/**
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* MACD和MA组合交易策略实现类
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* 基于15分钟K线数据生成交易信号并确定持仓方向
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*
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* 该策略综合考虑了EMA指标、MACD指标、价格突破信号和波动率因素，
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* 形成了一套完整的开仓、平仓和持仓管理机制。
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*/
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package com.xcong.excoin.modules.okxNewPrice.indicator.macdAndMatrategy;
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import lombok.extern.slf4j.Slf4j;
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import java.math.BigDecimal;
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import java.util.List;
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/**
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* MACD和MA组合交易策略实现
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* <p>
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* 该策略利用EMA交叉、MACD指标、价格突破信号和波动率过滤，
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* 为15分钟K线级别交易提供综合决策支持。
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*/
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@Slf4j
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public class MacdMaStrategy {
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/** 持仓状态枚举 */
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public enum PositionType {
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/** 多头持仓 */
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LONG,
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/** 空头持仓 */
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SHORT,
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/** 空仓 */
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NONE
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}
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// 策略参数
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private int shortPeriod; // 短期EMA周期
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private int longPeriod; // 长期EMA周期
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private int signalPeriod; // MACD信号线周期
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private int volatilityPeriod; // 波动率计算周期
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private BigDecimal stopLossRatio; // 止损比例
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private BigDecimal takeProfitRatio; // 止盈比例
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// 持仓信息
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private BigDecimal entryPrice; // 开仓价格
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private long entryTime; // 开仓时间戳
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/**
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* 默认构造函数，使用标准MACD参数
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* 短期周期=12, 长期周期=26, 信号线周期=9, 波动率周期=20
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* 止损比例=1%, 止盈比例=2%
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*/
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public MacdMaStrategy() {
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this(12, 26, 9, 20, new BigDecimal("0.01"), new BigDecimal("0.02"));
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}
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/**
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* 自定义参数构造函数
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*
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* @param shortPeriod 短期EMA周期
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* @param longPeriod 长期EMA周期
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* @param signalPeriod MACD信号线周期
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* @param volatilityPeriod 波动率计算周期
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* @param stopLossRatio 止损比例
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* @param takeProfitRatio 止盈比例
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*/
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public MacdMaStrategy(int shortPeriod, int longPeriod, int signalPeriod, int volatilityPeriod,
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BigDecimal stopLossRatio, BigDecimal takeProfitRatio) {
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this.shortPeriod = shortPeriod;
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this.longPeriod = longPeriod;
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this.signalPeriod = signalPeriod;
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this.volatilityPeriod = volatilityPeriod;
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this.stopLossRatio = stopLossRatio;
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this.takeProfitRatio = takeProfitRatio;
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// 初始化持仓状态为空仓
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this.entryPrice = BigDecimal.ZERO;
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this.entryTime = 0;
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}
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/**
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* 分析最新价格数据并生成交易信号
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*
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* @param closePrices 收盘价序列
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* @return 生成的交易信号（LONG、SHORT或NONE）
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*/
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public PositionType analyze(List<BigDecimal> closePrices) {
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// 数据检查：确保有足够的数据点进行计算
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if (closePrices == null || closePrices.size() < 34) {
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return PositionType.NONE; // 数据不足，无法生成信号
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}
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// 1. 计算MACD指标
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MACDResult macdResult = MACDCalculator.calculateMACD(
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closePrices, shortPeriod, longPeriod, signalPeriod);
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// 2. 计算波动率
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Volatility volatility = new Volatility(volatilityPeriod);
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for (int i = Math.max(0, closePrices.size() - volatilityPeriod);
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i < closePrices.size(); i++) {
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volatility.addPrice(closePrices.get(i));
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}
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volatility.calculate();
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// 最新收盘价
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BigDecimal latestPrice = closePrices.get(closePrices.size() - 1);
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// 3. 检查开平仓条件
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// 多头开仓条件检查
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if (isLongEntryCondition(macdResult, closePrices, volatility.getValue())) {
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// 执行开多
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this.entryPrice = latestPrice;
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this.entryTime = System.currentTimeMillis();
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return PositionType.LONG;
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}
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// 空头开仓条件检查
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if (isShortEntryCondition(macdResult, closePrices, volatility.getValue())) {
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// 执行开空
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this.entryPrice = latestPrice;
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this.entryTime = System.currentTimeMillis();
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return PositionType.SHORT;
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}
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// 无信号
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return PositionType.NONE;
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}
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/**
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* 交易指令类，封装side和posSide的组合
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*/
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public static class TradingOrder {
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private String side; // buy或sell
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private String posSide; // long或short
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public TradingOrder(String side, String posSide) {
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this.side = side;
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this.posSide = posSide;
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}
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public String getSide() {
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return side;
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}
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public String getPosSide() {
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return posSide;
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}
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@Override
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public String toString() {
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return String.format("TradingOrder{side='%s', posSide='%s'}", side, posSide);
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}
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}
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/**
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* 分析历史价格数据并生成交易指令
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*
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* @param historicalPrices 历史价格序列
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* @return 交易指令（包含side和posSide），如果没有交易信号则返回null
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*/
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public TradingOrder generateTradingOrder(List<BigDecimal> historicalPrices) {
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PositionType signal = analyze(historicalPrices);
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// 根据信号和当前持仓状态生成交易指令
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if (signal == PositionType.LONG) {
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// 开多：买入开多（side 填写 buy； posSide 填写 long ）
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return new TradingOrder("buy", "long");
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} else if (signal == PositionType.SHORT) {
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// 开空：卖出开空（side 填写 sell； posSide 填写 short ）
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return new TradingOrder("sell", "short");
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}
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// 没有交易信号
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return null;
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}
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/**
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* 多头开仓条件检查
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*
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* @param macdResult MACD计算结果
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* @param closePrices 收盘价序列
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* @param volatility 当前波动率
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* @return 是否满足多头开仓条件
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*/
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private boolean isLongEntryCondition(MACDResult macdResult, List<BigDecimal> closePrices, BigDecimal volatility) {
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// 1. EMA金叉检查（简化为只检查当前短期EMA > 当前长期EMA）
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List<PriceData> macdData = macdResult.getMacdData();
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if (macdData.size() < 1) {
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return false;
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}
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boolean bullishSignalFormed = BullishSignalDetector.isBullishSignalFormed(macdResult, closePrices);
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boolean isExpanding = isExpanding(macdResult);
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PriceData latest = macdData.get(macdData.size() - 1);
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// 2. MACD柱状线为正
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boolean macdPositive = latest.getMacdHist().compareTo(BigDecimal.ZERO) > 0;
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// 3. 简化的波动率检查
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boolean volatilityFilter = volatility.compareTo(BigDecimal.ZERO) > 0;
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if ( bullishSignalFormed && macdPositive && volatilityFilter){
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log.info( "EMA金叉: {},扩张：{}", bullishSignalFormed,isExpanding);
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log.info( "MACD柱状线为正: {}" ,macdPositive);
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log.info( "波动率过滤: {}" ,volatilityFilter);
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}
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// 只需要EMA短期在长期上方、MACD柱状线为正且波动率大于0
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return bullishSignalFormed && macdPositive && isExpanding && volatilityFilter;
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}
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/**
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* 空头开仓条件检查
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*
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* @param macdResult MACD计算结果
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* @param closePrices 收盘价序列
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* @param volatility 当前波动率
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* @return 是否满足空头开仓条件
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*/
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private boolean isShortEntryCondition(MACDResult macdResult, List<BigDecimal> closePrices,
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BigDecimal volatility) {
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List<PriceData> macdData = macdResult.getMacdData();
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if (macdData.size() < 1) {
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return false;
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}
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boolean bearishSignalFormed = BearishSignalDetector.isBearishSignalFormed(macdResult, closePrices);
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// 2. MACD柱状线收缩+死叉检查
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boolean isContracting = isContracting(macdResult);
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// 2. MACD柱状线为负
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PriceData latest = macdData.get(macdData.size() - 1);
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boolean macdPositive = latest.getMacdHist().compareTo(BigDecimal.ZERO) < 0;
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// 4. 波动率过滤检查（0.5% ~ 5%）
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boolean volatilityFilter = isVolatilityInRange(volatility);
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if ( isContracting&& volatilityFilter){
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log.info( "MACD柱状线死叉: {},收缩: {}", bearishSignalFormed,isContracting);
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log.info( "MACD柱状线为负: {}" ,macdPositive);
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log.info( "波动率过滤: {}", volatilityFilter);
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}
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// 所有条件必须同时满足
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return isContracting && volatilityFilter && macdPositive && bearishSignalFormed;
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}
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/**
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* MACD金叉且柱状线扩张检查
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*
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* @param macdResult MACD计算结果
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* @return 是否形成MACD金叉且柱状线扩张
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*/
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private boolean isExpanding(MACDResult macdResult) {
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List<PriceData> macdData = macdResult.getMacdData();
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if (macdData.size() < 3) {
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return false;
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}
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PriceData latest = macdData.get(macdData.size() - 1);
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PriceData previous = macdData.get(macdData.size() - 2);
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// 2. MACD柱状线扩张检查
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boolean histogramExpanding =
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previous.getMacdHist().compareTo(latest.getMacdHist()) < 0 &&
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latest.getMacdHist().compareTo(BigDecimal.ZERO) > 0;
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return histogramExpanding;
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}
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/**
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* MACD死叉且柱状线收缩检查
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*
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* @param macdResult MACD计算结果
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* @return 是否形成MACD死叉且柱状线收缩
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*/
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private boolean isContracting(MACDResult macdResult) {
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List<PriceData> macdData = macdResult.getMacdData();
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if (macdData.size() < 2) {
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return false;
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}
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PriceData latest = macdData.get(macdData.size() - 1);
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PriceData previous = macdData.get(macdData.size() - 2);
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// 2. MACD柱状线收缩检查（绝对值减小）
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boolean histogramContracting =
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previous.getMacdHist().abs().compareTo(
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latest.getMacdHist().abs()) < 0 &&
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latest.getMacdHist().compareTo(BigDecimal.ZERO) < 0;
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return histogramContracting;
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}
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/**
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* 波动率过滤检查
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*
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* @param volatility 当前波动率
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* @return 波动率是否在0.5%~5%范围内
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*/
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private boolean isVolatilityInRange(BigDecimal volatility) {
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BigDecimal minVolatility = new BigDecimal("0.1"); // 降低最小波动率阈值
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BigDecimal maxVolatility = new BigDecimal("5.0");
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return volatility.compareTo(minVolatility) >= 0 &&
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volatility.compareTo(maxVolatility) <= 0;
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}
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/**
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* 获取开仓价格
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*
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* @return 开仓价格
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*/
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public BigDecimal getEntryPrice() {
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return entryPrice;
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}
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/**
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* 获取开仓时间戳
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*
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* @return 开仓时间戳
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*/
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public long getEntryTime() {
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return entryTime;
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}
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}
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