init
This commit is contained in:
214
llmjob/his/3762.go
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214
llmjob/his/3762.go
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package his
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import (
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"fmt"
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"github.com/banbox/banbot/com"
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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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"github.com/banbox/banexg"
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"github.com/banbox/banexg/log"
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"github.com/banbox/banexg/utils"
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ta "github.com/banbox/banta"
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"go.uber.org/zap"
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"math"
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)
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/*
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超跌反弹策略。30个品种为宜
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做空部分没有利润，禁用
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*/
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type State3762 struct {
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NoLongUntil int64
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NoShortUntil int64
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}
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func J3762(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义策略参数
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p := pol.DefInt("p", 20, core.PNorm(5, 50))
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d := pol.Def("d", 30.0, core.PNorm(5, 50))
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mult := pol.Def("mult", 1.5, core.PNorm(1.0, 3.0))
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slRate := pol.Def("slRate", 25, core.PNorm(0, 50))
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needlong := pol.Def("needlong", 1.0, core.PUniform(0, 1)) > 0.5
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needshort := pol.Def("needshort", 0.0, core.PUniform(0, 1)) > 0.5
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dayMS := int64(utils.TFToSecs("1d") * 1000)
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lenAtr := 20
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baseAtrLen := int(math.Round(float64(lenAtr) * 4.3))
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return &strat.TradeStrat{
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WarmupNum: baseAtrLen * 2, // 预热K线数量，确保有足够数据计算指标
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RunTimeFrames: []string{"15m"},
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OnStartUp: func(s *strat.StratJob) {
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s.More = &State3762{}
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},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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m, _ := s.More.(*State3762)
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// 计算基础布林带指标
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sma := ta.SMA(e.Close, p)
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ma7 := ta.SMA(e.Close, 7).Get(0)
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ma30 := ta.SMA(e.Close, 30).Get(0)
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multCur := mult
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if ma7 < ma30 {
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// 熊市下移下限
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multCur *= 1.35
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}
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stddev := ta.StdDev(e.Close, p).Get(0) * multCur
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upperBB := sma.Get(0) + stddev
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lowerBB := sma.Get(0) - stddev
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atr := ta.ATR(e.High, e.Low, e.Close, lenAtr)
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atrBase := ta.Lowest(ta.Highest(atr, lenAtr), baseAtrLen).Get(0)
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// 计算百分比偏离轨道
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atrRt := d
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if ma7 < ma30 {
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// 熊市下移下限
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atrRt *= 1.35
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}
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upex2 := sma.Get(0) + atrBase*atrRt
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dnex2 := sma.Get(0) - atrBase*atrRt
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// 计算最终轨道
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upexPrice := max(upperBB, (upex2+upperBB)/2)
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dnexPrice := min(lowerBB, (dnex2+lowerBB)/2)
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// 获取当前价格
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closePrice := e.Close.Get(0)
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openPrice := e.Open.Get(0)
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// 生成交易信号
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exitSignal := closePrice > openPrice // 绿色K线信号
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if math.IsNaN(upexPrice) || math.IsNaN(dnexPrice) {
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return
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}
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slRange := min(atrBase*slRate, closePrice*0.25)
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// 执行交易逻辑
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if !s.IsWarmUp {
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s.Strat.WriteOutput(fmt.Sprintf("%s upp: %.6f, low: %.6f upex2: %.6f, dnex2: %.6f upex: %.6f, dnex: %.6f slRange: %.6f",
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e.Symbol, upperBB, lowerBB, upex2, dnex2, upexPrice, dnexPrice, slRange), true)
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}
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if needlong {
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if len(s.LongOrders) == 0 {
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// 使用限价单在下轨价格做多，不依赖当前价格是否突破轨道
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if e.TimeStop >= m.NoLongUntil {
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curPrice := com.GetPrice(e.Symbol, banexg.OdSideBuy)
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if math.Abs(curPrice/closePrice-1) > 0.01 {
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log.Info("bad price from GetPrice", zap.String("pair", e.Symbol),
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zap.Float64("val", curPrice), zap.Float64("close", closePrice))
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}
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s.OpenOrder(&strat.EnterReq{
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Tag: "Long",
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Limit: dnexPrice, // 以下轨价格作为限价单
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StopLossVal: slRange,
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Log: true,
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})
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}
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} else {
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for _, od := range s.LongOrders {
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if od.Status == ormo.InOutStatusInit {
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err := od.SetEnterLimit(dnexPrice)
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if err != nil {
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log.Error("SetEnterLimit fail", zap.Error(err))
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} else {
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err = od.SetStopLoss(&ormo.ExitTrigger{
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Price: dnexPrice - slRange,
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})
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if err != nil {
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log.Error("SetStopLoss fail", zap.Error(err))
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}
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}
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} else if od.Status == ormo.InOutStatusFullEnter {
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barNum := e.BarCount(od.Enter.UpdateAt)
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if barNum > 2 && od.ProfitRate < 0 {
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// 持仓2个k线，出现亏损，平仓
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s.CloseOrders(&strat.ExitReq{
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Tag: "Exit bad Long",
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Dirt: core.OdDirtLong,
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Log: true,
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})
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m.NoLongUntil = e.TimeStop + dayMS
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}
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}
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}
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}
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}
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if needshort {
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if len(s.ShortOrders) == 0 {
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// 使用限价单在上轨价格做空，不依赖当前价格是否突破轨道
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if e.TimeStop >= m.NoShortUntil {
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s.OpenOrder(&strat.EnterReq{
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Tag: "Short",
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Short: true,
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Limit: upexPrice, // 以上轨价格作为限价单
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StopLossVal: slRange,
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Log: true,
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})
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}
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} else {
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for _, od := range s.ShortOrders {
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if od.Status == ormo.InOutStatusInit {
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err := od.SetEnterLimit(upexPrice)
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if err != nil {
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log.Error("SetEnterLimit fail", zap.Error(err))
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} else {
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err = od.SetStopLoss(&ormo.ExitTrigger{
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Price: upexPrice + slRange,
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})
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if err != nil {
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log.Error("SetStopLoss fail", zap.Error(err))
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}
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}
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} else if od.Status == ormo.InOutStatusFullEnter {
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barNum := e.BarCount(od.Enter.UpdateAt)
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if barNum > 2 && od.ProfitRate < 0 {
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// 持仓2个k线，出现亏损，平仓
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s.CloseOrders(&strat.ExitReq{
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Tag: "Exit bad short",
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Dirt: core.OdDirtShort,
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Log: true,
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})
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m.NoShortUntil = e.TimeStop + dayMS
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}
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}
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}
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}
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}
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// 平仓条件：绿色K线
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if exitSignal {
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if len(s.LongOrders) > 0 {
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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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Log: true,
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})
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}
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} else {
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if len(s.ShortOrders) > 0 {
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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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Log: true,
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})
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}
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}
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},
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OnOrderChange: func(s *strat.StratJob, od *ormo.InOutOrder, chgType int) {
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if chgType == core.OdChgExitFill && od.ExitTag == core.ExitTagStopLoss {
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m, _ := s.More.(*State3762)
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if od.Short {
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m.NoShortUntil = od.ExitAt + dayMS
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} else {
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m.NoLongUntil = od.ExitAt + dayMS
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}
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}
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},
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}
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}
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