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https://ghfast.top/https://github.com/aeroxw/tick-stock-panel.git
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100 lines
2.9 KiB
Python
100 lines
2.9 KiB
Python
"""MACD金叉放量 — MACD金叉当日 + 量能放大"""
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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_ewm_adjust_false as ewm_adjust_false,
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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_golden",
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"name": "MACD 金叉放量",
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"description": "MACD金叉当日 + 量能放大",
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"tags": ["MACD", "金叉", "放量"],
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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_macd_golden", "label": "要求MACD金叉", "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": 1.5,
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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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"scoring": {"momentum_60d": 0.4, "vol_ratio_5d": 0.3, "change_pct": 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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ENTRY_SIGNALS = ["signal_macd_golden"]
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EXIT_SIGNALS = ["signal_macd_dead"]
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EXECUTION_BACKEND = "matrix_native"
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STOP_LOSS = -0.07
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MAX_HOLD_DAYS = 20
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class MACDGoldenMatrixStrategy:
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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(
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self,
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market: MarketDataMatrix,
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params: dict,
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) -> SignalMatrix:
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valid = np.isfinite(market.close)
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ema12 = ewm_adjust_false(market.close, valid, span=12)
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ema26 = ewm_adjust_false(market.close, valid, span=26)
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dif = ema12 - ema26
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dif_valid = np.isfinite(dif)
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dea = ewm_adjust_false(dif, dif_valid, span=9)
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previous_dif = shift(dif, 1, dif_valid)
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previous_dea = shift(dea, 1, np.isfinite(dea))
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golden = (dif > dea) & (previous_dif <= previous_dea)
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dead = (dif < dea) & (previous_dif >= previous_dea)
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entry = (
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golden
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if params.get("require_macd_golden", True)
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else np.ones(
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market.shape,
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dtype=bool,
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)
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)
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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", 1.5)
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)
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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_macd_golden",),
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exit_signal_ids=("signal_macd_dead",),
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)
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MATRIX_STRATEGY = MACDGoldenMatrixStrategy()
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