init

llmjob/3464.go

@@ -0,0 +1,173 @@
+package llmjob
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/strat"
+	ta "github.com/banbox/banta"
+	"math"
+)
+
+type TrendlineData struct {
+	upper    float64
+	lower    float64
+	slopePh  float64
+	slopePl  float64
+	upos     int
+	dnos     int
+	prevUpos int
+	prevDnos int
+}
+
+func J3464(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	length := pol.DefInt("length", 13, core.PNorm(5, 30))
+	mult := pol.Def("mult", 1.05, core.PNorm(0.5, 2.0))
+	calcMethod := pol.Def("calcMethod", 0, core.PUniform(0, 2)) // 0: Atr, 1: Stdev, 2: Linreg
+	_ = pol.Def("backpaint", 1.0, core.PUniform(0, 1)) == 1.0   // 使用下划线忽略未使用的变量
+
+	return &strat.TradeStrat{
+		WarmupNum:     length * 2,
+		HedgeOff:      true, // 单向持仓
+		RunTimeFrames: []string{"4h"},
+		OnStartUp: func(s *strat.StratJob) {
+			s.More = &TrendlineData{
+				upper:    0,
+				lower:    0,
+				slopePh:  0,
+				slopePl:  0,
+				upos:     0,
+				dnos:     0,
+				prevUpos: 0,
+				prevDnos: 0,
+			}
+		},
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			data, _ := s.More.(*TrendlineData)
+
+			// 获取当前价格
+			closePrice := e.Close.Get(0)
+			if math.IsNaN(closePrice) {
+				return
+			}
+
+			// 检测支点 - 实现与PineScript的pivothigh和pivotlow相似的功能
+			// 需要检查当前K线是否是过去length周期内的最高点，并且左右两侧都有length个K线
+			ph := false
+			pl := false
+
+			// 确保有足够的历史数据
+			if e.Close.Len() > length*2 {
+				// 检查当前K线是否是支点高
+				currentHigh := e.High.Get(length)
+				isPivotHigh := true
+
+				for i := 0; i < length; i++ {
+					if e.High.Get(i) >= currentHigh || e.High.Get(length*2-i) >= currentHigh {
+						isPivotHigh = false
+						break
+					}
+				}
+
+				// 检查当前K线是否是支点低
+				currentLow := e.Low.Get(length)
+				isPivotLow := true
+
+				for i := 0; i < length; i++ {
+					if e.Low.Get(i) <= currentLow || e.Low.Get(length*2-i) <= currentLow {
+						isPivotLow = false
+						break
+					}
+				}
+
+				ph = isPivotHigh && !math.IsNaN(currentHigh)
+				pl = isPivotLow && !math.IsNaN(currentLow)
+			}
+
+			// 计算斜率
+			var slope float64
+			method := int(calcMethod)
+			switch method {
+			case 0: // Atr
+				atr := ta.ATR(e.High, e.Low, e.Close, length)
+				slope = atr.Get(0) / float64(length) * mult
+			case 1: // Stdev
+				stdDev := ta.StdDev(e.Close, length)
+				slope = stdDev.Get(0) / float64(length) * mult
+			case 2: // Linreg
+				// 简化版的线性回归斜率计算
+				n := float64(length)
+				sumX := n * (n - 1) / 2
+				sumY := ta.SMA(e.Close, length).Get(0) * n
+				sumXY := 0.0
+				sumX2 := 0.0
+
+				for i := 0; i < length; i++ {
+					x := float64(i)
+					y := e.Close.Get(i)
+					if !math.IsNaN(y) {
+						sumXY += x * y
+						sumX2 += x * x
+					}
+				}
+
+				// 计算斜率
+				denominator := n*sumX2 - sumX*sumX
+				if denominator != 0 {
+					slope = (n*sumXY - sumX*sumY) / denominator * mult
+				} else {
+					slope = 0
+				}
+			}
+
+			// 更新趋势线斜率和值
+			if ph {
+				data.slopePh = slope
+				data.upper = e.High.Get(length)
+			} else {
+				data.upper = data.upper - data.slopePh
+			}
+
+			if pl {
+				data.slopePl = slope
+				data.lower = e.Low.Get(length)
+			} else {
+				data.lower = data.lower + data.slopePl
+			}
+
+			// 保存前一个状态
+			data.prevUpos = data.upos
+			data.prevDnos = data.dnos
+
+			// 检测突破状态
+			if ph {
+				data.upos = 0
+			} else if closePrice > data.upper-data.slopePh*float64(length) {
+				data.upos = 1
+			}
+
+			if pl {
+				data.dnos = 0
+			} else if closePrice < data.lower+data.slopePl*float64(length) {
+				data.dnos = 1
+			}
+
+			// 检测突破并生成交易信号
+			upBreakout := data.upos > data.prevUpos
+			dnBreakout := data.dnos > data.prevDnos
+
+			if upBreakout && len(s.LongOrders) == 0 {
+				s.OpenOrder(&strat.EnterReq{
+					Tag: "Up Breakout",
+				})
+			}
+
+			if dnBreakout && len(s.ShortOrders) == 0 {
+				s.OpenOrder(&strat.EnterReq{
+					Tag:   "Down Breakout",
+					Short: true,
+				})
+			}
+		},
+	}
+}