init

llmjob/7046.go

@@ -0,0 +1,131 @@
+package llmjob
+
+import (
+	"math"
+
+	"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"
+)
+
+func J7046(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	// 定义可调超参数
+	smaPeriod := pol.DefInt("smaPeriod", 22, core.PNorm(10, 50))
+	mult := pol.Def("mult", 1.0, core.PNorm(0.8, 3.0))
+	trailingLossPct := pol.Def("trailingLossPct", 0.075, core.PNorm(0.03, 0.15))
+	trailingPointsPct := pol.Def("trailingPointsPct", 0.05, core.PNorm(0.01, 0.10))
+	trailingOffsetPct := pol.Def("trailingOffsetPct", 0.005, core.PNorm(0.001, 0.02))
+
+	return &strat.TradeStrat{
+		Name:         "Bollinger Band Breakout",
+		WarmupNum:    smaPeriod + 10, // 预热K线数量
+		HedgeOff:     true,           // 单向持仓模式
+		EachMaxLong:  1,              // 最多1个多单
+		EachMaxShort: 1,              // 最多1个空单
+		TimeFrames:   "8h",
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			closePrice := e.Close.Get(0)
+
+			// 检查数据有效性
+			if math.IsNaN(closePrice) {
+				return
+			}
+
+			// 计算布林带指标
+			upper, _, lower := ta.BBANDS(e.Close, smaPeriod, mult, mult)
+
+			// 检测突破信号
+			longSignal := e.Close.Cross(upper)  // 上穿上轨，返回1表示上穿
+			shortSignal := e.Close.Cross(lower) // 下穿下轨，返回-1表示下穿
+
+			// 多头入场逻辑
+			if longSignal == 1 && len(s.LongOrders) == 0 {
+				s.OpenOrder(&strat.EnterReq{
+					Tag:       "long",
+					Short:     false,
+					OrderType: core.OrderTypeMarket,
+				})
+			}
+
+			// 空头入场逻辑
+			if shortSignal == -1 && len(s.ShortOrders) == 0 {
+				s.OpenOrder(&strat.EnterReq{
+					Tag:       "short",
+					Short:     true,
+					OrderType: core.OrderTypeMarket,
+				})
+			}
+
+			// 更新追踪止损
+			updateTrailingStop(s, closePrice, trailingLossPct, trailingPointsPct, trailingOffsetPct)
+		},
+	}
+}
+
+// 更新追踪止损的辅助函数
+func updateTrailingStop(s *strat.StratJob, closePrice, lossPct, pointsPct, offsetPct float64) {
+	// 处理多头仓位的追踪止损
+	for _, order := range s.LongOrders {
+		if order.Status >= 2 { // 已入场
+			entryPrice := order.Enter.Average
+			maxLossPrice := entryPrice * (1 - lossPct)      // 最大损失价格
+			activationPrice := entryPrice * (1 + pointsPct) // 激活追踪的价格
+
+			// 获取当前止损信息
+			currentStop := order.GetStopLoss()
+
+			var newStopPrice float64
+
+			// 判断是否已激活追踪止损
+			if closePrice >= activationPrice {
+				// 已激活，使用偏移量计算止损
+				newStopPrice = closePrice * (1 - offsetPct)
+			} else {
+				// 未激活，使用最大损失作为止损
+				newStopPrice = maxLossPrice
+			}
+
+			// 只有当新止损价格更优（更高）时才更新
+			if currentStop == nil || newStopPrice > currentStop.Price {
+				order.SetStopLoss(&ormo.ExitTrigger{
+					Price: newStopPrice,
+					Tag:   "trailing_stop",
+				})
+			}
+		}
+	}
+
+	// 处理空头仓位的追踪止损
+	for _, order := range s.ShortOrders {
+		if order.Status >= 2 { // 已入场
+			entryPrice := order.Enter.Average
+			maxLossPrice := entryPrice * (1 + lossPct)      // 最大损失价格
+			activationPrice := entryPrice * (1 - pointsPct) // 激活追踪的价格
+
+			// 获取当前止损信息
+			currentStop := order.GetStopLoss()
+
+			var newStopPrice float64
+
+			// 判断是否已激活追踪止损
+			if closePrice <= activationPrice {
+				// 已激活，使用偏移量计算止损
+				newStopPrice = closePrice * (1 + offsetPct)
+			} else {
+				// 未激活，使用最大损失作为止损
+				newStopPrice = maxLossPrice
+			}
+
+			// 只有当新止损价格更优（更低）时才更新
+			if currentStop == nil || newStopPrice < currentStop.Price {
+				order.SetStopLoss(&ormo.ExitTrigger{
+					Price: newStopPrice,
+					Tag:   "trailing_stop",
+				})
+			}
+		}
+	}
+}