dekun
135 lines
5.2 KiB
Python
135 lines
5.2 KiB
Python
from __future__ import annotations
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from dataclasses import dataclass, field
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from statistics import mean
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from .candle_rows import rows_to_ohlcv
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# 以下换算仅针对 5m K（与是否单独拉 4h 图无关）：
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# 每小时 60/5 = 12 根；一根「4 小时」大周期对应 4×12 = 48 根 5m。
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BARS_5M_PER_HOUR = 12
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BARS_5M_PER_4H = BARS_5M_PER_HOUR * 4 # 48
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# 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
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MIN_BOX_LOOKBACK_BARS_5M = BARS_5M_PER_4H
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@dataclass
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class IntradayRuleParams:
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range_hours: float = 8.0
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range_max_pct: float = 1.5
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volume_spike_mult: float = 1.6
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volume_lookback_bars: int = 20
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breakout_buffer_pct: float = 0.05
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@dataclass
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class ExchangeRuleResult:
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signal_level: str = "NONE" # NONE | WATCH | TRIGGER
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signal_side: str = "NONE" # NONE | LONG | SHORT
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trigger_types: list[str] = field(default_factory=list)
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score: float = 0.0
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metrics: dict = field(default_factory=dict)
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def evaluate_exchange(
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symbol: str,
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alt_rows: list[list[str]],
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btc_rows: list[list[str]],
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params: IntradayRuleParams,
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) -> ExchangeRuleResult:
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"""
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5m 日内结构规则（中文分级）：
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- range_hours 按「墙钟小时」换成 5m 根数：×12（根/小时）；48 根 5m = 4 墙钟小时。
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- 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
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- 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
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"""
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breakout_max_pct = 0.5
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result = ExchangeRuleResult()
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_, ah, al, ac, av = rows_to_ohlcv(alt_rows)
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bars_for_range = max(
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MIN_BOX_LOOKBACK_BARS_5M,
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int(params.range_hours * BARS_5M_PER_HOUR),
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)
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vol_lb = max(5, int(params.volume_lookback_bars))
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min_need = bars_for_range + vol_lb + 3
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if len(ac) < min_need:
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result.metrics = {"error": "insufficient_candles", "need": min_need, "have": len(ac)}
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return result
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# 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
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seg_h = ah[-bars_for_range - 2 : -2]
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seg_l = al[-bars_for_range - 2 : -2]
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range_high = max(seg_h)
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range_low = min(seg_l)
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mid = (range_high + range_low) / 2 if range_high > range_low else 0
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range_pct = ((range_high - range_low) / mid) * 100 if mid > 0 else 999.0
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breakout_close = ac[-2]
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confirm_close = ac[-1]
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breakout_high = ah[-2]
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breakout_low = al[-2]
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confirm_high = ah[-1]
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confirm_low = al[-1]
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last_volume = av[-1]
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vol_base = mean(av[-vol_lb - 1 : -1]) if len(av) > vol_lb else mean(av)
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vol_ratio = (last_volume / vol_base) if vol_base > 0 else 0.0
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breakout_min_line = range_high * (1 + params.breakout_buffer_pct / 100)
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breakout_max_line = range_high * (1 + breakout_max_pct / 100)
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breakdown_min_line = range_low * (1 - params.breakout_buffer_pct / 100)
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breakdown_max_line = range_low * (1 - breakout_max_pct / 100)
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is_sideways = range_pct <= params.range_max_pct
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is_volume_spike = vol_ratio >= params.volume_spike_mult
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breakout_long_ok = breakout_close > breakout_min_line and breakout_close < breakout_max_line
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breakout_short_ok = breakout_close < breakdown_min_line and breakout_close > breakdown_max_line
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confirm_long_ok = confirm_close > range_high
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confirm_short_ok = confirm_close < range_low
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if is_sideways:
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result.signal_level = "WATCH"
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result.trigger_types = ["横盘结构成立"]
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result.score = 1.0
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if is_sideways and breakout_long_ok and confirm_long_ok and is_volume_spike:
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result.signal_level = "TRIGGER"
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result.signal_side = "LONG"
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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"]
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result.score = 3.4
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elif is_sideways and breakout_short_ok and confirm_short_ok and is_volume_spike:
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result.signal_level = "TRIGGER"
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result.signal_side = "SHORT"
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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"]
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result.score = 3.4
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result.metrics = {
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"symbol": symbol.upper(),
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"bar": "5m",
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"range_hours": params.range_hours,
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"range_bars": bars_for_range,
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"range_max_pct": params.range_max_pct,
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"range_pct": round(range_pct, 4),
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"range_high": range_high,
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"range_low": range_low,
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"breakout_min_pct": params.breakout_buffer_pct,
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"breakout_max_pct": breakout_max_pct,
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"breakout_min_line": breakout_min_line,
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"breakout_max_line": breakout_max_line,
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"breakdown_min_line": breakdown_min_line,
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"breakdown_max_line": breakdown_max_line,
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"breakout_close": breakout_close,
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"confirm_close": confirm_close,
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"breakout_high": breakout_high,
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"breakout_low": breakout_low,
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"confirm_high": confirm_high,
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"confirm_low": confirm_low,
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"volume_lookback_bars": vol_lb,
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"volume_spike_mult": params.volume_spike_mult,
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"last_volume": last_volume,
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"volume_base": round(vol_base, 8),
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"volume_ratio": round(vol_ratio, 4),
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"signal_side": result.signal_side,
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}
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return result
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