mirror of
https://ghfast.top/https://github.com/aeroxw/tick-stock-panel.git
synced 2026-09-12 15:34:16 +08:00
shy3130
58f8d7b883
- 趋势/形态: 均线粘合突破 · 平台整理突破 · 放量创60日新高 - 量价/涨停: 涨停基因活跃股 (max_change_pct 参数过滤当日已大涨) - 反转/波动: MACD 零下回升 · 长下影反击 (close_position>=0.5 兼容假阴线) · RSI 中轴回踩 - 阈值统一小数制口径 (change_pct/momentum 除以 100), 一致性测试计数 26
90 lines
2.8 KiB
Python
90 lines
2.8 KiB
Python
"""MACD 零下回升 — 股价新低而 DIF 拒绝新低 (底背离简化形态)"""
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import numpy as np
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from app.backtest.matrix import (
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MarketDataMatrix,
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SignalMatrix,
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make_signal_matrix,
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matrix_feature,
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)
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from app.backtest.matrix import (
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valid_shift as shift,
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)
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META = {
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"id": "macd_below_zero_revival",
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"name": "MACD 零下回升",
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"description": "股价创阶段新低而 MACD DIF 拒绝新低并回升 (底背离简化), 零轴下方动能修复",
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"tags": ["MACD", "背离", "超跌"],
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"asset_types": ["stock"],
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"timeframes": ["1d"],
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"params": [
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{
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"id": "low_window",
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"label": "新低回看天数",
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"type": "int",
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"default": 20,
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"min": 10,
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"max": 60,
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"step": 5,
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},
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{
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"id": "revive_days",
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"label": "DIF 回升对比天数",
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"type": "int",
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"default": 10,
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"min": 5,
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"max": 20,
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"step": 1,
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},
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],
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"scoring": {"momentum_20d": 0.4, "change_pct": 0.3, "vol_ratio_5d": 0.3},
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"order_by": "score",
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"descending": True,
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"limit": 100,
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}
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EXECUTION_BACKEND = "matrix_native"
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ENTRY_SIGNALS = ["signal_macd_below_zero_revival"]
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EXIT_SIGNALS = ["signal_macd_golden_above_zero"]
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STOP_LOSS = -0.06
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MAX_HOLD_DAYS = 20
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class MACDBelowZeroRevivalMatrixStrategy:
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def required_fields(self) -> frozenset[str]:
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return frozenset({"close", "volume"})
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def required_warmup_bars(self, params: dict) -> int:
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return int(params.get("low_window", 20)) + 40
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def compute_signals(self, market: MarketDataMatrix, params: dict) -> SignalMatrix:
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win = max(5, int(params.get("low_window", 20)))
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revive = max(3, int(params.get("revive_days", 10)))
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dif = matrix_feature(market, "macd_dif")
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# 阶段新低: 今日收盘 <= 前 win 日 (不含今日) 的最低收盘
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prior_min = shift(market.close, 1)
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for k in range(2, win + 1):
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prior_min = np.fmin(prior_min, shift(market.close, k))
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new_low = market.close <= prior_min
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# 零下 + DIF 较 revive 日前抬升 (动能拒绝新低)
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entry = new_low & (dif < 0) & (dif > shift(dif, revive))
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# 出场: DIF 上穿零轴 (修复完成)
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exit_ = (dif > 0) & (shift(dif, 1) <= 0)
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return make_signal_matrix(
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market.shape,
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entry=entry.astype(np.uint8),
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exit=exit_.astype(np.uint8),
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entry_signal_code=np.where(entry, 0, -1).astype(np.int16),
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exit_signal_code=np.where(exit_, 0, -1).astype(np.int16),
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entry_signal_ids=("signal_macd_below_zero_revival",),
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exit_signal_ids=("signal_macd_golden_above_zero",),
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)
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MATRIX_STRATEGY = MACDBelowZeroRevivalMatrixStrategy()
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