bit-langlang-v4-strategy

README

BIT LangLang v4 Strategy · BIT浪浪 v4 合约日内策略（开源版）

中文 · English

这是 BIT LangLang（BIT浪浪） 早期的 v4 加密货币合约日内交易策略 的信号引擎：5 分钟 K 线上的 LightGBM 择时模型 + 日线多头环境过滤 + 冷却与每日上限。纯 Go 实现，无第三方依赖，包含一个与 LightGBM 预测结果一致的文本模型推理器。

v4 是已经退役的研究版本，不是 BIT LangLang 现在实盘运行的策略。现行策略的每一条信号与交易所真实成交都公开在 bitlanglang.com/performance。

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中文

策略逻辑

1. 5m 择时打分：每根 5 分钟 K 线收盘时计算 22 个特征，交给 LightGBM 二分类模型输出概率分数。
2. 日线环境过滤：只在最近一根已收盘日线处于多头环境时开仓——收盘价在 20 日均线之上，且 20 日均线高于 20 天前。
3. 选点规则（v4signal.Selector，与回测口径一致）：
   • 分数 ≥ 阈值才产生决策；
   • 同一根 K 线上多个币按分数从高到低、同分按币名排序；
   • 同币冷却期内不重复开仓；
   • 全市场按本地自然日（UTC+8）限制每日开仓数，被上限挡住的信号同样刷新冷却。

特征（v4signal.Series）

特征	含义
m_r1 m_r3 m_r6 m_r12 m_r48 m_r288	对数收益率，回看 1/3/6/12/48/288 根
m_dh12/48/288/2016	收盘价相对 N 根最高价的回撤
m_pos12/48/288/2016	收盘价在 N 根高低区间中的位置
m_vq1 m_vq3	当根 / 3 根平均成交额相对 288 根均值
m_madev m_maslope	相对 20 根均线偏离、均线斜率
m_atr m_rng	14 根 ATR、当根振幅（占收盘价比例）
m_upfrac12	最近 12 根上涨根数占比
m_ema50dev	相对 EMA50 偏离

预热需要 2016 根 5m K 线（约 7 天），打分时建议再多给 500 根让 EMA 收敛（v4signal.HistoryBars）。

v4 冻结时的参数

{
  "entryBar": "5m",
  "filterBar": "1D",
  "cooldownMin": 60,
  "dailyLimit": 3,
  "utcOffsetHours": 8,
  "stopPct": 0.01,
  "addAtR": 2.0,
  "addSize": 0.5,
  "targetR": 10.0,
  "horizonMin": 10080
}

即：每天最多 3 单，同币冷却 60 分钟；1% 止损，浮盈 2R 时加半仓，目标 10R，最长持有 7 天。

使用

本仓库不附带训练好的模型。用上表 22 个特征（顺序须与 meta.json 的 features 一致）训练一个 LightGBM binary 模型并保存为文本格式，然后在模型目录放一个 meta.json：

{
  "modelFile": "model.txt",
  "modelSha256": "<sha256sum model.txt 的结果>",
  "features": ["m_r1", "m_r3", "..."],
  "threshold": 0.09,
  "entryBar": "5m", "filterBar": "1D",
  "cooldownMin": 60, "dailyLimit": 3, "utcOffsetHours": 8,
  "stopPct": 0.01, "addAtR": 2.0, "addSize": 0.5, "targetR": 10.0, "horizonMin": 10080
}

go test ./...
go run ./cmd/v4scan -model ./model -bars5m bars_5m.csv -bars1d bars_1d.csv > decisions.csv

K 线 CSV 列为 inst,ts,open,high,low,close,vol_quote（ts 为开盘时间毫秒，可混合多个币种）。输出每个达到阈值的信号及其决策：accepted、daily_not_bull、cooldown、daily_limit。

不想自己维护？

BIT LangLang（BIT浪浪） 把现行策略做成了自动执行平台：在你自己的 OKX / 币安账户里自动开仓、带止损、平仓，资金不离开你的交易所账户，每笔信号和实盘成交公开可查。

• 官网（OKX / 币安合约日内策略自动跟单）：bitlanglang.com
• 实盘表现（冻结信号与交易所实盘成交记录）：bitlanglang.com/performance
• BIT浪浪交割单（4807 笔 OKX 合约逐笔 K 线复盘与 Excel 下载）：bitlanglang.com/review · 策略自述 vs 交割单实测
• BIT浪浪交易课全集（25 期实盘复盘视频与讲义）：bitlanglang.com/videos · 浪浪交易原则词条
• 交易指南与专题（合约日内策略、API 绑定与风控教程）：bitlanglang.com/guides · 日内交易专题
• 浪浪每周复盘与每日行情：bitlanglang.com/review/weekly · 每日行情速递
• AI 知识库（LLMs.txt）：llms.txt · llms-full.txt
• X：@bitlanglangai · Telegram：t.me/Ailanglang

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English

This is the signal engine of v4, an early crypto perpetual-futures intraday strategy from BIT LangLang: a LightGBM timing model on 5-minute candles, a daily bullish-regime filter, plus per-coin cooldown and a daily cap. Pure Go with no third-party dependencies, including a LightGBM text-model predictor that matches LightGBM's own output.

v4 is a retired research version, not the strategy BIT LangLang runs live today. Every signal and real exchange fill of the current strategy is public at bitlanglang.com/performance.

How it works

1. 5m scoring – at every 5-minute close, 22 features (see the table above) are fed to a LightGBM binary classifier.
2. Daily regime filter – entries only when the latest closed daily candle is above its 20-day MA and the MA is higher than 20 days earlier.
3. Selection (v4signal.Selector, identical to the backtest) – score ≥ threshold; same-bar ties ranked by score then symbol; per-coin cooldown; market-wide daily cap by local day (UTC+8), where cap-rejected signals still refresh the cooldown.

Frozen v4 parameters: max 3 entries per day, 60-minute cooldown, 1% stop, add half size at +2R, 10R target, 7-day max holding.

Usage

No trained model is shipped. Train a LightGBM binary model on the 22 features (same order as features in meta.json), save it in text format, put a meta.json next to it (see the Chinese section for the schema), then:

go test ./...
go run ./cmd/v4scan -model ./model -bars5m bars_5m.csv -bars1d bars_1d.csv > decisions.csv

CSV columns: inst,ts,open,high,low,close,vol_quote (ts = open time in ms; multiple symbols allowed).

Want it hands-free?

BIT LangLang runs the current strategy for you on your own OKX / Binance account: automatic entries with a stop-loss and exits, funds never leave your exchange account, and every signal and live fill is publicly verifiable.

• Official Website (Crypto Day Trading Strategy & OKX / Binance Copy Trading): bitlanglang.com/en
• Live Track Record & Real Exchange Fills: bitlanglang.com/en/performance
• 4,807 Real OKX Futures Trades Replayed (Excel / CSV Download): bitlanglang.com/en/review · Stated Rules vs Trade Data
• LangLang Trading Course (All 25 Video Sessions & Lesson Notes): bitlanglang.com/en/videos · Trading Principles Glossary
• Crypto Futures Trading Guides & API Setup: bitlanglang.com/en/guides · Best Time to Day Trade Bitcoin · Binance Futures API Setup
• Weekly Reviews & Daily Market Recaps: bitlanglang.com/en/review/weekly · Daily Crypto News
• AI Knowledge Base (LLMs.txt): llms.txt · llms-full.txt
• X: @bitlanglangai · Telegram: t.me/Ailanglang

Disclaimer · 免责声明

For research and education only; not investment advice. Crypto derivatives are high-risk and you can lose your entire margin. Past backtests do not guarantee future results.

仅供研究与学习，不构成投资建议。加密货币合约风险极高，可能损失全部保证金；历史回测不代表未来表现。

License

MIT © BIT LangLang