mirror of
https://github.com/shy3130/tick-stock-panel.git
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106 lines
3.5 KiB
Python
106 lines
3.5 KiB
Python
"""均线粘合突破 — MA5/10/20 挤压收敛后放量向上突破 (变盘启动点)"""
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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": "ma_convergence_breakout",
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"name": "均线粘合突破",
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"description": "MA5/10/20 粘合收敛后放量突破, 挤压释放的变盘启动点",
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"tags": ["均线", "粘合", "突破"],
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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": "spread_pct_max",
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"label": "粘合带宽上限% (三线极差/MA20)",
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"type": "float",
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"default": 2.5,
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"min": 0.5,
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"max": 8.0,
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"step": 0.5,
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},
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{
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"id": "squeeze_days",
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"label": "粘合持续天数",
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"type": "int",
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"default": 5,
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"min": 3,
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"max": 15,
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"step": 1,
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},
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{
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"id": "min_change_pct",
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"label": "突破日最低涨幅%",
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"type": "float",
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"default": 2.0,
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"min": 0.0,
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"max": 10.0,
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"step": 0.5,
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},
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{"id": "require_volume", "label": "要求量比配合", "type": "bool", "default": True},
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],
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"scoring": {"vol_ratio_5d": 0.4, "change_pct": 0.3, "momentum_20d": 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_convergence_breakout"]
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EXIT_SIGNALS = ["signal_ma10_lose"]
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STOP_LOSS = -0.06
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MAX_HOLD_DAYS = 15
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class MAConvergenceBreakoutMatrixStrategy:
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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 20 + int(params.get("squeeze_days", 5))
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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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band_top = np.maximum(np.maximum(ma5, ma10), ma20)
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band_bot = np.minimum(np.minimum(ma5, ma10), ma20)
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spread = np.abs(band_top - band_bot) / ma20 * 100.0
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# 粘合: 近 squeeze_days 日 (含昨日, 不含今日) 带宽持续低于阈值
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days = max(2, int(params.get("squeeze_days", 5)))
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tight = spread <= float(params.get("spread_pct_max", 2.5))
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squeeze = shift(tight, 1).astype(bool)
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for k in range(2, days + 1):
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squeeze &= shift(tight, k).astype(bool)
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# 今日变盘: 放量阳线脱离粘合带, 收盘站上三线上方
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entry = squeeze & (market.close > band_top)
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entry &= matrix_feature(market, "change_pct") >= float(params.get("min_change_pct", 2.0)) / 100.0
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if params.get("require_volume", True):
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entry &= matrix_feature(market, "vol_ratio_5d") >= 1.2
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exit_ = market.close < ma10
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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_ma_convergence_breakout",),
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exit_signal_ids=("signal_ma10_lose",),
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)
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MATRIX_STRATEGY = MAConvergenceBreakoutMatrixStrategy()
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