ID-109-分形维数混沌市场策略

{=================== 分形维数混沌市场策略 ===================}
{作者：QClaw 自动化公式研究系统}
{日期：2026-06-09}
{ID：ID-109}

{=================== 参数设置 ===================}
N := 20; {分形计算周期}
M := 10; {信号平滑周期}
THRESHOLD := 1.5; {混沌阈值}

{=================== 分形维数计算 ===================}
{计算Hurst指数近似 - 用于衡量市场的趋势性/随机性}
{方法：通过价格序列的波动率标度律来估计}

{计算不同时间窗口的波动率}
VOL_SHORT := STD(CLOSE, 5);
VOL_MEDIUM := STD(CLOSE, 10);
VOL_LONG := STD(CLOSE, 20);

{计算波动率比值（近似Hurst指数）}
HURST_RATIO := LOG(VOL_LONG / VOL_SHORT) / LOG(20 / 5);

{分形维数 D = 2 - H (H为Hurst指数)}
FRACTAL_DIM := 2 - HURST_RATIO;

{=================== 信号生成 ===================}
{趋势市场：FRACTAL_DIM < 1.5 (H > 0.5)}
{随机市场：FRACTAL_DIM ≈ 1.5 (H ≈ 0.5)}
{混沌市场：FRACTAL_DIM > 1.5 (H < 0.5)}

{趋势确认信号}
TREND_SIGNAL := FRACTAL_DIM < THRESHOLD;

{结合均线确认趋势}
MA20 := MA(CLOSE, 20);
MA60 := MA(CLOSE, 60);
TREND_CONFIRM := MA20 > MA60 AND CLOSE > MA20;

{买入信号：分形维数显示趋势市场 + 均线确认}
BUY_SIGNAL := TREND_SIGNAL AND TREND_CONFIRM AND CROSS(CLOSE, MA20);

{卖出信号：分形维数进入混沌状态}
SELL_SIGNAL := CROSS(THRESHOLD, FRACTAL_DIM) OR CROSS(MA20, MA60);

{=================== 输出显示 ===================}
FRACTAL_DIM, COLORWHITE, LINETHICK2;
1.5, COLORYELLOW, LINETHICK1;
TREND_SIGNAL, COLTGREEN, LINETHICK1;

DRAWTEXT(BUY_SIGNAL, LOW * 0.98, '买'), COLTGREEN;
DRAWTEXT(SELL_SIGNAL, HIGH * 1.02, '卖'), COLORRED;

{=================== 止损止盈 ===================}
STOP_LOSS := BUY_SIGNAL * (CLOSE * 0.95);
TAKE_PROFIT := BUY_SIGNAL * (CLOSE * 1.10);

{=================== 结束 ===================}
{================== 风险提示（修复R04） ==================}
{1. 本公式仅供参考，不构成投资建议}
{2. 任何策略在极端行情下都可能失效}
{3. 建议组合使用，单一策略风险较高}
{4. 历史回测不代表未来收益}
{5. 实际使用需结合市场环境和其他指标}
{6. 投资有风险，入市需谨慎}
{================== 回测数据（修复R07） ==================}
{待真实回测验证 — 回测参数：沪深300成分股，2023-01-01至今，持有周期10日}
{预计胜率：待验证}
{预计总收益率：待验证}
{预计最大回撤：待验证}
{夏普比率：待验证}
{交易次数：待验证}