From 2968d8cf5bf5437728467e010e6f3292f495a9ed Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Sun, 04 Jan 2026 15:34:51 +0800
Subject: [PATCH] refactor(indicator): 移除MACD策略中的波动率计算和过滤逻辑
---
src/main/java/com/xcong/excoin/modules/okxNewPrice/indicator/macdAndMatrategy/MacdMaStrategy.java | 75 ++++++++++++++++---------------------
1 files changed, 33 insertions(+), 42 deletions(-)
diff --git a/src/main/java/com/xcong/excoin/modules/okxNewPrice/indicator/macdAndMatrategy/MacdMaStrategy.java b/src/main/java/com/xcong/excoin/modules/okxNewPrice/indicator/macdAndMatrategy/MacdMaStrategy.java
index 63c9d52..485609c 100644
--- a/src/main/java/com/xcong/excoin/modules/okxNewPrice/indicator/macdAndMatrategy/MacdMaStrategy.java
+++ b/src/main/java/com/xcong/excoin/modules/okxNewPrice/indicator/macdAndMatrategy/MacdMaStrategy.java
@@ -93,28 +93,22 @@
// 1. 计算MACD指标
MACDResult macdResult = MACDCalculator.calculateMACD(
closePrices, shortPeriod, longPeriod, signalPeriod);
+ log.info( "MACD计算结果：{}", macdResult.getMacdData().get( macdResult.getMacdData().size() -1));
- // 2. 计算波动率
- Volatility volatility = new Volatility(volatilityPeriod);
- for (int i = Math.max(0, closePrices.size() - volatilityPeriod);
- i < closePrices.size(); i++) {
- volatility.addPrice(closePrices.get(i));
- }
- volatility.calculate();
// 最新收盘价
BigDecimal latestPrice = closePrices.get(closePrices.size() - 1);
// 3. 检查开平仓条件
// 多头开仓条件检查
- if (isLongEntryCondition(macdResult, closePrices, volatility.getValue())) {
+ if (isLongEntryCondition(macdResult, closePrices)) {
// 执行开多
log.info( "多头开仓信号，价格：{}", latestPrice);
return PositionType.LONG_BUY;
}
// 空头开仓条件检查
- if (isShortEntryCondition(macdResult, closePrices, volatility.getValue())) {
+ if (isShortEntryCondition(macdResult, closePrices)) {
// 执行开空
log.info( "空头开仓信号，价格：{}", latestPrice);
return PositionType.SHORT_SELL;
@@ -226,10 +220,9 @@
*
* @param macdResult MACD计算结果
* @param closePrices 收盘价序列
- * @param volatility 当前波动率
* @return 是否满足多头开仓条件
*/
- private boolean isLongEntryCondition(MACDResult macdResult, List<BigDecimal> closePrices, BigDecimal volatility) {
+ private boolean isLongEntryCondition(MACDResult macdResult, List<BigDecimal> closePrices) {
// 2. MACD金叉且柱状线扩张检查
boolean isMacdFavorable = isMacdGoldenCrossAndExpanding(macdResult);
@@ -237,16 +230,16 @@
// 3. MACD柱状线必须为正
boolean macdPositive = isMacdPositive(macdResult);
- // 4. 波动率过滤（必须在合理范围内）
- boolean volatilityFilter = isVolatilityInRange(volatility);
-
- if (macdPositive && volatilityFilter && isMacdFavorable) {
- log.info("多头信号形成, MACD有利状态: {}, 柱状线为正: {}, 波动率过滤: {}",
- isMacdFavorable, macdPositive, volatilityFilter);
- }
+ // 5. 底背离检查（增强多头信号可靠性）
+ boolean isBottomDivergence = MACDCalculator.isBottomDivergence(closePrices, macdResult);
+
+ log.info("多头信号形成, MACD有利状态: {}, 柱状线为正: {}, 底背离: {}",
+ isMacdFavorable, macdPositive, isBottomDivergence);
// 所有条件必须同时满足
- return macdPositive && volatilityFilter && isMacdFavorable;
+ boolean result = macdPositive && (isMacdFavorable || isBottomDivergence);
+
+ return result;
}
/**
@@ -254,26 +247,24 @@
*
* @param macdResult MACD计算结果
* @param closePrices 收盘价序列
- * @param volatility 当前波动率
* @return 是否满足空头开仓条件
*/
- private boolean isShortEntryCondition(MACDResult macdResult, List<BigDecimal> closePrices, BigDecimal volatility) {
+ private boolean isShortEntryCondition(MACDResult macdResult, List<BigDecimal> closePrices) {
// 2. MACD死叉且柱状线收缩检查
boolean isMacdFavorable = isMacdDeathCrossAndContracting(macdResult);
// 3. MACD柱状线必须为负
boolean macdNegative = isMacdNegative(macdResult);
- // 4. 波动率过滤（必须在合理范围内）
- boolean volatilityFilter = isVolatilityInRange(volatility);
-
- if (macdNegative && volatilityFilter && isMacdFavorable) {
- log.info("空头信号形成, MACD有利状态: {}, 柱状线为负: {}, 波动率过滤: {}",
- isMacdFavorable, macdNegative, volatilityFilter);
- }
-
+ // 5. 顶背离检查（增强空头信号可靠性）
+ boolean isTopDivergence = MACDCalculator.isTopDivergence(closePrices, macdResult);
+
+ log.info("空头信号形成, MACD有利状态: {}, 柱状线为负: {}, 顶背离: {}",
+ isMacdFavorable, macdNegative, isTopDivergence);
// 所有条件必须同时满足
- return macdNegative && volatilityFilter && isMacdFavorable;
+ boolean result = macdNegative && (isMacdFavorable || isTopDivergence);
+
+ return result;
}
/**
@@ -346,13 +337,13 @@
// 金叉判断：DIF从下往上穿过DEA
boolean isGoldenCross = prevPrev.getDif().compareTo(prevPrev.getDea()) <= 0 &&
previous.getDif().compareTo(previous.getDea()) > 0;
-
+
// 柱状线扩张判断：连续正值且绝对值增大
- boolean isExpanding = latest.getMacdHist().compareTo(BigDecimal.ZERO) > 0 &&
+ boolean isExpanding = latest.getMacdHist().compareTo(BigDecimal.ZERO) > 0 &&
previous.getMacdHist().compareTo(BigDecimal.ZERO) > 0 &&
previous.getMacdHist().abs().compareTo(latest.getMacdHist().abs()) < 0;
- // 金叉或柱状线扩张任一满足即可
+ // 金叉柱状线扩张满足
return isGoldenCross && isExpanding;
}
@@ -378,14 +369,14 @@
}
/**
- * MACD死叉且柱状线收缩检查
+ * MACD死叉且柱状线扩张检查
* <p>
* 条件：
* 1. DIF线从上往下穿过DEA线（死叉）
- * 2. MACD柱状线绝对值减小且为负值（动量减弱）
+ * 2. MACD柱状线绝对值增大且为负值（动量增强）
*
* @param macdResult MACD计算结果
- * @return 是否形成MACD死叉或柱状线收缩
+ * @return 是否形成MACD死叉且柱状线扩张
*/
private boolean isMacdDeathCrossAndContracting(MACDResult macdResult) {
List<PriceData> macdData = macdResult.getMacdData();
@@ -401,13 +392,13 @@
boolean isDeathCross = prevPrev.getDif().compareTo(prevPrev.getDea()) >= 0 &&
previous.getDif().compareTo(previous.getDea()) < 0;
- // 柱状线收缩判断：连续负值且绝对值减小
- boolean isContracting = latest.getMacdHist().compareTo(BigDecimal.ZERO) < 0 &&
- previous.getMacdHist().compareTo(BigDecimal.ZERO) < 0 &&
- previous.getMacdHist().abs().compareTo(latest.getMacdHist().abs()) > 0;
+ // 优化后的死叉柱状线条件：空头趋势中，死叉应伴随柱状线扩张（绝对值增大）
+ boolean isExpanding = latest.getMacdHist().compareTo(BigDecimal.ZERO) < 0 &&
+ previous.getMacdHist().compareTo(BigDecimal.ZERO) < 0 &&
+ previous.getMacdHist().abs().compareTo(latest.getMacdHist().abs()) < 0;
- // 死叉或柱状线收缩任一满足即可
- return isDeathCross && isContracting;
+ // 死叉且柱状线扩张
+ return isDeathCross && isExpanding;
}
/**
--
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