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218
llmjob/3644.go
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218
llmjob/3644.go
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package llmjob
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import (
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"github.com/banbox/banbot/config"
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"github.com/banbox/banbot/core"
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"github.com/banbox/banbot/orm/ormo"
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"github.com/banbox/banbot/strat"
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ta "github.com/banbox/banta"
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"math"
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)
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// SupertrendState 存储每个品种的策略状态
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type SupertrendState struct {
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trend int // 趋势状态，1表示上升趋势，-1表示下降趋势
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prevTrend int // 前一期的趋势状态
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up float64 // 上轨
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dn float64 // 下轨
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tp float64 // 止盈价格
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}
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func J3644(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调参数
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atrPeriod := pol.DefInt("atrPeriod", 5, core.PNorm(2, 20))
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atrMultiplier := pol.Def("atrMultiplier", 4.7, core.PNorm(2.0, 8.0))
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profitRatio := pol.Def("profitRatio", 0.382, core.PNorm(0.2, 1.0))
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useSmaATR := pol.DefInt("useSmaATR", 1, core.PUniform(0, 1)) // 1=true, 0=false
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srcType := pol.DefInt("srcType", 0, core.PUniform(0, 7)) // 0=hlc3, 1=high, 2=low, 3=open, 4=hl2, 5=close, 6=hlcc4, 7=ohlc4
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return &strat.TradeStrat{
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WarmupNum: atrPeriod * 3, // 预热期设置为ATR周期的3倍，确保有足够数据
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HedgeOff: true, // 单向持仓模式
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EachMaxLong: 1, // 最多开1个多单
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EachMaxShort: 1, // 最多开1个空单
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RunTimeFrames: []string{"8h"},
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OnStartUp: func(s *strat.StratJob) {
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// 初始化策略状态
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s.More = &SupertrendState{
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trend: 1, // 初始趋势状态为上升趋势
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prevTrend: 1, // 前一期趋势状态也为上升趋势
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tp: 0, // 初始止盈价格
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}
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},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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state, _ := s.More.(*SupertrendState)
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// 获取数据源
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var src *ta.Series
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switch srcType {
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case 0:
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src = ta.HLC3(e.High, e.Low, e.Close)
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case 1:
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src = e.High
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case 2:
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src = e.Low
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case 3:
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src = e.Open
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case 4:
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src = ta.HL2(e.High, e.Low)
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case 5:
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src = e.Close
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case 6:
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// HLCC4: (high + low + close + close) / 4
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src = e.High.Add(e.Low).Add(e.Close).Add(e.Close).Div(4)
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case 7:
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// OHLC4: (open + high + low + close) / 4
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src = e.Open.Add(e.High).Add(e.Low).Add(e.Close).Div(4)
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default:
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src = ta.HLC3(e.High, e.Low, e.Close)
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}
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// 计算ATR
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var atr *ta.Series
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if useSmaATR == 1 {
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// 使用标准ATR计算
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atr = ta.ATR(e.High, e.Low, e.Close, atrPeriod)
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} else {
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// 使用SMA(TR)计算ATR
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trueRange := ta.TR(e.High, e.Low, e.Close)
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atr = ta.SMA(trueRange, atrPeriod)
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}
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// 计算超级趋势通道
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closePrice := e.Close.Get(0)
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prevClose := e.Close.Get(1)
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atrVal := atr.Get(0)
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srcVal := src.Get(0)
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// 计算上下轨
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up := srcVal - (atrMultiplier * atrVal)
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dn := srcVal + (atrMultiplier * atrVal)
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// 获取前一期上下轨
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prevUp := state.up
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prevDn := state.dn
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// 如果是第一期或前一期值无效，使用当前值
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if math.IsNaN(prevUp) {
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prevUp = up
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}
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if math.IsNaN(prevDn) {
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prevDn = dn
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}
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// 趋势跟踪逻辑
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if !math.IsNaN(prevClose) && prevClose > prevUp {
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up = math.Max(up, prevUp)
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}
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if !math.IsNaN(prevClose) && prevClose < prevDn {
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dn = math.Min(dn, prevDn)
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}
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// 更新趋势状态
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state.prevTrend = state.trend
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if state.trend == -1 && closePrice > prevDn {
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state.trend = 1
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} else if state.trend == 1 && closePrice < prevUp {
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state.trend = -1
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}
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// 保存当前上下轨值
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state.up = up
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state.dn = dn
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// 生成交易信号
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buySignal := state.trend == 1 && state.prevTrend == -1
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sellSignal := state.trend == -1 && state.prevTrend == 1
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// 获取当前订单
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longOrders := s.LongOrders
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shortOrders := s.ShortOrders
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// 更新多头订单的止损
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if len(longOrders) > 0 {
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for _, od := range longOrders {
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if od.Status >= ormo.InOutStatusFullEnter {
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// 保持之前的止盈价
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tp := state.tp
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if math.IsNaN(tp) || tp <= 0 {
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tp = od.InitPrice + (od.InitPrice-up)*profitRatio
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}
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// 更新止损价为上轨
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od.SetStopLoss(&ormo.ExitTrigger{
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Price: up,
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Tag: "super_trend_sl",
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})
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// 更新止盈价
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od.SetTakeProfit(&ormo.ExitTrigger{
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Price: tp,
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Tag: "super_trend_tp",
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})
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state.tp = tp
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}
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}
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}
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// 更新空头订单的止损
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if len(shortOrders) > 0 {
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for _, od := range shortOrders {
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if od.Status >= ormo.InOutStatusFullEnter {
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// 保持之前的止盈价
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tp := state.tp
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if math.IsNaN(tp) || tp <= 0 {
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tp = od.InitPrice - (dn-od.InitPrice)*profitRatio
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}
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// 更新止损价为下轨
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od.SetStopLoss(&ormo.ExitTrigger{
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Price: dn,
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Tag: "super_trend_sl",
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})
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// 更新止盈价
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od.SetTakeProfit(&ormo.ExitTrigger{
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Price: tp,
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Tag: "super_trend_tp",
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})
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state.tp = tp
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}
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}
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}
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// 买入信号
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if buySignal && len(longOrders) == 0 {
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// 计算止盈价
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tp := closePrice + (closePrice-up)*profitRatio
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state.tp = tp
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// 开多单，使用限价单
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s.OpenOrder(&strat.EnterReq{
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Tag: "super_trend_long",
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Short: false,
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OrderType: core.OrderTypeLimit,
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Limit: tp,
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StopLoss: up,
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StopLossTag: "super_trend_sl",
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TakeProfit: tp,
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TakeProfitTag: "super_trend_tp",
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})
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}
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// 卖出信号
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if sellSignal && len(shortOrders) == 0 {
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// 计算止盈价
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tp := closePrice - (dn-closePrice)*profitRatio
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state.tp = tp
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// 开空单，使用限价单
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s.OpenOrder(&strat.EnterReq{
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Tag: "super_trend_short",
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Short: true,
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OrderType: core.OrderTypeLimit,
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Limit: tp,
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StopLoss: dn,
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StopLossTag: "super_trend_sl",
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TakeProfit: tp,
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TakeProfitTag: "super_trend_tp",
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})
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}
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},
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}
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}
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