init

2026-08-24 20:53:21 +08:00
commit 6e78bba16a
287 changed files with 32443 additions and 0 deletions
--- a/llmjob/3087.go
+++ b/llmjob/3087.go
@@ -0,0 +1,154 @@
+package llmjob
+
+import (
+	"fmt"
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/strat"
+	ta "github.com/banbox/banta"
+	"gonum.org/v1/gonum/floats"
+	"math"
+	"sort"
+)
+
+/*
+基于初始的3087进行了简化，只保留盈利较好的14-26
+*/
+
+// DCAStrategyState 存储每个品种的策略状态
+type DCAStrategyState struct {
+	currentSO   int     // 当前安全订单计数器
+	firstPrice  float64 // 初始订单价格
+	totalQtys   float64 // 总交易数量
+	totalCost   float64 // 累计花费
+	realTotQtys float64 // 总交易数量
+	realTotCost float64 // 累计花费
+}
+
+// calculateSafetyOrderThreshold 计算安全订单触发价格阈值
+func calculateSafetyOrderThreshold(initPrice, priceDeviation, stepScale float64, currentSO int) float64 {
+	curSO := float64(currentSO)
+	if stepScale == 1.0 {
+		return initPrice - initPrice*priceDeviation*stepScale*curSO
+	}
+	rate := priceDeviation*math.Pow(stepScale, curSO) - priceDeviation
+	return initPrice - initPrice*(rate/(stepScale-1))
+}
+
+// DynamicDCA 动态DCA策略
+func J3087(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	// 定义可调参数
+	priceDeviation := pol.Def("priceDeviation", 0.82, core.PNorm(0.5, 3.0))
+	volumeScale := pol.Def("volumeScale", 1.16, core.PNorm(1.05, 1.5))
+	stepScale := pol.Def("stepScale", 1.06, core.PNorm(1.05, 1.3))
+	takeProfit := pol.Def("takeProfit", 1.15, core.PNorm(0.5, 2.5))
+	baseOrder := pol.Def("baseOrder", 10.0, core.PNorm(5, 20))
+	startLvl := pol.DefInt("startLvl", 14.0, core.PNorm(1, 20))
+	endLvl := pol.DefInt("endLvl", 26.0, core.PNorm(3, 30))
+	maxSafeOrders := pol.DefInt("maxSafeOrders", 30, core.PNorm(5, 50))
+
+	lenAtr := 20
+	baseAtrLen := int(math.Round(float64(lenAtr) * 4.3))
+	var rates []float64
+	// 14/15/16/17/18/19/20/21/22/23/24/25/26
+	return &strat.TradeStrat{
+		WarmupNum:     1,
+		HedgeOff:      true, // 单向持仓
+		RunTimeFrames: []string{"15m"},
+		OnStartUp: func(s *strat.StratJob) {
+			// 初始化策略状态
+			s.More = &DCAStrategyState{}
+		},
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			state, _ := s.More.(*DCAStrategyState)
+
+			// 计算OHLC4加权均价
+			price := (e.High.Get(0) + e.Low.Get(0) + e.Close.Get(0) + e.Open.Get(0)) / 4
+			closeP := e.Close.Get(0)
+			atr := ta.ATR(e.High, e.Low, e.Close, lenAtr)
+			atrBase := ta.Lowest(ta.Highest(atr, lenAtr), baseAtrLen).Get(0)
+			openRate := 0.004 * closeP / atrBase
+			if openRate < 1 {
+				openRate = math.Sqrt(openRate)
+			}
+			openRate = max(0.7, min(1.5, openRate))
+
+			// 计算止盈水平
+			hasOrders := state.currentSO > 0
+			var avgPrice, realAvgPrice float64
+			if hasOrders && state.totalQtys > 0 {
+				avgPrice = state.totalCost / state.totalQtys
+				realAvgPrice = state.realTotCost / state.realTotQtys
+			}
+			takeProfitLevel := avgPrice * (1 + takeProfit/100)
+
+			// 初始建仓逻辑
+			if state.currentSO == 0 && price > 0 {
+				// 计算买入数量
+				qty := baseOrder / price
+				// 首次买入表现不佳，禁止实际买入
+				state.totalQtys += qty
+				state.totalCost += qty * closeP
+				state.firstPrice = price
+				state.currentSO = 1
+			}
+
+			// 计算安全订单触发价格阈值
+			priceRate := priceDeviation / 100
+			threshold := calculateSafetyOrderThreshold(state.firstPrice, priceRate, stepScale, state.currentSO)
+
+			// 动态补仓逻辑
+			if hasOrders && price <= threshold && state.currentSO <= maxSafeOrders {
+				// 计算补仓数量
+				orderQty := baseOrder * openRate * math.Pow(volumeScale, float64(state.currentSO-1)) / price
+
+				// endLvl用于实际下单。maxSafeOrders用于止盈价格
+				if state.currentSO >= startLvl && state.currentSO <= endLvl {
+					s.OpenOrder(&strat.EnterReq{
+						Tag:    fmt.Sprintf("%v", state.currentSO),
+						Amount: orderQty,
+						Log:    true,
+					})
+					state.realTotQtys += orderQty
+					state.realTotCost += orderQty * closeP
+				}
+
+				state.totalQtys += orderQty
+				state.totalCost += orderQty * closeP
+				state.currentSO += 1
+			}
+
+			// 止盈平仓逻辑
+			if price >= takeProfitLevel && hasOrders {
+				s.CloseOrders(&strat.ExitReq{
+					Tag: "TakeProfit",
+				})
+				if realAvgPrice > 0 {
+					rates = append(rates, takeProfitLevel/realAvgPrice)
+				}
+
+				// 重置状态变量
+				state.currentSO = 0
+				state.totalQtys = 0.0
+				state.totalCost = 0
+				state.realTotQtys = 0
+				state.realTotCost = 0
+				state.firstPrice = 0
+			}
+		},
+		OnShutDown: func(s *strat.StratJob) {
+			if len(rates) == 0 {
+				return
+			}
+			sort.Float64s(rates)
+			step := len(rates) / 7
+			for i := 0; i < len(rates); i += step {
+				block := rates[i:min(len(rates), i+step)]
+				avg := floats.Sum(block) / float64(len(block))
+				fmt.Printf("rate: %v: %v\n", i, avg)
+			}
+			rates = nil
+		},
+	}
+}