init

llmjob/7096.go

@@ -0,0 +1,99 @@
+package llmjob
+
+import (
+	"math"
+
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/strat"
+	ta "github.com/banbox/banta"
+)
+
+// fErf 实现Horner方法的误差函数
+func fErf(x float64) float64 {
+	nT := 1.0 / (1.0 + 0.5*math.Abs(x))
+	nAns := 1.0 - nT*math.Exp(-x*x-1.26551223+
+		nT*(1.00002368+nT*(0.37409196+nT*(0.09678418+
+			nT*(-0.18628806+nT*(0.27886807+nT*(-1.13520398+
+				nT*(1.48851587+nT*(-0.82215223+nT*(0.17087277))))))))))
+	if x >= 0 {
+		return nAns
+	}
+	return -nAns
+}
+
+// fPSignal 计算P-Signal指标
+func fPSignal(series *ta.Series, period int) *ta.Series {
+	res := series.To("_psignal", period)
+	if res.Cached() {
+		return res
+	}
+
+	if series.Len() < period {
+		return res.Append(math.NaN())
+	}
+
+	nStDev := ta.StdDev(series, period)
+	nSma := ta.SMA(series, period)
+
+	stdevVal := nStDev.Get(0)
+	smaVal := nSma.Get(0)
+
+	var rawPSignal float64
+	if stdevVal > 0 {
+		rawPSignal = fErf(smaVal / (stdevVal * math.Sqrt(2)))
+	} else {
+		rawPSignal = math.Copysign(1.0, smaVal)
+	}
+
+	return res.Append(rawPSignal)
+}
+
+func J7096(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	nPoints := pol.DefInt("nPoints", 13, core.PUniform(4, 50))
+
+	return &strat.TradeStrat{
+		Name:        "P-Signal Strategy",
+		WarmupNum:   nPoints + 10, // 额外预留空间确保计算准确
+		HedgeOff:    true,         // 单向持仓模式
+		EachMaxLong: 1,            // 最多一个多头仓位
+		TimeFrames:  "8h",
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			nIntr := nPoints - 1
+
+			// 1. 计算价格变化 (ohlc4的变化量)
+			avgPrice := ta.AvgPrice(e)
+			priceChange := avgPrice.Sub(avgPrice.Back(1))
+
+			// 2. 计算P-Signal原始值
+			rawPSignal := fPSignal(priceChange, nIntr)
+
+			// 3. 计算平滑P-Signal
+			nPSignal := ta.SMA(rawPSignal, nIntr)
+
+			// 检查数据有效性
+			if nPSignal.Len() < 2 {
+				return
+			}
+
+			// 4. 计算P-Signal变化方向
+			currentPSignal := nPSignal.Get(0)
+			prevPSignal := nPSignal.Get(1)
+			ndPSignal := math.Copysign(1.0, currentPSignal-prevPSignal)
+
+			// 5. 生成交易信号
+			if currentPSignal < 0 && ndPSignal > 0 && len(s.LongOrders) == 0 {
+				// 开多条件：nPSignal < 0 and ndPSignal > 0
+				s.OpenOrder(&strat.EnterReq{
+					Tag: "long",
+				})
+			} else if currentPSignal > 0 && ndPSignal < 0 && len(s.LongOrders) > 0 {
+				// 平多条件：nPSignal > 0 and ndPSignal < 0
+				s.CloseOrders(&strat.ExitReq{
+					Tag: "close_long",
+				})
+			}
+		},
+	}
+}