init

2026-08-24 20:53:21 +08:00
commit 6e78bba16a
287 changed files with 32443 additions and 0 deletions
--- a/llmjob/587.go
+++ b/llmjob/587.go
@@ -0,0 +1,144 @@
+package llmjob
+
+import (
+	"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"
+	"math"
+)
+
+// MartingaleState 存储马丁格尔策略的状态
+type MartingaleState struct {
+	ContractSize    float64 // 当前合约数量
+	MartingaleCount int     // 马丁格尔计数器
+	LastTradeResult float64 // 上次交易结果
+}
+
+func J587(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	// 定义可调超参数
+	fastLength := pol.DefInt("fastLength", 15, core.PNorm(5, 30))
+	maRate := pol.Def("maRate", 2.0, core.PNorm(1.5, 4.0))
+	maxMartingaleCount := pol.DefInt("maxMartingaleCount", 3, core.PNorm(1, 5))
+	martingaleMultiplier := pol.Def("martingaleMultiplier", 2.0, core.PNorm(1.5, 3.0))
+
+	// 计算慢线周期
+	slowLength := int(float64(fastLength) * maRate)
+	signalSmoothing := 9
+
+	// 止盈止损比例
+	longTakeProfit := 1.015 // 多头止盈1.5%
+	longStopLoss := 0.99    // 多头止损1%
+	shortTakeProfit := 1.01 // 空头止盈1%
+	shortStopLoss := 0.99   // 空头止损1%
+
+	return &strat.TradeStrat{
+		WarmupNum:     slowLength + signalSmoothing, // 确保有足够的数据计算MACD
+		HedgeOff:      true,                         // 单向持仓模式
+		RunTimeFrames: []string{"3d"},
+		OnStartUp: func(s *strat.StratJob) {
+			// 初始化马丁格尔状态
+			s.More = &MartingaleState{
+				ContractSize:    0.02,
+				MartingaleCount: 0,
+				LastTradeResult: 0,
+			}
+		},
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			state, _ := s.More.(*MartingaleState)
+
+			// 计算MACD指标
+			macdLine, signalLine := ta.MACD(e.Close, fastLength, slowLength, signalSmoothing)
+
+			// 检测MACD交叉信号（只计算一次）
+			macdCross := macdLine.Cross(signalLine)
+			longCondition := macdCross == 1   // 上穿
+			shortCondition := macdCross == -1 // 下穿
+
+			// 获取当前价格
+			currentPrice := e.Close.Get(0)
+			if math.IsNaN(currentPrice) {
+				return
+			}
+
+			// 多头信号
+			if longCondition && s.Position(1, "") == 0 {
+				// 计算止盈止损价格
+				takeProfitPrice := currentPrice * longTakeProfit
+				stopLossPrice := currentPrice * longStopLoss
+				takeProfitVal := takeProfitPrice - currentPrice
+				stopLossVal := currentPrice - stopLossPrice
+
+				// 开多单
+				s.OpenOrder(&strat.EnterReq{
+					Tag:           "Long",
+					OrderType:     core.OrderTypeMarket,
+					Short:         false,
+					TakeProfitVal: takeProfitVal,
+					StopLossVal:   stopLossVal,
+					TakeProfitTag: "long_take_profit",
+					StopLossTag:   "long_stop_loss",
+					CostRate:      state.ContractSize / 0.02, // 根据合约数量调整开仓金额
+				})
+
+				// 记录当前交易结果
+				state.LastTradeResult = 0
+			}
+
+			// 空头信号
+			if shortCondition && s.Position(-1, "") == 0 {
+				// 计算止盈止损价格
+				takeProfitPrice := currentPrice / shortTakeProfit
+				stopLossPrice := currentPrice / shortStopLoss
+				takeProfitVal := currentPrice - takeProfitPrice
+				stopLossVal := stopLossPrice - currentPrice
+
+				// 开空单
+				s.OpenOrder(&strat.EnterReq{
+					Tag:           "Short",
+					OrderType:     core.OrderTypeMarket,
+					Short:         true,
+					TakeProfitVal: takeProfitVal,
+					StopLossVal:   stopLossVal,
+					TakeProfitTag: "short_take_profit",
+					StopLossTag:   "short_stop_loss",
+					CostRate:      state.ContractSize / 0.02, // 根据合约数量调整开仓金额
+				})
+
+				// 记录当前交易结果
+				state.LastTradeResult = 0
+			}
+		},
+		OnOrderChange: func(s *strat.StratJob, od *ormo.InOutOrder, chgType int) {
+			state, _ := s.More.(*MartingaleState)
+
+			// 当订单完全平仓时更新马丁格尔状态
+			if chgType == strat.OdChgExitFill && od.Status == ormo.InOutStatusFullExit {
+				// 获取当前交易结果
+				currentProfit := od.ProfitRate
+
+				if currentProfit < state.LastTradeResult {
+					// 上次交易亏损
+					if state.MartingaleCount < maxMartingaleCount {
+						// 增加马丁格尔计数并加倍合约数量
+						state.ContractSize *= martingaleMultiplier
+						state.MartingaleCount++
+					} else {
+						// 达到最大马丁格尔次数，重置
+						state.ContractSize = 0.02
+						state.MartingaleCount = 0
+					}
+				} else {
+					// 盈利或持平，重置马丁格尔状态
+					state.ContractSize = 0.02
+					state.MartingaleCount = 0
+				}
+
+				// 更新交易结果
+				state.LastTradeResult = currentProfit
+			}
+		},
+	}
+}