mirror of
https://github.com/silencesdg/mt5_python_ea_suite.git
synced 2026-07-28 11:17:43 +00:00
songkl
878e0f4a03
新增: - core/risk/hedge.py: 对冲管理器 - 信号对冲: 加权信号反向超阈值→半仓反向 - 回撤锁仓: 浮亏超-0.3%→全仓锁死 - 自动解锁: 信号回正/对冲止盈0.5% 改动: - run/backtest.py: 支持远程数据源回测 - run/realtime.py: 远程/本地双模式 - core/risk/position.py: 集成HedgeManager - core/risk/controller.py: 传递weighted_signal - execution/realtime_trader.py: 传入加权信号 - core/data/live.py, utils.py: MetaTrader5懒加载(ARM兼容) - config.py: HEDGE_CONFIG, REMOTE配置, INITIAL_CAPITAL=1944 今日实盘: 9单, +7.4% (944→088)
288 lines
7.8 KiB
Python
288 lines
7.8 KiB
Python
# MT5 代理服务配置
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SERVER_HOST = "0.0.0.0"
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SERVER_PORT = 5555
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# 远端客户端配置（迁移到其他电脑时填写 MT5 机器的 IP）
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REMOTE_SERVER_HOST = "192.168.1.5"
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REMOTE_SERVER_PORT = 5555
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# 数据提供者模式: "remote" (远程HTTP API) / "local" (本机MT5)
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DATA_PROVIDER_MODE = "remote"
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# 交易配置
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SYMBOL = "XAUUSDz"
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INITIAL_CAPITAL = 1944 # 初始资金（2026-05-12 实盘余额 $1944.27）
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# 时间配置
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TIMEFRAME = 1# M1 (1分钟图) - MT5常量值
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# 回测时间范围 (格式: "YYYY-MM-DD")
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BACKTEST_START_DATE = "2025-05-01"
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BACKTEST_END_DATE = "2025-08-01"
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# 优化器时间范围 (格式: "YYYY-MM-DD")
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OPTIMIZER_START_DATE = "2025-04-01"
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OPTIMIZER_END_DATE = "2025-05-01"
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# 安全设置：如果日期获取失败，自动回退到数据量模式
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USE_DATE_RANGE = False # 设置为False可强制使用数据量模式
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# 兼容性配置 (如果日期配置不可用，则使用数据量)
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BACKTEST_COUNT = 30000 # 回测数据量
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OPTIMIZER_COUNT = 50000 # 优化器数据量
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RISK_CONFIG_CONST = {
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'enable_time_based_exit': True
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}
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# 资金分配配置
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CAPITAL_ALLOCATION = {
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"long_pct": 0.7, # 多头持仓分配资金比例
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"short_pct": 0.3, # 空头持仓分配资金比例
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}
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# 模拟交易特定配置 (用于dry_run模式)
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SIMULATION_CONFIG = {
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"leverage": 100, # 模拟杠杆
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"contract_size": 1, # XAUUSD的合约大小
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"volume_step": 0.01, # 交易手数步长
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"volume_min": 0.01, # 最小交易手数
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"volume_max": 100.0, # 最大交易手数
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"spread": 16, # 点差（点数）
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}
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# 回测配置
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BACKTEST_CONFIG = {
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"trade_direction": "both", # 交易方向: "long"(只做多), "short"(只做空), "both"(多空都支持)
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"spread": 16, # 点差（点数）
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}
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# 实时交易配置
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REALTIME_CONFIG = {
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"update_interval": 5, # 更新间隔（秒）
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"daily_reset_time": "00:00", # 每日重置时间
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"max_long_positions": 3, # 最大多头持仓数（增加为3个）
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"max_short_positions": 3, # 最大空头持仓数（增加为3个）
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"min_trade_interval": 0, # 最小交易间隔（分钟），0表示无限制
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"enable_auto_trading": True, # 是否启用自动交易
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"dry_run": False, # 是否为模拟运行（不实际下单）
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"logging_level": "DEBUG", # 日志级别
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"trade_direction": "both", # 交易方向: "long"(只做多), "short"(只做空), "both"(多空都支持)
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}
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# 对冲配置（信号对冲 + 回撤锁仓）
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HEDGE_CONFIG = {
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# ── 信号对冲 ──
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"signal_hedge_enabled": True, # 启用信号对冲
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"signal_hedge_threshold": 2.0, # 加权信号绝对值超此值触发对冲
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"signal_hedge_ratio": 0.5, # 对冲手数比例 (0.5=半仓对冲)
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"signal_unhedge_threshold": 1.0, # 信号回到此值以下解锁
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# ── 回撤锁仓 ──
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"drawdown_hedge_enabled": True, # 启用回撤锁仓
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"drawdown_hedge_pct": -0.003, # 浮亏超-0.3%触发锁仓
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"drawdown_hedge_ratio": 1.0, # 锁仓比例 (1.0=全额锁仓)
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# ── 对冲单止盈 ──
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"hedge_take_profit_pct": 0.005, # 对冲单自身盈利0.5%止盈
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# ── 风控限制 ──
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"max_hedges_per_day": 5, # 每日最多对冲5次
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}
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# 数据获取配置
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DATA_CONFIG = {
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"m1_bars_count": 5000, # 1分钟K线数据获取数量
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}
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# 遗传算法优化器配置
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GENETIC_OPTIMIZER_CONFIG = {
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# 算法参数
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"population_size": 50, # 种群大小
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"generations": 10, # 进化代数
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"crossover_probability": 0.7, # 交叉概率
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"mutation_probability": 0.3, # 变异概率
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# 选择算法参数
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"tournament_size": 3, # 锦标赛选择大小
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# 变异算法参数
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"mutation_mu": 0, # 变异均值
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"mutation_sigma": 0.1, # 变异标准差
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"mutation_indpb": 0.1, # 变异概率（每个基因）
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# 并行处理
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"enable_multiprocessing": True, # 启用多进程
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"processes": None, # 进程数，None表示自动检测
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# 输出控制
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"verbose": True, # 详细输出
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"save_generation_info": True, # 保存代数信息
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}
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'''
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此处上面的是固定的参数，可手动调整
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--------------------------------------------------------
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此处下面所有参数，都将进入优化器进行优化
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'''
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# 信号阈值配置（优化器结果 2026-05-10，5万根M1数据）
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SIGNAL_THRESHOLDS = {
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"buy_threshold": 1.344,
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"sell_threshold": -2.980
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}
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# 风险管理参数（优化器结果 2026-05-10，5万根M1数据）
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RISK_CONFIG = {
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"stop_loss_pct": -0.046,
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"profit_retracement_pct": 0.070,
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"min_profit_for_trailing": 0.009,
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"take_profit_pct": 0.246,
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"max_daily_loss": -0.3,
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"max_holding_minutes": 133,
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"min_profit_for_time_exit": 0.010,
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"cooldown_bars": 30
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}
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# 市场状态分析参数
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MARKET_STATE_CONFIG = {
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"trend_period": 24,
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"retracement_tolerance": 0.425,
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"volume_period": 21,
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"volume_ma_period": 12
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}
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# 策略参数配置（优化器结果 2026-05-10，5万根M1数据）
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STRATEGY_CONFIG = {
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"ma_cross": {
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"short_window": 12,
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"long_window": 30
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},
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"rsi": {
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"period": 21,
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"overbought": 75,
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"oversold": 26
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},
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"bollinger": {
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"period": 20,
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"std_dev": 2.162
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},
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"macd": {
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"fast_ema": 16,
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"slow_ema": 34,
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"signal_period": 12
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},
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"mean_reversion": {
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"period": 29,
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"std_dev": 2.149
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},
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"momentum_breakout": {
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"period": 15,
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"momentum_period": 17
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},
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"kdj": {
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"period": 21
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},
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"turtle": {
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"period": 42
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},
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"daily_breakout": {
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"bars_count": 746
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},
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"wave_theory": {
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"ema_short": 3,
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"ema_medium": 16,
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"ema_long": 26,
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"wave_period": 32,
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"range_period": 30,
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"adx_period": 23,
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"momentum_period": 10,
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"range_threshold": 0.002,
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"adx_threshold": 23
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}
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}
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# 市场趋势判断权重配置
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TREND_INDICATOR_WEIGHTS = {
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"price_breakout": -0.0949,
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"volume_confirmation": 0.5277,
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"momentum oscillator": 0.3677,
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"moving_average": 0.1506
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}
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# 趋势判断阈值
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TREND_THRESHOLDS = {
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"strong_trend": 0.4182,
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"weak_trend": 0.2164,
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"volume_spike": 1.5843,
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"oversold": 24,
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"overbought": 80
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}
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# 动态权重配置（优化器结果 2026-05-10，5万根M1数据）
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DEFAULT_WEIGHTS = {
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"ma_cross": 0.809,
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"rsi": 1.141,
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"bollinger": 0.389,
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"mean_reversion": 1.106,
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"momentum_breakout": 0.147,
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"macd": 1.181,
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"kdj": 1.525,
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"turtle": 0.559,
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"daily_breakout": 1.846,
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"wave_theory": 1.361
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}
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# 市场状态策略权重配置
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MARKET_STATE_WEIGHTS = {
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"uptrend": {
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"ma_cross": 1.50,
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"momentum_breakout": 1.20,
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"turtle": 0.25,
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"macd": 0.35,
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"daily_breakout": 1.50,
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"rsi": 1.00,
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"bollinger": 1.00,
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"kdj": 0.40,
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"mean_reversion": 0.80,
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"wave_theory": 0.20
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},
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"downtrend": {
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"ma_cross": 1.50,
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"momentum_breakout": 1.20,
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"turtle": 0.25,
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"macd": 0.35,
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"daily_breakout": 1.50,
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"rsi": 1.00,
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"bollinger": 1.00,
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"kdj": 0.40,
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"mean_reversion": 0.80,
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"wave_theory": 0.20
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},
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"ranging": {
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"rsi": 1.60,
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"bollinger": 1.70,
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"mean_reversion": 1.50,
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"kdj": 1.00,
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"wave_theory": 0.50,
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"ma_cross": 0.70,
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"macd": 0.20,
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"turtle": 0.10,
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"momentum_breakout": 0.50,
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"daily_breakout": 0.90
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},
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"none": DEFAULT_WEIGHTS
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}
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# 市场趋势置信度阈值配置
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CONFIDENCE_THRESHOLDS = {
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"high_confidence": 0.8474,
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"medium_confidence": 0.4964
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}
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