35 lines
1.1 KiB
Python
35 lines
1.1 KiB
Python
"""均线回踩反弹 — 价格在 MA20 附近(±2%)且 MA 多头排列, 回踩买入"""
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import polars as pl
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META = {
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"id": "pullback_ma20_bounce",
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"name": "均线回踩反弹",
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"description": "价格在MA20附近(±2%)且MA5>MA20>MA60多头排列, 回踩买入",
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"tags": ["回踩", "均线", "反弹"],
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"params": [
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{"id": "ma_proximity", "label": "MA偏离度%", "type": "float",
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"default": 2.0, "min": 0.5, "max": 5.0, "step": 0.5},
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],
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"scoring": {"momentum_60d": 0.4, "change_pct": 0.3, "momentum_20d": 0.3},
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"order_by": "score",
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"descending": True,
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"limit": 50,
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}
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ENTRY_SIGNALS = ["signal_ma_golden_5_20"]
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EXIT_SIGNALS = ["signal_ma20_breakdown", "signal_ma_dead_5_20"]
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STOP_LOSS = -0.05
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MAX_HOLD_DAYS = 15
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ALERTS = []
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def filter(df: pl.DataFrame, params: dict) -> pl.Expr:
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proximity = params.get("ma_proximity", 2.0) / 100.0
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return (
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(pl.col("close") > pl.col("ma20") * (1 - proximity))
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& (pl.col("close") < pl.col("ma20") * (1 + proximity))
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& (pl.col("ma5") > pl.col("ma20"))
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& (pl.col("ma20") > pl.col("ma60"))
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& (pl.col("change_pct") > 0)
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)
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