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汪汪汪·V3稳健趋势策略
核心概念
V3策略是汪汪汪的核心交易系统：少交易、抓趋势、稳复利。
信号逻辑
入场信号 = 0.7×趋势信号 + 0.2×动量信号 + 0.1×波动率信号
趋势信号 = EMA(40%) + Supertrend(30%) + DI方向(30%)
入场条件：
composite > 0.28 → 做多（ADX>25时全额信号，ADX<25时信号削弱70%）
composite < -0.28 → 做空
核心参数
| 参数 | 默认值 | 说明 |
|---|---|---|
| 基础杠杆 | 15x | 可上调至18x |
| ATR止损 | 2.5x | 止损距离 |
| 盈亏比 | 4:1 | 止盈/止损比 |
| 移动止损 | 浮盈5.5%激活 | ATR 2.0x追踪 |
| 滚仓复利 | 浮盈10%触发 | 50%加仓，最多3次 |
历史回测（BTCUSDT 15m，148天）
| 指标 | 结果 |
|---|---|
| 总收益 | +25.47% |
| Sharpe | 0.622 |
| 最大回撤 | 24.52% |
| 胜率 | 21.58% |
| 盈亏比 | 1.151 |
| 交易次数 | 760笔 |
| 爆仓次数 | 0 |
使用方式
回测
from strategy import V3StrategyParams, run_backtest
import pandas as pd
params = V3StrategyParams.from_json("config/v3_default.json")
df = pd.read_csv("data.csv") # 需要 [timestamp, open, high, low, close, volume]
result = run_backtest(df, params, initial_capital=10000)
print(result.to_dict())
命令行回测
python scripts/run_backtest.py --symbol BTCUSDT --timeframe 15m --days 148
修改策略参数
编辑 config/v3_default.json，推荐调节范围：
entry_threshold: 0.20~0.40（越小越敏感，交易越多）trend_strength_min: 20~30（ADX阈值，越高越保守）trailing_activation_pct: 0.04~0.08（移动止损激活点）rolling_trigger_pct: 0.08~0.15（滚仓触发点）
参数调整建议
| 场景 | 建议调整 |
|---|---|
| 牛市 | 降低 trend_strength_min 至 20，增加交易机会 |
| 熊市 | 提高 trend_strength_min 至 30，减少假信号 |
| 高波动 | 提高 sl_atr_mult 至 3.0，放宽止损 |
| 低波动 | 降低 entry_threshold 至 0.22，更快反应 |
| 保守 | 设置 rolling_enabled: false，禁用滚仓 |
策略原理
详见 references/strategy_guide.md