diff --git a/backend/app/config.py b/backend/app/config.py
index c405734..58297c9 100644
--- a/backend/app/config.py
+++ b/backend/app/config.py
@@ -82,7 +82,7 @@ class Settings(BaseSettings):
martingale_max_doubles: int = 3 # 最多翻倍次数（如 2→4→8→16 为 3 次）
# 对冲模式：perp_option=永期（默认）| option_option=期期
hedge_mode: str = "perp_option"
- oo_amplitude_pct: float = 1.5 # 振幅最小 %（回看窗内高低）
+ oo_amplitude_pct: float = 1.5 # 振幅最大 %（回看窗内高低；超过则不开）
oo_amplitude_hours: float = 12.0 # 振幅回看小时
oo_min_option_hours: float = 24.0 # 期期：最短剩余到期小时
oo_min_leverage: float = 200.0 # 期期：单腿最低杠杆
diff --git a/backend/app/strategy/oo_selection.py b/backend/app/strategy/oo_selection.py
index b0f3d27..a894ac7 100644
--- a/backend/app/strategy/oo_selection.py
+++ b/backend/app/strategy/oo_selection.py
@@ -118,7 +118,7 @@ def build_oo_pick_core(
amp = amplitude or fetch_amplitude_hl_for_runtime(amplitude_hours)
if amp is None:
return None
- if float(amp.range_pct) + 1e-12 < float(amplitude_pct):
+ if float(amp.range_pct) > float(amplitude_pct) + 1e-12:
return None
if spot <= 0:
spot = float(amp.mid)
diff --git a/backend/app/strategy/session.py b/backend/app/strategy/session.py
index 1bf45a8..0ccba8e 100644
--- a/backend/app/strategy/session.py
+++ b/backend/app/strategy/session.py
@@ -442,7 +442,7 @@ class StrategySession:
return self._apply_pair(pair, mark=float(mark), idx=idx)
def align_oo_instruments(self) -> OptionPair | None:
- """期期监控：按振幅高低点选虚值 Call/Put（展示用；振幅不足仍对齐候选）。"""
+ """期期监控：按振幅高低点选虚值 Call/Put（展示用；振幅超限仍对齐候选）。"""
from ..exchange.candles import fetch_amplitude_hl_for_runtime
from .oo_selection import select_oo_pair
@@ -465,8 +465,8 @@ class StrategySession:
"mid": float(amp.mid),
"range_pct": float(amp.range_pct),
"hours": float(amp_hours),
- "min_pct": float(amp_pct),
- "ok": float(amp.range_pct) + 1e-12 >= float(amp_pct),
+ "max_pct": float(amp_pct),
+ "ok": float(amp.range_pct) <= float(amp_pct) + 1e-12,
}
contracts = self.ex.list_option_contracts(s.option_inst_family)
skip = _skip_expiry_ymds_for_next()
@@ -518,9 +518,9 @@ class StrategySession:
if amp is None:
logger.info("oo: amplitude candles unavailable")
return None
- if float(amp.range_pct) + 1e-12 < float(amp_pct):
+ if float(amp.range_pct) > float(amp_pct) + 1e-12:
logger.info(
- "oo: amplitude %.3f%% < need %.3f%% (H=%.2f L=%.2f)",
+ "oo: amplitude %.3f%% > max %.3f%% (H=%.2f L=%.2f)",
amp.range_pct,
amp_pct,
amp.high,
@@ -584,7 +584,7 @@ class StrategySession:
"mid": float(amp.mid),
"range_pct": float(amp.range_pct),
"hours": float(amp_hours),
- "min_pct": float(amp_pct),
+ "max_pct": float(amp_pct),
"ok": True,
}
self._apply_pair(pair, mark=underlying, idx=idx)
@@ -837,8 +837,8 @@ class StrategySession:
"mid": float(amp.mid),
"range_pct": float(amp.range_pct),
"hours": float(amp_hours),
- "min_pct": float(_amp_pct),
- "ok": float(amp.range_pct) + 1e-12 >= float(_amp_pct),
+ "max_pct": float(_amp_pct),
+ "ok": float(amp.range_pct) <= float(_amp_pct) + 1e-12,
}
contracts = self.ex.list_option_contracts(self.settings.option_inst_family)
picked = select_oo_pair(
diff --git a/backend/tests/test_oo_selection_sizing.py b/backend/tests/test_oo_selection_sizing.py
index 9bd14d5..79ac0d2 100644
--- a/backend/tests/test_oo_selection_sizing.py
+++ b/backend/tests/test_oo_selection_sizing.py
@@ -64,3 +64,49 @@ def test_compute_oo_sizing_1_1_and_reward() -> None:
def test_amplitude_range_pct() -> None:
a = AmplitudeHL(high=2030, low=1970, mid=2000, hours=12, bar_count=12)
assert abs(a.range_pct - 3.0) < 1e-9
+
+
+def test_amplitude_max_gate() -> None:
+ from app.strategy.oo_selection import build_oo_pick_core
+
+ contracts = []
+ for k in (1900, 2000, 2100):
+ for side, letter in (("call", "C"), ("put", "P")):
+ contracts.append(
+ {
+ "expiry_ymd": "260810",
+ "expiry_ms": 1_786_320_000_000,
+ "strike": float(k),
+ "side": letter,
+ "inst_id": f"ETH-{k}-{letter}",
+ }
+ )
+ amp = AmplitudeHL(high=2030, low=1970, mid=2000, hours=12, bar_count=12)
+ # 3% > 上限 1.5% → 拒
+ assert (
+ build_oo_pick_core(
+ contracts=contracts,
+ spot=2000,
+ call_ask=5,
+ put_ask=5,
+ min_hours=1,
+ min_leverage=1,
+ amplitude_hours=12,
+ amplitude_pct=1.5,
+ amplitude=amp,
+ )
+ is None
+ )
+ # 3% ≤ 上限 3.5% → 可过振幅门（杠杆/卖一足够）
+ ok = build_oo_pick_core(
+ contracts=contracts,
+ spot=2000,
+ call_ask=5,
+ put_ask=5,
+ min_hours=1,
+ min_leverage=1,
+ amplitude_hours=12,
+ amplitude_pct=3.5,
+ amplitude=amp,
+ )
+ assert ok is not None
diff --git a/docs/期期对冲说明.md b/docs/期期对冲说明.md
index 9aaf66b..6b65db9 100644
--- a/docs/期期对冲说明.md
+++ b/docs/期期对冲说明.md
@@ -12,7 +12,7 @@
| 参数 | 默认 | 含义 |
|------|------|------|
-| 振幅最小 % | 1.5 | 回看窗内 `(高-低)/中价` 须 ≥ 该值 |
+| 振幅最大 % | 1.5 | 回看窗内 `(高-低)/中价` 须 ≤ 该值，超过不开 |
| 振幅回看小时 | 12 | 用 1H K 线取真实高低点 |
| 最短剩余到期 | 24 | 期权剩余小时 |
| 单腿最低杠杆 | 200 | `指数 / 卖一` |
diff --git a/docs/策略说明.md b/docs/策略说明.md
index e613e24..7d92140 100644
--- a/docs/策略说明.md
+++ b/docs/策略说明.md
@@ -458,7 +458,7 @@ LIVE 特殊态：`option_closed_perp_pending`（期权已在交易所卖掉、
| `residual_min_premium_pct` | 20 | 残留权利金回收门槛% |
| `residual_close_check_sec` | 300 | 残留巡检间隔秒 |
| `hedge_mode` | perp_option | 永期 / 期期二选一 |
-| `oo_amplitude_pct` | 1.5 | 期期振幅最小% |
+| `oo_amplitude_pct` | 1.5 | 期期振幅最大%（超过不开） |
| `oo_amplitude_hours` | 12 | 期期振幅回看小时 |
| `oo_min_option_hours` | 24 | 期期最短剩余到期 |
| `oo_min_leverage` | 200 | 期期单腿最低杠杆 |
@@ -471,7 +471,7 @@ LIVE 特殊态：`option_closed_perp_pending`（期权已在交易所卖掉、
详见 [期期对冲说明](./期期对冲说明.md)。摘要：
-- 回看 `oo_amplitude_hours` 的真实高低；振幅不足不开。
+- 回看 `oo_amplitude_hours` 的真实高低；振幅超过 `oo_amplitude_pct` 不开。
- 虚值 Call 贴高、Put 贴低；同到期；杠杆与剩余小时门槛。
- 预算 1:1、qty 一位小数、目标 = B × `oo_reward_ratio`。
- 达标只平盈利腿；亏损腿 residual（20% 回升或到期）。
diff --git a/frontend/src/api/client.ts b/frontend/src/api/client.ts
index 26fbe84..f12fe12 100644
--- a/frontend/src/api/client.ts
+++ b/frontend/src/api/client.ts
@@ -211,6 +211,8 @@ export type MarketSnapshot = {
mid?: number;
range_pct?: number;
hours?: number;
+ max_pct?: number;
+ /** @deprecated 兼容旧字段，等同 max_pct */
min_pct?: number;
ok?: boolean;
} | null;
diff --git a/frontend/src/pages/Plan.tsx b/frontend/src/pages/Plan.tsx
index da70cad..6a2bdea 100644
--- a/frontend/src/pages/Plan.tsx
+++ b/frontend/src/pages/Plan.tsx
@@ -261,7 +261,7 @@ export default function PlanPage() {
? `ATM偏差≤${fmt(plan?.max_atm_open_offset ?? 3, 0)}`
: "ATM偏差关";
const ooSelectLabel = [
- `振幅≥${fmt(plan?.oo_amplitude_pct ?? 1.5, 1)}%/${fmt(plan?.oo_amplitude_hours ?? 12, 0)}h`,
+ `振幅≤${fmt(plan?.oo_amplitude_pct ?? 1.5, 1)}%/${fmt(plan?.oo_amplitude_hours ?? 12, 0)}h`,
"虚值Call@高·Put@低",
`剩余≥${fmt(plan?.oo_min_option_hours ?? 24, 0)}h`,
`杠杆≥${fmt(plan?.oo_min_leverage ?? 200, 0)}x`,
@@ -897,13 +897,20 @@ export default function PlanPage() {
{snap?.oo_amplitude?.range_pct != null
? `${fmt(snap.oo_amplitude.range_pct, 2)}%`
: "—"}
- {snap?.oo_amplitude?.min_pct != null
- ? ` · 门限≥${fmt(snap.oo_amplitude.min_pct, 1)}%`
+ {(snap?.oo_amplitude?.max_pct ?? snap?.oo_amplitude?.min_pct) !=
+ null
+ ? ` · 上限≤${fmt(
+ Number(
+ snap.oo_amplitude?.max_pct ??
+ snap.oo_amplitude?.min_pct,
+ ),
+ 1,
+ )}%`
: ""}
{snap?.oo_amplitude?.ok === false
- ? " · 不足"
+ ? " · 超限"
: snap?.oo_amplitude?.ok === true
- ? " · 达标"
+ ? " · 可开"
: ""}
diff --git a/frontend/src/pages/Settings.tsx b/frontend/src/pages/Settings.tsx
index e5a5e8e..9e72cf2 100644
--- a/frontend/src/pages/Settings.tsx
+++ b/frontend/src/pages/Settings.tsx
@@ -1220,7 +1220,7 @@ export default function SettingsPage() {
{isOo ? (
<>
-
+
setOoAmpPct(Number(e.target.value))}
/>
+
+ 回看窗内振幅超过该上限则不开仓。
+
@@ -1622,7 +1625,7 @@ export default function SettingsPage() {
{stratSub === "select" ? (
isOo ? (
- 期期选约：回看窗内真实高低点振幅达标后，同到期虚值 Call
+ 期期选约：回看窗内真实高低点振幅不超过上限后，同到期虚值 Call
贴高、Put 贴低；剩余到期与单腿杠杆门限见本页。
) : (