init

old/s01/v1.go

@@ -0,0 +1,71 @@
+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
+*/
+
+func MainV1(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	RsiBig = 60
+	RsiSml = 14
+	ThsBig = 20
+	ThsSml = 30
+	AtrLen = 14
+	return &strat.TradeStrat{
+		Version:      1,
+		WarmupNum:    RsiBig,
+		MinTfScore:   0.75,
+		DrawDownExit: true,
+		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)
+			basev1AtrLen := int(math.Round(float64(AtrLen) * 4.3))
+			atrB := ta.Lowest(ta.Highest(atr, AtrLen), basev1AtrLen).Get(0)
+
+			if math.Abs(float64(maX)) == 1 {
+				// 均线交叉，顶底切换，允许开单
+				s.More = nil
+			} else if s.More != nil {
+				// 禁止开单
+				return
+			}
+
+			if math.Abs(rsiB) <= ThsBig || math.Abs(rsiS) <= ThsSml {
+				// 未触发阈值，不开单
+				return
+			}
+
+			s.More = 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))
+			}
+		},
+	}
+}