{"id":2258,"date":"2025-05-09T07:04:00","date_gmt":"2025-05-08T23:04:00","guid":{"rendered":"https:\/\/blog.laoyulaoyu.top\/?p=2258"},"modified":"2025-04-30T23:41:41","modified_gmt":"2025-04-30T15:41:41","slug":"%e4%bb%8e%e5%85%a5%e9%97%a8%e5%88%b0%e7%b2%be%e9%80%9a%ef%bc%9a%e8%b6%85%e8%af%a6%e7%bb%86%e6%af%94%e7%89%b9%e5%b8%81kama%e8%87%aa%e9%80%82%e5%ba%94%e4%ba%a4%e6%98%93%e4%bb%a3%e7%a0%81%e5%ae%9e","status":"publish","type":"post","link":"https:\/\/laoyulaoyu.com\/index.php\/2025\/05\/09\/%e4%bb%8e%e5%85%a5%e9%97%a8%e5%88%b0%e7%b2%be%e9%80%9a%ef%bc%9a%e8%b6%85%e8%af%a6%e7%bb%86%e6%af%94%e7%89%b9%e5%b8%81kama%e8%87%aa%e9%80%82%e5%ba%94%e4%ba%a4%e6%98%93%e4%bb%a3%e7%a0%81%e5%ae%9e\/","title":{"rendered":"\u4ece\u5165\u95e8\u5230\u7cbe\u901a\uff1a\u8d85\u8be6\u7ec6\u6bd4\u7279\u5e01KAMA\u81ea\u9002\u5e94\u4ea4\u6613\u4ee3\u7801\u5b9e\u6218"},"content":{"rendered":"\n

\u4f5c\u8005\uff1a\u8001\u4f59\u635e\u9c7c<\/a><\/p>\n\n\n\n

\u539f\u521b\u4e0d\u6613\uff0c\u8f6c\u8f7d\u8bf7\u6807\u660e\u51fa\u5904\u53ca\u539f\u4f5c\u8005\u3002<\/mark><\/strong><\/p>\n\n\n\n

\"\"<\/figure>\n\n\n\n
\n
\u5199\u5728\u524d\u9762\u7684\u8bdd\uff1a<\/strong>\u4eb2\u7231\u7684\u7c89\u4e1d\u4eec\u4eca\u5929\u5206\u4eab\u4e00\u5957\u6211\u4eec\u81ea\u7814\u7684\u6bd4\u7279\u5e01\u667a\u80fd\u4ea4\u6613\u7b56\u7565\u3002\u8fd9\u5957\u65b9\u6cd5\u7ed3\u5408\u4e86\u52a8\u6001\u5747\u7ebf\u548c\u6ce2\u52a8\u5e26\u8ffd\u8e2a\uff0c\u603b\u6536\u76ca\u8d85 200%\uff01\u6587\u7ae0\u5305\u542b\u5b8c\u6574Python\u4ee3\u7801\u6559\u5b66\uff0c\u4ece\u6570\u636e\u83b7\u53d6\u5230\u53c2\u6570\u8c03\u4f18\u624b\u628a\u624b\u6559\u4f60\uff0c\u96f6\u57fa\u7840\u4e5f\u80fd\u5feb\u901f\u4e0a\u624b\u3002\u6211\u4f1a\u7528\u901a\u4fd7\u8bed\u8a00\u89e3\u91ca\u4e13\u4e1a\u672f\u8bed\uff0c\u8fd8\u4f1a\u63ed\u79d8\u5e84\u5bb6\u64cd\u76d8\u4fe1\u53f7\uff0c\u544a\u8bc9\u4f60\u4e3a\u4ec0\u4e48\u8fd9\u4e2a\u7b56\u7565\u80fd\u540a\u6253\u5e02\u573a\u97ed\u83dc\uff01<\/pre>\n<\/blockquote>\n\n\n\n
\u4e00\u3001\u4e3a\u4ec0\u4e48\u666e\u901a\u4eba\u5728\u5e01\u5708\u603b\u88ab\u5272\uff1f<\/strong><\/h2>\n\n\n\n
\u4f20\u7edf\u4ea4\u6613\u8005\u76ef\u7740K\u7ebf\u56fe\u71ac\u591c\u76ef\u76d8\uff0c\u5e84\u5bb6\u5374\u7528\u5927\u6570\u636e\u548c\u7b97\u6cd524\u5c0f\u65f6\u6536\u5272\u3002\u6839\u636e\u706b\u661f\u8d22\u7ecf\u6570\u636e\uff0c\u66b4\u6da8\u66b4\u8dcc\u4e8b\u4ef6\u4e2d83%\u4e0e\u5927\u6237\u4ed3\u4f4d\u5f02\u52a8\u76f8\u5173<\/strong>\u3002<\/p>\n\n\n\n
\u800c\u6211\u4eec\u7684\u7b56\u7565\u6838\u5fc3\u5c31\u662f\uff1a\u7528\u673a\u5668\u8bc6\u522b\u5e84\u5bb6\u4fe1\u53f7\uff0c\u8ba9\u7b97\u6cd5\u66ff\u4f60\u6253\u5de5\uff01<\/strong><\/p>\n\n\n\n
\u63a5\u4e0b\u6765\uff0c\u6211\u5c06\u7528\u6700\u76f4\u767d\u7684\u8bed\u8a00\u5e26\u4f60\u4ece\u96f6\u5230\u4e00\uff0c\u624b\u628a\u624b\u6559\u4f60\u7528 Python \u548c Backtrader \u642d\u5efa\u4e00\u5957\u80fd\u81ea\u9002\u5e94\u5e02\u573a\u6ce2\u52a8\u7684\u6bd4\u7279\u5e01\u4ea4\u6613\u7b56\u7565\u3002<\/p>\n\n\n\n
\u6587\u7ae0\u5206\u6210\u56db\u5927\u6a21\u5757\uff1a\u7b56\u7565\u539f\u7406\u3001\u73af\u5883\u642d\u5efa\u4e0e\u4ee3\u7801\u8be6\u89e3\u3001\u56de\u6d4b\u5b9e\u6d4b\u4e0e\u4f18\u5316\u5efa\u8bae\uff0c\u4ee5\u53ca\u5b9e\u6218\u603b\u7ed3\uff0c\u6bcf\u4e2a\u5173\u952e\u8282\u70b9\u90fd\u6709\u56fe\u6587\u6216\u8868\u683c\u8f85\u52a9\uff0c\u4fdd\u8bc1\u5373\u4f7f\u662f\u91cf\u5316\u5c0f\u767d\u4e5f\u80fd\u5feb\u901f\u4e0a\u624b\u3002<\/p>\n\n\n\n
\u4e8c\u3001\u81ea\u9002\u5e94\u6ce2\u52a8\u7b56\u7565\uff1a\u4e13\u6cbb\u66b4\u6da8\u66b4\u8dcc<\/strong><\/h2>\n\n\n\n
\u6211\u4eec\u7684\u6838\u5fc3\u601d\u8def\u662f\uff1a\u7528\u51ef\u592b\u66fc\u667a\u80fd\u5747\u7ebf\uff08KAMA\uff09\u6355\u6349\u8d8b\u52bf\uff0c\u7528\u57fa\u4e8e KAMA \u6ce2\u52a8\u7684\u901a\u9053\u5224\u65ad\u5165\u573a\u65f6\u673a\uff0c\u518d\u914d\u5408\u79fb\u52a8\u6b62\u635f\u9501\u5b9a\u6536\u76ca\u3002\u4ee5\u4e0b\u662f\u7b56\u7565\u4e09\u5927\u6740\u624b\u950f\uff1a<\/strong><\/p>\n\n\n\n
2.1 \u667a\u80fd\u5747\u7ebf\uff08\u539fKAMA\uff09<\/strong><\/h3>\n\n\n\n
KAMA\uff08Kaufman\u2019s Adaptive Moving Average\uff09\u7531 Perry Kaufman \u5728 1998 \u5e74\u63d0\u51fa\uff0c\u662f\u4e00\u79cd\u80fd\u6839\u636e\u5e02\u573a\u201c\u566a\u58f0\u201d\u81ea\u52a8\u8c03\u8282\u5e73\u6ed1\u7cfb\u6570\u7684\u79fb\u52a8\u5747\u7ebf\u3002<\/p>\n\n\n\n
\u5b83\u6bd4\u666e\u901a\u5747\u7ebf\u66f4\u806a\u660e\uff01\u5e02\u573a\u5e73\u9759\u65f6\u81ea\u52a8\u201c\u88c5\u6b7b\u201d\u51cf\u5c11\u5047\u4fe1\u53f7\uff0c\u8d8b\u52bf\u6765\u4e34\u65f6\u79d2\u53d8\u201c\u730e\u8c79\u201d\u8ffd\u51fb\u3002<\/p>\n\n\n\n
# \u4ee3\u7801\u7247\u6bb5\uff1a\u8ba1\u7b97\u667a\u80fd\u5747\u7ebf \nself.kama = bt.indicators.KAMA(period=30) # \u53c2\u6570\u53ef\u8c03<\/code><\/pre>\n\n\n\n
2.2 \u52a8\u6001\u6ce2\u52a8\u5e26<\/strong><\/h3>\n\n\n\n
\u6839\u636e\u5e02\u573a\u60c5\u7eea\u81ea\u52a8\u8c03\u6574\u5e26\u5bbd\uff0c\u66b4\u6da8\u65f6\u653e\u5bbd\u6b62\u635f\uff0c\u9707\u8361\u65f6\u6536\u7d27\u4fdd\u62a4\u672c\u91d1\uff1a<\/p>\n\n\n\n
\u901a\u9053\u4e0a\u4e0b\u8f68\u4e0d\u518d\u57fa\u4e8e\u4ef7\u683c\u6807\u51c6\u5dee\uff0c\u800c\u662f\u57fa\u4e8e KAMA \u672c\u8eab\u7684\u6807\u51c6\u5dee\u3002<\/p>\n\n\n\n
    \n
  • \u5185\u6ce2\u52a8\u5c0f<\/strong> \u2192 \u901a\u9053\u6536\u7a84\uff0c\u654f\u611f\u6355\u6349\u7a81\u7834\u3002<\/li>\n\n\n\n
  • \u5185\u6ce2\u52a8\u5927<\/strong> \u2192 \u901a\u9053\u653e\u5bbd\uff0c\u907f\u514d\u8fc7\u5ea6\u4ea4\u6613\u3002<\/li>\n<\/ul>\n\n\n\n
    \u8fd9\u79cd\u8bbe\u8ba1\u8ba9\u901a\u9053\u66f4\u8d34\u5408\u8d8b\u52bf\u672c\u8eab\uff0c\u6bd4\u4f20\u7edf Bollinger Bands \u66f4\u7075\u6d3b\u3002<\/p>\n\n\n\n
    # \u8ba1\u7b97\u6ce2\u52a8\u5e26 \nupper_band = kama + 3*\u6807\u51c6\u5dee # \u7a81\u7834\u4e0a\u8f68\u505a\u591a \nlower_band = kama - 3*\u6807\u51c6\u5dee # \u8dcc\u7834\u4e0b\u8f68\u505a\u7a7a<\/code><\/pre>\n\n\n\n
    2.3 \u53cc\u91cd\u79bb\u573a\u673a\u5236<\/strong><\/h3>\n\n\n\n

    \u6c38\u8fdc\u4e0d\u505a\u9009\u62e9\u9898\uff01\u540c\u65f6\u8bbe\u7f6e\uff1a<\/p>\n\n\n\n
    \u6a21\u5f0f<\/th>\u89e6\u53d1\u6761\u4ef6<\/th>\u9002\u7528\u573a\u666f<\/th><\/tr><\/thead>
    \u56de\u8c03<\/strong><\/td>\u4ef7\u683c\u7a81\u7834 KAMA \u540e\u518d\u56de\u843d\u81f3\u5747\u7ebf\u9644\u8fd1<\/td>\u8d8b\u52bf\u6e29\u548c\u3001\u4e2d\u7ebf\u5e03\u5c40<\/td><\/tr>
    \u7a81\u7834<\/strong><\/td>\u4ef7\u683c\u7a81\u7834\u4e0a\u4e0b\u901a\u9053\u4e14\u524d\u4e00\u65e5\u672a\u7a81\u7834<\/td>\u5f3a\u52bf\u884c\u60c5\u3001\u5feb\u8fdb\u5feb\u51fa<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n
    \u7a81\u7834\u6a21\u5f0f<\/strong>\uff1a\u62a2\u5360\u8d8b\u52bf\u521d\u671f\uff0c\u8ffd\u968f\u884c\u60c5\u52a0\u901f\u9636\u6bb5\u3002<\/p>\n\n\n\n
    \u56de\u8c03\u6a21\u5f0f<\/strong>\uff1a\u8d81\u4ef7\u683c\u56de\u5f52\u5747\u7ebf\u65f6\u5efa\u4ed3\uff0c\u964d\u4f4e\u6ed1\u70b9\u98ce\u9669\u3002<\/p>\n\n\n\n
    \u4e09\u3001\u624b\u628a\u624b\u4ee3\u7801\u6559\u5b66<\/strong><\/h2>\n\n\n\n
    Step1\uff1a\u73af\u5883\u642d\u5efa<\/strong><\/p>\n\n\n\n
    !pip install backtrader yfinance  # \u5b89\u88c5\u5fc5\u5907\u5e93\nimport backtrader as bt\nimport yfinance as yf<\/pre>\n\n\n\n
    Step2\uff1a\u83b7\u53d6\u6bd4\u7279\u5e01\u6570\u636e<\/strong><\/p>\n\n\n\n
    # \u83b7\u53d62021-2025\u5e74BTC\u6570\u636e
    data = yf.download('BTC-USD', start='2021-01-01', end='2025-04-30')
    data_feed = bt.feeds.PandasData(dataname=data)<\/pre>\n\n\n\n
    \u4ee3\u7801\u6709\u6982\u7387\u89e6\u53d1yfinance\u901f\u7387\u9650\u5236\uff0c\u53ef\u4ee5\u8c03\u6574\u83b7\u53d6\u6570\u636e\u7684\u65f6\u95f4\u6bb5\u6216\u66f4\u6362\u6e90\u3002<\/p>\n\n\n\n
    Step3\uff1a\u7f16\u5199\u7b56\u7565\u6838\u5fc3<\/strong><\/p>\n\n\n\n
    class \u6bd4\u7279\u5e01\u6218\u6cd5(bt.Strategy):\n    params = (\n        ('kama\u5468\u671f',30),     # \u5747\u7ebf\u7075\u654f\u5ea6\n        ('\u6ce2\u52a8\u500d\u6570',3),      # \u5e26\u5bbd\u677e\u7d27\n        ('\u6b62\u635f\u6bd4\u4f8b',0.1)     # \u52a8\u6001\u6b62\u635f\n    )\n    \n    def __init__(self):\n        # \u8ba1\u7b97\u6307\u6807\uff08\u8be6\u89c1\u4e0a\u6587\uff09\n    \n    def next(self):\n        if \u6ca1\u6301\u4ed3 and \u7a81\u7834\u4e0a\u8f68:  # \u505a\u591a\u4fe1\u53f7\n            self.buy()\n            self.\u6b62\u635f\u5355 = self.sell(..., trailpercent=self.p.\u6b62\u635f\u6bd4\u4f8b)  # \u52a8\u6001\u6b62\u635f\n        \n        if \u6301\u4ed3 and \u8dcc\u7834\u5747\u7ebf:   # \u5e73\u4ed3\u4fe1\u53f7\n            self.close()<\/pre>\n\n\n\n
    Step4\uff1a\u79fb\u52a8\u6b62\u635f\uff08notify_order \u65b9\u6cd5\uff09<\/strong><\/p>\n\n\n\n
    def notify_order(self, order):\n    # \u4ec5\u5728\u5efa\u4ed3\u6210\u4ea4\u540e\u6302\u79fb\u52a8\u6b62\u635f\n    if order.status == order.Completed and order is self.order:\n        if order.isbuy():\n            self.trail = self.sell(\n                exectype=bt.Order.StopTrail,\n                trailpercent=self.p.trail_perc\n            )\n        else:\n            self.trail = self.buy(\n                exectype=bt.Order.StopTrail,\n                trailpercent=self.p.trail_perc\n            )<\/code><\/pre>\n\n\n\n
    Step5\uff1a\u56de\u6d4b\u4e3b\u6d41\u7a0b\u793a\u4f8b<\/strong><\/p>\n\n\n\n
    if __name__ == '__main__':\n    cerebro = bt.Cerebro()\n    # \u9009\u62e9\u7b56\u7565\u6a21\u5f0f\u4e0e\u53c2\u6570\n    cerebro.addstrategy(\n        AdaptiveMAVolatilityStrategy,\n        trade_mode='breakout',\n        lama_period=30, vol_period=7, vol_mult=3.0,\n        trail_perc=0.10\n    )\n    # \u4e0b\u8f7d\u6570\u636e\n    data = yf.download('BTC-USD', '2021-01-01', '2023-12-31')\n    cerebro.adddata(bt.feeds.PandasData(dataname=data))\n    # \u8d44\u91d1\u4e0e\u624b\u7eed\u8d39\n    cerebro.broker.setcash(100000)\n    cerebro.broker.setcommission(0.001)\n    cerebro.addsizer(bt.sizers.PercentSizer, percents=95)\n    print('\u8d77\u59cb\u8d44\u91d1\uff1a', cerebro.broker.getvalue())\n    res = cerebro.run()\n    print('\u56de\u6d4b\u7ed3\u675f\uff1a', cerebro.broker.getvalue())\n    # \u53ef\u9009\uff1a\u753b\u51c0\u503c\u66f2\u7ebf\n    cerebro.plot(style='line')<\/code><\/pre>\n\n\n\n
    \u56de\u6d4b\u6570\u636e\u5206\u6790<\/strong><\/p>\n\n\n\n
    \"\"<\/figure>\n\n\n\n
    \u6307\u6807<\/th>\u6570\u503c<\/th><\/tr><\/thead>
    \u8d77\u59cb\u8d44\u91d1<\/td>$100,000<\/td><\/tr>
    \u7ed3\u675f\u8d44\u91d1<\/td>$309,628<\/td><\/tr>
    \u603b\u6536\u76ca\u7387<\/td>+209.6%<\/td><\/tr>
    \u5e74\u5316\u6536\u76ca\u7387<\/td>\u224845%<\/td><\/tr>
    \u6700\u5927\u56de\u64a4<\/td>39.6%<\/td><\/tr>
    \u603b\u4ea4\u6613\u6b21\u6570<\/td>36<\/td><\/tr>
    \u80dc\u7387<\/td>52.8%<\/td><\/tr>
    \u5e73\u5747\u76c8\u5229 \/ \u4e8f\u635f<\/td>$13,470 \/ $9,680<\/td><\/tr>
    \u76c8\u4e8f\u6bd4\uff08Profit Factor\uff09<\/td>1.65<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n
    \u56db\u3001\u53c2\u6570\u8c03\u4f18\u79d8\u7c4d<\/strong><\/h2>\n\n\n\n
    \u53c2\u6570\u7ec4\u5408<\/th>\u603b\u6536\u76ca<\/th>\u6700\u5927\u56de\u64a4<\/th>\u590f\u666e\u6bd4\u7387<\/th><\/tr><\/thead>
    (\u5468\u671f30, \u500d\u65703)<\/td>309%<\/td>39.6%<\/td>0.68<\/td><\/tr>
    (\u5468\u671f20, \u500d\u65702.5)<\/td>278%<\/td>42.1%<\/td>0.59<\/td><\/tr>
    (\u5468\u671f40, \u500d\u65703.5)<\/td>264%<\/td>36.8%<\/td>0.71<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n
    \u8c03\u53c2\u53e3\u8bc0\uff1a<\/strong><\/p>\n\n\n\n