package com.xcong.excoin.modules.okxNewPrice.indicator;
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import lombok.Getter;
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import lombok.Setter;
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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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* 15分钟时间粒度的交易策略实现
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* 专门针对100个15分钟数据点设计的策略，包含明确的多空方向选择和开仓平仓方法
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*/
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@Slf4j
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public class FifteenMinuteTradingStrategy {
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@Getter
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@Setter
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public static class TradingResult {
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private Direction direction; // 多空方向
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private PositionSignal signal; // 开仓平仓信号
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private String indicatorStatus; // 指标状态
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public TradingResult(Direction direction, PositionSignal signal, String indicatorStatus) {
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this.direction = direction;
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this.signal = signal;
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this.indicatorStatus = indicatorStatus;
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}
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}
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public enum Direction {
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LONG, // 多头方向
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SHORT, // 空头方向
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RANGING // 震荡行情
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}
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public enum PositionSignal {
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OPEN_LONG, // 开多仓
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OPEN_SHORT, // 开空仓
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CLOSE_LONG, // 平多仓
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CLOSE_SHORT, // 平空仓
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HOLD, // 持有
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STAY_OUT // 观望
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}
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private final MA ma;
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private final AdvancedMA advancedMA;
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private final BOLL boll;
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private final KDJ kdj;
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private final MACD macd;
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private final RSI rsi;
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public FifteenMinuteTradingStrategy() {
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// 15分钟数据优化的参数配置
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this.ma = new MA();
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this.advancedMA = new AdvancedMA();
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this.boll = new BOLL(20, 2.0); // BOLL使用默认20周期
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this.kdj = new KDJ(9); // KDJ使用默认9周期
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this.macd = new MACD(); // MACD使用默认12/26/9周期
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this.rsi = new RSI(14); // RSI使用默认14周期
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}
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/**
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* 计算所有指标
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* @param prices 15分钟价格数据（至少100个数据点）
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*/
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private void calculateIndicators(List<BigDecimal> prices) {
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ma.calculate(prices);
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advancedMA.calculateTripleEMA(prices);
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boll.calculate(prices);
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kdj.calculate(prices);
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macd.calculate(prices);
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rsi.calculate(prices);
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}
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/**
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* 判断市场是否处于震荡行情
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* @return 是否为震荡行情
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*/
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private boolean isRangeMarket() {
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// AdvancedMA三线粘合 + RSI(40-60) + BOLL带宽收窄
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boolean isMaConverged = advancedMA.calculatePercent().compareTo(new BigDecimal(2)) < 0;
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boolean isRsiNeutral = rsi.getRsi().compareTo(new BigDecimal(40)) > 0 &&
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rsi.getRsi().compareTo(new BigDecimal(60)) < 0;
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boolean isBollNarrow = boll.calculateBandWidth().compareTo(new BigDecimal(0.05)) < 0;
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return isMaConverged && isRsiNeutral && isBollNarrow;
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}
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/**
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* 获取多空方向选择
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* @param prices 15分钟价格数据（100个数据点）
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* @return 多空方向
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*/
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public Direction getDirection(List<BigDecimal> prices) {
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if (prices == null || prices.size() < 100) {
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throw new IllegalArgumentException("需要至少100个15分钟价格数据点");
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}
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calculateIndicators(prices);
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// 震荡过滤
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if (isRangeMarket()) {
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return Direction.RANGING;
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}
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BigDecimal currentPrice = prices.get(prices.size() - 1);
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// 多头信号判断：MA多头排列 + MACD金叉 + RSI(30-70) + BOLL价格在上轨与中轨之间
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boolean isLongSignal =
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ma.getEma5().compareTo(ma.getEma10()) > 0 && // MA5 > MA10
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ma.getEma10().compareTo(ma.getEma20()) > 0 && // MA10 > MA20
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macd.getDif().compareTo(macd.getDea()) > 0 && // MACD金叉
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rsi.getRsi().compareTo(new BigDecimal(30)) > 0 && rsi.getRsi().compareTo(new BigDecimal(70)) < 0 && // RSI(30-70)
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currentPrice.compareTo(boll.getMid()) > 0 && currentPrice.compareTo(boll.getUpper()) < 0; // BOLL价格在上轨与中轨之间
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// 空头信号判断：MA空头排列 + MACD死叉 + RSI(30-70) + BOLL价格在下轨与中轨之间
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boolean isShortSignal =
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ma.getEma5().compareTo(ma.getEma10()) < 0 && // MA5 < MA10
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ma.getEma10().compareTo(ma.getEma20()) < 0 && // MA10 < MA20
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macd.getDif().compareTo(macd.getDea()) < 0 && // MACD死叉
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rsi.getRsi().compareTo(new BigDecimal(30)) > 0 && rsi.getRsi().compareTo(new BigDecimal(70)) < 0 && // RSI(30-70)
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currentPrice.compareTo(boll.getMid()) < 0 && currentPrice.compareTo(boll.getLower()) > 0; // BOLL价格在下轨与中轨之间
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if (isLongSignal) {
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return Direction.LONG;
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} else if (isShortSignal) {
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return Direction.SHORT;
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} else {
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return Direction.RANGING;
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}
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}
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/**
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* 获取开仓平仓策略信号
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* @param prices 15分钟价格数据（100个数据点）
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* @param hasLongPosition 当前是否持有多仓
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* @param hasShortPosition 当前是否持有空仓
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* @return 开仓平仓信号
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*/
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public PositionSignal getPositionSignal(List<BigDecimal> prices, boolean hasLongPosition, boolean hasShortPosition) {
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if (prices == null || prices.size() < 100) {
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throw new IllegalArgumentException("需要至少100个15分钟价格数据点");
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}
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calculateIndicators(prices);
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// 震荡过滤
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if (isRangeMarket()) {
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return PositionSignal.STAY_OUT;
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}
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BigDecimal currentPrice = prices.get(prices.size() - 1);
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// 开多信号：MA金叉 + MACD金叉 + KDJ金叉 + RSI中性 + 价格在BOLL中轨上方
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boolean shouldOpenLong =
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ma.getEma5().compareTo(ma.getEma20()) > 0 && // MA金叉（5日EMA上穿20日EMA）
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macd.getDif().compareTo(macd.getDea()) > 0 && macd.getMacdBar().compareTo(BigDecimal.ZERO) > 0 && // MACD金叉且柱状图为正
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kdj.isGoldenCross() && // KDJ金叉
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rsi.getRsi().compareTo(new BigDecimal(30)) > 0 && rsi.getRsi().compareTo(new BigDecimal(70)) < 0 && // RSI中性
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currentPrice.compareTo(boll.getMid()) > 0; // 价格在BOLL中轨上方
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// 开空信号：MA死叉 + MACD死叉 + KDJ死叉 + RSI中性 + 价格在BOLL中轨下方
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boolean shouldOpenShort =
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ma.getEma5().compareTo(ma.getEma20()) < 0 && // MA死叉（5日EMA下穿20日EMA）
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macd.getDif().compareTo(macd.getDea()) < 0 && macd.getMacdBar().compareTo(BigDecimal.ZERO) < 0 && // MACD死叉且柱状图为负
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kdj.isDeathCross() && // KDJ死叉
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rsi.getRsi().compareTo(new BigDecimal(30)) > 0 && rsi.getRsi().compareTo(new BigDecimal(70)) < 0 && // RSI中性
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currentPrice.compareTo(boll.getMid()) < 0; // 价格在BOLL中轨下方
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// 平多信号：MA死叉 + MACD死叉 + RSI超买 + 价格跌破BOLL中轨
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boolean shouldCloseLong =
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(ma.getEma5().compareTo(ma.getEma20()) < 0 && // MA死叉
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macd.getDif().compareTo(macd.getDea()) < 0 && // MACD死叉
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(rsi.isOverbought() || rsi.isExtremelyOverbought())) || // RSI超买
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currentPrice.compareTo(boll.getMid()) < 0; // 价格跌破BOLL中轨
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// 平空信号：MA金叉 + MACD金叉 + RSI超卖 + 价格突破BOLL中轨
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boolean shouldCloseShort =
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(ma.getEma5().compareTo(ma.getEma20()) > 0 && // MA金叉
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macd.getDif().compareTo(macd.getDea()) > 0 && // MACD金叉
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(rsi.isOversold() || rsi.isExtremelyOversold())) || // RSI超卖
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currentPrice.compareTo(boll.getMid()) > 0; // 价格突破BOLL中轨
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// 确定开仓信号
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if (shouldOpenLong && !hasLongPosition && !hasShortPosition) {
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return PositionSignal.OPEN_LONG;
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} else if (shouldOpenShort && !hasLongPosition && !hasShortPosition) {
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return PositionSignal.OPEN_SHORT;
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}
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// 确定平仓信号
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if (shouldCloseLong && hasLongPosition) {
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return PositionSignal.CLOSE_LONG;
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} else if (shouldCloseShort && hasShortPosition) {
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return PositionSignal.CLOSE_SHORT;
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}
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// 无信号
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return hasLongPosition || hasShortPosition ? PositionSignal.HOLD : PositionSignal.STAY_OUT;
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}
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/**
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* 综合获取交易结果
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* @param prices 15分钟价格数据（100个数据点）
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* @param hasLongPosition 当前是否持有多仓
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* @param hasShortPosition 当前是否持有空仓
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* @return 包含多空方向和开仓平仓信号的完整交易结果
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*/
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public TradingResult getTradingResult(List<BigDecimal> prices, boolean hasLongPosition, boolean hasShortPosition) {
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Direction direction = getDirection(prices);
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PositionSignal signal = getPositionSignal(prices, hasLongPosition, hasShortPosition);
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String indicatorStatus = getIndicatorStatus();
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return new TradingResult(direction, signal, indicatorStatus);
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}
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/**
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* 获取当前指标状态
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* @return 指标状态字符串
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*/
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private String getIndicatorStatus() {
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return String.format("MA5: %s, MA20: %s, " +
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"MACD-DIF: %s, MACD-DEA: %s, MACD-BAR: %s, " +
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"KDJ-K: %s, KDJ-D: %s, KDJ-J: %s, " +
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"RSI: %s, " +
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"BOLL-UP: %s, BOLL-MID: %s, BOLL-DN: %s, " +
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"AdvancedMA-Bullish: %s, Bearish: %s, Percent: %s",
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ma.getEma5(), ma.getEma20(),
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macd.getDif(), macd.getDea(), macd.getMacdBar(),
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kdj.getK(), kdj.getD(), kdj.getJ(),
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rsi.getRsi(),
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boll.getUpper(), boll.getMid(), boll.getLower(),
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advancedMA.isBullish(), advancedMA.isBearish(), advancedMA.calculatePercent());
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}
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}
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