init

llmjob/3955.go

@@ -0,0 +1,109 @@
+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 J3955(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	// 定义可调超参数
+	macdFastPeriod := pol.DefInt("macdFastPeriod", 14, core.PNorm(5, 20))
+	macdSlowRate := pol.Def("macdSlowRate", 2, core.PNorm(1.5, 4))
+	macdSignalPeriod := pol.DefInt("macdSignalPeriod", 9, core.PNorm(5, 15))
+	vwmaFastPeriod := pol.DefInt("vwmaFastPeriod", 20, core.PNorm(10, 40))
+	leverage := pol.DefInt("leverage", 1, core.PNorm(1, 20))
+
+	// 计算MACD慢线周期
+	macdSlowPeriod := int(float64(macdFastPeriod) * macdSlowRate)
+
+	return &strat.TradeStrat{
+		WarmupNum:     macdSlowPeriod + macdSignalPeriod, // 确保有足够的数据计算指标
+		HedgeOff:      true,                              // 单向持仓模式
+		EachMaxLong:   1,                                 // 最多一个多头订单
+		EachMaxShort:  1,                                 // 最多一个空头订单
+		RunTimeFrames: []string{"8h"},
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+
+			// 计算MACD指标
+			macdLine, signalLine := ta.MACD(e.Close, macdFastPeriod, macdSlowPeriod, macdSignalPeriod)
+			histogram := macdLine.Sub(signalLine) // 计算MACD柱状图
+
+			// 计算VWMA指标
+			vwma20 := ta.VWMA(e.Close, e.Volume, vwmaFastPeriod) // 使用VWMA替代WMA，考虑成交量因素
+			vwma50 := ta.VWMA(e.Close, e.Volume, 50)             // 使用VWMA替代WMA，考虑成交量因素
+
+			// 获取当前指标值
+			macdLineVal := macdLine.Get(0)
+			signalLineVal := signalLine.Get(0)
+			histogramVal := histogram.Get(0)
+			vwma20Val := vwma20.Get(0)
+			vwma50Val := vwma50.Get(0)
+
+			// 检查数据有效性
+			if math.IsNaN(macdLineVal) || math.IsNaN(signalLineVal) || math.IsNaN(histogramVal) ||
+				math.IsNaN(vwma20Val) || math.IsNaN(vwma50Val) {
+				return
+			}
+
+			// 生成MACD信号
+			macdLongEntrySignal := histogramVal > 0
+			macdShortEntrySignal := histogramVal < 0
+
+			// 生成VWMA信号
+			vwmaLongEntrySignal := vwma20Val > vwma50Val
+			vwmaShortEntrySignal := vwma20Val < vwma50Val
+
+			// 生成组合交易信号
+			longEntry := macdLongEntrySignal && vwmaLongEntrySignal
+			shortEntry := macdShortEntrySignal && vwmaShortEntrySignal
+
+			// 检测MACD交叉信号作为出场条件（优化为单次调用）
+			cross := macdLine.Cross(signalLine)
+			longExit := cross == -1 // MACD线下穿信号线
+			shortExit := cross == 1 // MACD线上穿信号线
+
+			// 执行交易逻辑
+			if longEntry && len(s.LongOrders) == 0 {
+				// 计算杠杆化后的合约数量
+				costRate := float64(leverage)
+				s.OpenOrder(&strat.EnterReq{
+					Tag:       "Long",
+					Short:     false,
+					CostRate:  costRate,
+					Leverage:  float64(leverage),
+					OrderType: core.OrderTypeMarket,
+				})
+			}
+
+			if longExit && len(s.LongOrders) > 0 {
+				s.CloseOrders(&strat.ExitReq{
+					Tag:  "LongExit",
+					Dirt: core.OdDirtLong,
+				})
+			}
+
+			if shortEntry && len(s.ShortOrders) == 0 {
+				// 计算杠杆化后的合约数量
+				costRate := float64(leverage)
+				s.OpenOrder(&strat.EnterReq{
+					Tag:       "Short",
+					Short:     true,
+					CostRate:  costRate,
+					Leverage:  float64(leverage),
+					OrderType: core.OrderTypeMarket,
+				})
+			}
+
+			if shortExit && len(s.ShortOrders) > 0 {
+				s.CloseOrders(&strat.ExitReq{
+					Tag:  "ShortExit",
+					Dirt: core.OdDirtShort,
+				})
+			}
+		},
+	}
+}