init

llmjob/5743.go

@@ -0,0 +1,100 @@
+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 J5743(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	// 定义可调超参数
+	fastPeriod := pol.DefInt("fastPeriod", 12, core.PNorm(5, 20))
+	macdRate := pol.Def("macdRate", 2.17, core.PNorm(1.5, 4))
+	signalPeriod := pol.DefInt("signalPeriod", 9, core.PNorm(5, 15))
+	stopLossBars := pol.DefInt("stopLossBars", 4, core.PNorm(1, 10))
+	riskRewardRatio := pol.Def("riskRewardRatio", 2, core.PNorm(1, 3))
+	direction := pol.DefInt("direction", 2, core.PUniform(0, 2)) // 0: long, 1: short, 2: both
+
+	// 计算慢速周期
+	slowPeriod := int(float64(fastPeriod) * macdRate)
+
+	// 确定预热数量，取所有参数中的最大值
+	warmupNum := fastPeriod
+	if slowPeriod > warmupNum {
+		warmupNum = slowPeriod
+	}
+	if signalPeriod > warmupNum {
+		warmupNum = signalPeriod
+	}
+	if stopLossBars > warmupNum {
+		warmupNum = stopLossBars
+	}
+
+	return &strat.TradeStrat{
+		WarmupNum:     warmupNum,
+		EachMaxLong:   1,    // 最多一个做多订单
+		EachMaxShort:  1,    // 最多一个做空订单
+		HedgeOff:      true, // 单向持仓模式
+		RunTimeFrames: []string{"8h"},
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+
+			// 计算MACD指标
+			macdLine, signalLine := ta.MACD(e.Close, fastPeriod, slowPeriod, signalPeriod)
+
+			// 获取当前值
+			macdVal := macdLine.Get(0)
+			signalVal := signalLine.Get(0)
+			closePrice := e.Close.Get(0)
+
+			// 计算直方图值
+			histVal := macdVal - signalVal
+
+			// 检测交叉信号
+			macdCross := macdLine.Cross(signalLine)
+			longSignal := macdCross == 1 && histVal > 0   // MACD金叉且直方图为正
+			shortSignal := macdCross == -1 && histVal < 0 // MACD死叉且直方图为负
+
+			// 计算止损价格
+			longStopLoss := ta.Lowest(e.Low, stopLossBars).Get(0)
+			shortStopLoss := ta.Highest(e.High, stopLossBars).Get(0)
+
+			// 检查止损价格有效性
+			if math.IsNaN(longStopLoss) || math.IsNaN(shortStopLoss) {
+				return
+			}
+
+			// 执行做多交易
+			if direction != 1 && longSignal && len(s.LongOrders) == 0 {
+				// 计算止盈价格
+				distance := closePrice - longStopLoss
+				takeProfit := closePrice + distance*riskRewardRatio
+
+				s.OpenOrder(&strat.EnterReq{
+					Tag:        "Larga",
+					Short:      false,
+					OrderType:  core.OrderTypeMarket,
+					StopLoss:   longStopLoss,
+					TakeProfit: takeProfit,
+				})
+			}
+
+			// 执行做空交易
+			if direction != 0 && shortSignal && len(s.ShortOrders) == 0 {
+				// 计算止盈价格
+				distance := shortStopLoss - closePrice
+				takeProfit := closePrice - distance*riskRewardRatio
+
+				s.OpenOrder(&strat.EnterReq{
+					Tag:        "Corta",
+					Short:      true,
+					OrderType:  core.OrderTypeMarket,
+					StopLoss:   shortStopLoss,
+					TakeProfit: takeProfit,
+				})
+			}
+		},
+	}
+}