init

old/rev/01.go

@@ -0,0 +1,119 @@
+package rev
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/orm/ormo"
+	"github.com/banbox/banbot/strat"
+	"github.com/banbox/banstagy/com"
+	ta "github.com/banbox/banta"
+	"math"
+)
+
+type MoreRev struct {
+	thres  float64 // 阈值
+	dirt   float64 // 1rsi高于0，-1rsi低于0
+	hitAt  int     // 进入极值的BarNum
+	exmVal float64 // 最大极值
+	bigRsi float64 // 大周期rsi
+}
+
+func (m *MoreRev) update(rsi50 float64, barNum int) {
+	rsiAbs := math.Abs(rsi50)
+	if rsiAbs < m.thres {
+		m.dirt = 0
+		m.hitAt = 0
+		m.exmVal = 0
+		return
+	}
+	if m.dirt == 0 {
+		if rsi50 > 0 {
+			m.dirt = 1
+		} else {
+			m.dirt = -1
+		}
+		m.hitAt = barNum
+		m.exmVal = rsiAbs
+	} else if m.exmVal < rsiAbs {
+		m.exmVal = rsiAbs
+	}
+}
+
+func S01V1(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	var lenRsi = 22
+	var lenRsi2 = 140
+	var thresRsi = 20.0
+	var hitRsi = 22.0
+	var minKeep = 3
+
+	lenAtr := 15
+	baseAtrLen := int(math.Round(float64(lenAtr) * 4.3))
+
+	return &strat.TradeStrat{
+		Version:      1,
+		WarmupNum:    lenRsi * 2,
+		MinTfScore:   0.75,
+		DrawDownExit: true,
+		OnStartUp: func(s *strat.StratJob) {
+			s.More = &MoreRev{thres: thresRsi}
+		},
+		OnPairInfos: com.MakePairInfos(lenRsi2),
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			m, _ := s.More.(*MoreRev)
+			rsi := ta.RSI(e.Close, lenRsi)
+			rsiMa := ta.SMA(rsi, 3)
+			rsiVal := rsi.Get(0)
+			rsiX := rsi.Cross(rsiMa)
+
+			atr := ta.ATR(e.High, e.Low, e.Close, lenAtr)
+			atrBase := ta.Lowest(ta.Highest(atr, lenAtr), baseAtrLen).Get(0)
+			atrRate := math.Sqrt(atr.Get(0) / atrBase)
+
+			c := e.Close.Get(0)
+			bigRsiFit := math.Abs(m.bigRsi) > 5 && m.bigRsi*m.dirt > 0
+			rsiFit := m.dirt != 0 && m.exmVal >= hitRsi && e.BarNum-m.hitAt >= minKeep
+			if s.OrderNum == 0 && bigRsiFit && rsiFit && (rsiX == 1 || rsiX == -1) {
+				// rsi处于极值范围，且触发最大极值，且满足最少极值数量，且和rsi均值交叉
+				slVal := atrBase * atrRate * 5
+				slLong, slShort := c-slVal, c+slVal
+				//entPrice := c - slVal*0.3
+				//if m.dirt > 0 {
+				//	entPrice = c - slVal*0.3
+				//}
+				com.FastOpen(s, -m.dirt, slLong, slShort, 0)
+			} else if rsiFit && s.EnteredNum > 0 && m.bigRsi*m.dirt > 0 {
+				if m.dirt == 1 && len(s.LongOrders) > 0 && m.bigRsi > 2 {
+					// 平多
+					_ = s.CloseOrders(&strat.ExitReq{
+						Tag:  "exitL",
+						Dirt: core.OdDirtLong,
+					})
+				} else if m.dirt == -1 && len(s.ShortOrders) > 0 && m.bigRsi < -2 {
+					_ = s.CloseOrders(&strat.ExitReq{
+						Tag:  "exitS",
+						Dirt: core.OdDirtShort,
+					})
+				}
+			}
+			m.update(rsiVal-50, e.BarNum)
+		},
+		OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
+			m, _ := s.More.(*MoreRev)
+			m.bigRsi = ta.RSI50(e.Close, lenRsi2).Get(0)
+		},
+		GetDrawDownExitRate: func(s *strat.StratJob, od *ormo.InOutOrder, maxChg float64) float64 {
+			sl := od.GetStopLoss()
+			if sl == nil || sl.Range == 0 {
+				return 0
+			}
+			bestRate := maxChg * od.InitPrice / sl.Range
+			if bestRate > 2 {
+				return 0.3
+			} else if bestRate > 1 {
+				return 0.5
+			}
+			return 0
+		},
+	}
+}