init

llmjob/2439.go

@@ -0,0 +1,144 @@
+package llmjob
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/orm/ormo"
+	"github.com/banbox/banbot/strat"
+	"math"
+	"time"
+)
+
+type WeekendData struct {
+	FridayClose float64
+	HasLong     bool
+	TotCost     float64
+	TotAmt      float64
+}
+
+func J2439(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	entryThreshold := pol.Def("entryThreshold", 0.02, core.PNorm(0.01, 0.1))
+	profitTakingPercentThreshold := pol.Def("profitTakingPercentThreshold", 0.06, core.PNorm(0.01, 0.08))
+
+	return &strat.TradeStrat{
+		WarmupNum:     7,    // 需要最多7天的数据来获取周五收盘价
+		HedgeOff:      true, // 单向持仓模式
+		RunTimeFrames: []string{"5m"},
+		OnStartUp: func(s *strat.StratJob) {
+			s.More = &WeekendData{FridayClose: math.NaN()}
+		},
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			data, _ := s.More.(*WeekendData)
+			currentTime := time.Unix(e.TimeStop/1000, 0)
+			weekday := currentTime.Weekday()
+
+			// 计算距离周五的天数
+			var daysSinceFriday int
+			switch weekday {
+			case time.Saturday:
+				daysSinceFriday = 1
+			case time.Sunday:
+				daysSinceFriday = 0
+			case time.Monday:
+				daysSinceFriday = 6
+			case time.Tuesday:
+				daysSinceFriday = 5
+			case time.Wednesday:
+				daysSinceFriday = 4
+			case time.Thursday:
+				daysSinceFriday = 3
+			case time.Friday:
+				daysSinceFriday = 2
+			}
+
+			// 获取周五收盘价 - 使用日线数据
+			if e.Close.Len() > daysSinceFriday {
+				data.FridayClose = e.Close.Get(daysSinceFriday)
+			}
+
+			// 如果没有有效的周五收盘价，不执行交易逻辑
+			if math.IsNaN(data.FridayClose) {
+				return
+			}
+
+			// 检查止盈条件
+			if s.EnteredNum > 0 {
+				totalProfitRate := 0.0
+				for _, od := range s.LongOrders {
+					if od.Status >= ormo.InOutStatusPartEnter {
+						totalProfitRate += od.ProfitRate
+					}
+				}
+				for _, od := range s.ShortOrders {
+					if od.Status >= ormo.InOutStatusPartEnter {
+						totalProfitRate += od.ProfitRate
+					}
+				}
+
+				if totalProfitRate > profitTakingPercentThreshold {
+					s.CloseOrders(&strat.ExitReq{
+						Tag:  "profit_take",
+						Dirt: core.OdDirtBoth,
+					})
+					return
+				}
+			}
+
+			// 周末交易逻辑（周日和周一）
+			if weekday == time.Sunday || weekday == time.Monday {
+				currentPrice := e.Close.Get(0)
+				if math.IsNaN(currentPrice) {
+					return
+				}
+
+				upperThreshold := data.FridayClose * (1 + entryThreshold)
+				lowerThreshold := data.FridayClose * (1 - entryThreshold)
+
+				// 没有持仓时的入场逻辑
+				if s.OrderNum == 0 {
+					if currentPrice > upperThreshold {
+						s.OpenOrder(&strat.EnterReq{
+							Tag:   "short_entry",
+							Short: true,
+						})
+					} else if currentPrice < lowerThreshold {
+						s.OpenOrder(&strat.EnterReq{
+							Tag: "long_entry",
+						})
+					}
+				} else {
+					// 已有持仓时的加仓逻辑
+					for _, od := range s.ShortOrders {
+						if od.Status >= ormo.InOutStatusPartEnter && currentPrice > od.InitPrice*(1+entryThreshold) {
+							s.OpenOrder(&strat.EnterReq{
+								Tag:   "add_short",
+								Short: true,
+							})
+							break
+						}
+					}
+
+					for _, od := range s.LongOrders {
+						if od.Status >= ormo.InOutStatusPartEnter {
+							s.OpenOrder(&strat.EnterReq{
+								Tag: "add_long",
+							})
+							break
+						}
+					}
+				}
+			}
+
+			// 周二平仓逻辑
+			if weekday == time.Tuesday {
+				if s.OrderNum > 0 {
+					s.CloseOrders(&strat.ExitReq{
+						Tag:  "monday_close",
+						Dirt: core.OdDirtBoth,
+					})
+				}
+			}
+		},
+	}
+}