init

2026-08-24 20:53:21 +08:00
commit 6e78bba16a
287 changed files with 32443 additions and 0 deletions
--- a/old/s01/v2.go
+++ b/old/s01/v2.go
@@ -0,0 +1,120 @@
+package s01
+
+import (
+	"fmt"
+	"github.com/banbox/banbot/btime"
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/orm/ormo"
+	"github.com/banbox/banbot/strat"
+	"github.com/banbox/banexg/log"
+	ta "github.com/banbox/banta"
+	"go.uber.org/zap"
+	"math"
+)
+
+type S1More struct {
+	JumpRates map[int64]float64
+	HitNum    int // 记录当前是否已开过单。对于单边行情，为避免重复开单，只有当rsi转折时才开单
+}
+
+func MainV2(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	RsiSml = 14
+	ThsSml = 40
+	AtrLen = 14
+	return &strat.TradeStrat{
+		Version:      1,
+		WarmupNum:    RsiBig,
+		MinTfScore:   0.1,
+		DrawDownExit: true,
+		BatchInOut:   true,
+		OnStartUp: func(s *strat.StratJob) {
+			s.More = &S1More{
+				JumpRates: make(map[int64]float64),
+			}
+		},
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			rsi := ta.RSI(e.Close, RsiSml)
+			rsiS := rsi.Get(0) - 50
+			atr := ta.ATR(e.High, e.Low, e.Close, 14).Get(0)
+
+			m, _ := s.More.(*S1More)
+
+			// 检查是否RSI多次触发，且首次转折
+			openOK := m.HitNum > 1 && math.Abs(rsiS) < math.Abs(rsi.Get(1)-50)
+			if math.Abs(rsiS) < ThsSml && !openOK {
+				// rsi低于阈值，且不属于多次触发后转折
+				m.HitNum = 0
+				return
+			}
+			if rsiS > 0 && len(s.ShortOrders) > 0 || rsiS < 0 && len(s.LongOrders) > 0 {
+				// 已有入场订单，不重复开单
+				return
+			}
+			m.HitNum += 1
+			if m.HitNum > 1 && !openOK {
+				// 重复触发，只允许rsi调头时第二次入场
+				return
+			}
+			c := e.Close.Get(0)
+			stopLoss := c - atr*2
+			tag := "long"
+			if rsiS > 0 {
+				stopLoss = c + atr*2
+				tag = "short"
+			}
+			err := s.OpenOrder(&strat.EnterReq{
+				Tag:      tag,
+				Short:    rsiS > 0,
+				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))
+			}
+		},
+		OnBatchJobs: func(jobs []*strat.StratJob) {
+			openNum := float64(0)
+			for _, j := range jobs {
+				if len(j.Entrys) > 0 {
+					openNum += 1
+				}
+			}
+			openRate := openNum / float64(len(jobs))
+			// 这里无需限制openRate的上限，前面已禁止单个趋势重复多次开单
+			if openRate < 0.2 {
+				for _, j := range jobs {
+					j.Entrys = nil
+				}
+				return
+			}
+			log.Info(fmt.Sprintf("%s open orders, num: %v, total: %v, rate: %.2f",
+				btime.ToDateStr(btime.TimeMS(), ""), openNum, len(jobs), openRate))
+		},
+		GetDrawDownExitRate: func(s *strat.StratJob, od *ormo.InOutOrder, maxChg float64) float64 {
+			more, _ := s.More.(*S1More)
+			jumpRate, ok := more.JumpRates[od.ID]
+			if !ok {
+				e := s.Env
+				jumpRate = (e.Close.Get(RsiSml)/e.Close.Get(0) - 1) * 0.3
+				more.JumpRates[od.ID] = jumpRate
+			}
+			var rate float64
+			switch {
+			case maxChg > jumpRate*15:
+				rate = 0.15
+			case maxChg > jumpRate*10:
+				rate = 0.17
+			case maxChg > jumpRate*3:
+				rate = 0.25
+			case maxChg > jumpRate*1:
+				rate = 0.37
+			case maxChg > jumpRate*0.5:
+				rate = 0.5
+			default:
+				rate = 0
+			}
+			return rate
+		},
+	}
+}