init

llmjob/3746.go

@@ -0,0 +1,163 @@
+package llmjob
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/orm/ormo"
+	"github.com/banbox/banbot/strat"
+	ta "github.com/banbox/banta"
+	"math"
+)
+
+type KijunData struct {
+	initialCapital float64
+	netProfit      float64
+}
+
+func J3746(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	// 定义可调超参数
+	ksPeriod := pol.DefInt("ksPeriod", 30, core.PNorm(9, 50))
+	atrPeriod := pol.DefInt("atrPeriod", 14, core.PNorm(7, 30))
+	atrMultiplier := pol.Def("atrMultiplier", 1.5, core.PNorm(0.8, 4))
+	targetPoints := pol.Def("targetPoints", 100, core.PNorm(50, 200))
+	riskPercent := pol.Def("riskPercent", 4, core.PNorm(1, 10))
+	equityProtection := pol.Def("equityProtection", 30, core.PNorm(10, 50))
+
+	return &strat.TradeStrat{
+		WarmupNum:     ksPeriod, // 预热K线数量，确保基均线计算有足够数据
+		HedgeOff:      true,     // 单向持仓模式
+		RunTimeFrames: []string{"3d"},
+		OnStartUp: func(s *strat.StratJob) {
+			// 初始化每个品种的特定数据
+			s.More = &KijunData{
+				initialCapital: 50000.0, // 初始资金
+				netProfit:      0.0,     // 初始净利润
+			}
+		},
+
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			m, _ := s.More.(*KijunData)
+
+			// 计算技术指标
+			atr := ta.ATR(e.High, e.Low, e.Close, atrPeriod)
+			atrValue := atr.Get(0)
+
+			// 计算基均线 (Kijun Sen)
+			highest := ta.Highest(e.High, ksPeriod)
+			lowest := ta.Lowest(e.Low, ksPeriod)
+			kijunSen := highest.Add(lowest).Div(2)
+			kijunSenValue := kijunSen.Get(0)
+
+			// 检查数据有效性
+			if math.IsNaN(atrValue) || math.IsNaN(kijunSenValue) {
+				return
+			}
+
+			// 生成交易信号
+			openPrice := e.Open.Get(0)
+			closePrice := e.Close.Get(0)
+			baseLong := openPrice < kijunSenValue && closePrice > kijunSenValue
+			baseShort := openPrice > kijunSenValue && closePrice < kijunSenValue
+
+			// 计算止损距离
+			stopLossVal := atrValue * atrMultiplier
+
+			// 更新净利润
+			// 计算总浮动盈亏
+			totalFloating := 0.0
+			for _, od := range s.LongOrders {
+				totalFloating += od.Profit
+			}
+			for _, od := range s.ShortOrders {
+				totalFloating += od.Profit
+			}
+			m.netProfit = totalFloating
+
+			// 权益保护检查
+			equityStopout := false
+			if s.OrderNum > 0 {
+				// 计算当前余额（初始资金 + 净利润）
+				totalBalance := m.initialCapital + m.netProfit
+
+				// 检查是否触发权益保护
+				if totalFloating < 0 && math.Abs(totalFloating/totalBalance) > equityProtection/100 {
+					equityStopout = true
+				}
+			}
+
+			// 权益保护触发时平仓所有头寸
+			if equityStopout {
+				s.CloseOrders(&strat.ExitReq{
+					Tag:   "equity_protection",
+					Dirt:  core.OdDirtBoth,
+					Force: true,
+				})
+				return
+			}
+
+			// 检查是否有持仓
+			hasLongPosition := len(s.LongOrders) > 0
+			hasShortPosition := len(s.ShortOrders) > 0
+
+			// 计算头寸大小
+			balance := m.initialCapital + m.netProfit
+			riskAmount := balance * (riskPercent / 100) // 风险金额
+			size := riskAmount / stopLossVal            // 合约数量
+			if size < 0.001 {                           // 最小合约数量检查
+				size = 0.001
+			}
+
+			// 多头交易
+			if baseLong && !hasLongPosition && !hasShortPosition {
+				s.OpenOrder(&strat.EnterReq{
+					Tag:           "l_en",
+					Amount:        size,
+					StopLossVal:   stopLossVal,
+					TakeProfitVal: targetPoints,
+					StopLossTag:   "stop_loss",
+					TakeProfitTag: "take_profit",
+				})
+			}
+
+			// 空头交易
+			if baseShort && !hasShortPosition && !hasLongPosition {
+				s.OpenOrder(&strat.EnterReq{
+					Tag:           "s_en",
+					Short:         true,
+					Amount:        size,
+					StopLossVal:   stopLossVal,
+					TakeProfitVal: targetPoints,
+					StopLossTag:   "stop_loss",
+					TakeProfitTag: "take_profit",
+				})
+			}
+		},
+
+		OnCheckExit: func(s *strat.StratJob, od *ormo.InOutOrder) *strat.ExitReq {
+			// 计算基均线
+			highest := ta.Highest(s.Env.High, ksPeriod)
+			lowest := ta.Lowest(s.Env.Low, ksPeriod)
+			kijunSen := highest.Add(lowest).Div(2)
+			kijunSenValue := kijunSen.Get(0)
+
+			closePrice := s.Env.Close.Get(0)
+
+			// 多头平仓条件：收盘价低于基均线
+			if !od.Short && closePrice < kijunSenValue {
+				return &strat.ExitReq{
+					Tag: "long_exit",
+				}
+			}
+
+			// 空头平仓条件：收盘价高于基均线
+			if od.Short && closePrice > kijunSenValue {
+				return &strat.ExitReq{
+					Tag: "short_exit",
+				}
+			}
+
+			return nil
+		},
+	}
+}