347 lines
8.7 KiB
Go
347 lines
8.7 KiB
Go
package indicator
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/*
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以MACD指标红绿柱（能量柱）为核心决策依据的A股交易规则系统。旨在通过捕捉柱体的“由绿变红”（空转多）和“由红变绿”（多转空）的临界点，结合柱体的伸缩长度及与股价的背离关系，来量化买卖信号，减少主观情绪干扰。
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系统需能识别并提示以下几类基于红绿柱的买入场景：
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参数：
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日线
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参数（12,26,9）
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3.1 基础买入信号（柱体反转）
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需求描述：捕捉下跌动能衰竭、上涨动能启动的瞬间。
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判定标准：
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在零轴下方或零轴附近。
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MACD绿色柱体开始缩短的最后一根（或第一根红色柱体出现）。
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量化确认：当MACD柱状线由绿变红（负值变正值），视为买入信号。根据上海证券报的历史回测，在周线级别出现红柱且数值超过5后的第二周开盘买入，长期收益显著。
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3.2 趋势跟随买入（红柱伸长）
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需求描述：在多头趋势中，捕捉主升浪阶段。
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判定标准：
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DIF与DEA在零轴上方运行（水上）。
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红柱连续增长（每一根比前一根高），表明上涨动能持续增强。
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持有规则：只要红柱持续伸长，继续持有；若虽为红柱但开始缩短，则应考虑部分止盈。
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3.4 底背离买入（左侧交易）
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需求描述：捕捉价格新低但动能不再的潜在反转点。
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判定标准：
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股价创出新低（或收盘价新低）。
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MACD绿柱的底部（绝对值低点）较前一波绿柱底部抬高（即绿柱长度变短，下跌缩量）。
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随后出现红柱确认时买入。
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5. 特殊形态与过滤条件
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为提高胜率，系统需识别以下复合形态：
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零轴水下金叉后的拒绝死叉：
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MACD在0轴下方金叉后，股价小幅调整导致快慢线黏合，但并未形成死叉（或形成失败的死叉），随后红柱再次加长。这是洗盘结束、主升浪启动的信号。
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成交量验证：
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红柱放大时，需要成交量同步放大的确认。若红柱放大但缩量，信号的可靠性降低。
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双线联合形态：
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零轴上，DIF与DEA线粘合后再次分离向上发散，同时红柱伸长，是加速上涨信号
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*/
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import (
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"fmt"
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"math"
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"strings"
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"git.apinb.com/bsm-sdk/core/utils"
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"git.apinb.com/quant/gostock/internal/impl"
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"git.apinb.com/quant/gostock/internal/models"
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talib "github.com/markcheno/go-talib"
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)
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const (
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defaultMacdFast = 12
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defaultMacdSlow = 26
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defaultMacdSignal = 9
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)
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var (
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desc []string
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)
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type MacdResult struct {
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Score int
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Val float64
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Desc string
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}
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// RunMacd 根据MACD红绿柱及价量关系，对当前标的进行打分与描述
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func RunMacd(code string) *MacdResult {
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args, _, err := GetArgConfig(code)
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if err != nil {
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return &MacdResult{Score: -1, Desc: "MACD参数错误！"}
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}
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fast := args.EmaFast
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slow := args.EmaSlow
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signal := defaultMacdSignal
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if fast <= 0 {
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fast = defaultMacdFast
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}
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if slow <= 0 {
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slow = defaultMacdSlow
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}
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// 为了有足够的数据观察柱体形态，这里多取一些K线
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limit := slow * 6
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if limit < 200 {
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limit = 200
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}
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var closes []float64
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var vols []float64
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impl.DBService.Model(models.StockDaily{}).
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Where("ts_code = ?", code).
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Order("trade_date desc").
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Limit(limit).
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Pluck("close", &closes)
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impl.DBService.Model(models.StockDaily{}).
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Where("ts_code = ?", code).
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Order("trade_date desc").
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Limit(limit).
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Pluck("vol", &vols)
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if len(closes) < slow+signal+5 {
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return &MacdResult{Score: -1, Desc: "MACD 数据不足"}
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}
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closes = ReverseSlice(closes)
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if len(vols) >= len(closes) {
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vols = vols[:len(closes)]
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vols = ReverseSlice(vols)
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} else {
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// 成交量不足时不做成交量验证
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vols = nil
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}
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macdLine, signalLine, hist := talib.Macd(closes, fast, slow, signal)
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n := len(hist)
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if n < 5 {
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return &MacdResult{Score: -1, Desc: "MACD 计算结果不足"}
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}
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lastIdx := n - 1
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prevIdx := n - 2
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lastHist := hist[lastIdx]
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prevHist := hist[prevIdx]
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lastMacd := macdLine[lastIdx]
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lastSignal := signalLine[lastIdx]
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macdVal := utils.FloatRound(lastHist, 4)
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score := -1
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// 3.1 基础买入信号：绿柱转红柱，零轴下方或附近
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if prevHist < 0 && lastHist > 0 && lastMacd <= 0 {
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score = maxInt(score, 1)
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desc = append(desc, "MACD红绿柱反转：由绿转红，零轴下方/附近")
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}
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// 3.2 趋势跟随买入：红柱连续伸长，DIF/DEA在零轴上方
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if lastMacd > 0 && lastSignal > 0 && isGrowingPositive(hist, 3) {
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score = maxInt(score, 2)
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desc = append(desc, "MACD红柱连续伸长，DIF/DEA零轴上方，趋势跟随买入信号")
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}
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// 3.4 底背离买入：价格新低但绿柱底部抬高，随后红柱确认
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if lastHist > 0 && hasBottomDivergence(closes, hist) {
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score = maxInt(score, 2)
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desc = append(desc, "MACD价格新低但绿柱底部抬高，后续红柱确认")
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}
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// 5.1 零轴下金叉后的拒绝死叉：金叉发生在零轴下方，之后未形成有效死叉，红柱再次放大
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if lastHist > 0 && isGrowingPositive(hist, 2) && hasGoldenCrossRejection(macdLine, signalLine, hist) {
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score = maxInt(score, 3)
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desc = append(desc, "MACD零轴下金叉后拒绝死叉，红柱再次放大")
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}
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// 成交量验证：红柱放大但缩量，降低一次评分
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if score > 0 && vols != nil && lastHist > 0 && isGrowingPositive(hist, 2) {
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if !isVolumeConfirmed(vols) {
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score--
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if score <= 0 {
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score = -1
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}
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return &MacdResult{Score: score, Val: macdVal, Desc: "MACD红柱放大但成交量未同步放大，信号可靠性降低"}
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}
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}
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if score == -1 {
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if lastHist <= 0 {
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return &MacdResult{Score: -1, Val: macdVal, Desc: fmt.Sprintf("MACD未出现明确多头信号，hist=%.4f", lastHist)}
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}
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}
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if score > 0 {
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return &MacdResult{Score: score, Val: macdVal, Desc: strings.Join(desc, "||")}
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}
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return &MacdResult{Score: -1, Val: macdVal, Desc: "无信号"}
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}
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// 最近k根红柱是否连续伸长（严格递增且均为正）
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func isGrowingPositive(hist []float64, k int) bool {
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n := len(hist)
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if k <= 1 || n < k {
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return false
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}
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start := n - k
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prev := hist[start]
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if prev <= 0 {
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return false
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}
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for i := start + 1; i < n; i++ {
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if hist[i] <= 0 || hist[i] <= prev {
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return false
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}
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prev = hist[i]
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}
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return true
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}
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// 底背离：最近两段绿柱，后一段对应的价格更低但绿柱绝对值更小
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func hasBottomDivergence(closes, hist []float64) bool {
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n := len(hist)
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if n < 20 || len(closes) != n {
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return false
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}
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type valley struct {
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idx int
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hist float64
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px float64
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}
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var valleys []valley
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inNeg := false
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curMinIdx := -1
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for i := 1; i < n-1; i++ {
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if hist[i] < 0 {
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if !inNeg {
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inNeg = true
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curMinIdx = i
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}
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if curMinIdx == -1 || hist[i] < hist[curMinIdx] {
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curMinIdx = i
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}
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} else if inNeg {
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// 负柱结束，记录一段绿柱的底部
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valleys = append(valleys, valley{
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idx: curMinIdx,
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hist: hist[curMinIdx],
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px: closes[curMinIdx],
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})
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inNeg = false
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curMinIdx = -1
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}
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}
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if inNeg && curMinIdx != -1 {
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valleys = append(valleys, valley{
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idx: curMinIdx,
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hist: hist[curMinIdx],
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px: closes[curMinIdx],
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})
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}
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if len(valleys) < 2 {
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return false
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}
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v1 := valleys[len(valleys)-2]
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v2 := valleys[len(valleys)-1]
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// 价格创新低，但绿柱绝对值变小（底部抬高）
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if v2.px >= v1.px {
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return false
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}
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if math.Abs(v2.hist) >= math.Abs(v1.hist) {
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return false
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}
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return true
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}
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// 零轴下方金叉后，未形成死叉且红柱再次放大
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func hasGoldenCrossRejection(macdLine, signalLine, hist []float64) bool {
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n := len(macdLine)
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if n < 10 || len(signalLine) != n || len(hist) != n {
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return false
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}
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lastIdx := n - 1
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goldenIdx := -1
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// 在最近一段时间内（最多往前看60根），寻找最近一次位于零轴下方的金叉
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for i := lastIdx; i >= 1 && i >= n-60; i-- {
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if macdLine[i-1] < signalLine[i-1] &&
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macdLine[i] > signalLine[i] &&
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macdLine[i] < 0 &&
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signalLine[i] < 0 {
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goldenIdx = i
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break
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}
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}
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if goldenIdx == -1 {
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return false
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}
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// 金叉之后是否出现了真正的死叉？若出现则不算“拒绝死叉”
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for i := goldenIdx + 1; i <= lastIdx; i++ {
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if macdLine[i-1] > signalLine[i-1] && macdLine[i] < signalLine[i] {
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return false
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}
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}
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// 红柱再次放大
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if hist[lastIdx] <= 0 {
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return false
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}
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if hist[lastIdx] <= hist[goldenIdx] {
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return false
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}
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return true
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}
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// 成交量确认：最近3根K线成交量均值应不低于之前3根
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func isVolumeConfirmed(vols []float64) bool {
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n := len(vols)
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if n < 6 {
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// 数据不足时不强制要求放量
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return true
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}
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var lastSum, prevSum float64
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for i := n - 3; i < n; i++ {
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lastSum += vols[i]
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}
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for i := n - 6; i < n-3; i++ {
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prevSum += vols[i]
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}
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lastAvg := lastSum / 3
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prevAvg := prevSum / 3
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return lastAvg >= prevAvg
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}
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func maxInt(a, b int) int {
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if a > b {
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return a
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}
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return b
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}
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