From 6720d44ba58f513263dd603f33d6a65181649a7c Mon Sep 17 00:00:00 2001
From: Administrator <15274802129@163.com>
Date: Sun, 04 Jan 2026 12:58:30 +0800
Subject: [PATCH] feat(indicator): 添加MACD背离检测功能并优化策略判断逻辑
---
src/main/java/com/xcong/excoin/modules/okxNewPrice/indicator/macdAndMatrategy/MacdMaStrategy.java | 371 ++++++++++++++++++++++++++++++++++++++--------------
1 files changed, 269 insertions(+), 102 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 b9b0fc6..be65136 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
@@ -22,11 +22,20 @@
public class MacdMaStrategy {
/** 持仓状态枚举 */
+ public enum OperationType {
+ /** 开仓平仓 */
+ open,
+ close
+ }
+
+ /** 持仓状态枚举 */
public enum PositionType {
/** 多头持仓 */
- LONG,
+ LONG_BUY,
+ LONG_SELL,
/** 空头持仓 */
- SHORT,
+ SHORT_SELL,
+ SHORT_BUY,
/** 空仓 */
NONE
}
@@ -38,10 +47,6 @@
private int volatilityPeriod; // 波动率计算周期
private BigDecimal stopLossRatio; // 止损比例
private BigDecimal takeProfitRatio; // 止盈比例
-
- // 持仓信息
- private BigDecimal entryPrice; // 开仓价格
- private long entryTime; // 开仓时间戳
/**
* 默认构造函数，使用标准MACD参数
@@ -71,9 +76,6 @@
this.stopLossRatio = stopLossRatio;
this.takeProfitRatio = takeProfitRatio;
- // 初始化持仓状态为空仓
- this.entryPrice = BigDecimal.ZERO;
- this.entryTime = 0;
}
/**
@@ -82,7 +84,7 @@
* @param closePrices 收盘价序列
* @return 生成的交易信号（LONG、SHORT或NONE）
*/
- public PositionType analyze(List<BigDecimal> closePrices) {
+ public PositionType analyzeOpen(List<BigDecimal> closePrices) {
// 数据检查：确保有足够的数据点进行计算
if (closePrices == null || closePrices.size() < 34) {
return PositionType.NONE; // 数据不足，无法生成信号
@@ -107,17 +109,49 @@
// 多头开仓条件检查
if (isLongEntryCondition(macdResult, closePrices, volatility.getValue())) {
// 执行开多
- this.entryPrice = latestPrice;
- this.entryTime = System.currentTimeMillis();
- return PositionType.LONG;
+ 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())) {
// 执行开空
- this.entryPrice = latestPrice;
- this.entryTime = System.currentTimeMillis();
- return PositionType.SHORT;
+ log.info( "空头开仓信号，价格：{}", latestPrice);
+ return PositionType.SHORT_SELL;
+ }
+ // 无信号
+ return PositionType.NONE;
+
+ }
+
+ /**
+ * 分析最新价格数据并生成交易信号
+ *
+ * @param closePrices 收盘价序列
+ * @return 生成的交易信号（LONG、SHORT或NONE）
+ */
+ public PositionType analyzeClose(List<BigDecimal> closePrices) {
+ // 数据检查：确保有足够的数据点进行计算
+ if (closePrices == null || closePrices.size() < 34) {
+ return PositionType.NONE; // 数据不足，无法生成信号
+ }
+
+ // 1. 计算MACD指标
+ MACDResult macdResult = MACDCalculator.calculateMACD(
+ closePrices, shortPeriod, longPeriod, signalPeriod);
+
+ // 最新收盘价
+ BigDecimal latestPrice = closePrices.get(closePrices.size() - 1);
+
+ if (isLongExitCondition(macdResult, latestPrice)) {
+ // 执行平多
+ log.info( "多头平仓信号，价格：{}", latestPrice);
+ return PositionType.LONG_SELL;
+ }
+ if (isShortExitCondition(macdResult, latestPrice)) {
+ // 执行平空
+ log.info( "空头平仓信号，价格：{}", latestPrice);
+ return PositionType.SHORT_BUY;
}
// 无信号
@@ -157,16 +191,31 @@
* @param historicalPrices 历史价格序列
* @return 交易指令（包含side和posSide），如果没有交易信号则返回null
*/
- public TradingOrder generateTradingOrder(List<BigDecimal> historicalPrices) {
- PositionType signal = analyze(historicalPrices);
+ public TradingOrder generateTradingOrder(List<BigDecimal> historicalPrices,String operation) {
+ PositionType signal = null;
+ if ( operation == OperationType.open.name()){
+
+ signal = analyzeOpen(historicalPrices);
+
+ }else if ( operation == OperationType.close.name()){
+
+ signal = analyzeClose(historicalPrices);
+
+ }
// 根据信号和当前持仓状态生成交易指令
- if (signal == PositionType.LONG) {
+ if (signal == PositionType.LONG_BUY) {
// 开多：买入开多（side 填写 buy； posSide 填写 long ）
return new TradingOrder("buy", "long");
- } else if (signal == PositionType.SHORT) {
+ } else if (signal == PositionType.LONG_SELL) {
+ // 开空：卖出开空（side 填写 sell； posSide 填写 short ）
+ return new TradingOrder("sell", "long");
+ } else if (signal == PositionType.SHORT_SELL) {
// 开空：卖出开空（side 填写 sell； posSide 填写 short ）
return new TradingOrder("sell", "short");
+ } else if (signal == PositionType.SHORT_BUY) {
+ // 开空：卖出开空（side 填写 sell； posSide 填写 short ）
+ return new TradingOrder("buy", "short");
}
// 没有交易信号
return null;
@@ -181,72 +230,120 @@
* @return 是否满足多头开仓条件
*/
private boolean isLongEntryCondition(MACDResult macdResult, List<BigDecimal> closePrices, BigDecimal volatility) {
- // 1. EMA金叉检查（简化为只检查当前短期EMA > 当前长期EMA）
- List<PriceData> macdData = macdResult.getMacdData();
- if (macdData.size() < 1) {
- return false;
+
+ // 2. MACD金叉且柱状线扩张检查
+ boolean isMacdFavorable = isMacdGoldenCrossAndExpanding(macdResult);
+
+ // 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);
+
+ // 5. 底背离检查（增强多头信号可靠性）
+ boolean isBottomDivergence = MACDCalculator.isBottomDivergence(closePrices, macdResult);
+
+ // 所有条件必须同时满足
+ boolean result = macdPositive && volatilityFilter && (isMacdFavorable || isBottomDivergence);
+
+ if (result) {
+ log.info("多头信号形成, MACD有利状态: {}, 柱状线为正: {}, 波动率过滤: {}, 底背离: {}",
+ isMacdFavorable, macdPositive, volatilityFilter, isBottomDivergence);
}
- boolean bullishSignalFormed = BullishSignalDetector.isBullishSignalFormed(macdResult, closePrices);
- boolean isExpanding = isExpanding(macdResult);
-
- PriceData latest = macdData.get(macdData.size() - 1);
- // 2. MACD柱状线为正
- boolean macdPositive = latest.getMacdHist().compareTo(BigDecimal.ZERO) > 0;
-
- // 3. 简化的波动率检查
- boolean volatilityFilter = volatility.compareTo(BigDecimal.ZERO) > 0;
-
- if ( bullishSignalFormed && macdPositive && volatilityFilter){
- log.info( "EMA金叉: {},扩张：{}", bullishSignalFormed,isExpanding);
- log.info( "MACD柱状线为正: {}" ,macdPositive);
- log.info( "波动率过滤: {}" ,volatilityFilter);
- }
- // 只需要EMA短期在长期上方、MACD柱状线为正且波动率大于0
- return bullishSignalFormed && macdPositive && isExpanding && volatilityFilter;
+
+ return result;
}
/**
* 空头开仓条件检查
- *
+ *
* @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) {
- List<PriceData> macdData = macdResult.getMacdData();
- if (macdData.size() < 1) {
- return false;
- }
- boolean bearishSignalFormed = BearishSignalDetector.isBearishSignalFormed(macdResult, closePrices);
- // 2. MACD柱状线收缩+死叉检查
- boolean isContracting = isContracting(macdResult);
-
- // 2. MACD柱状线为负
- PriceData latest = macdData.get(macdData.size() - 1);
- boolean macdPositive = latest.getMacdHist().compareTo(BigDecimal.ZERO) < 0;
-
-
- // 4. 波动率过滤检查（0.5% ~ 5%）
+ private boolean isShortEntryCondition(MACDResult macdResult, List<BigDecimal> closePrices, BigDecimal volatility) {
+ // 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 ( isContracting&& volatilityFilter){
- log.info( "MACD柱状线死叉: {},收缩: {}", bearishSignalFormed,isContracting);
- log.info( "MACD柱状线为负: {}" ,macdPositive);
- log.info( "波动率过滤: {}", volatilityFilter);
- }
-
+
+ // 5. 顶背离检查（增强空头信号可靠性）
+ boolean isTopDivergence = MACDCalculator.isTopDivergence(closePrices, macdResult);
+
// 所有条件必须同时满足
- return isContracting && volatilityFilter && macdPositive && bearishSignalFormed;
+ boolean result = macdNegative && volatilityFilter && (isMacdFavorable || isTopDivergence);
+
+ if (result) {
+ log.info("空头信号形成, MACD有利状态: {}, 柱状线为负: {}, 波动率过滤: {}, 顶背离: {}",
+ isMacdFavorable, macdNegative, volatilityFilter, isTopDivergence);
+ }
+
+ return result;
}
+
+ /**
+ * 多头平仓条件检查
+ *
+ * @param macdResult MACD计算结果
+ * @param currentPrice 当前价格
+ * @return 是否满足多头平仓条件
+ */
+ private boolean isLongExitCondition(MACDResult macdResult, BigDecimal currentPrice) {
+ // 1. MACD柱状线由正转负（动量转变）
+ List<PriceData> macdData = macdResult.getMacdData();
+ if (macdData.size() >= 2) {
+ PriceData latest = macdData.get(macdData.size() - 1);
+ PriceData previous = macdData.get(macdData.size() - 2);
+ boolean momentumShift = previous.getMacdHist().compareTo(BigDecimal.ZERO) >= 0 &&
+ latest.getMacdHist().abs().compareTo(previous.getMacdHist().abs()) < 0;
+ if (momentumShift) {
+ return true;
+ }
+ }
+ return false;
+ }
+
+ /**
+ * 空头平仓条件检查
+ *
+ * @param macdResult MACD计算结果
+ * @param currentPrice 当前价格
+ * @return 是否满足空头平仓条件
+ */
+ private boolean isShortExitCondition(MACDResult macdResult, BigDecimal currentPrice) {
+ // 1. MACD柱状线由负转正（动量转变）
+ List<PriceData> macdData = macdResult.getMacdData();
+ if (macdData.size() >= 2) {
+ PriceData latest = macdData.get(macdData.size() - 1);
+ PriceData previous = macdData.get(macdData.size() - 2);
+
+ boolean momentumShift = previous.getMacdHist().compareTo(BigDecimal.ZERO) <= 0 &&
+ latest.getMacdHist().abs().compareTo(previous.getMacdHist().abs()) < 0;
+ if (momentumShift) {
+ return true;
+ }
+ }
+
+ return false;
+ }
+
/**
* MACD金叉且柱状线扩张检查
- *
+ * <p>
+ * 条件：
+ * 1. DIF线从下往上穿过DEA线（金叉）
+ * 2. MACD柱状线绝对值增大且为正值（动量增强）
+ *
* @param macdResult MACD计算结果
- * @return 是否形成MACD金叉且柱状线扩张
+ * @return 是否形成MACD金叉或柱状线扩张
*/
- private boolean isExpanding(MACDResult macdResult) {
+ private boolean isMacdGoldenCrossAndExpanding(MACDResult macdResult) {
List<PriceData> macdData = macdResult.getMacdData();
if (macdData.size() < 3) {
return false;
@@ -254,21 +351,86 @@
PriceData latest = macdData.get(macdData.size() - 1);
PriceData previous = macdData.get(macdData.size() - 2);
+ PriceData prevPrev = macdData.get(macdData.size() - 3);
+
+ // 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;
+ boolean isUp = latest.getDif().compareTo(BigDecimal.ZERO) > 0 && latest.getDea().compareTo(BigDecimal.ZERO) > 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 &&
+ 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
+ return isGoldenCross && isExpanding && isUp;
+ }
+
+ /**
+ * MACD柱状线扩张检查
+ * <p>
+ * 条件：当前MACD柱状线绝对值大于前一根
+ *
+ * @param macdResult MACD计算结果
+ * @return MACD柱状线是否扩张
+ */
+ private boolean isExpanding(MACDResult macdResult) {
+ List<PriceData> macdData = macdResult.getMacdData();
+ if (macdData.size() < 2) {
+ return false;
+ }
- // 2. MACD柱状线扩张检查
- boolean histogramExpanding =
- previous.getMacdHist().compareTo(latest.getMacdHist()) < 0 &&
- latest.getMacdHist().compareTo(BigDecimal.ZERO) > 0;
-
- return histogramExpanding;
+ PriceData latest = macdData.get(macdData.size() - 1);
+ PriceData previous = macdData.get(macdData.size() - 2);
+
+ // MACD柱状线扩张：当前绝对值大于前一根
+ return latest.getMacdHist().abs().compareTo(previous.getMacdHist().abs()) > 0;
}
/**
* MACD死叉且柱状线收缩检查
- *
+ * <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）
+ *
* @param macdResult MACD计算结果
- * @return 是否形成MACD死叉且柱状线收缩
+ * @return 是否形成MACD死叉或柱状线收缩
+ */
+ private boolean isMacdDeathCrossAndContracting(MACDResult macdResult) {
+ List<PriceData> macdData = macdResult.getMacdData();
+ if (macdData.size() < 3) {
+ return false;
+ }
+
+ PriceData latest = macdData.get(macdData.size() - 1);
+ PriceData previous = macdData.get(macdData.size() - 2);
+ PriceData prevPrev = macdData.get(macdData.size() - 3);
+
+ // 死叉判断：DIF从上往下穿过DEA
+ boolean isDeathCross = prevPrev.getDif().compareTo(prevPrev.getDea()) >= 0 &&
+ previous.getDif().compareTo(previous.getDea()) < 0;
+
+ boolean isDown = latest.getDif().compareTo(BigDecimal.ZERO) < 0 && latest.getDea().compareTo(BigDecimal.ZERO) < 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 && isExpanding && isDown;
+ }
+
+ /**
+ * MACD柱状线收缩检查
+ * <p>
+ * 条件：前一根MACD柱状线绝对值大于当前
+ *
+ * @param macdResult MACD计算结果
+ * @return MACD柱状线是否收缩
*/
private boolean isContracting(MACDResult macdResult) {
List<PriceData> macdData = macdResult.getMacdData();
@@ -278,14 +440,37 @@
PriceData latest = macdData.get(macdData.size() - 1);
PriceData previous = macdData.get(macdData.size() - 2);
-
- // 2. MACD柱状线收缩检查（绝对值减小）
- boolean histogramContracting =
- previous.getMacdHist().abs().compareTo(
- latest.getMacdHist().abs()) < 0 &&
- latest.getMacdHist().compareTo(BigDecimal.ZERO) < 0;
-
- return histogramContracting;
+
+ // MACD柱状线收缩：前一根绝对值大于当前
+ return previous.getMacdHist().abs().compareTo(latest.getMacdHist().abs()) > 0;
+ }
+
+ /**
+ * 检查MACD柱状线是否为正值
+ *
+ * @param macdResult MACD计算结果
+ * @return MACD柱状线是否为正值
+ */
+ private boolean isMacdPositive(MACDResult macdResult) {
+ List<PriceData> macdData = macdResult.getMacdData();
+ if (macdData.isEmpty()) {
+ return false;
+ }
+ return macdData.get(macdData.size() - 1).getMacdHist().compareTo(BigDecimal.ZERO) > 0;
+ }
+
+ /**
+ * 检查MACD柱状线是否为负值
+ *
+ * @param macdResult MACD计算结果
+ * @return MACD柱状线是否为负值
+ */
+ private boolean isMacdNegative(MACDResult macdResult) {
+ List<PriceData> macdData = macdResult.getMacdData();
+ if (macdData.isEmpty()) {
+ return false;
+ }
+ return macdData.get(macdData.size() - 1).getMacdHist().compareTo(BigDecimal.ZERO) < 0;
}
/**
@@ -302,22 +487,4 @@
volatility.compareTo(maxVolatility) <= 0;
}
-
- /**
- * 获取开仓价格
- *
- * @return 开仓价格
- */
- public BigDecimal getEntryPrice() {
- return entryPrice;
- }
-
- /**
- * 获取开仓时间戳
- *
- * @return 开仓时间戳
- */
- public long getEntryTime() {
- return entryTime;
- }
}
\ No newline at end of file
--
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