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82 lines
2.7 KiB
Python
82 lines
2.7 KiB
Python
"""均线多头 — MA5>MA10>MA20>MA60 + 短期动量为正"""
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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": "bullish_alignment",
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"name": "均线多头",
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"description": "MA5>MA10>MA20>MA60多头排列 + 短期动量为正",
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"tags": ["均线", "多头"],
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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": "require_ma_alignment",
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"label": "要求均线多头排列",
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"type": "bool",
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"default": True,
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},
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{
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"id": "require_positive_momentum",
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"label": "要求20日动量为正",
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"type": "bool",
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"default": True,
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},
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],
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"scoring": {"momentum_60d": 0.4, "momentum_20d": 0.3, "turnover_rate": 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_ma_golden_5_20", "signal_ma_golden_20_60"]
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EXIT_SIGNALS = ["signal_ma_dead_5_20", "signal_ma20_breakdown"]
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STOP_LOSS = -0.06
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MAX_HOLD_DAYS = 20
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class BullishAlignmentMatrixStrategy:
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def required_fields(self) -> frozenset[str]:
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return frozenset({"close"})
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def required_warmup_bars(self, params: dict) -> int:
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del params
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return 60
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def compute_signals(self, market: MarketDataMatrix, params: dict) -> SignalMatrix:
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ma5 = matrix_feature(market, "ma5")
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ma10 = matrix_feature(market, "ma10")
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ma20 = matrix_feature(market, "ma20")
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ma60 = matrix_feature(market, "ma60")
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entry = np.ones(market.shape, dtype=bool)
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if params.get("require_ma_alignment", True):
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entry &= (ma5 > ma10) & (ma10 > ma20) & (ma20 > ma60)
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if params.get("require_positive_momentum", True):
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entry &= matrix_feature(market, "momentum_20d") > 0
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ma_dead = (ma5 < ma20) & (shift(ma5, 1) >= shift(ma20, 1))
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ma20_breakdown = (market.close < ma20) & (shift(market.close, 1) >= shift(ma20, 1))
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exit_ = ma_dead | ma20_breakdown
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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(ma_dead, 0, np.where(ma20_breakdown, 1, -1)).astype(np.int16),
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entry_signal_ids=("signal_ma_golden_5_20", "signal_ma_golden_20_60"),
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exit_signal_ids=("signal_ma_dead_5_20", "signal_ma20_breakdown"),
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)
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MATRIX_STRATEGY = BullishAlignmentMatrixStrategy()
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