From 5755881472e2060832dc7f626109a68aa71fce90 Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Thu, 25 Dec 2025 12:42:38 +0800
Subject: [PATCH] refactor(strategy): 重构MACD+MA策略实现并集成交易信号生成
---
src/main/java/com/xcong/excoin/modules/okxNewPrice/celue/CaoZuoServiceImpl.java | 1
src/main/java/com/xcong/excoin/modules/okxNewPrice/OkxKlineWebSocketClient.java | 151 +++++++++++++
src/main/java/com/xcong/excoin/modules/okxNewPrice/indicator/macdAndMatrategy/MacdMaStrategy.java | 233 +++++---------------
MacdMaStrategy_Analysis.md | 224 ++++++++++++++++++++
4 files changed, 435 insertions(+), 174 deletions(-)
diff --git a/MacdMaStrategy_Analysis.md b/MacdMaStrategy_Analysis.md
new file mode 100644
index 0000000..16e7228
--- /dev/null
+++ b/MacdMaStrategy_Analysis.md
@@ -0,0 +1,224 @@
+# MacdMaStrategy.java 类逻辑梳理
+
+## 1. 类概述
+
+MacdMaStrategy.java是一个专为ETH合约设计的MACD+MA复合交易策略实现类，结合了移动平均线(MA)的趋势判断能力和MACD指标的动量分析能力，通过RSI和波动率指标进行风险控制和信号过滤。
+
+## 2. 核心组成部分
+
+### 2.1 技术指标实例
+
+类中初始化了以下技术指标：
+
+```java
+// MACD指标：用于判断价格动量和趋势变化
+private final MACD macd = new MACD();
+// 30日移动平均线：ETH波动较大，使用更短的周期捕捉趋势变化
+private final MovingAverage ma30 = new MovingAverage(30);
+// 100日移动平均线：ETH作为高波动资产，长期趋势判断使用更短周期
+private final MovingAverage ma100 = new MovingAverage(100);
+// RSI指标(10周期)：ETH波动快，使用更短周期提高响应速度
+private final RSI rsi = new RSI(10);
+// 波动率指标(15周期)：ETH波动频繁，使用更短周期捕捉市场变化
+private final Volatility volatility = new Volatility(15);
+```
+
+### 2.2 状态变量
+
+```java
+// 最新价格：用于策略判断
+private BigDecimal lastPrice;
+// 当前市场趋势：牛市/熊市
+private TrendDirection trend;
+```
+
+### 2.3 枚举类型
+
+定义了两个内部枚举类型用于状态表示：
+
+```java
+enum PositionStatus { FLAT, LONG, SHORT } // 持仓状态：空仓/多头/空头
+enum TrendDirection { BULLISH, BEARISH } // 趋势方向：牛市/熊市
+```
+
+## 3. 策略执行流程
+
+### 3.1 主执行入口
+
+```java
+public void execute(List<BigDecimal> prices) {
+ // 验证输入数据完整性：策略需要至少200个价格数据点
+ if (prices.size() < 200) {
+ throw new IllegalArgumentException("至少需要200个价格数据点才能运行该策略");
+ }
+ updateIndicators(prices); // 更新所有技术指标
+ getTrend(); // 确定当前市场趋势
+}
+```
+
+### 3.2 指标更新
+
+```java
+private void updateIndicators(List<BigDecimal> prices) {
+ // 先计算波动率指标，因为MACD需要用它来动态调整周期
+ volatility.calculate(prices);
+ // 计算MACD指标并传入波动率参数，实现动态周期调整
+ macd.calculate(prices, volatility.getValue());
+ // 计算移动平均线指标
+ ma30.calculate(prices); // 计算30日移动平均线
+ ma100.calculate(prices); // 计算100日移动平均线
+ // 计算RSI指标
+ rsi.calculate(prices);
+ // 更新最新价格
+ lastPrice = prices.get(prices.size()-1);
+}
+```
+
+### 3.3 趋势判断
+
+```java
+public TrendDirection getTrend() {
+ return determineTrend();
+}
+
+private TrendDirection determineTrend() {
+ BigDecimal currentMa100 = ma100.getMa(); // 获取当前100日移动平均线
+ // 根据最新价格与100日MA的关系判断趋势：价格高于100日MA为牛市，否则为熊市
+ return lastPrice.compareTo(currentMa100) > 0 ?
+ TrendDirection.BULLISH : TrendDirection.BEARISH;
+}
+```
+
+## 4. 交易信号生成
+
+### 4.1 入场信号检查
+
+```java
+public TradeRequestParam getOrderParamOpen(TradeRequestParam tradeRequestParam) {
+ return checkEntrySignal(tradeRequestParam);
+}
+
+private TradeRequestParam checkEntrySignal(TradeRequestParam tradeRequestParam) {
+ String poSide = null;
+ BigDecimal currentMa30 = ma30.getMa();
+ BigDecimal currentDif = macd.getDif();
+ BigDecimal currentDea = macd.getDea();
+ BigDecimal macdBar = macd.getMacdBar();
+ BigDecimal currentRsi = rsi.getRsi();
+ BigDecimal currentVolatility = volatility.getValue();
+
+ if (trend == TrendDirection.BULLISH) {
+ // 牛市入场条件：MACD多头信号、MACD柱状图为正、价格在30日MA之上、RSI合理、波动率适中
+ boolean macdBull = currentDif.compareTo(currentDea) > 0;
+ boolean macdBarPositive = macdBar.compareTo(BigDecimal.ZERO) > 0;
+ BigDecimal priceMaDiff = lastPrice.subtract(currentMa30);
+ boolean priceAboveMAWithStrength = priceMaDiff.compareTo(currentMa30.multiply(new BigDecimal("0.005"))) > 0;
+ boolean rsiInRange = currentRsi.compareTo(new BigDecimal(40)) > 0 && currentRsi.compareTo(new BigDecimal(65)) < 0;
+ boolean volatilityModerate = currentVolatility.compareTo(new BigDecimal("0.005")) > 0 &&
+ currentVolatility.compareTo(new BigDecimal("0.05")) < 0;
+
+ if (macdBull && macdBarPositive && priceAboveMAWithStrength && rsiInRange && volatilityModerate) {
+ poSide = CoinEnums.POSSIDE_LONG.getCode();
+ }
+ } else if (trend == TrendDirection.BEARISH) {
+ // 熊市入场条件：MACD空头信号、MACD柱状图为负、价格在30日MA之下、RSI合理、波动率适中
+ boolean macdBear = currentDif.compareTo(currentDea) < 0;
+ boolean macdBarNegative = macdBar.compareTo(BigDecimal.ZERO) < 0;
+ BigDecimal priceMaDiff = currentMa30.subtract(lastPrice);
+ boolean priceBelowMAWithStrength = priceMaDiff.compareTo(currentMa30.multiply(new BigDecimal("0.005"))) > 0;
+ boolean rsiInRange = currentRsi.compareTo(new BigDecimal(35)) > 0 && currentRsi.compareTo(new BigDecimal(60)) < 0;
+ boolean volatilityModerate = currentVolatility.compareTo(new BigDecimal("0.005")) > 0 &&
+ currentVolatility.compareTo(new BigDecimal("0.05")) < 0;
+
+ if (macdBear && macdBarNegative && priceBelowMAWithStrength && rsiInRange && volatilityModerate) {
+ poSide = CoinEnums.POSSIDE_SHORT.getCode();
+ }
+ }
+ tradeRequestParam.setPosSide(poSide);
+ return tradeRequestParam;
+}
+```
+
+### 4.2 离场信号检查
+
+```java
+public TradeRequestParam getOrderParamClose(TradeRequestParam tradeRequestParam) {
+ return checkExitSignal(tradeRequestParam);
+}
+
+private TradeRequestParam checkExitSignal(TradeRequestParam tradeRequestParam) {
+ BigDecimal currentMa30 = ma30.getMa();
+ BigDecimal currentDif = macd.getDif();
+ BigDecimal currentDea = macd.getDea();
+ String posSide = tradeRequestParam.getPosSide();
+
+ if (posSide == CoinEnums.POSSIDE_LONG.getCode()) {
+ // 多头持仓离场条件：MACD转为空头信号且价格跌破30日MA
+ boolean macdExit = currentDif.compareTo(currentDea) < 0;
+ boolean priceExit = lastPrice.compareTo(currentMa30) < 0;
+
+ if (macdExit && priceExit) {
+ tradeRequestParam.setSide(CoinEnums.SIDE_SELL.getCode());
+ }
+ } else if (posSide == CoinEnums.POSSIDE_SHORT.getCode()) {
+ // 空头持仓离场条件：MACD转为多头信号且价格突破30日MA
+ boolean macdExit = currentDif.compareTo(currentDea) > 0;
+ boolean priceExit = lastPrice.compareTo(currentMa30) > 0;
+
+ if (macdExit && priceExit) {
+ tradeRequestParam.setSide(CoinEnums.SIDE_BUY.getCode());
+ }
+ }
+ return tradeRequestParam;
+}
+```
+
+## 5. 交易过滤机制
+
+### 5.1 交易跳过检查
+
+```java
+public boolean getSkip() {
+ return shouldSkipTrade();
+}
+
+private boolean shouldSkipTrade() {
+ // 波动率过滤：当波动率小于1%时，市场活跃度不足，跳过交易
+ if (volatility.getValue().compareTo(new BigDecimal("0.01")) < 0) {
+ return true;
+ }
+
+ // RSI极端值过滤：
+ // 1. 牛市中RSI>65表示超买，避免追高
+ // 2. 熊市中RSI<35表示超卖，避免追空
+ if (trend == TrendDirection.BULLISH && rsi.getRsi().compareTo(new BigDecimal(65)) > 0) {
+ return true;
+ }
+ if (trend == TrendDirection.BEARISH && rsi.getRsi().compareTo(new BigDecimal(35)) < 0) {
+ return true;
+ }
+ return false;
+}
+```
+
+## 6. 策略核心特点
+
+1. **动态参数调整**：MACD周期根据市场波动率自动调整，适应ETH高波动特性
+2. **多重指标验证**：结合MACD、MA、RSI和波动率指标进行综合判断
+3. **严格的风险控制**：通过波动率过滤和RSI极端值过滤降低交易风险
+4. **精确的入场时机**：要求价格在MA之上/之下有一定偏离，避免假突破
+5. **明确的离场条件**：MACD信号反转且价格突破MA时离场，确保及时止盈止损
+
+## 7. 代码优化建议
+
+1. **完善日志记录**：在关键决策点添加日志记录，便于策略调试和分析
+2. **增加止盈止损机制**：当前代码缺少明确的止盈止损价格设置和判断
+3. **仓位管理**：建议添加基于风险的仓位计算逻辑
+4. **策略参数外部化**：将策略参数（如周期、阈值）配置为外部参数，便于调整
+5. **结果返回优化**：execute方法可以返回策略执行结果，方便调用方获取交易信号
+
+## 8. 总结
+
+MacdMaStrategy.java实现了一个完整的MACD+MA复合交易策略，专为ETH合约设计。该策略通过结合多种技术指标，实现了趋势判断、入场时机选择和风险控制的功能。策略执行流程清晰，从指标更新到趋势判断，再到交易信号生成和过滤，形成了一个完整的交易决策系统。
+
+该策略的核心优势在于动态参数调整和多重指标验证，能够较好地适应ETH高波动的市场特性，同时通过严格的过滤机制降低交易风险。
\ No newline at end of file
diff --git a/src/main/java/com/xcong/excoin/modules/okxNewPrice/OkxKlineWebSocketClient.java b/src/main/java/com/xcong/excoin/modules/okxNewPrice/OkxKlineWebSocketClient.java
index d453dd9..ca961ee 100644
--- a/src/main/java/com/xcong/excoin/modules/okxNewPrice/OkxKlineWebSocketClient.java
+++ b/src/main/java/com/xcong/excoin/modules/okxNewPrice/OkxKlineWebSocketClient.java
@@ -7,6 +7,7 @@
import com.alibaba.fastjson.JSONObject;
import com.xcong.excoin.modules.okxNewPrice.celue.CaoZuoService;
import com.xcong.excoin.modules.okxNewPrice.indicator.TradingStrategy;
+import com.xcong.excoin.modules.okxNewPrice.indicator.macdAndMatrategy.MacdMaStrategy;
import com.xcong.excoin.modules.okxNewPrice.okxWs.*;
import com.xcong.excoin.modules.okxNewPrice.okxWs.enums.CoinEnums;
import com.xcong.excoin.modules.okxNewPrice.okxWs.enums.OrderParamEnums;
@@ -256,10 +257,156 @@
log.debug("收到pong响应");
cancelPongTimeout();
} else {
- processPushData(response);
+// processPushData(response);
+ processPushDataV2(response);
}
} catch (Exception e) {
log.error("处理WebSocket消息失败: {}", message, e);
+ }
+ }
+
+ /**
+ * 解析并处理价格推送数据。
+ * 将最新的标记价格存入 Redis 并触发后续业务逻辑比较处理。
+ * 当价格变化时，调用CaoZuoService的caoZuo方法，触发所有账号的量化操作
+ *
+ * @param response 包含价格数据的 JSON 对象
+ */
+ private void processPushDataV2(JSONObject response) {
+ try {
+ /**
+ * {
+ * "arg": {
+ * "channel": "candle1D",
+ * "instId": "BTC-USDT"
+ * },
+ * "data": [
+ * [
+ * "1629993600000",
+ * "42500",
+ * "48199.9",
+ * "41006.1",
+ * "41006.1",
+ * "3587.41204591",
+ * "166741046.22583129",
+ * "166741046.22583129",
+ * "0"
+ * ]
+ * ]
+ * }
+ */
+ JSONObject arg = response.getJSONObject("arg");
+ if (arg == null) {
+ log.warn("{}: 无效的推送数据，缺少 'arg' 字段", response);
+ return;
+ }
+
+ String channel = arg.getString("channel");
+ if (channel == null) {
+ log.warn("{}: 无效的推送数据，缺少 'channel' 字段", response);
+ return;
+ }
+
+ String instId = arg.getString("instId");
+ if (instId == null) {
+ log.warn("{}: 无效的推送数据，缺少 'instId' 字段", response);
+ return;
+ }
+
+ if (CHANNEL.equals(channel) && CoinEnums.HE_YUE.getCode().equals(instId)) {
+ JSONArray dataArray = response.getJSONArray("data");
+ if (dataArray == null || dataArray.isEmpty()) {
+ log.warn("K线频道数据为空");
+ return;
+ }
+ JSONArray data = dataArray.getJSONArray(0);
+ BigDecimal openPx = new BigDecimal(data.getString(1));
+ BigDecimal highPx = new BigDecimal(data.getString(2));
+ BigDecimal lowPx = new BigDecimal(data.getString(3));
+ BigDecimal closePx = new BigDecimal(data.getString(4));
+ BigDecimal vol = new BigDecimal(data.getString(5));
+ /**
+ * K线状态
+ * 0：K线未完结
+ * 1：K线已完结
+ */
+ String confirm = data.getString(8);
+ if ("1".equals(confirm)){
+ //调用策略
+ // 创建策略实例
+ MacdMaStrategy strategy = new MacdMaStrategy();
+
+ // 生成100个15分钟价格数据点
+ List<Kline> kline15MinuteData = getKlineDataByInstIdAndBar(instId, "1D");
+ List<BigDecimal> fiveMinPrices = kline15MinuteData.stream()
+ .map(Kline::getC)
+ .collect(Collectors.toList());
+ try {
+ // 执行策略
+ strategy.execute(fiveMinPrices);
+ boolean skip = strategy.getSkip();
+ if (skip){
+ log.info("跳过");
+ return;
+ }
+
+ System.out.println("策略初始化成功！");
+ } catch (Exception e) {
+ System.err.println("策略初始化失败：" + e.getMessage());
+ e.printStackTrace();
+ }
+
+ Collection<OkxQuantWebSocketClient> allClients = clientManager.getAllClients();
+ //如果为空，则直接返回
+ if (allClients.isEmpty()) {
+ return;
+ }
+ // 获取所有OkxQuantWebSocketClient实例
+ for (OkxQuantWebSocketClient client : clientManager.getAllClients()) {
+ String accountName = client.getAccountName();
+ if (accountName != null) {
+ TradeRequestParam tradeRequestParam = new TradeRequestParam();
+ tradeRequestParam = strategy.getOrderParamOpen(tradeRequestParam);
+ String posSide = tradeRequestParam.getPosSide();
+ String side = tradeRequestParam.getSide();
+ BigDecimal posHold = PositionsWs.getAccountMap(PositionsWs.initAccountName(accountName, posSide)).get("pos");
+ if (posHold.compareTo(BigDecimal.ZERO) > 0){
+ tradeRequestParam = strategy.getOrderParamClose(tradeRequestParam);
+ }
+ String currentPrice = String.valueOf(closePx);
+ tradeRequestParam = caoZuoService.caoZuoStrategy(accountName, currentPrice, posSide);
+ String clOrdId = WsParamBuild.getOrderNum(side);
+ tradeRequestParam.setClOrdId(clOrdId);
+ String sz = null;
+ if (posSide == CoinEnums.POSSIDE_LONG.getCode()){
+ if (side == CoinEnums.SIDE_BUY.getCode()){
+ sz = InstrumentsWs.getAccountMap(accountName).get(CoinEnums.BUY_CNT_INIT.name());
+ }else if (side == CoinEnums.SIDE_SELL.getCode()){
+ BigDecimal pos = PositionsWs.getAccountMap(PositionsWs.initAccountName(accountName, CoinEnums.POSSIDE_LONG.getCode())).get("pos");
+ if (BigDecimal.ZERO.compareTo( pos) >= 0) {
+ tradeRequestParam.setTradeType(OrderParamEnums.TRADE_NO.getValue());
+ }
+ sz = String.valueOf( pos);
+ }
+ }else if (posSide == CoinEnums.POSSIDE_SHORT.getCode()){
+ if (side == CoinEnums.SIDE_BUY.getCode()){
+ BigDecimal pos = PositionsWs.getAccountMap(PositionsWs.initAccountName(accountName, CoinEnums.POSSIDE_SHORT.getCode())).get("pos");
+ if (BigDecimal.ZERO.compareTo( pos) >= 0) {
+ tradeRequestParam.setTradeType(OrderParamEnums.TRADE_NO.getValue());
+ }
+ sz = String.valueOf( pos);
+ }else if (side == CoinEnums.SIDE_SELL.getCode()){
+ sz = InstrumentsWs.getAccountMap(accountName).get(CoinEnums.BUY_CNT_INIT.name());
+ }
+ }
+ tradeRequestParam.setSz(sz);
+ TradeOrderWs.orderEvent(client.getWebSocketClient(), tradeRequestParam);
+ }
+ }
+ }
+ }
+ } catch (Exception e) {
+ log.error("处理 K线频道推送数据失败", e);
}
}
@@ -498,7 +645,7 @@
LinkedHashMap<String, Object> requestParam = new LinkedHashMap<>();
requestParam.put("instId", instId);
requestParam.put("bar", bar);
- requestParam.put("limit", "100");
+ requestParam.put("limit", "200");
String result = ExchangeLoginService.getInstance(ExchangeInfoEnum.OKX_UAT.name()).lineHistory(requestParam);
log.info("加载OKX-KLINE，{}", result);
diff --git a/src/main/java/com/xcong/excoin/modules/okxNewPrice/celue/CaoZuoServiceImpl.java b/src/main/java/com/xcong/excoin/modules/okxNewPrice/celue/CaoZuoServiceImpl.java
index 0a6a16d..9d6a2e2 100644
--- a/src/main/java/com/xcong/excoin/modules/okxNewPrice/celue/CaoZuoServiceImpl.java
+++ b/src/main/java/com/xcong/excoin/modules/okxNewPrice/celue/CaoZuoServiceImpl.java
@@ -43,6 +43,7 @@
public TradeRequestParam caoZuoStrategy(String accountName, String markPx, String posSide) {
TradeRequestParam tradeRequestParam = new TradeRequestParam();
tradeRequestParam.setAccountName(accountName);
+ tradeRequestParam.setMarkPx(markPx);
tradeRequestParam.setInstId(CoinEnums.HE_YUE.getCode());
tradeRequestParam.setTdMode(CoinEnums.CROSS.getCode());
tradeRequestParam.setPosSide(posSide);
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 e70ffa1..b143213 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
@@ -1,6 +1,10 @@
package com.xcong.excoin.modules.okxNewPrice.indicator.macdAndMatrategy;
import com.xcong.excoin.modules.okxNewPrice.indicator.*;
+import com.xcong.excoin.modules.okxNewPrice.okxWs.enums.CoinEnums;
+import com.xcong.excoin.modules.okxNewPrice.okxWs.enums.OrderParamEnums;
+import com.xcong.excoin.modules.okxNewPrice.okxWs.param.TradeRequestParam;
+
import java.math.BigDecimal;
import java.util.List;
@@ -51,43 +55,15 @@
private final RSI rsi = new RSI(10);
// 波动率指标(15周期)：ETH波动频繁，使用更短周期捕捉市场变化
private final Volatility volatility = new Volatility(15);
-
- /**
- * 策略配置参数（适配ETH合约特点）
- */
- // 止损比例（ETH波动较大，设置2.5%）
- private final BigDecimal stopLossRatio = new BigDecimal("0.025");
- // 止盈比例（ETH趋势明显，设置6%）
- private final BigDecimal takeProfitRatio = new BigDecimal("0.06");
- // 账户初始余额（USD）
- private BigDecimal accountBalance = new BigDecimal("10000");
- // 每次交易风险比例（ETH合约风险较高，设置0.8%）
- private final BigDecimal riskPerTrade = new BigDecimal("0.008");
- // 杠杆倍数（ETH合约建议使用3-5倍，这里使用4倍）
- private final int leverage = 4;
-
- /**
- * 策略运行状态变量
- */
- // 当前持仓状态：空仓/多头/空头
- private PositionStatus position = PositionStatus.FLAT;
// 最新价格：用于策略判断
private BigDecimal lastPrice;
// 当前市场趋势：牛市/熊市
private TrendDirection trend;
- // 持仓均价：用于计算盈亏和止损止盈
- private BigDecimal entryPrice;
- // 止损价格：根据止损比例计算
- private BigDecimal stopLossPrice;
- // 止盈价格：根据止盈比例计算
- private BigDecimal takeProfitPrice;
- // 当前持仓数量（ETH）
- private BigDecimal positionSize = BigDecimal.ZERO;
- // 已用保证金（USD）
- private BigDecimal usedMargin = BigDecimal.ZERO;
/**
* 策略执行的主入口方法
+ *
+ * 第一步：更新所有技术指标
*
* @param prices 历史价格数据列表
* @throws IllegalArgumentException 如果价格数据不足200个
@@ -97,31 +73,44 @@
if (prices.size() < 200) {
throw new IllegalArgumentException("至少需要200个价格数据点才能运行该策略");
}
-
- // 第一步：更新所有技术指标
updateIndicators(prices);
- // 第二步：确定当前市场趋势
- determineTrend(prices);
+ trend = getTrend();
- // 第三步：检查是否需要跳过当前交易
- if (shouldSkipTrade()) {
- return;
- }
+ }
- // 第四步：根据持仓状态执行相应的交易逻辑
- if (position == PositionStatus.FLAT) {
- // 空仓状态下检查入场信号
- checkEntrySignal();
- } else {
- // 持仓状态下检查离场信号
- checkExitSignal();
- }
+ /**
+ * 第二步：确定当前市场趋势
+ */
+ public TrendDirection getTrend(){
+ return determineTrend();
+ }
+
+
+ /**
+ * 第三步：检查是否需要跳过当前交易
+ */
+ public boolean getSkip(){
+ return shouldSkipTrade();
+ }
+
+ /**
+ * 第四步：是否允许开仓
+ */
+ public TradeRequestParam getOrderParamOpen(TradeRequestParam tradeRequestParam){
+ return checkEntrySignal(tradeRequestParam);
+ }
+
+ /**
+ * 第五步：是否允许平仓
+ */
+ public TradeRequestParam getOrderParamClose(TradeRequestParam tradeRequestParam){
+ return checkExitSignal(tradeRequestParam);
}
/**
* 更新所有技术指标的计算结果
- *
+ *
* @param prices 历史价格数据列表
*/
private void updateIndicators(List<BigDecimal> prices) {
@@ -138,15 +127,15 @@
lastPrice = prices.get(prices.size()-1);
}
+
/**
* 确定当前市场趋势（牛市/熊市）
*
- * @param prices 历史价格数据列表
*/
- private void determineTrend(List<BigDecimal> prices) {
+ private TrendDirection determineTrend() {
BigDecimal currentMa100 = ma100.getMa(); // 获取当前100日移动平均线
// 根据最新价格与100日MA的关系判断趋势：价格高于100日MA为牛市，否则为熊市
- trend = lastPrice.compareTo(currentMa100) > 0 ?
+ return lastPrice.compareTo(currentMa100) > 0 ?
TrendDirection.BULLISH : TrendDirection.BEARISH;
}
@@ -176,7 +165,9 @@
/**
* 检查是否满足入场信号条件
*/
- private void checkEntrySignal() {
+ private TradeRequestParam checkEntrySignal(TradeRequestParam tradeRequestParam) {
+ String poSide = null;
+ String side = null;
BigDecimal currentMa30 = ma30.getMa(); // 获取当前30日移动平均线
// 获取MACD的最新值用于判断动量方向
@@ -206,9 +197,10 @@
currentVolatility.compareTo(new BigDecimal("0.05")) < 0;
if (macdBull && macdBarPositive && priceAboveMAWithStrength && rsiInRange && volatilityModerate) {
- enterLong();
+ poSide = CoinEnums.POSSIDE_LONG.getCode();
+ side = CoinEnums.SIDE_BUY.getCode();
}
- } else {
+ } else if (trend == TrendDirection.BEARISH){
// 熊市入场条件增强：
// 1. MACD空头信号(DIF<DEA)
// 2. MACD柱状图为负（确认空头力量）
@@ -224,152 +216,49 @@
currentVolatility.compareTo(new BigDecimal("0.05")) < 0;
if (macdBear && macdBarNegative && priceBelowMAWithStrength && rsiInRange && volatilityModerate) {
- enterShort();
+ poSide = CoinEnums.POSSIDE_SHORT.getCode();
+ side = CoinEnums.SIDE_SELL.getCode();
}
}
+ tradeRequestParam.setPosSide(poSide);
+ tradeRequestParam.setSide(side);
+ return tradeRequestParam;
}
/**
* 检查是否满足离场信号条件
*/
- private void checkExitSignal() {
+ private TradeRequestParam checkExitSignal(TradeRequestParam tradeRequestParam) {
BigDecimal currentMa30 = ma30.getMa(); // 获取当前30日移动平均线
// 获取MACD的最新值用于判断动量变化
BigDecimal currentDif = macd.getDif();
BigDecimal currentDea = macd.getDea();
-
- if (position == PositionStatus.LONG) {
+ String posSide = tradeRequestParam.getPosSide();
+ if (posSide == CoinEnums.POSSIDE_LONG.getCode()) {
// 多头持仓离场条件：
// 1. MACD转为空头信号(DIF<DEA)
// 2. 价格跌破30日MA
- // 3. 价格触及止损价格
- // 4. 价格触及止盈价格
boolean macdExit = currentDif.compareTo(currentDea) < 0;
boolean priceExit = lastPrice.compareTo(currentMa30) < 0;
- boolean stopLossExit = lastPrice.compareTo(stopLossPrice) <= 0;
- boolean takeProfitExit = lastPrice.compareTo(takeProfitPrice) >= 0;
-
- if (macdExit || priceExit || stopLossExit || takeProfitExit) {
- if (stopLossExit) {
- System.out.println("触发止损 - ");
- } else if (takeProfitExit) {
- System.out.println("触发止盈 - ");
- }
- exitPosition();
+
+ if (macdExit && priceExit) {
+ tradeRequestParam.setSide(CoinEnums.SIDE_SELL.getCode());
}
- } else {
+ } else if (posSide == CoinEnums.POSSIDE_SHORT.getCode()){
// 空头持仓离场条件：
// 1. MACD转为多头信号(DIF>DEA)
// 2. 价格突破30日MA
- // 3. 价格触及止损价格
- // 4. 价格触及止盈价格
boolean macdExit = currentDif.compareTo(currentDea) > 0;
boolean priceExit = lastPrice.compareTo(currentMa30) > 0;
- boolean stopLossExit = lastPrice.compareTo(stopLossPrice) >= 0;
- boolean takeProfitExit = lastPrice.compareTo(takeProfitPrice) <= 0;
-
- if (macdExit || priceExit || stopLossExit || takeProfitExit) {
- if (stopLossExit) {
- System.out.println("触发止损 - ");
- } else if (takeProfitExit) {
- System.out.println("触发止盈 - ");
- }
- exitPosition();
+
+ if (macdExit && priceExit) {
+ tradeRequestParam.setSide(CoinEnums.SIDE_BUY.getCode());
}
}
+ return tradeRequestParam;
}
- /**
- * 计算基于风险的仓位大小
- *
- * @return 计算得到的仓位大小（ETH数量）
- */
- private BigDecimal calculatePositionSize() {
- // 计算每次交易可承受的最大风险金额
- BigDecimal maxRiskAmount = accountBalance.multiply(riskPerTrade);
- // 计算单合约风险金额（价格波动 * 数量）
- BigDecimal priceRisk = entryPrice.subtract(stopLossPrice).abs();
- // 计算基础仓位大小（不考虑杠杆）
- BigDecimal basePositionSize = maxRiskAmount.divide(priceRisk, 6, BigDecimal.ROUND_HALF_UP);
- // 应用杠杆计算实际仓位大小
- BigDecimal leveragedPositionSize = basePositionSize.multiply(new BigDecimal(leverage))
- .setScale(4, BigDecimal.ROUND_DOWN);
- return leveragedPositionSize;
- }
-
- /**
- * 执行开多仓操作
- */
- private void enterLong() {
- position = PositionStatus.LONG; // 更新持仓状态为多头
- entryPrice = lastPrice; // 记录入场价格
- // 多头止损价格 = 入场价格 * (1 - 止损比例)
- stopLossPrice = entryPrice.multiply(BigDecimal.ONE.subtract(stopLossRatio))
- .setScale(2, BigDecimal.ROUND_HALF_UP);
- // 多头止盈价格 = 入场价格 * (1 + 止盈比例)
- takeProfitPrice = entryPrice.multiply(BigDecimal.ONE.add(takeProfitRatio))
- .setScale(2, BigDecimal.ROUND_HALF_UP);
-
- // 计算仓位大小
- positionSize = calculatePositionSize();
- // 计算已用保证金（不考虑手续费）
- usedMargin = positionSize.multiply(entryPrice).divide(new BigDecimal(leverage), 2, BigDecimal.ROUND_HALF_UP);
-
- // 实际交易中，这里会执行买入操作
- System.out.println("开多仓 @ " + lastPrice + ", 止损价格: " + stopLossPrice + ", 止盈价格: " + takeProfitPrice);
- System.out.println("仓位大小: " + positionSize + " ETH, 已用保证金: " + usedMargin + " USD, 账户余额: " + accountBalance + " USD");
- }
-
- /**
- * 执行开空仓操作
- */
- private void enterShort() {
- position = PositionStatus.SHORT; // 更新持仓状态为空头
- entryPrice = lastPrice; // 记录入场价格
- // 空头止损价格 = 入场价格 * (1 + 止损比例)
- stopLossPrice = entryPrice.multiply(BigDecimal.ONE.add(stopLossRatio))
- .setScale(2, BigDecimal.ROUND_HALF_UP);
- // 空头止盈价格 = 入场价格 * (1 - 止盈比例)
- takeProfitPrice = entryPrice.multiply(BigDecimal.ONE.subtract(takeProfitRatio))
- .setScale(2, BigDecimal.ROUND_HALF_UP);
-
- // 计算仓位大小
- positionSize = calculatePositionSize();
- // 计算已用保证金（不考虑手续费）
- usedMargin = positionSize.multiply(entryPrice).divide(new BigDecimal(leverage), 2, BigDecimal.ROUND_HALF_UP);
-
- // 实际交易中，这里会执行卖出操作
- System.out.println("开空仓 @ " + lastPrice + ", 止损价格: " + stopLossPrice + ", 止盈价格: " + takeProfitPrice);
- System.out.println("仓位大小: " + positionSize + " ETH, 已用保证金: " + usedMargin + " USD, 账户余额: " + accountBalance + " USD");
- }
-
- /**
- * 执行平仓操作
- */
- private void exitPosition() {
- // 计算交易盈亏
- BigDecimal profitLoss;
- if (position == PositionStatus.LONG) {
- // 多头盈亏 = (平仓价格 - 入场价格) * 持仓数量
- profitLoss = lastPrice.subtract(entryPrice).multiply(positionSize);
- } else {
- // 空头盈亏 = (入场价格 - 平仓价格) * 持仓数量
- profitLoss = entryPrice.subtract(lastPrice).multiply(positionSize);
- }
-
- // 更新账户余额
- accountBalance = accountBalance.add(profitLoss).setScale(2, BigDecimal.ROUND_HALF_UP);
-
- // 实际交易中，这里会执行平仓操作
- System.out.println("平仓 @ " + lastPrice + ", 盈亏: " + profitLoss.setScale(2, BigDecimal.ROUND_HALF_UP) + " USD");
- System.out.println("最新账户余额: " + accountBalance + " USD");
-
- // 重置持仓状态
- position = PositionStatus.FLAT;
- positionSize = BigDecimal.ZERO;
- usedMargin = BigDecimal.ZERO;
- }
// 枚举定义
enum PositionStatus { FLAT, LONG, SHORT }
--
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