init

llmjob/3121.go

@@ -0,0 +1,88 @@
+package llmjob
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/strat"
+	ta "github.com/banbox/banta"
+	"math"
+)
+
+func J3121(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	// 定义可调参数
+	bbLength := pol.DefInt("bbLength", 20, core.PNorm(10, 50))
+	bbStdDev := pol.Def("bbStdDev", 1.8, core.PNorm(1.0, 3.0))
+	cmoLength := pol.DefInt("cmoLength", 10, core.PNorm(5, 30))
+	cmoOverbought := pol.Def("cmoOverbought", 45.0, core.PNorm(30.0, 70.0))
+	cmoOversold := pol.Def("cmoOversold", -50.0, core.PNorm(-70.0, -30.0))
+
+	return &strat.TradeStrat{
+		WarmupNum:     bbLength, // 预热期设置为布林带周期长度
+		HedgeOff:      true,     // 单向持仓模式
+		EachMaxLong:   1,        // 最多一个多头订单
+		EachMaxShort:  1,        // 最多一个空头订单
+		RunTimeFrames: []string{"5m"},
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+
+			// 计算布林带
+			bbUpper, bbBasis, bbLower := ta.BBANDS(e.Close, bbLength, bbStdDev, bbStdDev)
+
+			// 计算钱德动量振荡器
+			cmo := ta.CMO(e.Close, cmoLength)
+
+			// 获取当前值
+			closePrice := e.Close.Get(0)
+			cmoValue := cmo.Get(0)
+			bbUpperValue := bbUpper.Get(0)
+			bbLowerValue := bbLower.Get(0)
+			bbBasisValue := bbBasis.Get(0)
+
+			// 检查数据有效性
+			if math.IsNaN(closePrice) || math.IsNaN(cmoValue) ||
+				math.IsNaN(bbUpperValue) || math.IsNaN(bbLowerValue) || math.IsNaN(bbBasisValue) {
+				return
+			}
+
+			// 做多条件：价格下穿布林带下轨且CMO低于超卖阈值
+			longCondition := e.Close.Cross(bbLower) == -1 && cmoValue < cmoOversold
+
+			// 做空条件：价格上穿布林带上轨且CMO高于超买阈值
+			shortCondition := e.Close.Cross(bbUpper) == 1 && cmoValue > cmoOverbought
+
+			// 平多条件：价格上穿布林带中轨或CMO高于超买阈值
+			exitLong := e.Close.Cross(bbBasis) == 1 || cmoValue > cmoOverbought
+
+			// 平空条件：价格下穿布林带中轨或CMO低于超卖阈值
+			exitShort := e.Close.Cross(bbBasis) == -1 || cmoValue < cmoOversold
+
+			// 执行交易操作
+			if longCondition && len(s.LongOrders) == 0 {
+				s.OpenOrder(&strat.EnterReq{
+					Tag: "Long",
+				})
+			}
+
+			if shortCondition && len(s.ShortOrders) == 0 {
+				s.OpenOrder(&strat.EnterReq{
+					Tag:   "Short",
+					Short: true,
+				})
+			}
+
+			if exitLong && len(s.LongOrders) > 0 {
+				s.CloseOrders(&strat.ExitReq{
+					Tag:  "exit_long",
+					Dirt: core.OdDirtLong,
+				})
+			}
+
+			if exitShort && len(s.ShortOrders) > 0 {
+				s.CloseOrders(&strat.ExitReq{
+					Tag:  "exit_short",
+					Dirt: core.OdDirtShort,
+				})
+			}
+		},
+	}
+}