init

llmjob/7050.go

@@ -0,0 +1,96 @@
+package llmjob
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/strat"
+)
+
+type NinjaState struct {
+	longEntryBar  int64
+	shortEntryBar int64
+}
+
+func J7050(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	lookbackPeriods := pol.DefInt("lookbackPeriods", 4, core.PUniform(2, 8))
+	entryOffsetRatio := pol.Def("entryOffsetRatio", 0.85, core.PUniform(0.2, 0.9))
+	barsToHold := pol.DefInt("barsToHold", 0, core.PUniform(0, 5))
+	return &strat.TradeStrat{
+		WarmupNum:  lookbackPeriods + 1,
+		HedgeOff:   true,
+		TimeFrames: "4h",
+		OnStartUp: func(s *strat.StratJob) {
+			s.More = &NinjaState{
+				longEntryBar:  -1,
+				shortEntryBar: -1,
+			}
+		},
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			state := s.More.(*NinjaState)
+			currentBar := e.TimeStop / e.TFMSecs
+
+			// 修复：在K线开始时，首先检查是否需要平掉上一根K线建的仓位（对应原始策略中的 K 线收盘平仓）
+			if barsToHold == 0 && s.OrderNum > 0 {
+				s.CloseOrders(&strat.ExitReq{Tag: "close_at_bar_close"})
+			}
+
+			// 获取历史K线数据
+			low1 := e.Low.Get(1)
+			low2 := e.Low.Get(2)
+			low3 := e.Low.Get(3)
+			high1 := e.High.Get(1)
+			high2 := e.High.Get(2)
+			high3 := e.High.Get(3)
+			c := e.Close.Get(0)
+
+			// 优化：缓存重复计算
+			range1 := high1 - low1
+
+			// 计算做多条件：连续3根K线最低价递减且当前收盘价 <= low[1]
+			longCondition := low1 > low2 && low2 > low3 && c <= low1
+			if longCondition && len(s.LongOrders) == 0 {
+				// 计算止损触发价：low[1] + (high[1]-low[1]) * entryOffsetRatio
+				stopPrice := low1 + range1*entryOffsetRatio
+				s.OpenOrder(&strat.EnterReq{
+					Tag:  "BarUp",
+					Stop: stopPrice,
+				})
+				state.longEntryBar = currentBar
+			}
+
+			// 计算做空条件：连续3根K线最高价递增且当前收盘价 >= high[1]
+			shortCondition := high1 < high2 && high2 < high3 && c >= high1
+			if shortCondition && len(s.ShortOrders) == 0 {
+				// 计算止损触发价：high[1] - (high[1]-low[1]) * entryOffsetRatio
+				stopPrice := high1 - range1*entryOffsetRatio
+				s.OpenOrder(&strat.EnterReq{
+					Tag:   "BarDown",
+					Short: true,
+					Stop:  stopPrice,
+				})
+				state.shortEntryBar = currentBar
+			}
+
+			// 平仓逻辑：达到持仓K线数限制 (当 barsToHold > 0 时的增强逻辑)
+			if barsToHold > 0 {
+				if len(s.LongOrders) > 0 && state.longEntryBar >= 0 &&
+					currentBar-state.longEntryBar >= int64(barsToHold) {
+					s.CloseOrders(&strat.ExitReq{Tag: "close_long", Dirt: core.OdDirtLong})
+				}
+				if len(s.ShortOrders) > 0 && state.shortEntryBar >= 0 &&
+					currentBar-state.shortEntryBar >= int64(barsToHold) {
+					s.CloseOrders(&strat.ExitReq{Tag: "close_short", Dirt: core.OdDirtShort})
+				}
+			}
+
+			// 清理已平仓的记录
+			if len(s.LongOrders) == 0 {
+				state.longEntryBar = -1
+			}
+			if len(s.ShortOrders) == 0 {
+				state.shortEntryBar = -1
+			}
+		},
+	}
+}