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197
llmjob/1662.go
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197
llmjob/1662.go
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// 修复后的完整策略代码
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// 请勿修改package包名和任意函数名
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package llmjob
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import (
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"github.com/banbox/banbot/config"
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"github.com/banbox/banbot/core"
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"github.com/banbox/banbot/orm/ormo"
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"github.com/banbox/banbot/strat"
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ta "github.com/banbox/banta"
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"math"
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)
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/*
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因止盈止损触发价未检查是否合理的bug导致虚假净值曲线
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*/
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// SuperTrendData 存储每个品种的Supertrend相关数据
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type SuperTrendData struct {
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trend int // 当前趋势方向，1表示上升趋势，-1表示下降趋势
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longTrailStop float64 // 多头仓位的移动止损价格
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shortTrailStop float64 // 空头仓位的移动止损价格
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up float64 // 上轨值
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dn float64 // 下轨值
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}
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func J1662(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调参数
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atrPeriod := pol.DefInt("atrPeriod", 8, core.PNorm(5, 30))
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atrMultiplier := pol.Def("atrMultiplier", 2.5, core.PNorm(1.5, 5.0))
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lenAtr := 20
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baseAtrLen := int(math.Round(float64(lenAtr) * 4.3))
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return &strat.TradeStrat{
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WarmupNum: baseAtrLen, // 预热K线数量，确保有足够数据计算指标
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RunTimeFrames: []string{"8h"},
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OnStartUp: func(s *strat.StratJob) {
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// 初始化每个品种的Supertrend数据
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s.More = &SuperTrendData{
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trend: 1, // 初始趋势设为上升
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longTrailStop: math.NaN(),
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shortTrailStop: math.NaN(),
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up: math.NaN(),
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dn: math.NaN(),
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}
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},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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data, _ := s.More.(*SuperTrendData)
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// 计算数据源 (hl2 = (high + low) / 2)
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src := ta.HL2(e.High, e.Low)
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// 计算ATR值
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atr := ta.ATR(e.High, e.Low, e.Close, atrPeriod)
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// 计算Supertrend指标
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upVal := src.Get(0) - atr.Get(0)*atrMultiplier
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dnVal := src.Get(0) + atr.Get(0)*atrMultiplier
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atr2 := ta.ATR(e.High, e.Low, e.Close, lenAtr)
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atrBase := ta.Lowest(ta.Highest(atr2, lenAtr), baseAtrLen).Get(0)
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// 获取历史值
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up1 := data.up
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if math.IsNaN(up1) {
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up1 = upVal
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}
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dn1 := data.dn
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if math.IsNaN(dn1) {
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dn1 = dnVal
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}
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// 更新上轨和下轨
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close1 := e.Close.Get(1)
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if !math.IsNaN(close1) {
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if close1 > up1 {
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upVal = math.Max(upVal, up1)
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}
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if close1 < dn1 {
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dnVal = math.Min(dnVal, dn1)
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}
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}
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// 保存当前上下轨值
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data.up = upVal
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data.dn = dnVal
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// 判断趋势方向
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prevTrend := data.trend
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closePrice := e.Close.Get(0)
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if !math.IsNaN(closePrice) && !math.IsNaN(dn1) && !math.IsNaN(up1) && !math.IsNaN(atrBase) {
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if data.trend == -1 && closePrice > dn1 {
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data.trend = 1 // 趋势由下降转为上升
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} else if data.trend == 1 && closePrice < up1 {
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data.trend = -1 // 趋势由上升转为下降
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}
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}
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// 生成交易信号
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buySignal := data.trend == 1 && prevTrend == -1
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sellSignal := data.trend == -1 && prevTrend == 1
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// 执行交易策略
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if buySignal {
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// 开仓多头，使用下轨作为触发价格
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s.OpenOrder(&strat.EnterReq{
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Tag: "Long",
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Stop: dnVal,
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Log: true,
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})
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s.CloseOrders(&strat.ExitReq{
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Tag: "XShort",
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Dirt: core.OdDirtShort,
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Log: true,
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})
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}
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if sellSignal {
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// 开仓空头，使用上轨作为触发价格
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s.OpenOrder(&strat.EnterReq{
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Tag: "Short",
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Short: true,
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Stop: upVal,
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Log: true,
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})
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s.CloseOrders(&strat.ExitReq{
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Tag: "XLong",
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Dirt: core.OdDirtLong,
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Log: true,
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})
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}
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pipValue := atrBase * 0
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trailingValue := atrBase * 0
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// 移动止损逻辑
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if s.OrderNum > 0 {
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// 多头移动止损
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if len(s.LongOrders) > 0 {
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// 获取持仓均价
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avgPrice := s.PositionAvgPrice(core.OdDirtLong, "")
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if avgPrice > 0 {
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if math.IsNaN(data.longTrailStop) || closePrice > avgPrice+trailingValue {
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data.longTrailStop = e.High.Get(0) - trailingValue
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}
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// 计算初始止损
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longStopLevel := upVal - pipValue
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// 使用更严格的止损（更接近当前价格的止损）
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finalStop := math.Max(data.longTrailStop, longStopLevel)
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if finalStop >= closePrice {
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s.CloseOrders(&strat.ExitReq{
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Tag: "SLLong",
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Dirt: core.OdDirtLong,
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})
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} else {
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s.SetAllStopLoss(core.OdDirtLong, &ormo.ExitTrigger{
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Price: finalStop,
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Tag: "sl",
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})
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}
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}
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}
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// 空头移动止损
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if len(s.ShortOrders) > 0 {
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// 获取持仓均价
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avgPrice := s.PositionAvgPrice(core.OdDirtShort, "")
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if avgPrice > 0 {
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if math.IsNaN(data.shortTrailStop) || closePrice < avgPrice-trailingValue {
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data.shortTrailStop = e.Low.Get(0) + trailingValue
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}
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// 计算初始止损
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shortStopLevel := dnVal + pipValue
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// 使用更严格的止损（更接近当前价格的止损）
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finalStop := math.Min(data.shortTrailStop, shortStopLevel)
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if finalStop < closePrice {
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s.CloseOrders(&strat.ExitReq{
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Tag: "SLShort",
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Dirt: core.OdDirtShort,
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})
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} else {
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s.SetAllStopLoss(core.OdDirtShort, &ormo.ExitTrigger{
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Price: finalStop,
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Tag: "sl",
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})
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}
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}
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}
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}
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},
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}
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}
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