@gabriel3615/ta_analysis/dist/analysis/backtest/strategies/PatternConsensusStrategy.js

stock ta analysis

import { backtestStrategiesConfig } from '../strategyConfig.js';
import { analyzeMultiTimeframePatterns, PatternDirection, } from '../../basic/patterns/analyzeMultiTimeframePatterns.js';
export function PatternConsensusStrategy(symbol, timeframe, params = {}) {
    const { minSignalStrength = backtestStrategiesConfig.patternConsensus
        .minSignalStrength, requireAllAligned = backtestStrategiesConfig.patternConsensus
        .requireAllAligned, coolDownBars = backtestStrategiesConfig.patternConsensus.coolDownBars, lookback = backtestStrategiesConfig.patternConsensus.lookback, } = params;
    let lastSignalIndex = -1;
    let lastDirection = undefined;
    return {
        name: 'PatternConsensus',
        generateSignal(history, i) {
            if (i < Math.min(120, lookback / 2))
                return null;
            if (i - lastSignalIndex < coolDownBars)
                return null;
            const dailyData = history.slice(Math.max(0, i - lookback + 1), i + 1);
            // 近似聚合周线：每5天取一根（已存在 util.aggregateDailyToWeekly 但此处只需近似）
            const weeklyData = [];
            for (let j = 0; j < dailyData.length; j += 5) {
                const slice = dailyData.slice(j, Math.min(j + 5, dailyData.length));
                if (!slice.length)
                    continue;
                weeklyData.push({
                    symbol: slice[0].symbol,
                    open: slice[0].open,
                    high: Math.max(...slice.map(c => c.high)),
                    low: Math.min(...slice.map(c => c.low)),
                    close: slice[slice.length - 1].close,
                    volume: slice.reduce((s, c) => s + c.volume, 0),
                    timestamp: slice[slice.length - 1].timestamp,
                });
            }
            // 小时数据缺失时传空数组，内部不会报错
            const hourlyData = [];
            const analysis = analyzeMultiTimeframePatterns(weeklyData, dailyData, hourlyData);
            if (analysis.signalStrength < minSignalStrength)
                return null;
            const tfa = analysis.timeframeAnalyses;
            const weeklySig = tfa.find(a => a.timeframe === 'weekly')?.patternSignal;
            const dailySig = tfa.find(a => a.timeframe === 'daily')?.patternSignal;
            const hourlySig = tfa.find(a => a.timeframe === '1hour')?.patternSignal;
            const allAligned = weeklySig &&
                dailySig &&
                hourlySig &&
                weeklySig === dailySig &&
                dailySig === hourlySig;
            if (requireAllAligned && !allAligned)
                return null;
            let direction = 'flat';
            if (analysis.combinedSignal === PatternDirection.Bullish)
                direction = 'long';
            else if (analysis.combinedSignal === PatternDirection.Bearish)
                direction = 'short';
            if (direction === 'flat')
                return null;
            const signal = {
                timestamp: history[i].timestamp,
                direction,
                strength: Math.min(95, Math.max(60, analysis.signalStrength)),
                reason: `形态共识(${requireAllAligned ? '三周期一致' : '综合偏向'}) ${analysis.description}`,
            };
            // 避免短时间内方向反转噪声
            if (lastDirection &&
                signal.direction !== lastDirection &&
                i - lastSignalIndex < coolDownBars * 2 &&
                (signal.strength ?? 0) < 80) {
                return null;
            }
            lastSignalIndex = i;
            lastDirection = signal.direction;
            return signal;
        },
    };
}