||
elif change_pct is not None:
|
||
change_pct = float(change_pct)
|
||
|
||
if should_trade and direction == 'BUY':
|
||
if rsi is not None:
|
||
try:
|
||
rsi_val = float(rsi)
|
||
if rsi_val >= max_rsi_long:
|
||
if rsi_extreme_reverse:
|
||
direction = 'SELL'
|
||
reversed_by_rsi = True
|
||
reasons.append(f"RSI超买({rsi_val:.1f}≥{max_rsi_long})反向做空")
|
||
else:
|
||
should_trade = False
|
||
reasons.append(f"❌ 做多RSI过滤：RSI={rsi_val:.1f}≥{max_rsi_long}（超买区不追多）")
|
||
except (TypeError, ValueError):
|
||
pass
|
||
if should_trade and change_pct is not None and change_pct > max_change_long:
|
||
should_trade = False
|
||
reasons.append(f"❌ 做多涨跌幅过滤：24h涨幅={change_pct:.1f}%>{max_change_long}%（避免追大涨）")
|
||
|
||
elif should_trade and direction == 'SELL':
|
||
if rsi is not None:
|
||
try:
|
||
rsi_val = float(rsi)
|
||
if rsi_val <= min_rsi_short:
|
||
if rsi_extreme_reverse:
|
||
direction = 'BUY'
|
||
reversed_by_rsi = True
|
||
reasons.append(f"RSI超卖({rsi_val:.1f}≤{min_rsi_short})反向做多")
|
||
else:
|
||
should_trade = False
|
||
reasons.append(f"❌ 做空RSI过滤：RSI={rsi_val:.1f}≤{min_rsi_short}（超卖区不追空）")
|
||
except (TypeError, ValueError):
|
||
pass
|
||
if should_trade and direction == 'SELL' and change_pct is not None and change_pct > max_change_short:
|
||
should_trade = False
|
||
reasons.append(f"❌ 做空涨跌幅过滤：24h涨幅={change_pct:.1f}%>{max_change_short}%（24h仍大涨不做空）")
|
||
except Exception as e:
|
||
logger.debug(f"{symbol} RSI/涨跌幅过滤失败（忽略）: {e}")
|
||
|
||
# 安全约束：RSI 反向仅允许在 4H 中性时执行（避免在强趋势里逆势抄底/摸顶）
|
||
if reversed_by_rsi and should_trade and direction:
|
||
only_neutral_4h = bool(config.TRADING_CONFIG.get('RSI_EXTREME_REVERSE_ONLY_NEUTRAL_4H', True))
|
||
if only_neutral_4h and trend_4h != 'neutral':
|
||
should_trade = False
|
||
reasons.append(f"❌ RSI反向仅允许4H中性时执行（当前4H={trend_4h or 'unknown'}，避免逆势风险）")
|
||
|
||
# ===== 15m 短周期方向过滤：避免“上涨中做空 / 下跌中做多” =====
|
||
# 思路：
|
||
# - 使用最近 N 根 15m K 线的总涨跌幅来确认短期方向
|
||
# - 做多(BUY)：要求短期合计涨幅 >= ENTRY_SHORT_TREND_MIN_PCT
|
||
# - 做空(SELL)：要求短期合计跌幅 <= -ENTRY_SHORT_TREND_MIN_PCT
|
||
# - 否则认为短期方向与计划方向不一致，降低 should_trade，并在 reason 中标记
|
||
try:
|
||
short_filter_enabled = bool(config.TRADING_CONFIG.get('ENTRY_SHORT_TREND_FILTER_ENABLED', False))
|
||
if short_filter_enabled and should_trade and direction in ('BUY', 'SELL'):
|
||
short_interval = config.TRADING_CONFIG.get('ENTRY_SHORT_INTERVAL', '15m')
|
||
periods = int(config.TRADING_CONFIG.get('ENTRY_SHORT_CONFIRM_CANDLES', 3) or 3)
|
||
min_pct = float(config.TRADING_CONFIG.get('ENTRY_SHORT_TREND_MIN_PCT', 0.003) or 0.003)
|
||
|
||
# 仅在4H趋势已经明确向上/向下时启用短周期过滤；中性趋势本身就不适合自动交易
|
||
if trend_4h in ('up', 'down'):
|
||
recent_change = await self._get_symbol_change_period(symbol, short_interval, periods)
|
||
if recent_change is not None:
|
||
# recent_change 是这段时间内的总涨跌幅比例（正为上涨，负为下跌）
|
||
if direction == 'BUY':
|
||
# 做多：要求短期是上涨或至少不明显下跌
|
||
if recent_change < min_pct:
|
||
should_trade = False
|
||
reasons.append(
|
||
f"❌ 短周期({short_interval}×{periods})合计跌幅/涨幅不足：{recent_change*100:.2f}% "
|
||
f"(做多需≥{min_pct*100:.2f}%)"
|
||
)
|
||
elif direction == 'SELL':
|
||
# 做空：要求短期是下跌或至少不明显上涨
|
||
if recent_change > -min_pct:
|
||
should_trade = False
|
||
reasons.append(
|
||
f"❌ 短周期({short_interval}×{periods})合计涨幅/跌幅不足：{recent_change*100:.2f}% "
|
||
f"(做空需≤-{min_pct*100:.2f}%)"
|
||
)
|
||
except Exception as e:
|
||
logger.debug(f"{symbol} 短周期方向过滤失败（忽略，不影响其它过滤）: {e}")
|
||
|
||
# 提升胜率：4H趋势中性时不做自动交易（只保留推荐/观察）
|
||
# 经验上，中性趋势下“趋势跟踪”信号更容易被来回扫损，导致胜率显著降低与交易次数激增。
|
||
allow_neutral = bool(config.TRADING_CONFIG.get("AUTO_TRADE_ALLOW_4H_NEUTRAL", False))
|
||
if (trend_4h == 'neutral') and (not allow_neutral):
|
||
if should_trade:
|
||
reasons.append("❌ 4H趋势中性（为提升胜率：仅生成推荐，不自动交易）")
|
||
should_trade = False
|
||
|
||
# 如果信号方向与4H趋势相反，直接拒绝交易（所有模式）
|
||
if direction and trend_4h:
|
||
if (direction == 'BUY' and trend_4h == 'down') or (direction == 'SELL' and trend_4h == 'up'):
|
||
should_trade = False
|
||
reasons.append("❌ 禁止逆4H趋势交易")
|
||
|
||
# 只在“真的强度不足”时追加该原因；避免出现“强度>=阈值但被其它过滤挡住”仍提示强度不足
|
||
if direction and (signal_strength < min_signal_strength):
|
||
reasons.append(f"信号强度不足({signal_strength}/10，需要≥{min_signal_strength})")
|
||
|
||
return {
|
||
'should_trade': should_trade,
|
||
'direction': direction,
|
||
'reason': ', '.join(reasons) if reasons else '无明确信号',
|
||
'strength': signal_strength,
|
||
'trend_4h': trend_4h, # 添加4H趋势信息，供推荐器使用
|
||
'strategy_type': 'trend_following' # 标记策略类型
|
||
}
|
||
|
||
async def _check_beta_filter(self) -> Dict:
|
||
"""
|
||
大盘共振（Beta Filter）检查
|
||
当BTC或ETH在15min/1h周期剧烈下跌时，返回应该屏蔽多单的信号
|
||
|
||
Returns:
|
||
{'should_block_buy': bool, 'reason': str}
|
||
"""
|
||
beta_filter_threshold = config.TRADING_CONFIG.get('BETA_FILTER_THRESHOLD', -0.03) # 默认-3%
|
||
|
||
try:
|
||
# 检查BTC和ETH的15min和1h周期
|
||
btcusdt_15m = await self._get_symbol_change_period('BTCUSDT', '15m', 5) # 最近5根K线
|
||
btcusdt_1h = await self._get_symbol_change_period('BTCUSDT', '1h', 3) # 最近3根K线
|
||
ethusdt_15m = await self._get_symbol_change_period('ETHUSDT', '15m', 5)
|
||
ethusdt_1h = await self._get_symbol_change_period('ETHUSDT', '1h', 3)
|
||
|
||
# 检查是否有剧烈下跌
|
||
btc_15m_down = btcusdt_15m and btcusdt_15m < beta_filter_threshold
|
||
btc_1h_down = btcusdt_1h and btcusdt_1h < beta_filter_threshold
|
||
eth_15m_down = ethusdt_15m and ethusdt_15m < beta_filter_threshold
|
||
eth_1h_down = ethusdt_1h and ethusdt_1h < beta_filter_threshold
|
||
|
||
if btc_15m_down or btc_1h_down or eth_15m_down or eth_1h_down:
|
||
reasons = []
|
||
if btc_15m_down:
|
||
reasons.append(f"BTC 15m下跌{btcusdt_15m*100:.2f}%")
|
||
if btc_1h_down:
|
||
reasons.append(f"BTC 1h下跌{btcusdt_1h*100:.2f}%")
|
||
if eth_15m_down:
|
||
reasons.append(f"ETH 15m下跌{ethusdt_15m*100:.2f}%")
|
||
if eth_1h_down:
|
||
reasons.append(f"ETH 1h下跌{ethusdt_1h*100:.2f}%")
|
||
|
||
return {
|
||
'should_block_buy': True,
|
||
'reason': f"大盘暴跌：{', '.join(reasons)}"
|
||
}
|
||
|
||
return {
|
||
'should_block_buy': False,
|
||
'reason': '大盘正常'
|
||
}
|
||
except Exception as e:
|
||
logger.warning(f"大盘共振检查失败: {e}，允许交易（容错）")
|
||
return {
|
||
'should_block_buy': False,
|
||
'reason': f'检查失败: {e}'
|
||
}
|
||
|
||
async def _get_symbol_change_period(self, symbol: str, interval: str, periods: int) -> Optional[float]:
|
||
"""
|
||
获取指定交易对在指定周期内的涨跌幅
|
||
|
||
Args:
|
||
symbol: 交易对
|
||
interval: K线周期（15m, 1h等）
|
||
periods: 检查最近N根K线
|
||
|
||
Returns:
|
||
涨跌幅（负数表示下跌），如果获取失败返回None
|
||
"""
|
||
try:
|
||
klines = await self.client.get_klines(symbol, interval, limit=periods + 1)
|
||
if not klines or len(klines) < 2:
|
||
return None
|
||
|
||
# 计算最近N根K线的总涨跌幅
|
||
first_close = float(klines[0][4]) # 第一根K线的收盘价
|
||
last_close = float(klines[-1][4]) # 最后一根K线的收盘价
|
||
|
||
change = (last_close - first_close) / first_close
|
||
return change
|
||
except Exception as e:
|
||
logger.debug(f"获取{symbol} {interval}周期涨跌幅失败: {e}")
|
||
return None
|
||
|
||
def _judge_trend_4h(self, price_4h: float, ema20_4h: Optional[float], ema50_4h: Optional[float], macd_4h: Optional[Dict]) -> str:
|
||
"""
|
||
使用多指标投票机制判断4H趋势（避免单一指标误导）
|
||
|
||
Args:
|
||
price_4h: 4H周期价格
|
||
ema20_4h: 4H周期EMA20
|
||
ema50_4h: 4H周期EMA50
|
||
macd_4h: 4H周期MACD数据
|
||
|
||
Returns:
|
||
'up', 'down', 'neutral'
|
||
"""
|
||
if ema20_4h is None:
|
||
return 'neutral'
|
||
|
||
score = 0
|
||
total_indicators = 0
|
||
|
||
# 指标1：价格 vs EMA20
|
||
if price_4h > ema20_4h:
|
||
score += 1
|
||
elif price_4h < ema20_4h:
|
||
score -= 1
|
||
total_indicators += 1
|
||
|
||
# 指标2：EMA20 vs EMA50
|
||
if ema50_4h is not None:
|
||
if ema20_4h > ema50_4h:
|
||
score += 1
|
||
elif ema20_4h < ema50_4h:
|
||
score -= 1
|
||
total_indicators += 1
|
||
|
||
# 指标3：MACD histogram
|
||
if macd_4h and isinstance(macd_4h, dict):
|
||
macd_hist = macd_4h.get('histogram', 0)
|
||
if macd_hist > 0:
|
||
score += 1
|
||
elif macd_hist < 0:
|
||
score -= 1
|
||
total_indicators += 1
|
||
|
||
# 多数投票：如果score >= 2，趋势向上；如果score <= -2，趋势向下；否则中性
|
||
if total_indicators == 0:
|
||
return 'neutral'
|
||
|
||
# 至少需要2个指标确认
|
||
if score >= 2:
|
||
return 'up'
|
||
elif score <= -2:
|
||
return 'down'
|
||
else:
|
||
return 'neutral'
|
||
|
||
async def _periodic_sync_positions(self):
|
||
"""
|
||
定期同步币安持仓状态（独立任务，不依赖市场扫描）
|
||
"""
|
||
sync_interval = config.TRADING_CONFIG.get('POSITION_SYNC_INTERVAL', 300) # 默认5分钟
|
||
logger.info(f"定期持仓同步任务启动，同步间隔: {sync_interval}秒")
|
||
|
||
while self.running:
|
||
try:
|
||
await asyncio.sleep(sync_interval)
|
||
|
||
if not self.running:
|
||
break
|
||
|
||
logger.debug("执行定期持仓状态同步...")
|
||
await self.position_manager.sync_positions_with_binance()
|
||
|
||
except asyncio.CancelledError:
|
||
logger.info("定期持仓同步任务已取消")
|
||
break
|
||
except Exception as e:
|
||
logger.error(f"定期持仓同步任务出错: {e}")
|
||
# 出错后等待一段时间再继续
|
||
await asyncio.sleep(60)
|
||
|
||
def stop(self):
|
||
"""停止策略"""
|
||
self.running = False
|
||
logger.info("正在停止交易策略...")
|