init

llmjob/4225.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"
+)
+
+// StrategyMore 存储每个品种的策略状态
+type StrategyMore struct {
+	LastBarNum float64 // 上次交易的K线编号
+}
+
+// MultiEMACross 多重均线交叉与时间间隔整合策略
+func J4225(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	// 定义可调参数
+	emaBasePeriod := pol.DefInt("emaBasePeriod", 4, core.PNorm(3, 15))
+	emaMidRatio := pol.Def("emaMidRatio", 2.1, core.PNorm(1.5, 4))
+	emaSlowRatio := pol.Def("emaSlowRatio", 10, core.PNorm(5, 20))
+	timeInterval := pol.DefInt("timeInterval", 35, core.PNorm(10, 100))
+	atrMultiplier := pol.Def("atrMultiplier", 1.9, core.PNorm(0.5, 5))
+
+	// 计算EMA周期
+	emaMidPeriod := int(float64(emaBasePeriod) * emaMidRatio)
+	emaSlowPeriod := int(float64(emaBasePeriod) * emaSlowRatio)
+
+	// 确定预热K线数量，取最慢EMA周期的2倍
+	warmupNum := emaSlowPeriod * 2
+
+	return &strat.TradeStrat{
+		WarmupNum:     warmupNum,
+		HedgeOff:      true, // 单向持仓模式
+		RunTimeFrames: []string{"8h"},
+		OnStartUp: func(s *strat.StratJob) {
+			// 初始化每个品种的策略状态
+			s.More = &StrategyMore{
+				LastBarNum: -1, // 初始化为-1，表示尚未交易
+			}
+		},
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			m, _ := s.More.(*StrategyMore)
+
+			// 计算EMA指标
+			emaFast := ta.EMA(e.Close, emaBasePeriod)
+			emaMid := ta.EMA(e.Close, emaMidPeriod)
+			emaSlow := ta.EMA(e.Close, emaSlowPeriod)
+
+			// 计算ATR用于动态止盈止损
+			atr := ta.ATR(e.High, e.Low, e.Close, 14)
+			atrVal := atr.Get(0)
+
+			// 检查EMA交叉条件 - 修复重复计算问题
+			fastCrossSlow := emaFast.Cross(emaSlow)
+			midCrossSlow := emaMid.Cross(emaSlow)
+			fastCrossSlowUp := fastCrossSlow == 1    // 快线上穿慢线
+			midCrossSlowUp := midCrossSlow == 1      // 中线上穿慢线
+			fastCrossSlowDown := fastCrossSlow == -1 // 快线下穿慢线
+			midCrossSlowDown := midCrossSlow == -1   // 中线下穿慢线
+
+			// 生成交易信号
+			buyCondition := fastCrossSlowUp && midCrossSlowUp
+			sellCondition := fastCrossSlowDown && midCrossSlowDown
+
+			// 检查时间间隔是否满足要求
+			currentBarNum := e.BarCount(0)
+			barsSinceLastTrade := currentBarNum - m.LastBarNum
+			timeElapsedOk := m.LastBarNum == -1 || barsSinceLastTrade >= float64(timeInterval)
+
+			// 如果有交易信号且时间间隔满足要求
+			if (buyCondition || sellCondition) && timeElapsedOk {
+				// 先平掉所有现有仓位
+				if len(s.LongOrders) > 0 || len(s.ShortOrders) > 0 {
+					s.CloseOrders(&strat.ExitReq{
+						Tag:   "close_all",
+						Dirt:  core.OdDirtBoth,
+						Force: true,
+					})
+				}
+
+				// 计算止盈止损价格
+				stopLossDist := atrVal * atrMultiplier
+				takeProfitDist := stopLossDist * 1.67 // 保持5:3的盈亏比
+
+				// 根据信号方向开仓
+				if buyCondition {
+					s.OpenOrder(&strat.EnterReq{
+						Tag:           "Buy",
+						Short:         false,
+						OrderType:     core.OrderTypeMarket,
+						StopLossVal:   stopLossDist,
+						TakeProfitVal: takeProfitDist,
+						StopLossTag:   "stop_loss",
+						TakeProfitTag: "take_profit",
+					})
+					m.LastBarNum = currentBarNum
+				} else if sellCondition {
+					s.OpenOrder(&strat.EnterReq{
+						Tag:           "Sell",
+						Short:         true,
+						OrderType:     core.OrderTypeMarket,
+						StopLossVal:   stopLossDist,
+						TakeProfitVal: takeProfitDist,
+						StopLossTag:   "stop_loss",
+						TakeProfitTag: "take_profit",
+					})
+					m.LastBarNum = currentBarNum
+				}
+			}
+		},
+	}
+}