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@@ -204,7 +204,7 @@ def initialize(context):
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# 策略品种选择策略配置
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# 方案1：全品种策略 - 考虑所有配置的期货品种
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- g.strategy_focus_symbols = ['AU'] # 空列表表示考虑所有品种
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+ g.strategy_focus_symbols = [] # 空列表表示考虑所有品种
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# 方案2：精选品种策略 - 只交易流动性较好的特定品种（如需使用请取消下行注释）
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# g.strategy_focus_symbols = ['RM', 'CJ', 'CY', 'JD', 'L', 'LC', 'SF', 'SI']
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@@ -603,60 +603,13 @@ def check_open_and_stop(context):
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log.info(f" 方向: {direction}, 开盘价: {open_price:.2f}, 当前价: {current_price:.2f}, "
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f"当天价差: {intraday_diff:.2f}, 变化比例: {intraday_diff_ratio:.2%}")
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- # 判断是否满足开仓条件
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- should_open = False
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-
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- if g.ma_gap_strategy_mode == 1:
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- # 方案1：根据参数决定是否检查日内价差
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- if not g.check_intraday_spread:
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- log.info(f" 方案1跳过日内价差检查（check_intraday_spread=False）")
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- should_open = True
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- elif direction == 'long' and intraday_diff > 0:
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- log.info(f" ✓ 方案1多头当天价差检查通过 ({intraday_diff:.2f} > 0)")
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- should_open = True
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- elif direction == 'short' and intraday_diff < 0:
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- log.info(f" ✓ 方案1空头当天价差检查通过 ({intraday_diff:.2f} < 0)")
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- should_open = True
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- else:
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- log.info(f" ✗ 方案1当天价差不符合{direction}方向要求")
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-
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- elif g.ma_gap_strategy_mode == 2:
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- # 方案2：强制检查日内变化，使用专用阈值
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- if direction == 'long' and intraday_diff_ratio >= g.ma_intraday_threshold_scheme2:
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- log.info(f" ✓ 方案2多头日内变化检查通过 ({intraday_diff_ratio:.2%} >= {g.ma_intraday_threshold_scheme2:.2%})")
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- should_open = True
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- elif direction == 'short' and intraday_diff_ratio <= -g.ma_intraday_threshold_scheme2:
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- log.info(f" ✓ 方案2空头日内变化检查通过 ({intraday_diff_ratio:.2%} <= {-g.ma_intraday_threshold_scheme2:.2%})")
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- should_open = True
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- else:
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- log.info(f" ✗ 方案2日内变化不符合{direction}方向要求（阈值: ±{g.ma_intraday_threshold_scheme2:.2%}）")
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-
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- elif g.ma_gap_strategy_mode == 3:
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- # 方案3：下跳后上涨（多头）或上跳后下跌（空头），并检查当前价格与前一日开盘收盘均值的关系
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- if yesterday_open is not None and yesterday_close is not None:
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- prev_day_avg = (yesterday_open + yesterday_close) / 2
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- log.debug(f" 前一日开盘价: {yesterday_open:.2f}, 前一日收盘价: {yesterday_close:.2f}, 前一日开盘收盘均值: {prev_day_avg:.2f}")
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-
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- if direction == 'long':
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- # 多头：当前价格 >= 前一日开盘收盘均值
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- if current_price >= prev_day_avg:
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- log.info(f" ✓ 方案3多头入场条件通过: 当前价 {current_price:.2f} >= 前日均值 {prev_day_avg:.2f}")
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- should_open = True
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- else:
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- log.info(f" ✗ 方案3多头入场条件未通过: 当前价 {current_price:.2f} < 前日均值 {prev_day_avg:.2f}")
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- elif direction == 'short':
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- # 空头：当前价格 <= 前一日开盘收盘均值
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- if current_price <= prev_day_avg:
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- log.info(f" ✓ 方案3空头入场条件通过: 当前价 {current_price:.2f} <= 前日均值 {prev_day_avg:.2f}")
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- should_open = True
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- else:
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- log.info(f" ✗ 方案3空头入场条件未通过: 当前价 {current_price:.2f} > 前日均值 {prev_day_avg:.2f}")
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- else:
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- log.info(f" ✗ 方案3缺少前一日开盘或收盘价数据")
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+ # 判断是否满足开仓条件 - 仅检查均线穿越得分
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+ should_open = True
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+ log.info(f" 开仓条件简化：仅检查均线穿越得分，跳过策略1,2,3的判断")
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if should_open:
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ma_values = candidate_info.get('ma_values') or {}
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- cross_score = calculate_ma_cross_score(open_price, current_price, ma_values, direction)
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+ cross_score, score_details = calculate_ma_cross_score(open_price, current_price, ma_values, direction)
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# 根据当前时间调整所需的均线穿越得分阈值
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current_time_str = str(context.current_dt.time())[:5] # HH:MM格式
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@@ -665,9 +618,26 @@ def check_open_and_stop(context):
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# 在14:55以外的时间，需要更高的得分阈值
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required_cross_score = g.ma_cross_threshold + 1
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- log.info(f" 均线穿越得分: {cross_score}, 当前时间: {current_time_str}, 所需阈值: {required_cross_score}")
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- if cross_score < required_cross_score:
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- log.info(f" ✗ 均线穿越得分不足（{cross_score} < {required_cross_score}），跳过开仓")
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+ log.info(f" 均线穿越得分: {cross_score}, 得分详情: {score_details}, 当前时间: {current_time_str}, 所需阈值: {required_cross_score}")
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+
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+ # 检查得分是否满足条件
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+ score_passed = False
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+ if cross_score >= required_cross_score:
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+ # 如果得分达到阈值，检查特殊情况：只有1分且来自MA5
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+ if cross_score == 1 and required_cross_score == 1:
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+ # 检查这一分是否来自MA5
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+ from_ma5_only = len(score_details) == 1 and score_details[0]['period'] == 5
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+ if not from_ma5_only:
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+ score_passed = True
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+ log.info(f" ✓ 均线穿越得分检查通过：1分且非来自MA5")
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+ else:
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+ log.info(f" ✗ 均线穿越得分检查未通过：1分且仅来自MA5")
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+ else:
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+ score_passed = True
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+ log.info(f" ✓ 均线穿越得分检查通过")
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+
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+ if not score_passed:
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+ log.info(f" ✗ 均线穿越得分不足或不符合条件（{cross_score} < {required_cross_score} 或 1分来自MA5），跳过开仓")
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continue
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# 执行开仓
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log.info(f" 准备开仓: {symbol} {direction}")
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@@ -903,11 +873,15 @@ def calculate_ma_values(data, periods):
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def calculate_ma_cross_score(open_price, current_price, ma_values, direction):
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- """根据开盘价与当前价统计多周期均线穿越得分"""
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+ """根据开盘价与当前价统计多周期均线穿越得分
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+ 返回: (总得分, 得分详情列表)
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+ 得分详情: [{'period': 5, 'delta': 1}, {'period': 10, 'delta': 1}, ...]
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+ """
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if not ma_values:
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- return 0
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+ return 0, []
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assert direction in ('long', 'short')
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score = 0
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+ score_details = []
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for period in g.ma_periods:
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key = f'MA{period}'
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ma_value = ma_values.get(key)
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@@ -922,11 +896,12 @@ def calculate_ma_cross_score(open_price, current_price, ma_values, direction):
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else:
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delta = -1 if cross_up else 1
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score += delta
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+ score_details.append({'period': period, 'delta': delta})
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log.debug(
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f" 均线穿越[{key}] - 开盘 {open_price:.2f}, 当前 {current_price:.2f}, "
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f"均线 {ma_value:.2f}, 方向 {direction}, 增量 {delta}, 当前得分 {score}"
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)
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- return score
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+ return score, score_details
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def calculate_ma_proximity_counts(data, periods, lookback_days):
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maxfeng