Merge pull request #26 from handsomejustin/feat/fsl-indicator-strategy

feat(backtest): v4.2 新增 FSL 分水岭指标策略（单标的/组合/寻优）

src/easy_tdx/MyTT.py

@@ -15,6 +15,7 @@
 # V3.3  2023-11-09 新增 SIN,COS,TAN序列处理的三角函数
 # V4.0  2026-06-02 handsomejustin 新增 ZHUOYAO,BIAS_SIGNAL两个自创函数
 # V4.1  2026-06-14 新增 SAR(抛物线转向), VWAP(成交量加权均价), AROON(阿隆指标); 注册 FK
+# V4.2  2026-07-09 新增 FSL(分水岭指标)
 
 # 以下所有函数如无特别说明，输入参数S均为numpy序列或者列表list，N为整型int
 # 应用层1级函数完美兼容通达信或同花顺，具体使用方法请参考通达信
@@ -559,4 +560,15 @@ def AROON(HIGH, LOW, N=25):  # 阿隆指标：趋势启动时机识别（N周期
     return RD(AROON_UP), RD(AROON_DOWN), RD(OSC)
 
 
+def FSL(CLOSE, VOL, CAPITAL):  # 分水岭指标：多空趋势强弱分界（SWS含换手率动态平滑）
+    # SWL = (EMA(C,5)*7 + EMA(C,10)*3) / 10  : 5日/10日指数均值的加权合成
+    SWL = (EMA(CLOSE, 5) * 7 + EMA(CLOSE, 10) * 3) / 10
+    # SWS = DMA(EMA(C,12), MAX(1, 100*SUM(VOL,5)/(3*CAPITAL)))
+    #     平滑因子 = 5日成交量换手率放大值，CAPITAL 为流通股本
+    A = MAX(1, 100 * (SUM(VOL, 5) / (3 * CAPITAL)))
+    A = MIN(A, 1.0)  # 模拟通达信 DMA(X,A) 内部钳制 A<=1，避免序列因子越界发散
+    SWS = DMA(EMA(CLOSE, 12), A)
+    return RD(SWL), RD(SWS)
+
+
 # 望大家能提交更多指标和函数  https://github.com/mpquant/MyTT

src/easy_tdx/MyTT.pyi

@@ -105,6 +105,11 @@ def AROON(
     N: int = ...,
 ) -> tuple[NDArray, NDArray, NDArray]: ...
 def FK(CLOSE: npt.ArrayLike) -> NDArray: ...
+def FSL(
+    CLOSE: npt.ArrayLike,
+    VOL: npt.ArrayLike,
+    CAPITAL: float,
+) -> tuple[NDArray, NDArray]: ...
 
 # ── Utility Functions ────────────────────────────────────────────────────────
 

src/easy_tdx/backtest/strategies/builtin.py

@@ -25,6 +25,7 @@ from easy_tdx.MyTT import (
     DPO,
     EMA,
     EMV,
+    FSL,
     KDJ,
     KTN,
     MA,
@@ -552,3 +553,38 @@ class AtrBreakoutStrategy(ParametrizedStrategy):
             self.buy()
         elif close <= lower and self.position["size"] > 0:
             self.sell()
+
+
+# ── FSL 分水岭指标 ────────────────────────────────────────────────────────────
+
+
+@register_strategy(
+    name="fsl",
+    label="FSL 分水岭",
+    description="SWL 上穿 SWS 买入（多头占优），SWL 下穿 SWS 卖出（空头占优）。",
+)
+class FslStrategy(ParametrizedStrategy):
+    """FSL 分水岭 SWL/SWS 金叉死叉。"""
+
+    params = [
+        Param(
+            "capital",
+            float,
+            default=1e8,
+            min_value=1e6,
+            max_value=1e12,
+            label="流通股本(股)",
+        ),
+    ]
+
+    def init(self) -> None:
+        self.swl, self.sws = self.I(FSL, self.data.close, self.data.vol, self.p["capital"])
+        self.gold = self.I(CROSS, self.swl, self.sws)
+        self.dead = self.I(CROSS, self.sws, self.swl)
+
+    def next(self) -> None:
+        i = self._bar_index
+        if self.gold[i]:
+            self.buy()
+        elif self.dead[i] and self.position["size"] > 0:
+            self.sell()

src/easy_tdx/backtest/strategies/presets.py

@@ -93,6 +93,11 @@ STRATEGY_PRESETS: dict[str, dict[str, list[Any]]] = {
     "dpo": {
         "m1": [15, 20, 30],
     },  # 3
+    # ── 分水岭类 ─────────────────────────────────────────────────────────────
+    "fsl": {
+        # capital 仅作粗档扫描（1千万/1亿/10亿股），覆盖小盘→大盘
+        "capital": [1e7, 1e8, 1e9, 1e10],
+    },  # 4
 }
 
 

tests/unit/test_web_backtest.py

@@ -59,7 +59,8 @@ def test_registry_has_builtin_strategies():
     assert "boll_breakout" in names
     assert "rsi_reversal" in names
     assert "kdj_cross" in names
-    assert len(names) >= 18
+    assert "fsl" in names
+    assert len(names) >= 19
 
 
 def test_strategy_schema_serialization():