init
This commit is contained in:
165
old/eat.go
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165
old/eat.go
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package old
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import (
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"github.com/banbox/banbot/config"
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"github.com/banbox/banbot/strat"
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"github.com/banbox/banexg/log"
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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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"sort"
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)
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var (
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lenAtr = 9
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rangeRate = 0.6 // 预计bar利润区间比率：60%
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ShakeTop = 0.2 // 只对分数前20%的标的进行震荡交易
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minProfitPct = 0.01 // 最小目标盈利百分比
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)
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type TMore struct {
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symbol string
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shakeScore float64 // 震荡分数：(1-平均实体比率)*平均bar波动比率
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btmPrice float64 // 平均向下突破比率
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topPrice float64 // 平均向上突破比率
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shakeOK bool // 是否允许震荡中开单
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shakeHit float64 // 震荡首先触发位置：-1触发顶部，1触发底部
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}
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func Eat(pol *config.RunPolicyConfig) *strat.TradeStrat {
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baseAtrLen := int(math.Round(float64(lenAtr) * 5))
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return &strat.TradeStrat{
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Version: 1,
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WarmupNum: max(30, baseAtrLen),
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MinTfScore: 0.75,
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BatchInfo: true,
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OnStartUp: func(s *strat.StratJob) {
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s.More = &TMore{
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symbol: s.Symbol.Symbol,
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}
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},
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OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
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return []*strat.PairSub{
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{Pair: "_cur_", TimeFrame: "8h", WarmupNum: 30},
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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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h, l, c := e.High.Get(0), e.Low.Get(0), e.Close.Get(0)
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m, _ := s.More.(*TMore)
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if m.shakeOK {
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// 允许震荡开单
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if m.shakeHit == 0 {
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if h >= m.topPrice {
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m.shakeHit = -1
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} else if l <= m.btmPrice {
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m.shakeHit = 1
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}
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}
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if s.OrderNum == 0 && m.shakeHit != 0 {
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slRange := (m.topPrice - m.btmPrice)
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tag := "long"
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trigPrice := m.btmPrice
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takeProfit := m.topPrice
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if m.shakeHit < 0 {
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tag = "short"
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trigPrice = m.topPrice
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takeProfit = m.btmPrice
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}
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stopLoss := trigPrice - slRange*m.shakeHit
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slDst := (c - stopLoss) * m.shakeHit / slRange
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tpDst := (takeProfit - c) * m.shakeHit / slRange
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if slDst > 0.5 && tpDst > 0.7 {
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// 到止损的距离不低于50%
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err := s.OpenOrder(&strat.EnterReq{
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Tag: tag,
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Short: m.shakeHit < 0,
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StopLoss: stopLoss,
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TakeProfit: takeProfit,
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})
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//date := btime.ToDateStr(btime.TimeMS(), "")
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//log.Info(fmt.Sprintf("%s %s open %s c:%.3f sl:%.3f, tp:%.3f", s.Symbols.Symbols,
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// date, tag, c, stopLoss, takeProfit))
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if err != nil {
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log.Error("open fail", zap.Error(err))
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}
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}
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}
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}
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},
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OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
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// ma := ta.EMA(e.Close, 5)
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rsi := ta.RSI(e.Close, 9)
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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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atrRate := atr.Get(0) / atrBase
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// 计算平均实体比率
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o, h, l, c := e.Open.Get(0), e.High.Get(0), e.Low.Get(0), e.Close.Get(0)
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ph, pl, pc := e.High.Get(1), e.Low.Get(1), e.Close.Get(1)
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solidTop, solidBtm := max(o, c), min(o, c)
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tRange, pRange := h-l, ph-pl
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//tr := e.GetSeries("tRange")
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//tr.Set(math.Sqrt(tRange * 100 / c))
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//maTRate := ta.EMA(tr, 3)
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solRate := e.Close.To("solRate", 0)
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solRate.Set(math.Abs(o-c) / tRange)
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maSRT := ta.EMA(solRate, 3).Get(0)
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// 计算上下行比率
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dnRate := e.Close.To("dnRate", 0)
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dnRate.Set((l - pc) / pRange)
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maDnRate := ta.EMA(dnRate, 5)
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upRate := e.Close.To("upRate", 0)
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upRate.Set((h - pc) / pRange)
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maUpRate := ta.EMA(upRate, 5)
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m, _ := s.More.(*TMore)
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m.shakeScore = (1 - maSRT) // * maTRate.Get(0)
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top := c + maUpRate.Get(0)*tRange
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btm := c + maDnRate.Get(0)*tRange
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edgeOff := (top - btm) * (1 - rangeRate) * 0.5
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m.btmPrice = btm - edgeOff
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m.topPrice = top + edgeOff
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//m.maChg = (ma.Get(0) - ma.Get(1)) / pRange
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topLineRate := (h - solidTop) / tRange
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btmLineRate := (solidBtm - l) / tRange
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lineDiff := math.Abs(topLineRate-btmLineRate) / max(topLineRate, btmLineRate)
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rsiVal, pRsi := rsi.Get(0)-50, rsi.Get(1)-50
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m.shakeOK = (top-btm)*rangeRate/c >= minProfitPct && lineDiff < 0.35 && maSRT < 0.3
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m.shakeHit = 0
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//log.Info(fmt.Sprintf("h: %.3f l:%.3f c:%.3f maSRT: %.3f upRate:%.3f dnRate:%.3f %v", h, l, c,
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// maSRT.Get(0), maUpRate.Get(0), maDnRate.Get(0), m.shakeOK))
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if math.Abs(rsiVal) > 20 || math.Abs(pRsi) > 20 {
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// (ATR较大/反向影线占比大)和RSI都极端时，容易反转，禁止震荡开单
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revLineRate := btmLineRate
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if rsiVal > 0 {
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revLineRate = topLineRate
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}
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if atrRate > 2.5 || atrRate > 1.3 && revLineRate > 0.75 {
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m.shakeOK = false
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}
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}
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},
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OnBatchInfos: func(tf string, jobs map[string]*strat.JobEnv) {
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// 筛选出所有币中shakeScore降序的前n个，然后在子周期中低买高卖
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var mores = make([]*TMore, 0, len(jobs))
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for _, job := range jobs {
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m, _ := job.Job.More.(*TMore)
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mores = append(mores, m)
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}
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var shakeTopN = int(math.Ceil(float64(len(jobs)) * ShakeTop))
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sort.Slice(mores, func(i, j int) bool {
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return mores[i].shakeScore > mores[j].shakeScore
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})
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for _, m := range mores {
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if shakeTopN > 0 && m.shakeOK {
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shakeTopN -= 1
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} else {
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m.shakeOK = false
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}
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}
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},
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}
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}
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