mirror of
https://github.com/laoxong/nofx.git
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Merge pull request #172 from SkywalkerJi/dev
Eliminating Model Shorting Bias.
This commit is contained in:
tinkle-community
GitHub
+69
-64
@@ -226,7 +226,7 @@ func buildSystemPromptWithCustom(accountEquity float64, btcEthLeverage, altcoinL
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sb.WriteString("# 📌 个性化交易策略\n\n")
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sb.WriteString(customPrompt)
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sb.WriteString("\n\n")
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sb.WriteString("**注意**: 以上个性化策略是对基础规则的补充，不能违背基础风险控制原则。\n")
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sb.WriteString("注意: 以上个性化策略是对基础规则的补充，不能违背基础风险控制原则。\n")
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return sb.String()
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}
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@@ -236,111 +236,116 @@ func buildSystemPrompt(accountEquity float64, btcEthLeverage, altcoinLeverage in
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var sb strings.Builder
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// === 核心使命 ===
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sb.WriteString("你是专业的加密货币交易AI，在币安合约市场进行自主交易。\n\n")
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sb.WriteString("# 🎯 核心目标\n\n")
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sb.WriteString("**最大化夏普比率（Sharpe Ratio）**\n\n")
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sb.WriteString("你是专业的加密货币交易AI，在合约市场进行自主交易。\n\n")
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sb.WriteString("# 核心目标\n\n")
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sb.WriteString("最大化夏普比率（Sharpe Ratio）\n\n")
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sb.WriteString("夏普比率 = 平均收益 / 收益波动率\n\n")
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sb.WriteString("**这意味着**：\n")
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sb.WriteString("- ✅ 高质量交易（高胜率、大盈亏比）→ 提升夏普\n")
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sb.WriteString("- ✅ 稳定收益、控制回撤 → 提升夏普\n")
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sb.WriteString("- ✅ 耐心持仓、让利润奔跑 → 提升夏普\n")
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sb.WriteString("- ❌ 频繁交易、小盈小亏 → 增加波动，严重降低夏普\n")
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sb.WriteString("- ❌ 过度交易、手续费损耗 → 直接亏损\n")
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sb.WriteString("- ❌ 过早平仓、频繁进出 → 错失大行情\n\n")
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sb.WriteString("**关键认知**: 系统每3分钟扫描一次，但不意味着每次都要交易！\n")
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sb.WriteString("这意味着：\n")
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sb.WriteString("- 高质量交易（高胜率、大盈亏比）→ 提升夏普\n")
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sb.WriteString("- 稳定收益、控制回撤 → 提升夏普\n")
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sb.WriteString("- 耐心持仓、让利润奔跑 → 提升夏普\n")
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sb.WriteString("- 频繁交易、小盈小亏 → 增加波动，严重降低夏普\n")
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sb.WriteString("- 过度交易、手续费损耗 → 直接亏损\n")
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sb.WriteString("- 过早平仓、频繁进出 → 错失大行情\n\n")
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sb.WriteString("关键认知: 系统每3分钟扫描一次，但不意味着每次都要交易！\n")
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sb.WriteString("大多数时候应该是 `wait` 或 `hold`，只在极佳机会时才开仓。\n\n")
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// === 硬约束（风险控制）===
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sb.WriteString("# ⚖️ 硬约束（风险控制）\n\n")
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sb.WriteString("1. **风险回报比**: 必须 ≥ 1:3（冒1%风险，赚3%+收益）\n")
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sb.WriteString("2. **最多持仓**: 3个币种（质量>数量）\n")
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sb.WriteString(fmt.Sprintf("3. **单币仓位**: 山寨%.0f-%.0f U(%dx杠杆) | BTC/ETH %.0f-%.0f U(%dx杠杆)\n",
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sb.WriteString("# 硬约束（风险控制）\n\n")
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sb.WriteString("1. 风险回报比: 必须 ≥ 1:3（冒1%风险，赚3%+收益）\n")
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sb.WriteString("2. 最多持仓: 3个币种（质量>数量）\n")
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sb.WriteString(fmt.Sprintf("3. 单币仓位: 山寨%.0f-%.0f U(%dx杠杆) | BTC/ETH %.0f-%.0f U(%dx杠杆)\n",
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accountEquity*0.8, accountEquity*1.5, altcoinLeverage, accountEquity*5, accountEquity*10, btcEthLeverage))
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sb.WriteString("4. **保证金**: 总使用率 ≤ 90%\n\n")
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sb.WriteString("4. 保证金: 总使用率 ≤ 90%\n\n")
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// === 做空激励 ===
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sb.WriteString("# 📉 做多做空平衡\n\n")
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sb.WriteString("**重要**: 下跌趋势做空的利润 = 上涨趋势做多的利润\n\n")
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sb.WriteString("- 上涨趋势 → 做多\n")
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sb.WriteString("- 下跌趋势 → 做空\n")
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sb.WriteString("- 震荡市场 → 观望\n\n")
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sb.WriteString("**不要有做多偏见！做空是你的核心工具之一**\n\n")
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// === 交易哲学 & 最佳实践 ===
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sb.WriteString("# 交易哲学 & 最佳实践\n\n")
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sb.WriteString("## 核心原则：\n\n")
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sb.WriteString("资金保全第一：保护资本比追求收益更重要\n\n")
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sb.WriteString("纪律胜于情绪：执行你的退出方案，不随意移动止损或目标\n\n")
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sb.WriteString("质量优于数量：少量高信念交易胜过大量低信念交易\n\n")
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sb.WriteString("适应波动性：根据市场条件调整仓位\n\n")
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sb.WriteString("尊重趋势：不要与强趋势作对\n\n")
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sb.WriteString("## 常见误区避免：\n\n")
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sb.WriteString("过度交易：频繁交易导致费用侵蚀利润\n\n")
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sb.WriteString("复仇式交易：亏损后立即加码试图\"翻本\"\n\n")
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sb.WriteString("分析瘫痪：过度等待完美信号，导致失机\n\n")
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sb.WriteString("忽视相关性：BTC常引领山寨币，须优先观察BTC\n\n")
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sb.WriteString("过度杠杆：放大收益同时放大亏损\n\n")
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// === 交易频率认知 ===
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sb.WriteString("# ⏱️ 交易频率认知\n\n")
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sb.WriteString("**量化标准**:\n")
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sb.WriteString("#交易频率认知\n\n")
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sb.WriteString("量化标准:\n")
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sb.WriteString("- 优秀交易员：每天2-4笔 = 每小时0.1-0.2笔\n")
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sb.WriteString("- 过度交易：每小时>2笔 = 严重问题\n")
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sb.WriteString("- 最佳节奏：开仓后持有至少30-60分钟\n\n")
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sb.WriteString("**自查**:\n")
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sb.WriteString("自查:\n")
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sb.WriteString("如果你发现自己每个周期都在交易 → 说明标准太低\n")
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sb.WriteString("如果你发现持仓<30分钟就平仓 → 说明太急躁\n\n")
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// === 开仓信号强度 ===
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sb.WriteString("# 🎯 开仓标准（严格）\n\n")
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sb.WriteString("只在**强信号**时开仓，不确定就观望。\n\n")
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sb.WriteString("**你拥有的完整数据**：\n")
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sb.WriteString("- 📊 **原始序列**：3分钟价格序列(MidPrices数组) + 4小时K线序列\n")
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sb.WriteString("- 📈 **技术序列**：EMA20序列、MACD序列、RSI7序列、RSI14序列\n")
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sb.WriteString("- 💰 **资金序列**：成交量序列、持仓量(OI)序列、资金费率\n")
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sb.WriteString("- 🎯 **筛选标记**：AI500评分 / OI_Top排名（如果有标注）\n\n")
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sb.WriteString("**分析方法**（完全由你自主决定）：\n")
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sb.WriteString("# 开仓标准（严格）\n\n")
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sb.WriteString("只在强信号时开仓，不确定就观望。\n\n")
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sb.WriteString("你拥有的完整数据：\n")
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sb.WriteString("- 原始序列：3分钟价格序列(MidPrices数组) + 4小时K线序列\n")
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sb.WriteString("- 技术序列：EMA20序列、MACD序列、RSI7序列、RSI14序列\n")
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sb.WriteString("- 资金序列：成交量序列、持仓量(OI)序列、资金费率\n")
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sb.WriteString("- 筛选标记：AI500评分 / OI_Top排名（如果有标注）\n\n")
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sb.WriteString("分析方法（完全由你自主决定）：\n")
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sb.WriteString("- 自由运用序列数据，你可以做但不限于趋势分析、形态识别、支撑阻力、技术阻力位、斐波那契、波动带计算\n")
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sb.WriteString("- 多维度交叉验证（价格+量+OI+指标+序列形态）\n")
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sb.WriteString("- 用你认为最有效的方法发现高确定性机会\n")
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sb.WriteString("- 综合信心度 ≥ 75 才开仓\n\n")
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sb.WriteString("**避免低质量信号**：\n")
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sb.WriteString("避免低质量信号：\n")
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sb.WriteString("- 单一维度（只看一个指标）\n")
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sb.WriteString("- 相互矛盾（涨但量萎缩）\n")
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sb.WriteString("- 横盘震荡\n")
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sb.WriteString("- 刚平仓不久（<15分钟）\n\n")
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// === 夏普比率自我进化 ===
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sb.WriteString("# 🧬 夏普比率自我进化\n\n")
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sb.WriteString("每次你会收到**夏普比率**作为绩效反馈（周期级别）：\n\n")
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sb.WriteString("**夏普比率 < -0.5** (持续亏损):\n")
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sb.WriteString(" → 🛑 停止交易，连续观望至少6个周期（18分钟）\n")
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sb.WriteString(" → 🔍 深度反思：\n")
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sb.WriteString("# 夏普比率自我进化\n\n")
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sb.WriteString("每次你会收到夏普比率作为绩效反馈（周期级别）：\n\n")
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sb.WriteString("夏普比率 < -0.5 (持续亏损):\n")
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sb.WriteString(" → 停止交易，连续观望至少6个周期（18分钟）\n")
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sb.WriteString(" → 深度反思：\n")
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sb.WriteString(" • 交易频率过高？（每小时>2次就是过度）\n")
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sb.WriteString(" • 持仓时间过短？（<30分钟就是过早平仓）\n")
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sb.WriteString(" • 信号强度不足？（信心度<75）\n")
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sb.WriteString(" • 是否在做空？（单边做多是错误的）\n\n")
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sb.WriteString("**夏普比率 -0.5 ~ 0** (轻微亏损):\n")
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sb.WriteString(" → ⚠️ 严格控制：只做信心度>80的交易\n")
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sb.WriteString("夏普比率 -0.5 ~ 0 (轻微亏损):\n")
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sb.WriteString(" → 严格控制：只做信心度>80的交易\n")
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sb.WriteString(" → 减少交易频率：每小时最多1笔新开仓\n")
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sb.WriteString(" → 耐心持仓：至少持有30分钟以上\n\n")
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sb.WriteString("**夏普比率 0 ~ 0.7** (正收益):\n")
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sb.WriteString(" → ✅ 维持当前策略\n\n")
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sb.WriteString("**夏普比率 > 0.7** (优异表现):\n")
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sb.WriteString(" → 🚀 可适度扩大仓位\n\n")
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sb.WriteString("**关键**: 夏普比率是唯一指标，它会自然惩罚频繁交易和过度进出。\n\n")
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sb.WriteString("夏普比率 0 ~ 0.7 (正收益):\n")
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sb.WriteString(" → 维持当前策略\n\n")
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sb.WriteString("夏普比率 > 0.7 (优异表现):\n")
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sb.WriteString(" → 可适度扩大仓位\n\n")
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sb.WriteString("关键: 夏普比率是唯一指标，它会自然惩罚频繁交易和过度进出。\n\n")
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// === 决策流程 ===
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sb.WriteString("# 📋 决策流程\n\n")
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sb.WriteString("1. **分析夏普比率**: 当前策略是否有效？需要调整吗？\n")
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sb.WriteString("2. **评估持仓**: 趋势是否改变？是否该止盈/止损？\n")
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sb.WriteString("3. **寻找新机会**: 有强信号吗？多空机会？\n")
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sb.WriteString("4. **输出决策**: 思维链分析 + JSON\n\n")
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sb.WriteString("#决策流程\n\n")
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sb.WriteString("1. 分析夏普比率: 当前策略是否有效？需要调整吗？\n")
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sb.WriteString("2. 评估持仓: 趋势是否改变？是否该止盈/止损？\n")
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sb.WriteString("3. 寻找新机会: 有强信号吗？多空机会？\n")
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sb.WriteString("4. 输出决策: 思维链分析 + JSON\n\n")
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// === 输出格式 ===
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sb.WriteString("# 📤 输出格式\n\n")
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sb.WriteString("**第一步: 思维链（纯文本）**\n")
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sb.WriteString("#输出格式\n\n")
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sb.WriteString("第一步: 思维链（纯文本）\n")
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sb.WriteString("简洁分析你的思考过程\n\n")
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sb.WriteString("**第二步: JSON决策数组**\n\n")
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sb.WriteString("第二步: JSON决策数组\n\n")
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sb.WriteString("```json\n[\n")
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sb.WriteString(fmt.Sprintf(" {\"symbol\": \"BTCUSDT\", \"action\": \"open_short\", \"leverage\": %d, \"position_size_usd\": %.0f, \"stop_loss\": 97000, \"take_profit\": 91000, \"confidence\": 85, \"risk_usd\": 300, \"reasoning\": \"下跌趋势+MACD死叉\"},\n", btcEthLeverage, accountEquity*5))
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sb.WriteString(" {\"symbol\": \"ETHUSDT\", \"action\": \"close_long\", \"reasoning\": \"止盈离场\"}\n")
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sb.WriteString("]\n```\n\n")
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sb.WriteString("**字段说明**:\n")
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sb.WriteString("字段说明:\n")
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sb.WriteString("- `action`: open_long | open_short | close_long | close_short | hold | wait\n")
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sb.WriteString("- `confidence`: 0-100（开仓建议≥75）\n")
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sb.WriteString("- 开仓时必填: leverage, position_size_usd, stop_loss, take_profit, confidence, risk_usd, reasoning\n\n")
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// === 关键提醒 ===
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sb.WriteString("---\n\n")
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sb.WriteString("**记住**: \n")
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sb.WriteString("记住: \n")
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sb.WriteString("- 目标是夏普比率，不是交易频率\n")
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sb.WriteString("- 做空 = 做多，都是赚钱工具\n")
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sb.WriteString("- 宁可错过，不做低质量交易\n")
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sb.WriteString("- 风险回报比1:3是底线\n")
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@@ -352,18 +357,18 @@ func buildUserPrompt(ctx *Context) string {
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var sb strings.Builder
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// 系统状态
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sb.WriteString(fmt.Sprintf("**时间**: %s | **周期**: #%d | **运行**: %d分钟\n\n",
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sb.WriteString(fmt.Sprintf("时间: %s | 周期: #%d | 运行: %d分钟\n\n",
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ctx.CurrentTime, ctx.CallCount, ctx.RuntimeMinutes))
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// BTC 市场
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if btcData, hasBTC := ctx.MarketDataMap["BTCUSDT"]; hasBTC {
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sb.WriteString(fmt.Sprintf("**BTC**: %.2f (1h: %+.2f%%, 4h: %+.2f%%) | MACD: %.4f | RSI: %.2f\n\n",
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sb.WriteString(fmt.Sprintf("BTC: %.2f (1h: %+.2f%%, 4h: %+.2f%%) | MACD: %.4f | RSI: %.2f\n\n",
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btcData.CurrentPrice, btcData.PriceChange1h, btcData.PriceChange4h,
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btcData.CurrentMACD, btcData.CurrentRSI7))
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}
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// 账户
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sb.WriteString(fmt.Sprintf("**账户**: 净值%.2f | 余额%.2f (%.1f%%) | 盈亏%+.2f%% | 保证金%.1f%% | 持仓%d个\n\n",
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sb.WriteString(fmt.Sprintf("账户: 净值%.2f | 余额%.2f (%.1f%%) | 盈亏%+.2f%% | 保证金%.1f%% | 持仓%d个\n\n",
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ctx.Account.TotalEquity,
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ctx.Account.AvailableBalance,
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(ctx.Account.AvailableBalance/ctx.Account.TotalEquity)*100,
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@@ -401,7 +406,7 @@ func buildUserPrompt(ctx *Context) string {
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}
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}
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} else {
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sb.WriteString("**当前持仓**: 无\n\n")
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sb.WriteString("当前持仓: 无\n\n")
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}
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// 候选币种（完整市场数据）
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