init

llmjob/3992.go

@@ -0,0 +1,113 @@
+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 J3992(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	// 定义可调超参数
+	fastLength := pol.DefInt("fastLength", 10, core.PUniform(5, 20))
+	macdSlowRate := pol.Def("macdSlowRate", 2.17, core.PNorm(1.5, 4))
+	rsiThreshold := pol.DefInt("rsiThreshold", 65, core.PUniform(60, 80))
+	bbMult := pol.Def("bbMult", 2.0, core.PNorm(1.5, 3.0))
+	rsiLength := pol.DefInt("rsiLength", 14, core.PUniform(7, 21))
+
+	// 计算其他参数
+	MACDLength := 9 // 固定值
+	slowLength := int(float64(fastLength) * macdSlowRate)
+	rsiOverbought := float64(rsiThreshold)
+	rsiOversold := 100 - rsiOverbought
+	stopLossPercent := 0.02   // 2% stop loss
+	takeProfitPercent := 0.05 // 5% take profit
+
+	// 计算预热数量，取最大值
+	warmupNum := slowLength
+	if MACDLength > warmupNum {
+		warmupNum = MACDLength
+	}
+	if rsiLength > warmupNum {
+		warmupNum = rsiLength
+	}
+	if bbLength := 20; bbLength > warmupNum {
+		warmupNum = bbLength
+	}
+
+	return &strat.TradeStrat{
+		WarmupNum:     warmupNum,
+		HedgeOff:      true, // 单向持仓模式
+		RunTimeFrames: []string{"8h"},
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+
+			// 检查数据长度是否足够
+			if e.Close.Len() < warmupNum {
+				return
+			}
+
+			// MACD calculations
+			fastMA := ta.EMA(e.Close, fastLength)
+			slowMA := ta.EMA(e.Close, slowLength)
+			macdLine := fastMA.Sub(slowMA)
+			signalLine := ta.EMA(macdLine, MACDLength)
+
+			// RSI calculation
+			rsi := ta.RSI(e.Close, rsiLength)
+
+			// Bollinger Bands calculation
+			bbLength := 20
+			basis := ta.SMA(e.Close, bbLength)
+			stdDev := ta.StdDev(e.Close, bbLength)
+			dev := stdDev.Mul(bbMult)
+			upper := basis.Add(dev)
+			lower := basis.Sub(dev)
+
+			// 获取当前值
+			closePrice := e.Close.Get(0)
+			macdVal := macdLine.Get(0)
+			signalVal := signalLine.Get(0)
+			rsiVal := rsi.Get(0)
+			upperVal := upper.Get(0)
+			lowerVal := lower.Get(0)
+
+			// 检查NaN值
+			if math.IsNaN(closePrice) || math.IsNaN(macdVal) || math.IsNaN(signalVal) ||
+				math.IsNaN(rsiVal) || math.IsNaN(upperVal) || math.IsNaN(lowerVal) {
+				return
+			}
+
+			// Entry conditions
+			macdCrossOver := macdLine.Cross(signalLine) == 1
+			rsiCrossUnder := rsi.Cross(rsiOversold) == -1
+			longCondition := (macdCrossOver || rsiCrossUnder) && closePrice > lowerVal
+
+			macdCrossUnder := macdLine.Cross(signalLine) == -1
+			rsiCrossOver := rsi.Cross(rsiOverbought) == 1
+			shortCondition := (macdCrossUnder || rsiCrossOver) && closePrice < upperVal
+
+			// Long position logic
+			if longCondition && len(s.LongOrders) == 0 {
+				s.OpenOrder(&strat.EnterReq{
+					Tag:           "Long",
+					OrderType:     core.OrderTypeMarket,
+					StopLossVal:   closePrice * (1 - stopLossPercent),
+					TakeProfitVal: closePrice * (1 + takeProfitPercent),
+				})
+			}
+
+			// Short position logic
+			if shortCondition && len(s.ShortOrders) == 0 {
+				s.OpenOrder(&strat.EnterReq{
+					Tag:           "Short",
+					Short:         true,
+					OrderType:     core.OrderTypeMarket,
+					StopLossVal:   closePrice * (1 + stopLossPercent),
+					TakeProfitVal: closePrice * (1 - takeProfitPercent),
+				})
+			}
+		},
+	}
+}