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GitHubandClaude Opus 4.8
b4f63c85a6
- New obv_trend.py strategy: OBV energy flow trend following - Entry: OBV > MAOBV*1.02 buffer + MAOBV 20-bar uptrend confirmed - Exit: OBV drops below MAOBV - Tunable params: maobv_period(30), maobv_lookback(20), obv_buffer(0.02) - Update README changelog and strategy table - Bump version to 1.9.5 Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
49 lines
1.7 KiB
Python
49 lines
1.7 KiB
Python
"""OBV 能量潮趋势策略。
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OBV 超过 MAOBV（30 日均线）一定缓冲带后确认多头，MAOBV 自身趋势向上时买入。
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OBV 跌破 MAOBV 时卖出——资金流向转空即离场。
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OBV 是累计成交量指标：价涨加量、价跌减量，反映资金进出方向。
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MAOBV 平滑后的趋势比原始 OBV 更稳定，适合过滤噪声。
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入场要求 OBV 领先 MAOBV 达到缓冲带幅度，过滤交叉区域的假突破噪声。
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用法::
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easy-tdx backtest SZ 000001 --strategy-file strategies/obv_trend.py --count 500 --table
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"""
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from easy_tdx import MyTT
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from easy_tdx.backtest import Strategy
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class OBVTrendStrategy(Strategy):
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"""OBV 能量潮趋势策略。"""
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maobv_period: int = 30 # MAOBV 均线周期
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maobv_lookback: int = 20 # MAOBV 趋势判定回溯根数
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obv_buffer: float = 0.02 # OBV 入场缓冲带（2%）
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def init(self) -> None:
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self.obv = self.I(MyTT.OBV, self.data.close, self.data.vol)
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self.maobv = self.I(MyTT.MA, self.obv, self.maobv_period)
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def next(self) -> None:
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idx = self._bar_index
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obv = float(self.obv[idx])
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maobv = float(self.maobv[idx])
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# MAOBV 趋势向上：当前值 > N 根前的值
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lookback_idx = max(0, idx - self.maobv_lookback)
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maobv_prev = float(self.maobv[lookback_idx])
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maobv_rising = maobv > maobv_prev
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# 入场：OBV 超过 MAOBV 达缓冲带幅度 且 MAOBV 趋势向上
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if obv > maobv * (1 + self.obv_buffer) and maobv_rising:
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if self.position["size"] == 0:
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self.buy(size=0)
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# 出场：OBV < MAOBV（空头信号）
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elif obv < maobv:
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if self.position["size"] > 0:
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self.sell(size=0)
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