init

demo/risk_reward.go

@@ -0,0 +1,63 @@
+package demo
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/orm/ormo"
+	"github.com/banbox/banbot/strat"
+	ta "github.com/banbox/banta"
+)
+
+func fixRiskReward(p *config.RunPolicyConfig) *strat.TradeStrat {
+	rewardRate := 4.0
+	return &strat.TradeStrat{
+		EachMaxLong: 1,
+		WarmupNum:   30,
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			atr := ta.ATR(e.High, e.Low, e.Close, 14).Get(0)
+			rsi := ta.RSI50(e.Close, 14).Get(0)
+			ma := ta.SMA(e.Close, 5).Get(0)
+			maMid := ta.SMA(e.Close, 10).Get(0)
+			maBig := ta.SMA(e.Close, 40).Get(0)
+			c := e.Close.Get(0)
+			if s.OrderNum == 0 && maMid > maBig && rsi > 15 && c < ma {
+				s.OpenOrder(&strat.EnterReq{
+					Tag:         "long",
+					StopLossVal: atr,
+					StopLossTag: "init",
+				})
+			}
+		},
+		OnCheckExit: func(s *strat.StratJob, od *ormo.InOutOrder) *strat.ExitReq {
+			sl := od.GetStopLoss()
+			if sl.Tag == "take" {
+				// 已设置止盈
+				return nil
+			}
+			if sl.Tag == "init" {
+				// 检查是否回本，如果是，设置止损到成本线
+				if od.ProfitRate > 0 {
+					// 保存初始止损空间
+					od.SetInfo("initSL", sl.Range)
+					feeRate := od.Enter.FeeQuote * 2 / od.EnterCost()
+					slPrice := od.Enter.Average * (1 + feeRate)
+					od.SetStopLoss(&ormo.ExitTrigger{
+						Price: slPrice,
+						Tag:   "break_even",
+					})
+				}
+			} else {
+				//已设置成本止损，检查是否触发止盈
+				slRange := od.GetInfoFloat64("initSL")
+				if od.Profit > slRange*rewardRate {
+					// 触发止盈线，设置止盈线止损
+					od.SetStopLoss(&ormo.ExitTrigger{
+						Price: od.Enter.Average + slRange*rewardRate,
+						Tag:   "take",
+					})
+				}
+			}
+			return nil
+		},
+	}
+}