尝试增加arbr指标

quant_strategy.py

@@ -1,7 +1,7 @@
 import numpy as np
 import pandas as pd
 import talib
-
+from util import calculate_brar
 
 # =====================================================================
 # 1. 指标引擎：未来所有新发掘的指标，全写在这里
@@ -57,8 +57,14 @@ class FeatureEngine:
         up, mid, low = talib.BBANDS(
             self.close, timeperiod=20, nbdevup=2, nbdevdn=2, matype=0
         )
+
         self.df["bb_up"], self.df["bb_mid"], self.df["bb_low"] = up, mid, low
 
+        df_tmp = calculate_brar(self.df)
+
+        self.df["ar"] = df_tmp["ar"]
+        self.df['br'] = df_tmp["br"]
+
         self.df["percent_b"] = (self.df["close"] - low) / (up - low)
         self.df["bandwidth"] = (up - low) / mid
         self.df["amount_avg_20d"] = (
@@ -90,6 +96,11 @@ class FeatureEngine:
         )
         features["is_not_new_low_10d"] = latest["close"] > latest["low_min_10d"]
 
+        features["ar"] = latest["ar"]
+        features["prev_ar"] = prev["ar"]
+        features["br"] = latest["br"]
+        features["prev_br"] = prev["br"]
+
         history_bw = self.df["bandwidth"].iloc[-250:]
         features["bw_quantile"] = (history_bw < latest["bandwidth"]).mean()
 
@@ -113,13 +124,21 @@ class StateRuleBook:
         # 【判断是否从主升浪跌破】
         if (
             current_state == "STATE_3_MAIN_WAVE"
-            and f["close"] < f["ma10"]
-            and f["prev_close"] > f["prev_ma10"]
+            and ((f["close"] < f["ma10"]
+            and f["prev_close"] > f["prev_ma10"])
+            or ((f["prev_ar"] >= 150 and f["ar"] < 150)
+            and (f["prev_br"] >= 300 and f["br"] < 300)))
         ):
-            return (
-                "STATE_4_WAVE_END",
-                "⚠️ 主升浪确认结束！清空做T仓，准备重新激活做T。",
-            )
+            if (f["close"] < f["ma10"] and f["prev_close"] > f["prev_ma10"]):
+                return (
+                    "STATE_4_WAVE_END",
+                    "⚠️ 主升浪确认结束！清空做T仓，准备重新激活做T。(股价跌破10日均线)",
+                )
+            elif ((f["prev_ar"] >= 150 and f["ar"] < 150) and (f["prev_br"] >= 300 and f["br"] < 300)):
+                return (
+                    "STATE_4_WAVE_END",
+                    "⚠️ 主升浪确认结束！清空做T仓，准备重新激活做T。(ARBR跌破警戒线)",
+                )
 
         # 【判断是否爆发主升浪】
         if (