Add trend MACD spot strategy

2026-06-21 09:15:38 +03:00
parent f19856ca6e
commit 8a211acf98
18 changed files with 593 additions and 81 deletions
@@ -22,7 +22,18 @@ class SpotStrategy:
        llm: dict | None = None,
        forecast: dict | None = None,
        account: dict | None = None,
+        trend_candles: list[Candle] | None = None,
    ) -> Signal:
+        if self.settings.strategy_mode == "trend_macd":
+            return _trend_macd_entry_signal(
+                settings=self.settings,
+                symbol=symbol,
+                candles=candles,
+                trend_candles=trend_candles or [],
+                ticker=ticker,
+                open_positions_for_symbol=open_positions_for_symbol,
+                account=account,
+            )
        if ticker is None:
            return Signal(symbol, "HOLD", 0.0, "нет ticker-данных")
        if len(candles) < 200:
@@ -343,6 +354,8 @@ class SpotStrategy:
        learning: dict | None = None,
        forecast: dict | None = None,
    ) -> Signal:
+        if self.settings.strategy_mode == "trend_macd":
+            return _trend_macd_exit_signal(self.settings, position, candles, ticker)
        if ticker is None:
            return Signal(position.symbol, "HOLD", 0.0, "нет ticker-данных для выхода")
        if not candles:
@@ -455,6 +468,192 @@ def _has_entry_indicators(candle: Candle) -> bool:
    )


+def _trend_macd_entry_signal(
+    *,
+    settings: Settings,
+    symbol: str,
+    candles: list[Candle],
+    trend_candles: list[Candle],
+    ticker: Ticker | None,
+    open_positions_for_symbol: int,
+    account: dict | None,
+) -> Signal:
+    if ticker is None:
+        return Signal(symbol, "HOLD", 0.0, "нет ticker-данных")
+    if open_positions_for_symbol > 0:
+        return Signal(symbol, "HOLD", 0.0, "позиция по паре уже открыта")
+    if len(candles) < 60:
+        return Signal(symbol, "HOLD", 0.0, "недостаточно 1h свечей для trend_macd")
+    if len(trend_candles) < 200:
+        return Signal(symbol, "HOLD", 0.0, "недостаточно 1d свечей для EMA200")
+
+    latest = candles[-1]
+    previous = candles[-2]
+    trend_latest = trend_candles[-1]
+    if not _has_trend_entry_indicators(latest, previous, trend_latest):
+        return Signal(symbol, "HOLD", 0.0, "индикаторы trend_macd еще не готовы")
+
+    spread_ok = ticker.spread_percent <= settings.max_spread_percent
+    liquidity_ok = ticker.turnover_24h >= settings.min_24h_turnover_usdt
+    daily_trend_ok = bool(trend_latest.close > trend_latest.ema_200 and trend_latest.ema_50 > trend_latest.ema_200)
+    macd_cross_up = _macd_crossed_up(previous, latest)
+    price_above_ema50 = bool(latest.close > latest.ema_50)
+    rsi_min = min(settings.trend_rsi_min, settings.trend_rsi_max)
+    rsi_max = max(settings.trend_rsi_min, settings.trend_rsi_max)
+    rsi_ok = bool(rsi_min <= latest.rsi_14 <= rsi_max)
+    stop_loss_percent = _clamp(settings.stop_loss_percent, 0.003, 0.08)
+    sizing = _trend_position_sizing(settings, account, stop_loss_percent)
+    position_notional = float(sizing["notional_usdt"])
+    checks = {
+        "spread_ok": spread_ok,
+        "liquidity_ok": liquidity_ok,
+        "daily_trend_ok": daily_trend_ok,
+        "macd_cross_up": macd_cross_up,
+        "price_above_ema50": price_above_ema50,
+        "rsi_ok": rsi_ok,
+        "risk_size_ok": position_notional >= settings.min_position_usdt,
+    }
+    diagnostics = {
+        "strategy_mode": "trend_macd",
+        "trade_mode": "TREND_MACD",
+        "position_notional_usdt": position_notional,
+        "position_sizing": sizing,
+        "stop_loss_percent": stop_loss_percent,
+        "atr_trailing_multiplier": _clamp(settings.atr_trailing_multiplier, 0.5, 10.0),
+        "entry_timeframe": settings.base_interval,
+        "trend_timeframe": settings.trend_interval,
+        "rsi_14": latest.rsi_14,
+        "rsi_min": rsi_min,
+        "rsi_max": rsi_max,
+        "ema_50": latest.ema_50,
+        "macd": latest.macd,
+        "macd_signal": latest.macd_signal,
+        "trend_close": trend_latest.close,
+        "trend_ema_50": trend_latest.ema_50,
+        "trend_ema_200": trend_latest.ema_200,
+        "spread_percent": round(ticker.spread_percent, 5),
+        "turnover_24h": ticker.turnover_24h,
+        "checks": checks,
+        "grid": {"enabled": False, "active": False},
+        "rebound": {"enabled": False, "active": False},
+        "forecast": {},
+        "learning": {},
+        "llm": {},
+    }
+    if all(checks.values()):
+        return Signal(
+            symbol,
+            "BUY",
+            0.86,
+            f"trend_macd: 1d тренд вверх, MACD пересек signal вверх, RSI {latest.rsi_14:.1f}, размер {position_notional:.2f} USDT",
+            diagnostics,
+        )
+    failed = ", ".join(name for name, ok in checks.items() if not ok)
+    return Signal(symbol, "HOLD", 0.35, f"trend_macd: условия входа не выполнены ({failed})", diagnostics)
+
+
+def _trend_macd_exit_signal(
+    settings: Settings,
+    position: Position,
+    candles: list[Candle],
+    ticker: Ticker | None,
+) -> Signal:
+    if ticker is None:
+        return Signal(position.symbol, "HOLD", 0.0, "нет ticker-данных для выхода")
+    if len(candles) < 2:
+        return Signal(position.symbol, "HOLD", 0.0, "недостаточно 1h свечей для выхода")
+    latest = candles[-1]
+    previous = candles[-2]
+    price = ticker.last_price
+    stop_loss_percent = _clamp(settings.stop_loss_percent, 0.003, 0.08)
+    effective_stop_loss = max(position.stop_loss, position.entry_price * (1 - stop_loss_percent))
+    atr_multiplier = _clamp(settings.atr_trailing_multiplier, 0.5, 10.0)
+    atr_trailing_stop = None
+    if latest.atr_14 is not None and position.highest_price > position.entry_price:
+        atr_trailing_stop = max(effective_stop_loss, position.highest_price - latest.atr_14 * atr_multiplier)
+    macd_cross_down = _macd_crossed_down(previous, latest)
+    close_below_ema50 = latest.ema_50 is not None and latest.close < latest.ema_50
+    diagnostics = {
+        "strategy_mode": "trend_macd",
+        "price": price,
+        "entry_price": position.entry_price,
+        "stop_loss": effective_stop_loss,
+        "atr_trailing_stop": atr_trailing_stop,
+        "atr_trailing_multiplier": atr_multiplier,
+        "highest_price": position.highest_price,
+        "ema_50": latest.ema_50,
+        "rsi_14": latest.rsi_14,
+        "atr_14": latest.atr_14,
+        "macd": latest.macd,
+        "macd_signal": latest.macd_signal,
+        "macd_cross_down": macd_cross_down,
+        "close_below_ema50": close_below_ema50,
+    }
+    if price <= effective_stop_loss:
+        return Signal(position.symbol, "SELL", 1.0, "trend_macd: сработал стоп-лосс", diagnostics)
+    if atr_trailing_stop is not None and price <= atr_trailing_stop:
+        return Signal(position.symbol, "SELL", 0.94, "trend_macd: сработал ATR trailing stop", diagnostics)
+    if macd_cross_down:
+        return Signal(position.symbol, "SELL", 0.84, "trend_macd: MACD пересек signal вниз", diagnostics)
+    if close_below_ema50:
+        return Signal(position.symbol, "SELL", 0.82, "trend_macd: 1h свеча закрылась ниже EMA50", diagnostics)
+    return Signal(position.symbol, "HOLD", 0.35, "trend_macd: условия выхода не выполнены", diagnostics)
+
+
+def _has_trend_entry_indicators(current: Candle, previous: Candle, trend: Candle) -> bool:
+    return all(
+        value is not None
+        for value in (
+            current.ema_50,
+            current.rsi_14,
+            current.atr_14,
+            current.macd,
+            current.macd_signal,
+            previous.macd,
+            previous.macd_signal,
+            trend.ema_50,
+            trend.ema_200,
+        )
+    )
+
+
+def _macd_crossed_up(previous: Candle, current: Candle) -> bool:
+    if None in (previous.macd, previous.macd_signal, current.macd, current.macd_signal):
+        return False
+    return bool(previous.macd <= previous.macd_signal and current.macd > current.macd_signal)
+
+
+def _macd_crossed_down(previous: Candle, current: Candle) -> bool:
+    if None in (previous.macd, previous.macd_signal, current.macd, current.macd_signal):
+        return False
+    return bool(previous.macd >= previous.macd_signal and current.macd < current.macd_signal)
+
+
+def _trend_position_sizing(
+    settings: Settings,
+    account: dict | None,
+    stop_loss_percent: float,
+) -> dict[str, float | str]:
+    equity = _safe_float((account or {}).get("equity"), settings.starting_balance_usdt)
+    if equity <= 0:
+        equity = settings.starting_balance_usdt
+    risk_fraction = _clamp(settings.risk_per_trade_percent, 0.0, 0.01)
+    risk_usdt = equity * risk_fraction
+    raw_notional = risk_usdt / max(stop_loss_percent, 0.0001)
+    high = max(0.0, settings.max_position_usdt)
+    low = max(0.0, settings.min_position_usdt)
+    notional = 0.0 if raw_notional < low else min(raw_notional, high)
+    return {
+        "method": "fixed_fractional_risk",
+        "risk_per_trade_percent": round(risk_fraction * 100, 4),
+        "risk_usdt": round(risk_usdt, 4),
+        "stop_loss_percent": round(stop_loss_percent * 100, 4),
+        "raw_notional_usdt": round(raw_notional, 4),
+        "notional_usdt": round(notional, 2),
+        "equity_usdt": round(equity, 2),
+    }
+
+
 def _decision_suffix(pattern: dict, learning: dict, llm: dict | None = None) -> str:
    parts: list[str] = []
    label = pattern.get("label")