init
This commit is contained in:
624
llmjob/7699.go
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624
llmjob/7699.go
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@@ -0,0 +1,624 @@
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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/orm/ormo"
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"github.com/banbox/banbot/strat"
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ta "github.com/banbox/banta"
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)
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type HullBusterState struct {
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// 交易状态
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entryPrice float64
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stopPrice float64
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lastLevel float64
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maeLevel float64
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pyramidCount int
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pyramidWaveID int
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entryTrendDir int
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consecLosses int
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// 交叉跟踪
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riseALCrossPrice float64
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riseALNetChg float64
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fallALCrossPrice float64
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fallALNetChg float64
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riseALBarsSince int
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fallALBarsSince int
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// EMA交叉跟踪
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riseEMCrossPrice float64
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riseEMNetChg float64
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fallEMCrossPrice float64
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fallEMNetChg float64
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riseEMBarsSince int
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fallEMBarsSince int
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// ZScore跟踪
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riseZSSince int
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fallZSSince int
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riseZSCount int
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fallZSCount int
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riseZSHigh float64
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fallZSLow float64
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aboveZSSince int
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belowZSSince int
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aboveZSCount int
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belowZSCount int
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// 事件状态
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htfEventHigh float64
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htfEventLow float64
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lastHTFEvent int
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impulseWaveDir int
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impulseWaveID int
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// 状态标志
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nascentEntry bool
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hemiTransit bool
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feeRise bool
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feeFall bool
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pullback bool
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}
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func J7699(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 可调参数定义
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fastCrossLen := pol.DefInt("fastCrossLen", 9, core.PNorm(5, 20))
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smaCrossRate := pol.Def("smaCrossRate", 2.6, core.PNorm(1.5, 5.0))
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trendDEMALen := pol.DefInt("trendDEMALen", 200, core.PNorm(50, 300))
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fastAlmaLen := pol.DefInt("fastAlmaLen", 10, core.PNorm(5, 30))
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almaLinregRate := pol.Def("almaLinregRate", 3.0, core.PNorm(2.0, 7.0))
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// 固定参数
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slowCrossLen := int(float64(fastCrossLen) * smaCrossRate)
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slowLinRegLen := int(float64(fastAlmaLen) * almaLinregRate)
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fastLinRegLen := 30
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fastEMALen := 8
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stochastLen := 14
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minProfit := 0.50
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stopOffset := 0.50
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maxAddOns := 0
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pyramidSpan := 0.0
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tickScaler := 10.0
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chgDivisor := 1000.0
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// 计算所需预热长度
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warmupNum := fastCrossLen
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if slowCrossLen > warmupNum {
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warmupNum = slowCrossLen
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}
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if trendDEMALen > warmupNum {
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warmupNum = trendDEMALen
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}
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if fastAlmaLen > warmupNum {
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warmupNum = fastAlmaLen
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}
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if slowLinRegLen > warmupNum {
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warmupNum = slowLinRegLen
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}
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if fastLinRegLen > warmupNum {
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warmupNum = fastLinRegLen
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}
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if fastEMALen > warmupNum {
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warmupNum = fastEMALen
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}
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if stochastLen > warmupNum {
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warmupNum = stochastLen
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}
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warmupNum += 100 // 为ZScore等计算预留空间
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return &strat.TradeStrat{
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WarmupNum: warmupNum,
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HedgeOff: true, // 单向持仓
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TimeFrames: "8h",
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OnStartUp: func(s *strat.StratJob) {
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s.More = &HullBusterState{}
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},
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OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
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// 需要两个高时间框架：信号周期和趋势周期
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return []*strat.PairSub{
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{"_cur_", "1h", warmupNum}, // 信号周期
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{"_cur_", "4h", warmupNum}, // 趋势周期
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}
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},
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OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair string, tf string) {
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// 处理高时间框架数据
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if tf == "1h" {
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// 将1h数据存储到环境中
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s.Env.Data.Store("_cur_1h", e)
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} else if tf == "4h" {
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// 将4h数据存储到环境中
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s.Env.Data.Store("_cur_4h", e)
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}
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},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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state, _ := s.More.(*HullBusterState)
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// 当前周期指标计算
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fastCross := ta.SMA(e.Close, fastCrossLen)
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slowCross := ta.SMA(e.Close, slowCrossLen)
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fastEMA := ta.EMA(e.Close, fastEMALen)
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// 使用Stochastic指标而非KDJ
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fastK := Stochastic(e.High, e.Low, e.Close, stochastLen)
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slowD := ta.SMA(fastK, 3)
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// 交叉信号 - 只计算一次
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crossValue := fastCross.Cross(slowCross)
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crossRise := crossValue == 1
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crossFall := crossValue == -1
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// 从高时间框架获取数据
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htfSignalData, _ := s.Env.Data.Load("_cur_1h")
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htfTrendData, _ := s.Env.Data.Load("_cur_4h")
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if htfSignalData == nil || htfTrendData == nil {
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return
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}
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signalEnv := htfSignalData.(*ta.BarEnv)
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trendEnv := htfTrendData.(*ta.BarEnv)
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// HTF指标
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slowLinReg := ta.LinReg(trendEnv.Close, slowLinRegLen)
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fastLinReg := ta.LinReg(signalEnv.Close, fastLinRegLen)
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fastAlma := ta.ALMA(signalEnv.Close, fastAlmaLen, 6.0, 0.85)
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trendDEMA := DEMA(trendEnv.Close, trendDEMALen)
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// ZScore计算
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almaMean := ta.SMA(fastAlma, 100)
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almaMarks := fastAlma.Sub(almaMean)
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almaStdDev := ta.StdDev(almaMarks, 100)
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zScore := almaMarks.Div(almaStdDev)
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// HTF Stochastic
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htfFastK := Stochastic(trendEnv.High, trendEnv.Low, trendEnv.Close, stochastLen)
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htfDLine := ta.SMA(htfFastK, 3)
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htfSlowD := ta.SMA(htfDLine, 3)
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// 信号条件 - 使用Get(1)获取前一根K线值以对齐HTF数据
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closePrice := e.Close.Get(0)
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trendDEMAVal := trendDEMA.Get(1)
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fastAlmaVal := fastAlma.Get(1)
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fastLinRegVal := fastLinReg.Get(1)
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slowLinRegVal := slowLinReg.Get(1)
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zScoreVal := zScore.Get(1)
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// 趋势信号
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htfSignalRise := fastAlmaVal > fastLinRegVal
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htfSignalFall := fastAlmaVal < fastLinRegVal
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htfFastAboveTrend := fastAlmaVal > trendDEMAVal && fastLinRegVal > trendDEMAVal
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htfFastBelowTrend := fastAlmaVal < trendDEMAVal && fastLinRegVal < trendDEMAVal
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// 计算ALMA事件
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updateALEvents(state, fastAlmaVal, fastLinRegVal, closePrice, tickScaler, chgDivisor)
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// 计算EMA事件
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fastEMAVal := fastEMA.Get(0)
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updateEMEvents(state, fastEMAVal, fastAlmaVal, closePrice, tickScaler, chgDivisor)
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// 更新ZScore状态
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updateZScoreState(state, zScoreVal, closePrice)
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// 更新脉冲波方向
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waveDirNow := 0
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if fastLinRegVal > slowLinRegVal {
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waveDirNow = 1
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} else if fastLinRegVal < slowLinRegVal {
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waveDirNow = -1
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}
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if waveDirNow != state.impulseWaveDir {
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state.impulseWaveDir = waveDirNow
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state.impulseWaveID++
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}
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// 计算事件
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riseALEvent := checkRiseEvent(state, 10.0, 0.1)
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fallALEvent := checkFallEvent(state, 10.0, 0.1)
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riseEMEvent := checkRiseEMEvent(state, 3.0, 0.8)
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fallEMEvent := checkFallEMEvent(state, 4.0, 0.8)
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// Stochastic事件
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fullFanCone := fastEMAVal > fastAlmaVal && fastAlmaVal > fastLinRegVal && fastLinRegVal > slowLinRegVal
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downFanCone := fastEMAVal < fastAlmaVal && fastAlmaVal < fastLinRegVal && fastLinRegVal < slowLinRegVal
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partialTrendRise := fastEMAVal > fastAlmaVal && fastAlmaVal > slowLinRegVal && fastLinRegVal > slowLinRegVal
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partialTrendFall := fastEMAVal < fastAlmaVal && fastAlmaVal < slowLinRegVal && fastLinRegVal < slowLinRegVal
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durableTrendRise := partialTrendRise && slowLinRegVal > trendDEMAVal
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durableTrendFall := partialTrendFall && slowLinRegVal < trendDEMAVal
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riseStochas := (htfDLine.Get(1) > 80 && fullFanCone) ||
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(htfSlowD.Get(1) > 90 && durableTrendRise) ||
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(htfDLine.Get(1) > 90 && partialTrendRise && state.htfEventHigh > 0 && closePrice > state.htfEventHigh)
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fallStochas := (htfDLine.Get(1) < 20 && downFanCone) ||
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(htfSlowD.Get(1) < 10 && durableTrendFall) ||
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(htfDLine.Get(1) < 10 && partialTrendFall && state.htfEventLow > 0 && closePrice < state.htfEventLow)
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// 更新HTF事件高低点
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if riseALEvent {
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state.htfEventHigh = closePrice
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state.lastHTFEvent = 1
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}
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if fallALEvent {
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state.htfEventLow = closePrice
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state.lastHTFEvent = -1
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}
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// Nascent Entry条件
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htfNascentRise := fastAlmaVal > slowLinRegVal && fastLinRegVal > slowLinRegVal && slowLinRegVal < trendDEMAVal
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htfNascentFall := fastAlmaVal < slowLinRegVal && fastLinRegVal < slowLinRegVal && slowLinRegVal > trendDEMAVal
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// 检查是否有持仓
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positionDir := 0
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if len(s.LongOrders) > 0 {
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positionDir = 1
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} else if len(s.ShortOrders) > 0 {
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positionDir = -1
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}
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alreadyIn := positionDir != 0
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// 计算盈利状态
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var currentOrder *ormo.InOutOrder
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if len(s.LongOrders) > 0 {
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currentOrder = s.LongOrders[0]
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} else if len(s.ShortOrders) > 0 {
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currentOrder = s.ShortOrders[0]
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}
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profitable := false
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if currentOrder != nil {
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profitAmount := currentOrder.ProfitRate * currentOrder.Leverage * state.entryPrice
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profitable = profitAmount >= minProfit
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}
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// 更新ZScore退出条件
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if alreadyIn {
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if zScoreVal > 5.0 {
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state.feeRise = true
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}
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if zScoreVal < -5.0 {
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state.feeFall = true
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}
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}
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// 入场逻辑（包含Nascent Entry）
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if !alreadyIn {
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if crossRise {
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longNascent := false
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if closePrice <= trendDEMAVal && htfNascentRise {
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longNascent = true
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state.nascentEntry = true
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}
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if closePrice > trendDEMAVal || longNascent {
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stopPrice := e.Low.Get(0) - stopOffset
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s.OpenOrder(&strat.EnterReq{
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Tag: "WBHDrive-L",
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Short: false,
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StopLoss: stopPrice,
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StopLossTag: "stop_loss",
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})
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state.entryPrice = closePrice
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state.stopPrice = stopPrice
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state.lastLevel = closePrice
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state.entryTrendDir = 1
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if !longNascent {
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state.nascentEntry = false
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}
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}
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} else if crossFall {
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shortNascent := false
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if closePrice >= trendDEMAVal && htfNascentFall {
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shortNascent = true
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state.nascentEntry = true
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}
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if closePrice < trendDEMAVal || shortNascent {
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stopPrice := e.High.Get(0) + stopOffset
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s.OpenOrder(&strat.EnterReq{
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Tag: "WBHDrive-S",
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Short: true,
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StopLoss: stopPrice,
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StopLossTag: "stop_loss",
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})
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state.entryPrice = closePrice
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state.stopPrice = stopPrice
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state.lastLevel = closePrice
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state.entryTrendDir = -1
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if !shortNascent {
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state.nascentEntry = false
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}
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}
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}
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}
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// 出场逻辑
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if alreadyIn && profitable {
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shouldClose := false
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if positionDir == 1 { // 多头
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// 交叉退出
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if htfSignalFall {
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shouldClose = true
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}
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// 信号退出
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if htfSignalRise && riseALEvent && state.feeRise {
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shouldClose = true
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}
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// 事件退出
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if riseEMEvent && fastEMAVal > fastAlmaVal && htfFastAboveTrend {
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shouldClose = true
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}
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// Stochastic退出
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if riseStochas {
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shouldClose = true
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}
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} else if positionDir == -1 { // 空头
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// 交叉退出
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if htfSignalRise {
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shouldClose = true
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}
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// 信号退出
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if htfSignalFall && fallALEvent && state.feeFall {
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shouldClose = true
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}
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// 事件退出
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if fallEMEvent && fastEMAVal < fastAlmaVal && htfFastBelowTrend {
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shouldClose = true
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}
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// Stochastic退出
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if fallStochas {
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shouldClose = true
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}
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}
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if shouldClose {
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if positionDir == 1 {
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s.CloseOrders(&strat.ExitReq{
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Tag: "exit_long",
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Dirt: core.OdDirtLong,
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})
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} else {
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s.CloseOrders(&strat.ExitReq{
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Tag: "exit_short",
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Dirt: core.OdDirtShort,
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})
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}
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// 重置状态
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if profitable {
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state.consecLosses = 0
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} else {
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state.consecLosses++
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}
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state.entryPrice = 0
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state.stopPrice = 0
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state.lastLevel = 0
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state.pyramidCount = 0
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state.feeRise = false
|
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state.feeFall = false
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}
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}
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// 完整的金字塔加仓逻辑
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if alreadyIn && maxAddOns > 0 && state.consecLosses < maxAddOns {
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// 检测pullback条件
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if positionDir == 1 && slowD.Get(0) < 20 {
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if fallALEvent || fallStochas {
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state.pullback = true
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}
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} else if positionDir == -1 && slowD.Get(0) > 80 {
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if riseALEvent || riseStochas {
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state.pullback = true
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}
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}
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shouldPyramid := false
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if positionDir == 1 {
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// 完整的多头金字塔逻辑
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exceedingSpan := pyramidSpan > 0 && (state.lastLevel-closePrice) > pyramidSpan
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if (crossRise && closePrice > trendDEMAVal && htfFastAboveTrend && closePrice > state.lastLevel && state.pullback) ||
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(closePrice < state.lastLevel && exceedingSpan && closePrice > state.entryPrice && (fallALEvent || fallEMEvent || fallStochas)) ||
|
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(closePrice < state.lastLevel && exceedingSpan && closePrice < state.entryPrice && fallALEvent && fallStochas && state.impulseWaveID > state.pyramidWaveID) {
|
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shouldPyramid = true
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}
|
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} else if positionDir == -1 {
|
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// 完整的空头金字塔逻辑
|
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exceedingSpan := pyramidSpan > 0 && (closePrice-state.lastLevel) > pyramidSpan
|
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if (crossFall && closePrice < trendDEMAVal && htfFastBelowTrend && closePrice < state.lastLevel && state.pullback) ||
|
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(closePrice > state.lastLevel && exceedingSpan && closePrice < state.entryPrice && (riseALEvent || riseEMEvent || riseStochas)) ||
|
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(closePrice > state.lastLevel && exceedingSpan && closePrice > state.entryPrice && riseALEvent && riseStochas && state.impulseWaveID > state.pyramidWaveID) {
|
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shouldPyramid = true
|
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}
|
||||
}
|
||||
|
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if shouldPyramid {
|
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if positionDir == 1 {
|
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stopPrice := e.Low.Get(0) - stopOffset
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||||
s.OpenOrder(&strat.EnterReq{
|
||||
Tag: "WBHDrive-L-Pyramid",
|
||||
Short: false,
|
||||
StopLoss: stopPrice,
|
||||
StopLossTag: "stop_loss",
|
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})
|
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} else {
|
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stopPrice := e.High.Get(0) + stopOffset
|
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s.OpenOrder(&strat.EnterReq{
|
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Tag: "WBHDrive-S-Pyramid",
|
||||
Short: true,
|
||||
StopLoss: stopPrice,
|
||||
StopLossTag: "stop_loss",
|
||||
})
|
||||
}
|
||||
state.pyramidCount++
|
||||
state.pyramidWaveID = state.impulseWaveID
|
||||
state.lastLevel = closePrice
|
||||
state.pullback = false
|
||||
}
|
||||
}
|
||||
},
|
||||
}
|
||||
}
|
||||
|
||||
// 实现与PineScript stoch()函数一致的Stochastic指标
|
||||
func Stochastic(high, low, close *ta.Series, length int) *ta.Series {
|
||||
llowest := ta.Lowest(low, length)
|
||||
hhighest := ta.Highest(high, length)
|
||||
k := close.Sub(llowest).Div(hhighest.Sub(llowest)).Mul(100)
|
||||
return k
|
||||
}
|
||||
|
||||
// 辅助函数：更新ALMA事件状态（包含tick标准化）
|
||||
func updateALEvents(state *HullBusterState, fastAlma, fastLinReg, closePrice, tickScaler, chgDivisor float64) {
|
||||
fxMinTick := tickScaler
|
||||
|
||||
if fastAlma > fastLinReg {
|
||||
if state.fallALBarsSince > 0 { // 从下跌转为上涨
|
||||
state.fallALBarsSince = 0
|
||||
state.fallALCrossPrice = 0
|
||||
state.riseALBarsSince = 1
|
||||
state.riseALCrossPrice = closePrice
|
||||
state.riseALNetChg = 0
|
||||
} else {
|
||||
state.riseALBarsSince++
|
||||
if state.riseALCrossPrice > 0 {
|
||||
divisor := chgDivisor
|
||||
if chgDivisor <= 1.0 {
|
||||
divisor = state.riseALCrossPrice
|
||||
}
|
||||
state.riseALNetChg = ((closePrice - state.riseALCrossPrice) / fxMinTick / divisor) * 100.0
|
||||
}
|
||||
}
|
||||
} else if fastAlma < fastLinReg {
|
||||
if state.riseALBarsSince > 0 { // 从上涨转为下跌
|
||||
state.riseALBarsSince = 0
|
||||
state.riseALCrossPrice = 0
|
||||
state.fallALBarsSince = 1
|
||||
state.fallALCrossPrice = closePrice
|
||||
state.fallALNetChg = 0
|
||||
} else {
|
||||
state.fallALBarsSince++
|
||||
if state.fallALCrossPrice > 0 {
|
||||
divisor := chgDivisor
|
||||
if chgDivisor <= 1.0 {
|
||||
divisor = state.fallALCrossPrice
|
||||
}
|
||||
state.fallALNetChg = ((state.fallALCrossPrice - closePrice) / fxMinTick / divisor) * 100.0
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// 辅助函数：更新EMA事件状态（包含tick标准化）
|
||||
func updateEMEvents(state *HullBusterState, fastEMA, fastAlma, closePrice, tickScaler, chgDivisor float64) {
|
||||
fxMinTick := tickScaler
|
||||
|
||||
if fastEMA > fastAlma {
|
||||
if state.fallEMBarsSince > 0 {
|
||||
state.fallEMBarsSince = 0
|
||||
state.fallEMCrossPrice = 0
|
||||
state.riseEMBarsSince = 1
|
||||
state.riseEMCrossPrice = closePrice
|
||||
state.riseEMNetChg = 0
|
||||
} else {
|
||||
state.riseEMBarsSince++
|
||||
if state.riseEMCrossPrice > 0 {
|
||||
divisor := chgDivisor
|
||||
if chgDivisor <= 1.0 {
|
||||
divisor = state.riseEMCrossPrice
|
||||
}
|
||||
state.riseEMNetChg = ((closePrice - state.riseEMCrossPrice) / fxMinTick / divisor) * 100.0
|
||||
}
|
||||
}
|
||||
} else if fastEMA < fastAlma {
|
||||
if state.riseEMBarsSince > 0 {
|
||||
state.riseEMBarsSince = 0
|
||||
state.riseEMCrossPrice = 0
|
||||
state.fallEMBarsSince = 1
|
||||
state.fallEMCrossPrice = closePrice
|
||||
state.fallEMNetChg = 0
|
||||
} else {
|
||||
state.fallEMBarsSince++
|
||||
if state.fallEMCrossPrice > 0 {
|
||||
divisor := chgDivisor
|
||||
if chgDivisor <= 1.0 {
|
||||
divisor = state.fallEMCrossPrice
|
||||
}
|
||||
state.fallEMNetChg = ((state.fallEMCrossPrice - closePrice) / fxMinTick / divisor) * 100.0
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// 辅助函数：更新ZScore状态
|
||||
func updateZScoreState(state *HullBusterState, zScore, closePrice float64) {
|
||||
state.aboveZSSince++
|
||||
state.belowZSSince++
|
||||
state.riseZSSince++
|
||||
state.fallZSSince++
|
||||
|
||||
// 简化的ZScore跟踪
|
||||
if zScore > 0 {
|
||||
if state.aboveZSSince > 0 {
|
||||
state.aboveZSSince = 0
|
||||
state.aboveZSCount = 1
|
||||
} else {
|
||||
state.aboveZSCount++
|
||||
}
|
||||
}
|
||||
|
||||
if zScore < 0 {
|
||||
if state.belowZSSince > 0 {
|
||||
state.belowZSSince = 0
|
||||
state.belowZSCount = 1
|
||||
} else {
|
||||
state.belowZSCount++
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// 辅助函数：检查上升事件
|
||||
func checkRiseEvent(state *HullBusterState, minNetChg, minROC float64) bool {
|
||||
return state.riseALBarsSince > 0 &&
|
||||
state.riseALNetChg > 0 &&
|
||||
state.riseALNetChg >= minNetChg &&
|
||||
(state.riseALNetChg/float64(state.riseALBarsSince)) >= minROC
|
||||
}
|
||||
|
||||
// 辅助函数：检查下降事件
|
||||
func checkFallEvent(state *HullBusterState, minNetChg, minROC float64) bool {
|
||||
return state.fallALBarsSince > 0 &&
|
||||
state.fallALNetChg > 0 &&
|
||||
state.fallALNetChg >= minNetChg &&
|
||||
(state.fallALNetChg/float64(state.fallALBarsSince)) >= minROC
|
||||
}
|
||||
|
||||
// 辅助函数：检查EMA上升事件
|
||||
func checkRiseEMEvent(state *HullBusterState, minNetChg, minROC float64) bool {
|
||||
return state.riseEMBarsSince > 0 &&
|
||||
state.riseEMNetChg > 0 &&
|
||||
state.riseEMNetChg >= minNetChg &&
|
||||
(state.riseEMNetChg/float64(state.riseEMBarsSince)) >= minROC
|
||||
}
|
||||
|
||||
// 辅助函数：检查EMA下降事件
|
||||
func checkFallEMEvent(state *HullBusterState, minNetChg, minROC float64) bool {
|
||||
return state.fallEMBarsSince > 0 &&
|
||||
state.fallEMNetChg > 0 &&
|
||||
state.fallEMNetChg >= minNetChg &&
|
||||
(state.fallEMNetChg/float64(state.fallEMBarsSince)) >= minROC
|
||||
}
|
||||
|
||||
// DEMA实现（双重指数移动平均）
|
||||
func DEMA(series *ta.Series, period int) *ta.Series {
|
||||
ema1 := ta.EMA(series, period)
|
||||
ema2 := ta.EMA(ema1, period)
|
||||
return ema1.Mul(2).Sub(ema2)
|
||||
}
|
||||
Reference in New Issue
Block a user