init
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204
llmjob/5689.go
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204
llmjob/5689.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/orm/ormo"
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"github.com/banbox/banbot/strat"
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ta "github.com/banbox/banta"
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"math"
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)
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/*
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因止损未检查bug导致表现看起来很好，不可用
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*/
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type State5689 struct {
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entryPrice float64
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hlv3 int // 保存三重均线状态
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}
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func J5689(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调超参数
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tpPercent := pol.Def("tpPercent", 0.33, core.PNorm(0.15, 0.5)) // 止盈百分比
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length := pol.DefInt("length", 18, core.PNorm(10, 50)) // 通道计算周期
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lengthChop := pol.DefInt("lengthChop", 14, core.PNorm(5, 30)) // CHOP指标周期
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emaPeriod := pol.DefInt("emaPeriod", 10, core.PNorm(5, 30)) // EMA平滑周期
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maPeriod := pol.DefInt("maPeriod", 50, core.PNorm(30, 100)) // 主均线周期
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channelRate := pol.Def("channelRate", 0.15, core.PNorm(0.1, 0.5)) // 通道倍率
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exitPeriod := pol.DefInt("exitPeriod", 12, core.PNorm(5, 30)) // 退出均线周期
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return &strat.TradeStrat{
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WarmupNum: maPeriod, // 预热K线数量，至少需要主均线周期
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RunTimeFrames: []string{"1h"},
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OnStartUp: func(s *strat.StratJob) {
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// 初始化每个品种的状态变量
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s.More = &State5689{
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entryPrice: math.NaN(),
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hlv3: 0, // 初始状态为0
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}
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},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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state, _ := s.More.(*State5689)
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// 计算技术指标
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upper := ta.Highest(e.High, length)
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lower := ta.Lowest(e.Low, length)
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// 计算output值：价格在通道中的百分比位置
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output := e.Close.Sub(upper).Div(upper.Sub(lower)).Mul(100)
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emaOutput := ta.EMA(output, emaPeriod)
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// 自定义MA函数：双重WMA平滑
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maFunc := func(src *ta.Series, len int) *ta.Series {
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wma1 := ta.WMA(src, len/2)
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wma2 := ta.WMA(src, len)
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return ta.WMA(wma1.Mul(2).Sub(wma2), int(math.Round(math.Sqrt(float64(len)))))
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}
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// 计算主均线和通道
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BBMC := maFunc(e.Close, maPeriod)
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rangema := ta.EMA(ta.TR(e.High, e.Low, e.Close), maPeriod)
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upperk := BBMC.Add(rangema.Mul(channelRate))
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lowerk := BBMC.Sub(rangema.Mul(channelRate))
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// 计算退出均线
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exitHigh := ta.WMA(e.High, exitPeriod)
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exitLow := ta.WMA(e.Low, exitPeriod)
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// 计算RSI指标（原始代码中计算但未使用）
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_ = ta.RSI(e.Close, 14)
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// 计算CHOP指标（虽然不影响交易逻辑，但为了完整性实现）
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atr1 := ta.ATR(e.High, e.Low, e.Close, 1)
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sumAtr := ta.Sum(atr1, lengthChop)
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highestChop := ta.Highest(e.High, lengthChop)
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lowestChop := ta.Lowest(e.Low, lengthChop)
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chopRange := highestChop.Sub(lowestChop)
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// 避免除以零
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chopRangeValid := chopRange.Get(0) > 0
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if chopRangeValid {
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_ = sumAtr.Div(chopRange).Mul(100)
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} else {
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_ = ta.EMA(e.Close, 1).Mul(0) // 创建全0序列
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}
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// 获取当前值
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closePrice := e.Close.Get(0)
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upperkVal := upperk.Get(0)
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lowerkVal := lowerk.Get(0)
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BBMCVal := BBMC.Get(0)
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outputVal := output.Get(0)
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emaOutputVal := emaOutput.Get(0)
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exitHighVal := exitHigh.Get(0)
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exitLowVal := exitLow.Get(0)
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// 检查数据有效性
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if math.IsNaN(closePrice) || math.IsNaN(BBMCVal) || math.IsNaN(outputVal) || math.IsNaN(emaOutputVal) {
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return
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}
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// 判断价格位置和颜色
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colorBlue := closePrice > upperkVal
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colorBarFuchsia := closePrice < lowerkVal
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// 更新三重均线状态
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if closePrice > exitHighVal {
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state.hlv3 = 1
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} else if closePrice < exitLowVal {
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state.hlv3 = -1
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}
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// 否则保持上一个状态
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// 计算退出线
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_ = exitHigh
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if state.hlv3 < 0 {
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_ = exitLow
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}
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// 生成交易信号
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closeXBBMC := e.Close.Cross(BBMC)
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longCondition := closeXBBMC == 1 && outputVal > emaOutputVal
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shortCondition := closeXBBMC == -1 && outputVal < emaOutputVal
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// 执行交易逻辑
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if longCondition && len(s.LongOrders) == 0 {
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// 记录入场价格
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state.entryPrice = closePrice
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// 开多单
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s.OpenOrder(&strat.EnterReq{
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Tag: "ENTER-LONG",
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OrderType: core.OrderTypeMarket,
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TakeProfit: closePrice * (1 + tpPercent),
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})
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}
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// 为已有订单设置动态止损
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if len(s.LongOrders) > 0 && !math.IsNaN(state.entryPrice) {
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od := s.LongOrders[0]
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if od.Status == ormo.InOutStatusFullEnter {
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// 只有当color_bar为FUCHSIA时才设置止损
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if colorBarFuchsia && !math.IsNaN(BBMCVal) {
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// 设置BBMC作为止损价格
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od.SetStopLoss(&ormo.ExitTrigger{
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Price: BBMCVal,
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Rate: 1.0, // 全部退出
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Tag: "dynamic_stop_loss",
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})
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} else {
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// 不设置止损
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od.SetStopLoss(nil)
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}
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// 更新止盈
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takeProfitPrice := state.entryPrice * (1 + tpPercent)
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od.SetTakeProfit(&ormo.ExitTrigger{
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Price: takeProfitPrice,
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Rate: 1.0, // 全部退出
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Tag: "take_profit",
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})
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}
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}
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// 做空部分（原始代码中被注释，这里也注释掉）
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if shortCondition && len(s.ShortOrders) == 0 {
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state.entryPrice = closePrice
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s.OpenOrder(&strat.EnterReq{
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Tag: "ENTER-SHORT",
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OrderType: core.OrderTypeMarket,
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Short: true,
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TakeProfit: closePrice * (1 - tpPercent),
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})
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}
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if len(s.ShortOrders) > 0 && !math.IsNaN(state.entryPrice) {
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od := s.ShortOrders[0]
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if od.Status == ormo.InOutStatusFullEnter {
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// 只有当color_bar为BLUE时才设置止损
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if colorBlue && !math.IsNaN(BBMCVal) {
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// 设置BBMC作为止损价格
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od.SetStopLoss(&ormo.ExitTrigger{
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Price: BBMCVal,
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Rate: 1.0, // 全部退出
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Tag: "dynamic_stop_loss_short",
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})
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} else {
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// 不设置止损
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od.SetStopLoss(nil)
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}
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// 更新止盈
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takeProfitPrice := state.entryPrice * (1 - tpPercent)
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od.SetTakeProfit(&ormo.ExitTrigger{
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Price: takeProfitPrice,
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Rate: 1.0, // 全部退出
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Tag: "take_profit_short",
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})
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}
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}
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},
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}
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}
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