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2026-05-16 22:25:48 +08:00
commit 2b8f902548
88 changed files with 16386 additions and 0 deletions
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+from __future__ import annotations
+
+from dataclasses import dataclass, field
+from statistics import mean
+
+# 以下换算仅针对 5m K（与是否单独拉 4h 图无关）：
+# 每小时 60/5 = 12 根；一根「4 小时」大周期对应 4×12 = 48 根 5m。
+BARS_5M_PER_HOUR = 12
+BARS_5M_PER_4H = BARS_5M_PER_HOUR * 4  # 48
+# 箱体回看最短不少于一根 4h 等价的 5m 长度，避免用不足一个 4h 的窗去定义箱体
+MIN_BOX_LOOKBACK_BARS_5M = BARS_5M_PER_4H
+
+
+@dataclass
+class IntradayRuleParams:
+    range_hours: float = 8.0
+    range_max_pct: float = 1.5
+    volume_spike_mult: float = 1.6
+    volume_lookback_bars: int = 20
+    breakout_buffer_pct: float = 0.05
+
+
+@dataclass
+class ExchangeRuleResult:
+    signal_level: str = "NONE"  # NONE | WATCH | TRIGGER
+    signal_side: str = "NONE"  # NONE | LONG | SHORT
+    trigger_types: list[str] = field(default_factory=list)
+    score: float = 0.0
+    metrics: dict = field(default_factory=dict)
+
+
+def _rows_to_ohlcv(rows: list[list[str]]) -> tuple[list[float], list[float], list[float], list[float], list[float]]:
+    o, h, l, c, v = [], [], [], [], []
+    for item in rows:
+        if len(item) < 6:
+            continue
+        o.append(float(item[1]))
+        h.append(float(item[2]))
+        l.append(float(item[3]))
+        c.append(float(item[4]))
+        v.append(float(item[5]))
+    return o, h, l, c, v
+
+
+def evaluate_exchange(
+    symbol: str,
+    alt_rows: list[list[str]],
+    btc_rows: list[list[str]],
+    params: IntradayRuleParams,
+) -> ExchangeRuleResult:
+    """
+    5m 日内结构规则（中文分级）：
+    - range_hours 按「墙钟小时」换成 5m 根数：×12（根/小时）；48 根 5m = 4 墙钟小时。
+    - 观察：箱体回看窗口内（不含突破/确认 K）用最高/最低算振幅，不超过 range_max_pct
+    - 触发：突破 K 在有效带内，确认 K 收在箱体外，并满足放量等条件
+    """
+    breakout_max_pct = 0.5
+    result = ExchangeRuleResult()
+    _, ah, al, ac, av = _rows_to_ohlcv(alt_rows)
+
+    bars_for_range = max(
+        MIN_BOX_LOOKBACK_BARS_5M,
+        int(params.range_hours * BARS_5M_PER_HOUR),
+    )
+    vol_lb = max(5, int(params.volume_lookback_bars))
+    min_need = bars_for_range + vol_lb + 3
+    if len(ac) < min_need:
+        result.metrics = {"error": "insufficient_candles", "need": min_need, "have": len(ac)}
+        return result
+
+    # 区间边界：前 N 根（不含倒数第 1 确认 K、倒数第 2 突破 K），用区间内的 highest/lowest
+    seg_h = ah[-bars_for_range - 2 : -2]
+    seg_l = al[-bars_for_range - 2 : -2]
+    range_high = max(seg_h)
+    range_low = min(seg_l)
+    mid = (range_high + range_low) / 2 if range_high > range_low else 0
+    range_pct = ((range_high - range_low) / mid) * 100 if mid > 0 else 999.0
+
+    breakout_close = ac[-2]
+    confirm_close = ac[-1]
+    breakout_high = ah[-2]
+    breakout_low = al[-2]
+    confirm_high = ah[-1]
+    confirm_low = al[-1]
+    last_volume = av[-1]
+    vol_base = mean(av[-vol_lb - 1 : -1]) if len(av) > vol_lb else mean(av)
+    vol_ratio = (last_volume / vol_base) if vol_base > 0 else 0.0
+
+    breakout_min_line = range_high * (1 + params.breakout_buffer_pct / 100)
+    breakout_max_line = range_high * (1 + breakout_max_pct / 100)
+    breakdown_min_line = range_low * (1 - params.breakout_buffer_pct / 100)
+    breakdown_max_line = range_low * (1 - breakout_max_pct / 100)
+    is_sideways = range_pct <= params.range_max_pct
+    is_volume_spike = vol_ratio >= params.volume_spike_mult
+
+    breakout_long_ok = breakout_close > breakout_min_line and breakout_close < breakout_max_line
+    breakout_short_ok = breakout_close < breakdown_min_line and breakout_close > breakdown_max_line
+    confirm_long_ok = confirm_close > range_high
+    confirm_short_ok = confirm_close < range_low
+
+    if is_sideways:
+        result.signal_level = "WATCH"
+        result.trigger_types = ["横盘结构成立"]
+        result.score = 1.0
+
+    if is_sideways and breakout_long_ok and confirm_long_ok and is_volume_spike:
+        result.signal_level = "TRIGGER"
+        result.signal_side = "LONG"
+        result.trigger_types = ["横盘结构成立", "突破K在有效区间", "第二根K确认未回箱体", "放量突破"]
+        result.score = 3.4
+    elif is_sideways and breakout_short_ok and confirm_short_ok and is_volume_spike:
+        result.signal_level = "TRIGGER"
+        result.signal_side = "SHORT"
+        result.trigger_types = ["横盘结构成立", "突破K在有效区间", "第二根K确认未回箱体", "放量破位"]
+        result.score = 3.4
+
+    result.metrics = {
+        "symbol": symbol.upper(),
+        "bar": "5m",
+        "range_hours": params.range_hours,
+        "range_bars": bars_for_range,
+        "range_max_pct": params.range_max_pct,
+        "range_pct": round(range_pct, 4),
+        "range_high": range_high,
+        "range_low": range_low,
+        "breakout_min_pct": params.breakout_buffer_pct,
+        "breakout_max_pct": breakout_max_pct,
+        "breakout_min_line": breakout_min_line,
+        "breakout_max_line": breakout_max_line,
+        "breakdown_min_line": breakdown_min_line,
+        "breakdown_max_line": breakdown_max_line,
+        "breakout_close": breakout_close,
+        "confirm_close": confirm_close,
+        "breakout_high": breakout_high,
+        "breakout_low": breakout_low,
+        "confirm_high": confirm_high,
+        "confirm_low": confirm_low,
+        "volume_lookback_bars": vol_lb,
+        "volume_spike_mult": params.volume_spike_mult,
+        "last_volume": last_volume,
+        "volume_base": round(vol_base, 8),
+        "volume_ratio": round(vol_ratio, 4),
+        "signal_side": result.signal_side,
+    }
+    return result