init

com/trailing_stop.go

@@ -0,0 +1,85 @@
+package com
+
+import (
+	"github.com/banbox/banbot/strat"
+	ta "github.com/banbox/banta"
+	"math"
+)
+
+type TRS struct {
+	MaxLow   float64
+	MinHigh  float64
+	SLLong   float64 // 止损的tr倍率，有持仓时，逐渐减小
+	SLShort  float64 // 止损的tr倍率，有持仓时，逐渐减小
+	InitSLTR float64
+	minSLTR  float64
+	stepSLTR float64
+}
+
+func NewTRS(initSLTR, minRate, costStep float64) *TRS {
+	var minSLTR = initSLTR * minRate
+	var stepSLTR = (initSLTR - minSLTR) / costStep
+	return &TRS{
+		InitSLTR: initSLTR,
+		minSLTR:  minSLTR,
+		stepSLTR: stepSLTR,
+	}
+}
+
+func (m *TRS) TrialLong(price float64) {
+	m.SLLong = m.InitSLTR
+	m.MaxLow = price
+}
+
+func (m *TRS) TrialShort(price float64) {
+	m.SLShort = m.InitSLTR
+	m.MinHigh = price
+}
+
+func (m *TRS) setTRS(e *ta.BarEnv, longNum, shortNum int) {
+	h, l := e.High.Get(0), e.Low.Get(0)
+	if longNum == 0 {
+		if m.SLLong != m.InitSLTR {
+			m.MaxLow = 0
+		}
+	} else {
+		m.MaxLow = max(m.MaxLow, l)
+		if m.SLLong > m.minSLTR+0.01 {
+			m.SLLong -= m.stepSLTR
+		}
+	}
+	if shortNum == 0 {
+		if m.SLShort != m.InitSLTR {
+			m.MinHigh = 0
+		}
+	} else {
+		m.MinHigh = min(m.MinHigh, h)
+		if m.SLShort > m.minSLTR+0.01 {
+			m.SLShort -= m.stepSLTR
+		}
+	}
+}
+
+func (m *TRS) Calc(s *strat.StratJob, atr float64) (float64, float64) {
+	m.setTRS(s.Env, len(s.LongOrders), len(s.ShortOrders))
+	var stopLong, stopShort float64
+	if m.MaxLow > 0 {
+		stopLong = m.MaxLow - atr*m.SLLong
+	}
+	if m.MinHigh > 0 {
+		stopShort = m.MinHigh + atr*m.SLShort
+	}
+	return stopLong, stopShort
+}
+
+func (m *TRS) CalcSL(s *strat.StratJob, atr *ta.Series, lenAtr, lenAtrB int, pow, rate float64) (float64, float64) {
+	atrBase := ta.Lowest(ta.Highest(atr, lenAtr), lenAtrB).Get(0)
+	atrRate := math.Pow(atr.Get(0)/atrBase, pow)
+	return m.Calc(s, atrBase*atrRate*rate)
+}
+
+func (m *TRS) CalcSL2(s *strat.StratJob, lenAtr, lenAtrB int, pow, rate float64) (float64, float64) {
+	e := s.Env
+	atr := ta.ATR(e.High, e.Low, e.Close, lenAtr)
+	return m.CalcSL(s, atr, lenAtr, lenAtrB, pow, rate)
+}