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299
llmjob/656.go
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299
llmjob/656.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/strat"
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ta "github.com/banbox/banta"
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"math"
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)
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func J656(pol *config.RunPolicyConfig) *strat.TradeStrat {
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shortPeriod := pol.DefInt("shortPeriod", 50, core.PNorm(10, 100))
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maRate := pol.Def("maRate", 2.2, core.PNorm(1.5, 4.0))
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smoothMethod := pol.DefInt("smoothMethod", 1, core.PUniform(1, 4))
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useCurrentRes := pol.DefInt("useCurrentRes", 1, core.PUniform(0, 1))
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priceSource := pol.DefInt("priceSource", 0, core.PUniform(0, 7)) // 0=close, 1=high, 2=low, 3=open, 4=hl2, 5=hlc3, 6=hlcc4, 7=ohlc4
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// 计算长期均线周期
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longPeriod := int(float64(shortPeriod) * maRate)
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// 确定预热数量，取长期均线周期的两倍以确保足够数据
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warmupNum := longPeriod * 2
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return &strat.TradeStrat{
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WarmupNum: warmupNum,
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HedgeOff: true, // 单向持仓模式
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RunTimeFrames: []string{"1h"},
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OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
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// 如果不使用当前时间框架，则需要添加额外的时间框架数据
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if useCurrentRes == 0 {
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// 使用周线作为额外时间框架，可根据需要调整
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return []*strat.PairSub{{Pair: "_cur_", TimeFrame: "W", WarmupNum: warmupNum}}
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}
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return nil
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},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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// 获取价格数据，根据用户选择的价格源
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var price *ta.Series
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switch priceSource {
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case 0: // close
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price = e.Close
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case 1: // high
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price = e.High
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case 2: // low
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price = e.Low
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case 3: // open
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price = e.Open
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case 4: // hl2
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price = ta.HL2(e.High, e.Low)
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case 5: // hlc3
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price = ta.HLC3(e.High, e.Low, e.Close)
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case 6: // hlcc4
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// 使用基本运算实现 hlcc4 = (high + low + close + close) / 4
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price = e.High.Add(e.Low).Add(e.Close).Add(e.Close).Div(4)
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case 7: // ohlc4
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// 使用基本运算实现 ohlc4 = (open + high + low + close) / 4
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price = e.Open.Add(e.High).Add(e.Low).Add(e.Close).Div(4)
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default:
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price = e.Close
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}
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// 如果不使用当前时间框架，则从More中获取其他时间框架的数据
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if useCurrentRes == 0 {
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// 从More中获取其他时间框架的价格数据和移动平均线
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if s.More == nil {
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return
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}
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moreData, ok := s.More.(map[string]interface{})
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if !ok {
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return
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}
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if mtData, ok := moreData["W"]; ok {
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if mtPrice, ok := mtData.(*ta.Series); ok {
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price = mtPrice
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}
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if mtMA, ok := mtData.(map[string]interface{})["ma"]; ok {
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if maData, ok := mtMA.(map[string]*ta.Series); ok {
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if shortMA, ok := maData["short"]; ok {
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if longMA, ok := maData["long"]; ok {
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// 获取当前和前一个值
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shortMA0 := shortMA.Get(0)
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shortMA1 := shortMA.Get(1)
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longMA0 := longMA.Get(0)
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longMA1 := longMA.Get(1)
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close0 := e.Close.Get(0)
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close1 := e.Close.Get(1)
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// 检查数据有效性
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if math.IsNaN(shortMA0) || math.IsNaN(shortMA1) || math.IsNaN(longMA0) || math.IsNaN(longMA1) ||
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math.IsNaN(close0) || math.IsNaN(close1) {
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return
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}
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// 计算均线交叉信号
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crossUp := shortMA1 <= longMA1 && shortMA0 > longMA0
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crossDown := shortMA1 >= longMA1 && shortMA0 < longMA0
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// 计算价格趋势
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priceUp := close0 > close1
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priceDown := close0 < close1
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// 生成交易信号
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buySignal := crossUp && priceUp
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sellSignal := crossDown && priceDown
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// 执行交易
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if buySignal {
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// 如果没有多头持仓，则开多单
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if len(s.LongOrders) == 0 {
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s.OpenOrder(&strat.EnterReq{
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Tag: "Enter Long",
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})
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}
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// 如果有空头持仓，则平空单
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if len(s.ShortOrders) > 0 {
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s.CloseOrders(&strat.ExitReq{
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Tag: "Close Short",
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Dirt: core.OdDirtShort,
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})
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}
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} else if sellSignal {
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// 如果没有空头持仓，则开空单
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if len(s.ShortOrders) == 0 {
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s.OpenOrder(&strat.EnterReq{
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Tag: "Enter Short",
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Short: true,
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})
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}
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// 如果有多头持仓，则平多单
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if len(s.LongOrders) > 0 {
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s.CloseOrders(&strat.ExitReq{
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Tag: "Close Long",
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Dirt: core.OdDirtLong,
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})
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}
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}
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return
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}
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}
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}
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}
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}
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return
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}
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// 确保有足够的数据
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if price.Len() < longPeriod {
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return
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}
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// 根据选择的计算方法计算短期和长期移动平均线
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var shortMA, longMA *ta.Series
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switch smoothMethod {
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case 1: // SMA
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shortMA = ta.SMA(price, shortPeriod)
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longMA = ta.SMA(price, longPeriod)
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case 2: // EMA
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shortMA = ta.EMA(price, shortPeriod)
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longMA = ta.EMA(price, longPeriod)
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case 3: // WMA
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shortMA = ta.WMA(price, shortPeriod)
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longMA = ta.WMA(price, longPeriod)
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case 4: // 线性回归
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shortMA = ta.LinReg(price, shortPeriod)
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longMA = ta.LinReg(price, longPeriod)
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default:
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shortMA = ta.EMA(price, shortPeriod)
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longMA = ta.EMA(price, longPeriod)
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}
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// 获取当前和前一个值
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shortMA0 := shortMA.Get(0)
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shortMA1 := shortMA.Get(1)
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longMA0 := longMA.Get(0)
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longMA1 := longMA.Get(1)
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close0 := e.Close.Get(0)
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close1 := e.Close.Get(1)
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// 检查数据有效性
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if math.IsNaN(shortMA0) || math.IsNaN(shortMA1) || math.IsNaN(longMA0) || math.IsNaN(longMA1) ||
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math.IsNaN(close0) || math.IsNaN(close1) {
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return
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}
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// 计算均线交叉信号
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crossUp := shortMA1 <= longMA1 && shortMA0 > longMA0
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crossDown := shortMA1 >= longMA1 && shortMA0 < longMA0
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// 计算价格趋势
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priceUp := close0 > close1
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priceDown := close0 < close1
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// 生成交易信号
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buySignal := crossUp && priceUp
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sellSignal := crossDown && priceDown
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// 执行交易
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if buySignal {
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// 如果没有多头持仓，则开多单
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if len(s.LongOrders) == 0 {
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s.OpenOrder(&strat.EnterReq{
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Tag: "Enter Long",
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})
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}
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// 如果有空头持仓，则平空单
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if len(s.ShortOrders) > 0 {
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s.CloseOrders(&strat.ExitReq{
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Tag: "Close Short",
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Dirt: core.OdDirtShort,
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})
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}
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} else if sellSignal {
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// 如果没有空头持仓，则开空单
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if len(s.ShortOrders) == 0 {
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s.OpenOrder(&strat.EnterReq{
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Tag: "Enter Short",
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Short: true,
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})
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}
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// 如果有多头持仓，则平多单
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if len(s.LongOrders) > 0 {
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s.CloseOrders(&strat.ExitReq{
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Tag: "Close Long",
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Dirt: core.OdDirtLong,
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})
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}
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}
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},
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OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
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// 处理其他时间框架的数据
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if useCurrentRes == 0 && tf == "W" {
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// 根据用户选择的价格源获取价格数据
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var price *ta.Series
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switch priceSource {
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case 0: // close
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price = e.Close
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case 1: // high
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price = e.High
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case 2: // low
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price = e.Low
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case 3: // open
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price = e.Open
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case 4: // hl2
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price = ta.HL2(e.High, e.Low)
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case 5: // hlc3
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price = ta.HLC3(e.High, e.Low, e.Close)
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case 6: // hlcc4
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// 使用基本运算实现 hlcc4 = (high + low + close + close) / 4
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price = e.High.Add(e.Low).Add(e.Close).Add(e.Close).Div(4)
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case 7: // ohlc4
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// 使用基本运算实现 ohlc4 = (open + high + low + close) / 4
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price = e.Open.Add(e.High).Add(e.Low).Add(e.Close).Div(4)
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default:
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price = e.Close
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}
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// 计算移动平均线
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var shortMA, longMA *ta.Series
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switch smoothMethod {
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case 1: // SMA
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shortMA = ta.SMA(price, shortPeriod)
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longMA = ta.SMA(price, longPeriod)
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case 2: // EMA
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shortMA = ta.EMA(price, shortPeriod)
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longMA = ta.EMA(price, longPeriod)
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case 3: // WMA
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shortMA = ta.WMA(price, shortPeriod)
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longMA = ta.WMA(price, longPeriod)
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case 4: // 线性回归
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shortMA = ta.LinReg(price, shortPeriod)
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longMA = ta.LinReg(price, longPeriod)
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default:
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shortMA = ta.EMA(price, shortPeriod)
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longMA = ta.EMA(price, longPeriod)
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}
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// 存储计算结果到s.More中
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if s.More == nil {
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s.More = make(map[string]interface{})
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}
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moreData, ok := s.More.(map[string]interface{})
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if !ok {
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s.More = make(map[string]interface{})
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moreData = s.More.(map[string]interface{})
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}
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moreData["W"] = map[string]interface{}{
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"price": price,
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"ma": map[string]*ta.Series{
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"short": shortMA,
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"long": longMA,
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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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