init

old/s01/main.go

@@ -0,0 +1,163 @@
+package s01
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/strat"
+	"github.com/banbox/banexg/log"
+	ta "github.com/banbox/banta"
+	"go.uber.org/zap"
+	"math"
+)
+
+/*
+此策略对应python原始策略名为PivotRev
+
+【s01_base】
+是最初版本的策略，所有标的使用固定的RSI差阈值：300周期9, 50周期20
+
+【s01_adp.50】~【s01_adp.100】
+增加了标的自适应的前20个高于固定阈值50%~100%的所有RSI值的均值，作为实际阈值。
+开单数量倍增，曲线稍微平滑一些，收益更高。
+测试最佳值是54%
+
+
+【s01_adpb.55】~【s01_adp.70】
+将bigTmp和smlTmp同时满足时才记录，前面是各自达到阈值就记录。
+改了后订单减少40%左右，收益减少30%左右。
+不采用
+
+后续考虑记录RSI300和RSI50的历史峰值，然后峰值排序，取Top50%的均值作为阈值。
+*/
+
+var (
+	RsiBig = 300
+	RsiSml = 50
+	ThsBig = float64(9)
+	ThsSml = float64(20)
+	AtrLen = 14
+
+	bigMin = float64(ThsBig) * 0.55
+	smlMin = float64(ThsSml) * 0.55
+
+	AvgLastNum = 20
+)
+
+type MoreType struct {
+	hit       bool
+	bigThsHis []float64
+	smlThsHis []float64
+	bigThs    float64
+	smlThs    float64
+	bigTmp    float64
+	smlTmp    float64
+}
+
+func (m *MoreType) close() {
+	if m.bigTmp > bigMin {
+		m.bigThsHis = append(m.bigThsHis, m.bigTmp)
+		if len(m.bigThsHis) > AvgLastNum {
+			m.bigThsHis = m.bigThsHis[len(m.bigThsHis)-AvgLastNum:]
+		}
+		sumVal := float64(0)
+		for _, val := range m.bigThsHis {
+			sumVal += val
+		}
+		m.bigThs = sumVal / float64(len(m.bigThsHis))
+	}
+	if m.smlTmp > smlMin {
+		m.smlThsHis = append(m.smlThsHis, m.smlTmp)
+		if len(m.smlThsHis) > AvgLastNum {
+			m.smlThsHis = m.smlThsHis[len(m.smlThsHis)-AvgLastNum:]
+		}
+		sumSml := float64(0)
+		for _, val := range m.smlThsHis {
+			sumSml += val
+		}
+		m.smlThs = sumSml / float64(len(m.smlThsHis))
+	}
+	m.bigTmp = -1
+	m.smlTmp = -1
+	m.hit = false
+}
+
+func (m *MoreType) check(big, sml float64) {
+	if m.bigTmp < 0 {
+		m.bigTmp = math.Abs(big)
+	} else {
+		m.bigTmp = max(m.bigTmp, math.Abs(big))
+	}
+	if m.smlTmp < 0 {
+		m.smlTmp = math.Abs(sml)
+	} else {
+		m.smlTmp = max(m.smlTmp, math.Abs(sml))
+	}
+}
+
+func MainV0(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	return &strat.TradeStrat{
+		Version:      1,
+		WarmupNum:    RsiBig * 10,
+		MinTfScore:   0.75,
+		DrawDownExit: true,
+		OnStartUp: func(s *strat.StratJob) {
+			s.More = &MoreType{
+				bigThs: ThsBig,
+				smlThs: ThsSml,
+				bigTmp: -1,
+				smlTmp: -1,
+			}
+		},
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			ma5 := ta.EMA(e.Close, 5)
+			ma20 := ta.EMA(e.Close, 20)
+			maX := ma5.Cross(ma20)
+
+			rsiB := ta.RSI(e.Close, RsiBig).Get(0) - 50
+			rsiS := ta.RSI(e.Close, RsiSml).Get(0) - 50
+
+			atr := ta.ATR(e.High, e.Low, e.Close, AtrLen)
+			baseAtrLen := int(math.Round(float64(AtrLen) * 4.3))
+			atrB := ta.Lowest(ta.Highest(atr, AtrLen), baseAtrLen).Get(0)
+
+			if math.IsNaN(rsiB) || math.IsInf(rsiB, 0) {
+				// 过滤无效值
+				return
+			}
+
+			m, _ := s.More.(*MoreType)
+
+			if math.Abs(float64(maX)) == 1 {
+				// 均线交叉，顶底切换，允许开单
+				m.close()
+			}
+			m.check(rsiB, rsiS)
+			if m.hit {
+				// 已开单，禁止重复开单
+				return
+			}
+
+			if math.Abs(rsiB) <= m.bigThs || math.Abs(rsiS) <= m.smlThs {
+				// 未触发阈值，不开单
+				return
+			}
+
+			m.hit = true // 禁止同方向再次开单
+			isShort := rsiB > 0
+			odDirt := float64(1)
+			if isShort {
+				odDirt = -1
+			}
+			stopLoss := e.Close.Get(0) - max(atrB*3, atr.Get(0)*1.5)*odDirt
+			err := s.OpenOrder(&strat.EnterReq{
+				Tag:      "enter",
+				Short:    isShort,
+				StopLoss: stopLoss,
+			})
+			if err != nil {
+				log.Error("open order fail", zap.String("pair", s.Symbol.Symbol),
+					zap.String("stagy", s.Strat.Name), zap.Error(err))
+			}
+		},
+	}
+}