mike
657dc41c46
- OKX交易自动化 (okx-auto-position, okx-crypto, okx-exchange) - 交易信号处理 (signal-confirmation-templates, trading-signal-aggregator) - 量化因子挖掘 (quant-factor-mining) - 长桥集成 (longbridge-cli, longbridge-python-sdk) - 六合彩分析 (lottery-hk) - 股息投资 (dividend-investing, dividend-scanner) - 日内交易 (intraday-trading) - 同花顺 (tonghuashun)
72 lines
2.3 KiB
Markdown
72 lines
2.3 KiB
Markdown
# A+E+D 止盈止损策略
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三合一套餐：多周期ATR融合(A) + 跟踪止损(E) + 自适应盈亏比(D)
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## 第一层：入场止损 — 多周期ATR融合 (A)
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```
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SL距离 = (ATR_1H × 0.5 + ATR_4H × 0.3 + ATR_1D × 0.2) × 1.5
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做多: SL = 入场价 - SL距离
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做空: SL = 入场价 + SL距离
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```
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**为什么用多周期：** 1H(50%)应对短期波动，4H(30%)做主心骨，1D(20%)兜底。避免单根4H大K线拉偏ATR导致止损过宽。
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## 第二层：跟踪止损 (E) — 持仓后动态调整
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```
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阶段1：初始SL = 第一层的SL距离
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阶段2：浮盈 > ATR融合×1.0 → SL移到入场±ATR融合×0.3（保本）
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阶段3：浮盈 > ATR融合×2.0 → SL跟踪，跟踪距离=ATR融合×1.2
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```
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实现方式：trading cron 定时轮询（15min间隔），reduceOnly模式。
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## 第三层：自适应盈亏比 (D)
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趋势强度判断（EMA12-EMA26斜率）：
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| 斜率 | 趋势 | R:R | 策略 |
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|------|------|:---:|------|
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| > +0.5 | strong_up | 3.0 | 强趋势多拿一会 |
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| < -0.5 | strong_down | 3.0 | 强趋势多拿一会 |
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| \|slope\| < 0.1 | ranging | 1.5 | 震荡见好就收 |
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| 其他 | weak_trend | 2.0 | 正常 |
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## 完整流程
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```python
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def calc_tp_sl(entry, side, exchange, symbol):
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# A: 多周期ATR
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fused, _, _, _ = calc_multi_atr(exchange, symbol)
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sl_distance = fused if fused else entry * 0.03
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# D: 自适应R:R
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trend, slope = estimate_trend_strength(exchange, symbol)
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rr = {'strong_up':3.0,'strong_down':3.0,'ranging':1.5}.get(trend, 2.0)
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if side == 'sell':
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sl = entry + sl_distance
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tp = entry - sl_distance * rr
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else:
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sl = entry - sl_distance
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tp = entry + sl_distance * rr
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return tp, sl, rr, trend
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# E: 跟踪止损（持仓后循环执行）
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def update_trail(entry, current, side, fused):
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upl = abs(current - entry) # 每张
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if upl > fused * 2.0: # 阶段3
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trail = fused * 1.2
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return current - trail if side == 'buy' else current + trail
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if upl > fused * 1.0: # 阶段2
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return entry + fused * 0.3 if side == 'sell' else entry - fused * 0.3
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return None # 保持初始SL
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```
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## 参数调整
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- **高波动币种** (ATR% > 5%)：×1.5 → ×2.0
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- **低波动币种** (ATR% < 1%)：×1.5 → ×1.0
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- **数据不足**：退回到单4H ATR×1.5
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