init

llmjob/4009.go

@@ -0,0 +1,177 @@
+package llmjob
+
+import (
+	"math"
+
+	"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"
+)
+
+// Sta4009 存储每个品种的策略状态
+type Sta4009 struct {
+	atrTrailingStop float64 // ATR跟踪止损值
+	position        int     // 当前持仓方向（1=多头，-1=空头，0=无持仓）
+	entryPrice      float64 // 入场价格
+	buyTarget       float64 // 多头目标价格
+	sellTarget      float64 // 空头目标价格
+}
+
+func J4009(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	// 定义可调参数
+	keyValue := pol.Def("keyValue", 1, core.PNorm(0.1, 5))
+	atrPeriod := pol.DefInt("atrPeriod", 14, core.PNorm(5, 30))
+	useHeikinAshi := pol.DefInt("useHeikinAshi", 0, core.PNorm(0, 1)) // 0=false, 1=true
+	exitPercentage := pol.Def("exitPercentage", 0.002, core.PNorm(0.001, 0.01))
+	rsiPeriod := pol.DefInt("rsiPeriod", 14, core.PNorm(7, 30))
+	donchianLength := pol.DefInt("donchianLength", 20, core.PNorm(10, 50))
+
+	return &strat.TradeStrat{
+		WarmupNum:  donchianLength + 20, // 确保有足够数据计算所有指标
+		HedgeOff:   true,                // 单向持仓模式
+		TimeFrames: "1d",
+		OnStartUp: func(s *strat.StratJob) {
+			// 初始化策略状态
+			s.More = &Sta4009{
+				atrTrailingStop: math.NaN(),
+				position:        0,
+				entryPrice:      math.NaN(),
+				buyTarget:       math.NaN(),
+				sellTarget:      math.NaN(),
+			}
+		},
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			state, _ := s.More.(*Sta4009)
+
+			// 计算基础指标
+			atr := ta.ATR(e.High, e.Low, e.Close, atrPeriod)
+			lossDistance := keyValue * atr.Get(0)
+			rsiValue := ta.RSI(e.Close, rsiPeriod).Get(0)
+
+			// 计算价格源（普通收盘价或惠金-阿希收盘价）
+			var priceSource *ta.Series
+			if useHeikinAshi > 0 {
+				haOpen, haHigh, haLow, haClose := ta.HeikinAshi(e)
+				haCloseSeries := haOpen.Add(haHigh).Add(haLow).Add(haClose).Div(4)
+				priceSource = haCloseSeries
+			} else {
+				priceSource = e.Close
+			}
+			currentPrice := priceSource.Get(0)
+			prevPrice := priceSource.Get(1)
+
+			// 计算ATR跟踪止损
+			if !math.IsNaN(lossDistance) && !math.IsNaN(currentPrice) && !math.IsNaN(prevPrice) {
+				prevStop := state.atrTrailingStop
+				if math.IsNaN(prevStop) {
+					prevStop = 0
+				}
+
+				if currentPrice > prevStop && prevPrice > prevStop {
+					// 价格在止损线上方且前一价格也在止损线上方，止损线上移
+					state.atrTrailingStop = math.Max(prevStop, currentPrice-lossDistance)
+				} else if currentPrice < prevStop && prevPrice < prevStop {
+					// 价格在止损线下方且前一价格也在止损线下方，止损线下移
+					state.atrTrailingStop = math.Min(prevStop, currentPrice+lossDistance)
+				} else if currentPrice > prevStop {
+					// 价格上穿止损线，设置新的止损线
+					state.atrTrailingStop = currentPrice - lossDistance
+				} else {
+					// 价格下穿止损线，设置新的止损线
+					state.atrTrailingStop = currentPrice + lossDistance
+				}
+			}
+
+			// 计算持仓方向
+			if !math.IsNaN(prevPrice) && !math.IsNaN(state.atrTrailingStop) {
+				if prevPrice < state.atrTrailingStop && currentPrice > state.atrTrailingStop {
+					state.position = 1 // 多头信号
+				} else if prevPrice > state.atrTrailingStop && currentPrice < state.atrTrailingStop {
+					state.position = -1 // 空头信号
+				}
+				// 否则保持原有方向
+			}
+
+			// 计算唐奇安通道
+			donchianUpper := ta.Highest(e.High, donchianLength)
+			donchianLower := ta.Lowest(e.Low, donchianLength)
+			donchianBasis := donchianUpper.Add(donchianLower).Div(2).Get(0)
+
+			// 计算交叉信号
+			above := currentPrice > state.atrTrailingStop && prevPrice <= state.atrTrailingStop
+			below := currentPrice < state.atrTrailingStop && prevPrice >= state.atrTrailingStop
+
+			// 生成交易信号
+			buySignal := currentPrice > state.atrTrailingStop && above && rsiValue > 50 && currentPrice > donchianBasis
+			sellSignal := currentPrice < state.atrTrailingStop && below && rsiValue < 50 && currentPrice < donchianBasis
+
+			// 执行交易
+			if buySignal && s.OrderNum == 0 {
+				state.entryPrice = currentPrice
+				state.buyTarget = state.entryPrice * (1 + exitPercentage)
+				state.sellTarget = state.entryPrice * (1 - exitPercentage)
+
+				s.OpenOrder(&strat.EnterReq{
+					Tag:       "Buy",
+					OrderType: core.OrderTypeMarket,
+				})
+			} else if sellSignal && s.OrderNum == 0 {
+				state.entryPrice = currentPrice
+				state.buyTarget = state.entryPrice * (1 + exitPercentage)
+				state.sellTarget = state.entryPrice * (1 - exitPercentage)
+
+				s.OpenOrder(&strat.EnterReq{
+					Tag:       "Sell",
+					Short:     true,
+					OrderType: core.OrderTypeMarket,
+				})
+			}
+
+			// 退出条件检查
+			if len(s.LongOrders) > 0 {
+				od := s.LongOrders[0]
+				if od.Status >= ormo.InOutStatusFullEnter {
+					if currentPrice >= state.buyTarget {
+						// 达到止盈目标
+						s.CloseOrders(&strat.ExitReq{
+							Tag:   "Take Profit",
+							Dirt:  core.OdDirtLong,
+							Limit: state.buyTarget,
+						})
+					} else if currentPrice <= state.sellTarget {
+						// 触发止损
+						s.CloseOrders(&strat.ExitReq{
+							Tag:   "Stop Loss",
+							Dirt:  core.OdDirtLong,
+							Limit: state.sellTarget,
+						})
+					}
+				}
+			}
+
+			if len(s.ShortOrders) > 0 {
+				od := s.ShortOrders[0]
+				if od.Status >= ormo.InOutStatusFullEnter {
+					if currentPrice <= state.sellTarget {
+						// 达到止盈目标
+						s.CloseOrders(&strat.ExitReq{
+							Tag:   "Take Profit",
+							Dirt:  core.OdDirtShort,
+							Limit: state.sellTarget,
+						})
+					} else if currentPrice >= state.buyTarget {
+						// 触发止损
+						s.CloseOrders(&strat.ExitReq{
+							Tag:   "Stop Loss",
+							Dirt:  core.OdDirtShort,
+							Limit: state.buyTarget,
+						})
+					}
+				}
+			}
+		},
+	}
+}