""" 均值回归策略 基于布林带的均值回归交易策略 """ from freqtrade.strategy import IStrategy, IntParameter, DecimalParameter from pandas import DataFrame import talib.abstract as ta from technical import qtpylib import numpy as np import logging logger = logging.getLogger(__name__) class MeanReversionStrategy(IStrategy): """ 均值回归策略 - 基于布林带的反转交易 策略逻辑: 1. 使用布林带识别超买超卖状态 2. 当价格触及下轨时买入（低买） 3. 当价格触及上轨时卖出（高卖） 4. 结合RSI确认反转信号 5. 使用ATR动态调整止损 """ INTERFACE_VERSION = 3 # 基础策略参数 minimal_roi = { "0": 0.08, # 8%收益立即止盈 "30": 0.04, # 30分钟后4%收益 "60": 0.02, # 1小时后2%收益 "120": 0.01 # 2小时后1%收益 } stoploss = -0.05 # 5%止损 timeframe = '15m' # 15分钟时间框架 # 策略控制参数 can_short = False startup_candle_count = 50 process_only_new_candles = True use_exit_signal = True use_custom_stoploss = False # 禁用 custom stoploss，避免 trailing stop 导致的大量亏损 # 布林带参数 bb_period = IntParameter(15, 25, default=20, space="buy") bb_std = DecimalParameter(1.5, 2.5, default=2.0, space="buy") # RSI参数 rsi_period = IntParameter(10, 20, default=14, space="buy") rsi_oversold = IntParameter(35, 50, default=45, space="buy") # 放宽RSI条件 rsi_overbought = IntParameter(55, 75, default=65, space="sell") # 放宽RSI条件 # 均值回归确认参数 price_deviation_threshold = DecimalParameter(0.001, 0.01, default=0.005, space="buy") # 大幅放宽偏离度 volume_threshold = DecimalParameter(0.8, 1.5, default=1.0, space="buy") # 放宽成交量要求 # ATR参数（用于动态止损） atr_period = IntParameter(10, 20, default=14, space="buy") atr_multiplier = DecimalParameter(1.5, 3.0, default=2.0, space="sell") def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ 计算技术指标 """ # 布林带 bollinger = qtpylib.bollinger_bands( dataframe['close'], window=self.bb_period.value, stds=self.bb_std.value ) dataframe['bb_lower'] = bollinger['lower'] dataframe['bb_middle'] = bollinger['mid'] dataframe['bb_upper'] = bollinger['upper'] # 布林带宽度和位置 dataframe['bb_width'] = (dataframe['bb_upper'] - dataframe['bb_lower']) / dataframe['bb_middle'] dataframe['bb_position'] = (dataframe['close'] - dataframe['bb_lower']) / (dataframe['bb_upper'] - dataframe['bb_lower']) # RSI指标 dataframe['rsi'] = ta.RSI(dataframe, timeperiod=self.rsi_period.value) # 均线系统 dataframe['sma_20'] = ta.SMA(dataframe, timeperiod=20) dataframe['ema_12'] = ta.EMA(dataframe, timeperiod=12) dataframe['ema_26'] = ta.EMA(dataframe, timeperiod=26) # 价格偏离度 dataframe['price_deviation'] = abs(dataframe['close'] - dataframe['sma_20']) / dataframe['sma_20'] # 成交量指标 dataframe['volume_sma'] = dataframe['volume'].rolling(window=20).mean() dataframe['volume_ratio'] = dataframe['volume'] / dataframe['volume_sma'] # ATR（平均真实波动率） dataframe['atr'] = ta.ATR(dataframe, timeperiod=self.atr_period.value) # MACD（作为趋势确认） macd = ta.MACD(dataframe) dataframe['macd'] = macd['macd'] dataframe['macd_signal'] = macd['macdsignal'] dataframe['macd_hist'] = macd['macdhist'] # 威廉指标（额外的超买超卖确认） dataframe['williams_r'] = ta.WILLR(dataframe, timeperiod=14) # 价格动量 dataframe['momentum'] = ta.MOM(dataframe, timeperiod=10) # 支撑阻力位（简化版） dataframe['resistance'] = dataframe['high'].rolling(window=20).max() dataframe['support'] = dataframe['low'].rolling(window=20).min() return dataframe def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ 均值回归买入信号 买入条件（低买策略）： 1. 价格触及或突破布林带下轨 2. RSI处于超卖状态 3. 成交量放大确认 4. 价格偏离均线足够远 """ conditions = [ # 主要条件：价格接近布林带下轨 (dataframe['close'] <= dataframe['bb_lower'] * 1.005) | # 允许价格接近下轨 (dataframe['low'] <= dataframe['bb_lower']), # RSI相对较低（放宽条件） dataframe['rsi'] < self.rsi_oversold.value, # 威廉指标相对较低（放宽条件） dataframe['williams_r'] < -50, # 从-80放宽到-50 # 价格偏离均线（大幅放宽） dataframe['price_deviation'] > self.price_deviation_threshold.value, # 成交量确认（放宽） dataframe['volume_ratio'] > self.volume_threshold.value, # 趋势不要太强（放宽条件） dataframe['ema_12'] > dataframe['ema_26'] * 0.95, # 允许更多下跌趋势 # 布林带宽度足够（大幅放宽） dataframe['bb_width'] > 0.005, # 从2%降到0.5% # 动量转正（可选条件） dataframe['momentum'] > dataframe['momentum'].shift(1), ] # 组合主要条件（简化逻辑） dataframe.loc[ ( conditions[0] & # 布林带下轨 conditions[1] & # RSI相对较低 conditions[2] & # 威廉指标相对较低 conditions[3] & # 价格偏离（已大幅放宽） conditions[4] & # 成交量（已放宽） conditions[5] # 趋势条件（已放宽） # 暂时移除布林带宽度和动量条件以增加信号 ), 'enter_long' ] = 1 return dataframe def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ 均值回归卖出信号 卖出条件（高卖策略）： 1. 价格触及或突破布林带上轨 2. RSI进入超买区域 3. 价格回归至均线附近 """ conditions = [ # 主要条件：价格接近布林带上轨 (dataframe['close'] >= dataframe['bb_upper'] * 0.998) | # 允许接近上轨 (dataframe['high'] >= dataframe['bb_upper']), # RSI相对较高 dataframe['rsi'] > self.rsi_overbought.value, # 威廉指标相对较高 dataframe['williams_r'] > -30, # 从-20放宽到-30 # 价格回归至布林带中上部（放宽） dataframe['bb_position'] > 0.7, # 从0.8降到0.7 ] # 替代卖出条件：趋势转弱 trend_weak_conditions = [ # MACD转弱 qtpylib.crossed_below(dataframe['macd'], dataframe['macd_signal']), # 短期均线下穿长期均线 qtpylib.crossed_below(dataframe['ema_12'], dataframe['ema_26']), # 动量转负 dataframe['momentum'] < 0, # RSI从高位回落 (dataframe['rsi'] < dataframe['rsi'].shift(1)) & (dataframe['rsi'] > 60), ] dataframe.loc[ ( # 主要卖出条件（均值回归完成）- 3个条件即可，移除bb_position要求 (conditions[0] & conditions[1] & conditions[2]) | # 趋势转弱需要2个条件同时满足（更严格） (trend_weak_conditions[0] & trend_weak_conditions[1]) ), 'exit_long' ] = 1 return dataframe def custom_stoploss(self, pair: str, trade: 'Trade', current_time, current_rate: float, current_profit: float, **kwargs) -> float: """ 动态止损基于ATR """ dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe) last_candle = dataframe.iloc[-1].squeeze() # 基于ATR的动态止损 atr_stop = last_candle['atr'] * self.atr_multiplier.value atr_stop_pct = atr_stop / current_rate # 根据持仓时间调整止损 if current_profit > 0.02: # 盈利超过2%时收紧止损 return max(-atr_stop_pct * 0.5, -0.02) elif current_profit > 0.01: # 盈利超过1%时适度收紧 return max(-atr_stop_pct * 0.7, -0.03) else: # 正常ATR止损，但不超过最大止损 return max(-atr_stop_pct, self.stoploss) def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float, time_in_force: str, current_time, entry_tag: str, side: str, **kwargs) -> bool: """ 交易确认 - 最后的风险检查 """ dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe) if len(dataframe) < 1: return False last_candle = dataframe.iloc[-1].squeeze() # 确保布林带宽度足够（避免在极度窄幅震荡中交易） if last_candle['bb_width'] < 0.015: # 小于1.5% return False # 确保不是在强烈下跌趋势中 if last_candle['ema_12'] < last_candle['ema_26'] * 0.95: # 短期均线低于长期5%以上 return False # 确保RSI不会过度超卖（可能继续下跌） if last_candle['rsi'] < 15: # 极度超卖可能继续下跌 return False return True def custom_entry_price(self, pair: str, current_time, proposed_rate: float, entry_tag: str, side: str, **kwargs) -> float: """ 自定义入场价格 - 尝试获得更好的入场点 """ dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe) last_candle = dataframe.iloc[-1].squeeze() # 如果当前价格高于布林带下轨，尝试以更低价格入场 if proposed_rate > last_candle['bb_lower']: # 在布林带下轨和当前价格之间设置限价单 target_price = (proposed_rate + last_candle['bb_lower']) / 2 return min(target_price, proposed_rate * 0.999) # 最多降低0.1% return proposed_rate def informative_pairs(self): """ 定义需要的额外数据对 """ pairs = self.dp.current_whitelist() informative_pairs = [] # 添加1小时时间框架数据用于趋势确认 for pair in pairs: informative_pairs.append((pair, '1h')) return informative_pairs def leverage(self, pair: str, current_time, current_rate: float, proposed_leverage: float, max_leverage: float, entry_tag: str, side: str, **kwargs) -> float: """ 杠杆设置 - 均值回归策略使用保守杠杆 """ return 1.0 # 不使用杠杆，降低风险 def test_strategy(): """ 测试策略的基本功能 """ import pandas as pd import numpy as np print("测试均值回归策略...") # 创建测试数据 np.random.seed(42) dates = pd.date_range('2023-01-01', periods=200, freq='15min') # 模拟有均值回归特征的价格数据 price = 50000 # BTC起始价格 prices = [price] for i in range(199): # 添加均值回归特性：价格偏离均值时有回归倾向 mean_price = np.mean(prices[-20:]) if len(prices) >= 20 else price deviation = (price - mean_price) / mean_price # 均值回归力度 reversion_force = -deviation * 0.1 random_walk = np.random.normal(0, 0.005) change = reversion_force + random_walk price *= (1 + change) prices.append(price) # 生成测试数据 data = pd.DataFrame({ 'timestamp': dates, 'open': prices, 'high': [p * (1 + abs(np.random.normal(0, 0.002))) for p in prices], 'low': [p * (1 - abs(np.random.normal(0, 0.002))) for p in prices], 'close': prices, 'volume': np.random.randint(100, 1000, 200) }) # 测试策略 strategy = MeanReversionStrategy() # 计算指标 data_with_indicators = strategy.populate_indicators(data, {'pair': 'BTC/USDT'}) # 生成信号 data_with_signals = strategy.populate_entry_trend(data_with_indicators, {'pair': 'BTC/USDT'}) data_with_signals = strategy.populate_exit_trend(data_with_signals, {'pair': 'BTC/USDT'}) # 统计信号 buy_signals = data_with_signals['enter_long'].sum() if 'enter_long' in data_with_signals.columns else 0 sell_signals = data_with_signals['exit_long'].sum() if 'exit_long' in data_with_signals.columns else 0 print(f"测试结果:") print(f"数据点数: {len(data)}") print(f"买入信号: {buy_signals}") print(f"卖出信号: {sell_signals}") print(f"价格范围: {min(prices):.2f} - {max(prices):.2f}") # 显示一些关键指标 print(f"\n关键指标示例（最后5行）:") key_columns = ['close', 'bb_lower', 'bb_upper', 'rsi', 'bb_position'] available_columns = [col for col in key_columns if col in data_with_signals.columns] if available_columns: print(data_with_signals[available_columns].tail()) return data_with_signals if __name__ == "__main__": test_strategy()