init

llmjob/32.go

@@ -0,0 +1,64 @@
+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 J32(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	smaLength := pol.DefInt("smaLength", 30, core.PNorm(5, 30))
+	macdFastLength := pol.DefInt("macdFastLength", 25, core.PNorm(5, 20))
+	macdSlowLength := pol.DefInt("macdSlowLength", 38, core.PNorm(15, 40))
+	macdSignalSmoothing := pol.DefInt("macdSignalSmoothing", 3, core.PNorm(3, 15))
+	warmupNum := smaLength
+	if macdSlowLength > warmupNum {
+		warmupNum = macdSlowLength
+	}
+	if macdFastLength+macdSignalSmoothing > warmupNum {
+		warmupNum = macdFastLength + macdSignalSmoothing
+	}
+	return &strat.TradeStrat{
+		WarmupNum:     warmupNum,
+		HedgeOff:      true,
+		EachMaxLong:   1,
+		RunTimeFrames: []string{"8h"},
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			sma10 := ta.SMA(e.Close, smaLength)
+			macdLine, signalLine := ta.MACD(e.Close, macdFastLength, macdSlowLength, macdSignalSmoothing)
+			closePrice := e.Close.Get(0)
+			sma10Value := sma10.Get(0)
+			macdValue := macdLine.Get(0)
+			signalValue := signalLine.Get(0)
+			if math.IsNaN(closePrice) || math.IsNaN(sma10Value) || math.IsNaN(macdValue) || math.IsNaN(signalValue) {
+				return
+			}
+			priceCrossSMA := e.Close.Cross(sma10)
+			macdCrossSignal := macdLine.Cross(signalLine)
+			longCondition := priceCrossSMA == 1 && macdCrossSignal == 1
+			shortCondition := priceCrossSMA == -1 && macdCrossSignal == -1
+			if longCondition && len(s.LongOrders) == 0 {
+				s.OpenOrder(&strat.EnterReq{
+					Tag: "Long",
+				})
+				s.CloseOrders(&strat.ExitReq{
+					Tag:  "CloseShort",
+					Dirt: core.OdDirtShort,
+				})
+			}
+			if shortCondition && len(s.LongOrders) > 0 {
+				s.OpenOrder(&strat.EnterReq{
+					Tag:   "Short",
+					Short: true,
+				})
+				s.CloseOrders(&strat.ExitReq{
+					Tag:  "CloseLong",
+					Dirt: core.OdDirtLong,
+				})
+			}
+		},
+	}
+}