init
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160
llmjob/3939.go
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160
llmjob/3939.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/strat"
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ta "github.com/banbox/banta"
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)
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func J3939(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调超参数
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lwstPeriod := pol.DefInt("lwst_period", 10, core.PNorm(5, 25))
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lwstMultiplier := pol.Def("lwst_multiplier", 3.0, core.PNorm(1.5, 5.5))
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lwstLength := pol.DefInt("lwst_length", 20, core.PNorm(10, 40))
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trendLength := pol.DefInt("trend_length", 14, core.PNorm(7, 25))
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trendThreshold := pol.Def("trend_threshold", 0.5, core.PNorm(0.1, 2.0))
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wtChannelLength := pol.DefInt("wt_channel_length", 9, core.PNorm(5, 20))
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wtAverageLength := pol.DefInt("wt_average_length", 12, core.PNorm(6, 24))
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wtMaLength := pol.DefInt("wt_ma_length", 3, core.PNorm(2, 8))
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wtOverbought := pol.Def("wt_overbought", 53, core.PNorm(40, 70))
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wtOversold := pol.Def("wt_oversold", -53, core.PNorm(-70, -40)) // 修复：独立的超卖参数
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slPercent := pol.Def("sl_percent", 2.0, core.PNorm(0.5, 5.0))
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tpPercent := pol.Def("tp_percent", 4.0, core.PNorm(1.0, 10.0))
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warmupNum := max(lwstPeriod*2, trendLength*2, wtChannelLength+wtAverageLength)
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return &strat.TradeStrat{
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Name: "Multi-Indicator-Consensus",
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WarmupNum: warmupNum + 50,
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HedgeOff: true, // 单向持仓模式
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EachMaxLong: 1,
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EachMaxShort: 1,
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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currentPrice := e.Close.Get(0)
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// =================== Indicator 1: Liquidity Weighted Supertrend ===================
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// Volume-weighted component for dynamic sensitivity
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volSma := ta.SMA(e.Volume, lwstLength)
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volWeight := e.Volume.Div(volSma)
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// ATR-based bands with volume weighting
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atr := ta.ATR(e.High, e.Low, e.Close, lwstPeriod)
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hl2 := ta.HL2(e.High, e.Low)
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_ = hl2.Add(atr.Mul(lwstMultiplier).Mul(volWeight)) // upperBand
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_ = hl2.Sub(atr.Mul(lwstMultiplier).Mul(volWeight)) // lowerBand
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// Trend determination based on price action and previous trend
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// 修复：使用Series保存趋势状态
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lwstTrendSeries := e.Close.To("_lwst_trend", 0)
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var lwstTrend float64
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if e.Close.Len() > 1 {
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prevTrend := lwstTrendSeries.Get(1)
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if currentPrice > prevTrend {
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lwstTrend = 1
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} else if currentPrice < prevTrend {
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lwstTrend = -1
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} else {
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lwstTrend = prevTrend
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}
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} else {
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lwstTrend = 1.0
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}
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lwstTrendSeries.Set(lwstTrend)
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// =================== Indicator 2: Trend Signals ===================
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// Dual EMA system for trend detection
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fastEma := ta.EMA(e.Close, trendLength)
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slowEma := ta.EMA(e.Close, trendLength*2)
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trendDiff := fastEma.Sub(slowEma).Div(slowEma).Mul(100)
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trendDiffVal := trendDiff.Get(0)
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var trendSignal float64
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if trendDiffVal > trendThreshold {
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trendSignal = 1
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} else if trendDiffVal < -trendThreshold {
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trendSignal = -1
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} else {
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trendSignal = 0
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}
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// =================== Indicator 3: Enhanced Wavetrend ===================
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// Calculate Wavetrend components
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ap := ta.HLC3(e.High, e.Low, e.Close)
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esa := ta.EMA(ap, wtChannelLength)
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d := ta.EMA(ap.Sub(esa).Abs(), wtChannelLength)
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ci := ap.Sub(esa).Div(d.Mul(0.015))
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tci := ta.EMA(ci, wtAverageLength)
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// Generate main and signal lines
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wt1 := tci
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wt2 := ta.SMA(wt1, wtMaLength)
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// Generate Wavetrend Signal based on overbought/oversold conditions
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wt1Val := wt1.Get(0)
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wt2Val := wt2.Get(0)
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// 修复：使用Series保存wt_signal状态
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wtSignalSeries := e.Close.To("_wt_signal", 0)
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var wtSignal float64
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if wt1Val > wtOverbought && wt2Val > wtOverbought {
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wtSignal = -1 // 超买信号
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} else if wt1Val < wtOversold && wt2Val < wtOversold { // 修复：使用独立的wtOversold参数
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wtSignal = 1 // 超卖信号
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} else {
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wtSignal = wtSignalSeries.Get(1)
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}
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wtSignalSeries.Set(wtSignal)
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// =================== Consensus Signal Generation ===================
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// 修复：正确计算净信号数（范围-3到3）
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consensusCount := 0
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if lwstTrend == 1 {
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consensusCount++
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} else if lwstTrend == -1 {
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consensusCount--
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}
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if trendSignal == 1 {
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consensusCount++
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} else if trendSignal == -1 {
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consensusCount--
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}
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if wtSignal == 1 {
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consensusCount++
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} else if wtSignal == -1 {
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consensusCount--
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}
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// Generate trading signals when majority (2+ indicators) agree
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buySignal := consensusCount >= 2
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sellSignal := consensusCount <= -2
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// =================== Trade Execution ===================
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if buySignal && len(s.LongOrders) == 0 && len(s.ShortOrders) == 0 {
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// 计算止损止盈价格
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slAmount := currentPrice * slPercent / 100
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tpAmount := currentPrice * tpPercent / 100
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s.OpenOrder(&strat.EnterReq{
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Tag: "Short",
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Short: true,
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StopLossVal: slAmount,
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TakeProfitVal: tpAmount,
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})
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} else if sellSignal && len(s.ShortOrders) == 0 && len(s.LongOrders) == 0 {
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// 计算做空止损止盈价格
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slAmount := currentPrice * slPercent / 100
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tpAmount := currentPrice * tpPercent / 100
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s.OpenOrder(&strat.EnterReq{
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Tag: "Long",
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Short: false,
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StopLossVal: slAmount,
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TakeProfitVal: tpAmount,
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})
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}
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},
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}
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}
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