init

old/breakout_v1.go

@@ -0,0 +1,75 @@
+package old
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/strat"
+	"github.com/banbox/banexg/log"
+	ta "github.com/banbox/banta"
+	"go.uber.org/zap"
+)
+
+/*
+适合4h，收益很不稳定
+*/
+
+func BreakOutV1(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	periodBig := 200
+	periodSml := 30
+	return &strat.TradeStrat{
+		Version:    1,
+		WarmupNum:  periodBig,
+		MinTfScore: 0.75,
+		//DrawDownExit: true,
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			hhBig := ta.Highest(e.Close, periodBig).Get(1)
+			//llSml := ta.Lowest(e.Close, periodSml).Get(1)
+			llBig := ta.Lowest(e.Close, periodBig).Get(1)
+			//hhSml := ta.Highest(e.Close, periodSml).Get(1)
+			maSml := ta.SMA(e.Close, periodSml)
+			maBig := ta.SMA(e.Close, periodBig)
+			maX := maSml.Cross(maBig)
+			c := e.Close.Get(0)
+			openTag := ""
+			closeTag := ""
+			if len(s.LongOrders) == 0 && c >= hhBig {
+				openTag = "long"
+			} else if len(s.ShortOrders) == 0 && c <= llBig {
+				openTag = "short"
+			}
+			if maX == 1 {
+				closeTag = "xshort"
+			} else if maX == -1 {
+				closeTag = "xlong"
+			}
+			//if len(s.LongOrders) > 0 && c <= llSml {
+			//	closeTag = "xlong"
+			//} else if len(s.ShortOrders) > 0 && c >= hhSml {
+			//	closeTag = "xshort"
+			//}
+			if openTag != "" {
+				err := s.OpenOrder(&strat.EnterReq{
+					Tag:   openTag,
+					Short: openTag == "short",
+				})
+				if err != nil {
+					log.Error("open fail", zap.Error(err))
+				}
+			}
+			if closeTag != "" {
+				dirt := core.OdDirtLong
+				if closeTag == "xshort" {
+					dirt = core.OdDirtShort
+				}
+				err := s.CloseOrders(&strat.ExitReq{
+					Tag:  closeTag,
+					Dirt: dirt,
+				})
+				if err != nil {
+					log.Error("close fail", zap.Error(err))
+				}
+			}
+		},
+	}
+}