init

old/macd_v1.go

@@ -0,0 +1,127 @@
+package old
+
+import (
+	"fmt"
+	"github.com/banbox/banbot/btime"
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/strat"
+	"github.com/banbox/banexg/log"
+	"github.com/banbox/banstagy/com"
+	ta "github.com/banbox/banta"
+	"go.uber.org/zap"
+)
+
+func MACD(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	return &strat.TradeStrat{
+		Version:      1,
+		WarmupNum:    300,
+		MinTfScore:   0.75,
+		DrawDownExit: true,
+		OnStartUp:    onStartUp,
+		OnBar:        onBar,
+	}
+}
+
+type MoreMACD struct {
+	*com.ExmTrace
+	max1  *com.ExmItem
+	max2  *com.ExmItem
+	slope float64 // 斜率
+	delta float64 // 直线偏移值
+}
+
+/*
+val: 当前指标值
+pNum： 前一个索引
+ptime：前一个时间戳
+*/
+func (m *MoreMACD) update(val float64, pNum int, ptime int64) bool {
+	if m.ExmTrace.Update(val, pNum, ptime) {
+		var exm *com.ExmItem
+		last := m.Hist[len(m.Hist)-1]
+		if last.Valid && m.ExmTrace.Expect < 0 {
+			exm = last
+		} else if len(m.Hist) > 1 && m.ExmTrace.Expect > 0 {
+			exm = m.Hist[len(m.Hist)-2]
+		} else {
+			return false
+		}
+		// 更新最高点和次高点
+		if m.max1 == nil || exm.Value >= m.max1.Value {
+			m.max1 = exm
+			m.max2 = nil
+		} else if m.max1 != nil && pNum-exm.BarNum > 500 {
+			// 最高点超过500个bar过期
+			if m.max2 != nil && m.max2.Value > exm.Value {
+				exm = m.max2
+			}
+			m.max1 = m.max2
+			m.max2 = nil
+		} else if m.max2 == nil || exm.Value > m.max2.Value {
+			m.max2 = exm
+			return true
+		}
+	}
+	return false
+}
+
+func onStartUp(s *strat.StratJob) {
+	s.More = &MoreMACD{
+		ExmTrace: &com.ExmTrace{},
+	}
+}
+
+func onBar(s *strat.StratJob) {
+	e := s.Env
+	macd, _ := ta.MACD(e.Close, 12, 26, 9)
+	atr := ta.ATR(e.High, e.Low, e.Close, 14).Get(0)
+
+	m, _ := s.More.(*MoreMACD)
+
+	c := e.Close.Get(0)
+
+	if m.slope > 0 && m.max1 != nil && m.max2 != nil {
+		point := m.slope*float64(e.BarNum) + m.delta
+		tag := ""
+		stopLoss := float64(0)
+		if c-atr*2 > point && len(s.LongOrders) == 0 {
+			// 突破压力线，做多
+			tag = "long"
+			stopLoss = point - atr
+		} else if c+atr*0.5 > point && c <= point+atr && len(s.ShortOrders) == 0 {
+			// 触发压力线，开空
+			tag = "short"
+			stopLoss = max(c, point) + atr*2
+		}
+		if tag != "" && !s.IsWarmUp {
+			price1 := e.Close.Get(e.BarNum - m.max1.BarNum)
+			price2 := e.Close.Get(e.BarNum - m.max2.BarNum)
+			date := btime.ToDateStr(e.TimeStop, "")
+			date1 := btime.ToDateStr(m.max1.TimeMS, "")
+			date2 := btime.ToDateStr(m.max2.TimeMS, "")
+			log.Info(fmt.Sprintf("%s open %s, %s %s %.5f  -  %s %.5f", date, tag, s.Symbol.Symbol,
+				date1, price1, date2, price2))
+			err := s.OpenOrder(&strat.EnterReq{
+				Tag:      tag,
+				StopLoss: stopLoss,
+				Short:    tag == "short",
+			})
+			if err != nil {
+				log.Error("open fail", zap.Error(err))
+			}
+		}
+
+	}
+
+	if m.update(macd.Get(0), e.BarNum-1, e.TimeStart-e.TFMSecs) {
+		price1 := e.Close.Get(e.BarNum - m.max1.BarNum)
+		price2 := e.Close.Get(e.BarNum - m.max2.BarNum)
+		// 更新斜率和偏移值
+		m.slope = (price2 - price1) / float64(m.max2.BarNum-m.max1.BarNum)
+		m.delta = price1 - m.slope*float64(m.max1.BarNum)
+		//date1 := btime.ToDateStr(m.max1.TimeMS, "")
+		//date2 := btime.ToDateStr(m.max2.TimeMS, "")
+		//log.Info(fmt.Sprintf("update pt2, %s %s %.5f  -  %s %.5f", s.Symbols.Symbols,
+		//	date1, price1, date2, price2))
+	}
+}