褚宏光
543572667b
- Created README.md and USAGE.md for project overview and usage instructions. - Added core algorithm in src/converging_triangle.py for batch processing of stock data. - Introduced data files (open.pkl, high.pkl, low.pkl, close.pkl, volume.pkl) for OHLCV data. - Developed output documentation for results and breakout strength calculations. - Implemented scripts for running the detection and generating reports. - Added SVG visualizations and markdown documentation for algorithm details and usage examples.
188 lines
4.0 KiB
Markdown
188 lines
4.0 KiB
Markdown
# 突破强度计算方法
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## 概述
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突破强度是一个 **0~1** 的连续分数，用于衡量收敛三角形突破的有效性。
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分数越高，表示突破越强势、越可信。
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---
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## 计算公式
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```python
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strength = price_score × 5 × (1 + convergence_bonus × 0.5) × (1 + vol_bonus × 0.5)
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```
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最终结果限制在 `[0, 1]` 范围内。
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---
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## 三个影响因素
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### 1. 价格突破幅度 (price_score)
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衡量收盘价突破趋势线的程度。
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```python
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# 向上突破
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price_up = max(0, (close - upper_line) / upper_line)
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# 向下突破
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price_down = max(0, (lower_line - close) / lower_line)
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```
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| 突破幅度 | price_score |
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|----------|-------------|
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| 未突破 | 0 |
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| 突破 1% | 0.01 |
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| 突破 5% | 0.05 |
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| 突破 10% | 0.10 |
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---
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### 2. 收敛加成 (convergence_bonus)
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三角形收敛程度越高，突破越有效。
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```python
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convergence_bonus = max(0, 1 - width_ratio)
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```
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| width_ratio | 收敛程度 | convergence_bonus |
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|-------------|----------|-------------------|
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| 0.8 | 较弱 | 0.2 |
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| 0.5 | 中等 | 0.5 |
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| 0.2 | 很强 | 0.8 |
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| 0.1 | 极强 | 0.9 |
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**width_ratio** = 三角形末端宽度 / 起始宽度
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---
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### 3. 成交量加成 (vol_bonus)
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放量突破更可信。
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```python
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vol_bonus = min(1, max(0, volume_ratio - 1))
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```
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| volume_ratio | 成交量状态 | vol_bonus |
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|--------------|------------|-----------|
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| 0.8 | 缩量 | 0 |
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| 1.0 | 平量 | 0 |
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| 1.5 | 放量 50% | 0.5 |
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| 2.0 | 放量 100% | 1.0 (满分) |
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| 3.0 | 放量 200% | 1.0 (上限) |
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**volume_ratio** = 当日成交量 / 近 N 日均量
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---
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## 加权系数说明
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```python
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strength = price_score × 5 × (1 + convergence_bonus × 0.5) × (1 + vol_bonus × 0.5)
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```
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| 系数 | 作用 |
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|------|------|
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| `× 5` | 放大价格突破分数，使 2% 突破 = 0.1 基础分 |
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| `× (1 + convergence_bonus × 0.5)` | 收敛加成最多增加 50% |
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| `× (1 + vol_bonus × 0.5)` | 成交量加成最多增加 50% |
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---
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## 计算示例
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### 示例 1：强势突破
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```
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输入:
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close = 10.5, upper_line = 10.0 (突破 5%)
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width_ratio = 0.2 (收敛很强)
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volume_ratio = 1.8 (放量 80%)
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计算:
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price_up = (10.5 - 10.0) / 10.0 = 0.05
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convergence_bonus = 1 - 0.2 = 0.8
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vol_bonus = min(1, 1.8 - 1) = 0.8
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strength_up = 0.05 × 5 × (1 + 0.8 × 0.5) × (1 + 0.8 × 0.5)
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= 0.25 × 1.4 × 1.4
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= 0.49
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结果: 向上突破强度 = 0.49 (中度突破)
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```
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### 示例 2：弱势突破
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```
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输入:
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close = 10.1, upper_line = 10.0 (突破 1%)
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width_ratio = 0.7 (收敛较弱)
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volume_ratio = 0.9 (缩量)
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计算:
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price_up = 0.01
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convergence_bonus = 0.3
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vol_bonus = 0
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strength_up = 0.01 × 5 × (1 + 0.3 × 0.5) × (1 + 0)
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= 0.05 × 1.15 × 1.0
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= 0.0575
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结果: 向上突破强度 = 0.06 (微弱突破)
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```
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### 示例 3：极强突破
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```
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输入:
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close = 11.0, upper_line = 10.0 (突破 10%)
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width_ratio = 0.15 (极度收敛)
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volume_ratio = 2.5 (放量 150%)
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计算:
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price_up = 0.10
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convergence_bonus = 0.85
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vol_bonus = 1.0
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strength_up = 0.10 × 5 × (1 + 0.85 × 0.5) × (1 + 1.0 × 0.5)
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= 0.50 × 1.425 × 1.5
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= 1.07 → 截断为 1.0
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结果: 向上突破强度 = 1.0 (满分)
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```
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---
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## 强度等级参考
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| 强度范围 | 等级 | 含义 |
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|----------|------|------|
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| 0 ~ 0.1 | 无/微弱 | 未突破或假突破风险高 |
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| 0.1 ~ 0.3 | 轻度 | 有突破迹象，需观察确认 |
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| 0.3 ~ 0.6 | 中度 | 有效突破，可作为参考信号 |
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| 0.6 ~ 1.0 | 强势 | 高置信度突破，值得关注 |
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---
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## 代码位置
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```
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src/converging_triangle.py
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├── calc_breakout_strength() # 突破强度计算函数
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└── detect_converging_triangle() # 调用位置
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```
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---
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## 相关参数
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| 参数 | 默认值 | 说明 |
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|------|--------|------|
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| `vol_window` | 20 | 计算成交量均值的窗口大小 |
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| `vol_k` | 1.3 | 成交量确认阈值（volume_confirmed 判断用） |
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| `break_tol` | 0.001 | 突破判定容差 |
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