init

2026-08-24 20:53:21 +08:00
commit 6e78bba16a
287 changed files with 32443 additions and 0 deletions
--- a/llmjob/2876.go
+++ b/llmjob/2876.go
@@ -0,0 +1,110 @@
+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"
+)
+
+func J2876(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	// 定义可调超参数
+	frequency := pol.DefInt("frequency", 28, core.PNorm(5, 30))
+	rsiFrequency := pol.DefInt("rsiFrequency", 220, core.PNorm(14, 100))
+	buyZoneDistance := pol.Def("buyZoneDistance", 7, core.PNorm(2, 15))
+	avgDownATRSum := pol.DefInt("avgDownATRSum", 3, core.PNorm(1, 10))
+	useAbsoluteRSIBarrier := pol.Def("useAbsoluteRSIBarrier", 1, core.PUniform(0, 1)) // 1表示true，0表示false
+	barrierLevel := pol.Def("barrierLevel", 45, core.PNorm(30, 70))
+
+	// 计算预热数量，取RSI周期和均线周期中的较大值
+	warmupNum := rsiFrequency
+	if frequency > rsiFrequency {
+		warmupNum = frequency
+	}
+	// 再加上ATR周期
+	warmupNum += 20
+
+	return &strat.TradeStrat{
+		WarmupNum:     warmupNum,
+		HedgeOff:      true, // 单向持仓模式
+		RunTimeFrames: []string{"15m"},
+		EachMaxLong:   3, // 最多允许3个多头订单，对应原策略的pyramiding=3
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+
+			// 计算技术指标
+			momentumRSI := ta.RSI(e.Close, rsiFrequency)
+			momentumRSI_slow := ta.SMA(momentumRSI, frequency)
+			atr := ta.ATR(e.High, e.Low, e.Close, 20)
+
+			// 获取当前值
+			rsiValue := momentumRSI.Get(0)
+			rsiSlowValue := momentumRSI_slow.Get(0)
+			closePrice := e.Close.Get(0)
+
+			// 检查数据有效性
+			if math.IsNaN(rsiValue) || math.IsNaN(rsiSlowValue) || math.IsNaN(closePrice) {
+				return
+			}
+
+			// 计算买卖区域
+			buyZoneLower := rsiSlowValue * (1 - buyZoneDistance/100)
+
+			// 生成交易信号
+			useBarrier := useAbsoluteRSIBarrier > 0.5
+			momentumRSISoftClose := (rsiValue > rsiSlowValue) && (rsiValue > barrierLevel || !useBarrier)
+			isClose := momentumRSISoftClose
+
+			// 计算风险管理条件
+			riskCondition := true
+			if len(s.LongOrders) > 0 {
+				// 计算平均持仓价格
+				totalCost := 0.0
+				totalAmount := 0.0
+				for _, od := range s.LongOrders {
+					if od.Status >= ormo.InOutStatusPartEnter {
+						totalCost += od.EnterCost()
+						totalAmount += od.HoldAmount()
+					}
+				}
+				if totalAmount > 0 {
+					avgPrice := totalCost / totalAmount
+					// 计算过去avgDownATRSum个周期的ATR值之和
+					atrSum := 0.0
+					for i := 0; i < avgDownATRSum; i++ {
+						atrVal := atr.Get(i)
+						if !math.IsNaN(atrVal) {
+							atrSum += atrVal
+						}
+					}
+					// 计算风险条件：平均持仓价格 - ATR求和值 * 开仓数量 > 当前价格
+					riskCondition = avgPrice-atrSum*float64(len(s.LongOrders)) > closePrice
+				}
+			}
+
+			// 买入信号：RSI低于买入区域下限且满足风险条件
+			isBuy := rsiValue < buyZoneLower && (riskCondition || len(s.LongOrders) == 0)
+
+			// 执行交易操作
+			if isBuy && len(s.LongOrders) < 3 { // 限制最多3个多头订单
+				s.OpenOrder(&strat.EnterReq{
+					Tag:       "Buy",
+					Short:     false,
+					OrderType: core.OrderTypeMarket,
+				})
+			}
+
+			// 平仓信号
+			if isClose && len(s.LongOrders) > 0 {
+				s.CloseOrders(&strat.ExitReq{
+					Tag:       "Close",
+					Dirt:      core.OdDirtLong,
+					OrderType: core.OrderTypeLimit,
+					Limit:     closePrice,
+				})
+			}
+		},
+	}
+}