init

llmjob/2625.go

@@ -0,0 +1,168 @@
+package llmjob
+
+import (
+	"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"
+	"math"
+)
+
+// AtrRsiStrategy 存储每个品种的持仓期间最高价和最低价
+type AtrRsiStrategy struct {
+	IntraTradeHigh float64
+	IntraTradeLow  float64
+}
+
+func J2625(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	atrLength := pol.DefInt("atr_length", 18, core.PNorm(10, 50))
+	atrMaRate := pol.Def("atr_ma_rate", 1.8, core.PNorm(1.2, 3.0))
+	rsiLength := pol.DefInt("rsi_length", 9, core.PNorm(7, 30))
+	rsiEntry := pol.DefInt("rsi_entry", 7, core.PNorm(5, 20))
+	atrMaNormMin := pol.Def("atr_ma_norm_min", 0.3, core.PNorm(0.1, 0.5))
+	atrMaNormMax := pol.Def("atr_ma_norm_max", 0.7, core.PNorm(0.5, 1.0))
+	trailingPercent := pol.Def("trailing_percent", 1.3, core.PNorm(0.5, 3.0))
+
+	// 计算ATR移动平均线周期
+	atrMaLength := int(float64(atrLength) * atrMaRate)
+
+	// 计算RSI买入和卖出阈值
+	rsiBuy := 50 + float64(rsiEntry)
+	rsiSell := 50 - float64(rsiEntry)
+
+	// 确定预热数量，取最大参数值
+	warmupNum := atrMaLength
+	if rsiLength > warmupNum {
+		warmupNum = rsiLength
+	}
+
+	return &strat.TradeStrat{
+		WarmupNum:     warmupNum,
+		HedgeOff:      true, // 单向持仓模式
+		RunTimeFrames: []string{"1h"},
+		OnStartUp: func(s *strat.StratJob) {
+			// 初始化每个品种的持仓期间最高价和最低价
+			s.More = &AtrRsiStrategy{
+				IntraTradeHigh: 0,
+				IntraTradeLow:  0,
+			}
+		},
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			m, _ := s.More.(*AtrRsiStrategy)
+
+			// 计算技术指标
+			atrValue := ta.ATR(e.High, e.Low, e.Close, atrLength)
+			atrMa := ta.SMA(atrValue, atrMaLength)
+			rsiValue := ta.RSI(e.Close, rsiLength)
+
+			// 获取当前价格
+			closePrice := e.Close.Get(0)
+			highPrice := e.High.Get(0)
+			lowPrice := e.Low.Get(0)
+
+			// 检查数据有效性
+			if math.IsNaN(closePrice) || math.IsNaN(highPrice) || math.IsNaN(lowPrice) ||
+				math.IsNaN(atrValue.Get(0)) || math.IsNaN(atrMa.Get(0)) || math.IsNaN(rsiValue.Get(0)) {
+				return
+			}
+
+			// 计算ATR移动平均线的标准化值
+			atrMaNorm := atrMa.Get(0) / closePrice * 100
+
+			// 获取当前持仓状态
+			longOrders := s.LongOrders
+			shortOrders := s.ShortOrders
+			hasLongPosition := len(longOrders) > 0
+			hasShortPosition := len(shortOrders) > 0
+
+			// 无持仓状态
+			if !hasLongPosition && !hasShortPosition {
+				// 重置持仓期间最高价和最低价
+				m.IntraTradeHigh = highPrice
+				m.IntraTradeLow = lowPrice
+
+				// 检查波动率是否在适合交易范围内
+				if atrMaNorm >= atrMaNormMin && atrMaNorm <= atrMaNormMax {
+					// 检查当前波动率是否高于平均波动率
+					if atrValue.Get(0) > atrMa.Get(0) {
+						// 检查RSI信号
+						if rsiValue.Get(0) > rsiBuy {
+							// RSI超买，做多
+							s.OpenOrder(&strat.EnterReq{
+								Tag:       "B1",
+								OrderType: core.OrderTypeLimit,
+								Limit:     closePrice + 5,
+							})
+						} else if rsiValue.Get(0) < rsiSell {
+							// RSI超卖，做空
+							s.OpenOrder(&strat.EnterReq{
+								Tag:       "S1",
+								Short:     true,
+								OrderType: core.OrderTypeLimit,
+								Limit:     closePrice - 5,
+							})
+						}
+					}
+				}
+			} else if hasLongPosition {
+				// 多头持仓状态
+				// 更新持仓期间最高价
+				if highPrice > m.IntraTradeHigh {
+					m.IntraTradeHigh = highPrice
+				}
+				m.IntraTradeLow = lowPrice
+
+				// 计算多头追踪止损价格
+				longTp := m.IntraTradeHigh * (1 - trailingPercent/100)
+
+				// 获取入场价格
+				enterPrice := longOrders[0].InitPrice
+
+				// 设置止损和止盈
+				for _, od := range longOrders {
+					od.SetStopLoss(&ormo.ExitTrigger{
+						Price: longTp,
+						Rate:  1.0, // 全部退出
+						Tag:   "trailing_stop",
+					})
+
+					od.SetTakeProfit(&ormo.ExitTrigger{
+						Price: enterPrice * 1.03,
+						Rate:  1.0, // 全部退出
+						Tag:   "take_profit",
+					})
+				}
+			} else if hasShortPosition {
+				// 空头持仓状态
+				m.IntraTradeHigh = highPrice
+				// 更新持仓期间最低价
+				if lowPrice < m.IntraTradeLow {
+					m.IntraTradeLow = lowPrice
+				}
+
+				// 计算空头追踪止损价格
+				shortTp := m.IntraTradeLow * (1 + trailingPercent/100)
+
+				// 获取入场价格
+				enterPrice := shortOrders[0].InitPrice
+
+				// 设置止损和止盈
+				for _, od := range shortOrders {
+					od.SetStopLoss(&ormo.ExitTrigger{
+						Price: shortTp,
+						Rate:  1.0, // 全部退出
+						Tag:   "trailing_stop",
+					})
+
+					od.SetTakeProfit(&ormo.ExitTrigger{
+						Price: enterPrice * 0.94,
+						Rate:  1.0, // 全部退出
+						Tag:   "take_profit",
+					})
+				}
+			}
+		},
+	}
+}