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88 lines
2.8 KiB
Python
88 lines
2.8 KiB
Python
"""MA金叉 — MA5上穿MA20 + 量能配合 + MA60上方"""
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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": "ma_golden_cross",
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"name": "MA 金叉",
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"description": "MA5上穿MA20当日触发, 量能配合",
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"tags": ["均线", "金叉"],
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"asset_types": ["stock", "etf"],
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"timeframes": ["1d"],
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"params": [
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{"id": "require_ma_golden", "label": "要求MA5上穿MA20", "type": "bool", "default": True},
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{"id": "use_volume_filter", "label": "启用量比过滤", "type": "bool", "default": True},
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{
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"id": "vol_ratio_min",
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"label": "最低量比",
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"type": "float",
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"default": 1.2,
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"min": 0.5,
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"max": 5.0,
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"step": 0.1,
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},
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{
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"id": "require_above_ma60",
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"label": "要求收盘价在MA60上方",
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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_20d": 0.5, "vol_ratio_5d": 0.3, "change_pct": 0.2},
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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"]
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EXIT_SIGNALS = ["signal_ma_dead_5_20"]
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STOP_LOSS = -0.06
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MAX_HOLD_DAYS = 15
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class MAGoldenCrossMatrixStrategy:
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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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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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ma20 = matrix_feature(market, "ma20")
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golden = (ma5 > ma20) & (shift(ma5, 1) <= shift(ma20, 1))
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dead = (ma5 < ma20) & (shift(ma5, 1) >= shift(ma20, 1))
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entry = np.ones(market.shape, dtype=bool)
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if params.get("require_ma_golden", True):
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entry &= golden
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if params.get("use_volume_filter", True):
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entry &= matrix_feature(market, "vol_ratio_5d") >= float(
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params.get("vol_ratio_min", 1.2)
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)
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if params.get("require_above_ma60", True):
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entry &= market.close > matrix_feature(market, "ma60")
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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=dead.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(dead, 0, -1).astype(np.int16),
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entry_signal_ids=("signal_ma_golden_5_20",),
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exit_signal_ids=("signal_ma_dead_5_20",),
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)
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MATRIX_STRATEGY = MAGoldenCrossMatrixStrategy()
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