init

demo/ma_er.go

@@ -0,0 +1,31 @@
+package demo
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/strat"
+	ta "github.com/banbox/banta"
+)
+
+func DemoER(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	smlLen := int(pol.Def("smlLen", 9, core.PNorm(3, 10)))
+	bigLen := int(pol.Def("bigLen", 23, core.PNorm(10, 40)))
+	erUpp := pol.Def("erUpp", 0.13, core.PNorm(0.1, 0.7))
+	return &strat.TradeStrat{
+		WarmupNum: 100,
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			ma5 := ta.SMA(e.Close, smlLen)
+			ma20 := ta.SMA(e.Close, bigLen)
+			maCrx := ma5.Cross(ma20)
+
+			er := ta.ER(e.Close, 50).Get(0)
+
+			if maCrx == 1 && er < erUpp {
+				s.OpenOrder(&strat.EnterReq{Tag: "open"})
+			} else if maCrx == -1 {
+				s.CloseOrders(&strat.ExitReq{Tag: "exit"})
+			}
+		},
+	}
+}