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https://ghfast.top/https://github.com/aeroxw/tick-stock-panel.git
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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
99 lines
3.0 KiB
Python
99 lines
3.0 KiB
Python
"""RSI 中轴回踩 — 强趋势中 RSI 回落至 50 中轴附近而不破, 低吸点"""
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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": "rsi_midline_pullback",
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"name": "RSI 中轴回踩",
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"description": "多头趋势 (MA60 上方) 中 RSI 回落至 50 中轴区间企稳, 强势股低吸",
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"tags": ["RSI", "趋势", "低吸"],
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"asset_types": ["stock", "etf"],
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"timeframes": ["1d"],
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"params": [
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{
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"id": "rsi_period",
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"label": "RSI 周期",
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"type": "int",
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"default": 14,
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"min": 6,
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"max": 24,
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"step": 2,
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},
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{
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"id": "mid_low",
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"label": "中轴区间下沿",
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"type": "float",
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"default": 45.0,
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"min": 30.0,
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"max": 55.0,
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"step": 1.0,
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},
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{
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"id": "mid_high",
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"label": "中轴区间上沿",
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"type": "float",
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"default": 60.0,
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"min": 45.0,
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"max": 70.0,
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"step": 1.0,
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},
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],
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"scoring": {"momentum_20d": 0.4, "up_days_20d": 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_rsi_midline_pullback"]
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EXIT_SIGNALS = ["signal_rsi_midline_fail"]
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STOP_LOSS = -0.06
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MAX_HOLD_DAYS = 15
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class RSIMidlinePullbackMatrixStrategy:
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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("rsi_period", 14)) + 60
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def compute_signals(self, market: MarketDataMatrix, params: dict) -> SignalMatrix:
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rsi = matrix_feature(market, f"rsi_{int(params.get('rsi_period', 14))}")
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lo = float(params.get("mid_low", 45.0))
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hi = float(params.get("mid_high", 60.0))
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# 趋势前提: MA60 上方; 今日 RSI 落在中轴区间
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entry = market.close > matrix_feature(market, "ma60")
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entry &= (rsi >= lo) & (rsi <= hi)
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# 回踩而非走坏: 近5日内出现过 RSI > hi+5 (强势记忆), 且今日未破中轴下沿
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was_strong = shift(rsi, 1) > hi + 5
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for k in range(2, 6):
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was_strong |= shift(rsi, k) > hi + 5
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entry &= was_strong
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exit_ = market.close < matrix_feature(market, "ma20")
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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_rsi_midline_pullback",),
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exit_signal_ids=("signal_rsi_midline_fail",),
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)
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MATRIX_STRATEGY = RSIMidlinePullbackMatrixStrategy()
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