init

flux/grid/inv.go

@@ -0,0 +1,81 @@
+package grid
+
+import (
+	"math"
+
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/orm/ormo"
+	"github.com/banbox/banbot/strat"
+	ta "github.com/banbox/banta"
+)
+
+/*
+多头网格，下跌买入，上涨卖出。适合波动性较强，方向不明的市场。
+
+以大周期atrBase的一定比例作为网格的单位大小
+初始倍率: InitRate
+
+初次开仓条件：
+	大周期ER20 < 0.3
+	小周期MA5 < MA20 看多网格；否则看空网格
+持有仓位：
+
+*/
+
+type GridV1 struct {
+	*Grid
+	bigER float64 // 大周期ER系数
+}
+
+func InvGrid(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	lenAtr := 20
+	baseAtrLen := int(float64(lenAtr) * 4.3)
+	unitRate := pol.Def("unitRate", 2, core.PNorm(0.5, 5))
+	initRate := int(pol.Def("initRate", 4, core.PNorm(0.7, 7.3)))
+	maxAdd := 5
+	return &strat.TradeStrat{
+		WarmupNum:     100,
+		StopEnterBars: 9999999,
+		TimeFrames:    "1m",
+		OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
+			return []*strat.PairSub{
+				{"_cur_", "4h", 100},
+			}
+		},
+		OnStartUp: func(s *strat.StratJob) {
+			s.More = &GridV1{Grid: NewGrid(initRate, maxAdd, 6, false)}
+		},
+		OnBar: func(s *strat.StratJob) {
+			m, _ := s.More.(*GridV1)
+			if s.OrderNum == 0 {
+				if m.Unit == 0 || m.bigER >= 0.1 || s.IsWarmUp {
+					return
+				}
+				m.Open(s)
+			} else {
+				m.CheckPos(s)
+			}
+		},
+		OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
+			m, _ := s.More.(*GridV1)
+			m.bigER = ta.ER(e.Close, 20).Get(0)
+			atr := ta.ATR(e.High, e.Low, e.Close, lenAtr)
+			atrBase := ta.Lowest(ta.Highest(atr, lenAtr), baseAtrLen).Get(0)
+			ma5 := ta.SMA(e.Close, 10).Get(0)
+			ma20 := ta.SMA(e.Close, 50).Get(0)
+			if s.OrderNum == 0 && !math.IsNaN(atrBase) {
+				// 未持仓时更新网格单元大小
+				m.Unit = atrBase * unitRate
+				m.Dirt = core.OdDirtShort
+				if ma5 < ma20 {
+					m.Dirt = core.OdDirtLong
+				}
+			}
+		},
+		OnOrderChange: func(s *strat.StratJob, od *ormo.InOutOrder, chgType int) {
+			m, _ := s.More.(*GridV1)
+			m.OnOrderChange(s, od, chgType)
+		},
+	}
+}