init
This commit is contained in:
33
org/digo/common.go
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33
org/digo/common.go
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@@ -0,0 +1,33 @@
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package digo
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import (
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"github.com/banbox/banbot/strat"
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"math"
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)
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func init() {
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strat.AddStratGroup("digo", map[string]strat.FuncMakeStrat{
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"v2": v2,
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"v4": v4,
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})
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}
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var (
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trendFilter = true // 是否启用趋势过滤（逆趋势开单降低权重）
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goodWeight = float64(1) // 顺趋势开单权重，默认1
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badWeight = float64(0) // 逆趋势开单权重，默认0不开单
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badMaxRate = -0.05 // 开单后允许趋势相反最大价格比率
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goodMaxRate = 0.005
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stopLossRate = 0.02
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)
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func calcFactor(pFac float64) float64 {
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odNum := math.Log2(pFac) + 1
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return math.Pow(2, odNum)
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}
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type MoreType struct {
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bigDirt int // 1牛市，0不确定，1熊市
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maBig float64 // 大周期MA，用于判断趋势
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signal float64 // 最新bar是否有信号，1开多，-1开空
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}
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209
org/digo/v1.go
Normal file
209
org/digo/v1.go
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@@ -0,0 +1,209 @@
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package digo
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import (
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"github.com/banbox/banbot/config"
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"github.com/banbox/banbot/core"
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"github.com/banbox/banbot/orm/ormo"
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"github.com/banbox/banbot/strat"
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"github.com/banbox/banexg/log"
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ta "github.com/banbox/banta"
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"go.uber.org/zap"
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"math"
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"slices"
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)
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func openOrder(s *strat.StratJob, m *MoreType, signal float64) {
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odWeight := goodWeight
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if trendFilter && m.bigDirt != int(signal) {
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// 启用趋势过滤，且是逆趋势
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odWeight = badWeight
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}
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if odWeight == 0 {
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return
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}
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allOrders := s.GetOrders(signal)
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orders := make([]*ormo.InOutOrder, 0, len(allOrders))
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for _, od := range allOrders {
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if od.EnterTag != core.EnterTagThird {
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orders = append(orders, od)
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}
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}
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enteredAmt := float64(0)
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for _, od := range orders {
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enteredAmt += od.Enter.Filled
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}
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c := s.Env.Close.Get(0)
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basePrice := max(c, m.maBig)
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if signal > 0 {
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basePrice = min(c, m.maBig)
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}
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stopPrice := basePrice * (1 - signal*stopLossRate)
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if enteredAmt == 0 {
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// 没有打开的订单，直接下单
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err := s.OpenOrder(&strat.EnterReq{
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Tag: "enter",
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Short: signal < 0,
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CostRate: odWeight,
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StopLoss: stopPrice,
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})
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if err != nil {
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log.Error("open order fail", zap.Error(err))
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}
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return
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}
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slices.SortFunc(orders, func(a, b *ormo.InOutOrder) int {
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return int(a.RealEnterMS() - b.RealEnterMS())
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})
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prevOd := orders[len(orders)-1]
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// 检查价格是否背离订单5%
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chgRate := c/prevOd.InitPrice - 1
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if signal*chgRate >= badMaxRate {
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// 价格背离未超过5%，不加仓
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return
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}
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// 以上一个订单的两倍开单
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baseAmt := s.Strat.GetStakeAmount(s)
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prevFac := prevOd.GetInfoFloat64(ormo.OdInfoLegalCost) / baseAmt
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costRate := calcFactor(prevFac)
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err := s.OpenOrder(&strat.EnterReq{
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Tag: "enter",
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Short: signal < 0,
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CostRate: odWeight * costRate,
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StopLoss: stopPrice,
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})
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if err != nil {
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log.Error("open order fail", zap.Error(err))
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}
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}
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func closeOrders(s *strat.StratJob, signal float64) {
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allOrders := s.GetOrders(signal)
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orders := make([]*ormo.InOutOrder, 0, len(allOrders))
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totalProfit := float64(0)
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for _, od := range allOrders {
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if od.EnterTag != core.EnterTagThird {
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orders = append(orders, od)
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totalProfit += od.Profit
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}
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}
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if len(orders) < 3 {
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return
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}
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if totalProfit > 0 {
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err := s.CloseOrders(&strat.ExitReq{
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Tag: "exit",
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Dirt: int(signal),
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})
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if err != nil {
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log.Error("close orders fail", zap.Error(err))
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}
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}
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}
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func MainV1(pol *config.RunPolicyConfig) *strat.TradeStrat {
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trendFilter = true
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goodWeight = 1
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badWeight = 0
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stopLossRate = 0.02
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badMaxRate = -0.05
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goodMaxRate = 0.005
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return &strat.TradeStrat{
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Version: 1,
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WarmupNum: 361,
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MinTfScore: 0.75,
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DrawDownExit: true,
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StopEnterBars: 10,
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//OnPairInfos: func(s *strategy.StratJob) []*strategy.PairSub {
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// return []*strategy.PairSub{
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// {
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// Key: "_cur_",
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// TimeFrame: "1d",
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// WarmupNum: 60,
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// },
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// }
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//},
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OnStartUp: func(s *strat.StratJob) {
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s.More = &MoreType{}
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},
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//OnInfoBar: func(s *strategy.StratJob, pair, tf string) {
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// m, _ := s.More.(*MoreType)
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// m.maBig = ta.SMA(s.Env.Close, 60).Get(0)
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//},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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_, d, _ := ta.KDJBy(e.High, e.Low, e.Close, 13, 3, 3, "sma")
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ma3_d := ta.SMA(d, 3)
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//fmt.Printf("%s: %.3f %.3f %.3f\n", btime.ToDateStr(e.TimeStart, ""),
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// k.Get(0), d.Get(0), ma3_d.Get(0))
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c := e.Close.Get(0)
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m, _ := s.More.(*MoreType)
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m.maBig = ta.EMA(e.Close, 360).Get(0)
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if math.IsNaN(m.maBig) {
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m.bigDirt = 0
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} else {
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m.bigDirt = -1
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if c >= m.maBig {
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// K线高于大周期均线，牛市
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m.bigDirt = 1
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}
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}
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zhicheng := ma3_d.Cross(20) == -1
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yali := ma3_d.Cross(80.5) == 1
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m.signal = float64(0)
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if yali {
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m.signal = -1
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} else if zhicheng {
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m.signal = 1
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} else {
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return
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}
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if m.bigDirt != 0 {
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openOrder(s, m, m.signal)
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}
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closeOrders(s, m.signal)
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},
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OnCheckExit: func(s *strat.StratJob, od *ormo.InOutOrder) *strat.ExitReq {
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odDirt := float64(1)
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if od.Short {
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odDirt = -1
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}
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m, _ := s.More.(*MoreType)
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c := s.Env.Close.Get(0)
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basePrice := max(od.InitPrice, m.maBig)
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if odDirt > 0 {
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basePrice = min(od.InitPrice, m.maBig)
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}
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stopPrice := basePrice * (1 - odDirt*stopLossRate)
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od.SetStopLoss(&ormo.ExitTrigger{Price: stopPrice})
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priceBk := c - stopPrice
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if odDirt*priceBk < 0 {
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// 触发止损，立刻卖出
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return &strat.ExitReq{
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Tag: core.ExitTagStopLoss,
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OrderID: od.ID,
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}
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}
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if m.signal == 0 || m.signal == odDirt {
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// 没有信号，或顺趋势信号，退出
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return nil
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}
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// 出现逆趋势信号
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entPrice := od.InitPrice
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if od.Enter.Price != 0 {
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entPrice = od.Enter.Price
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}
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chgRate := c/entPrice - 1
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if odDirt*chgRate >= goodMaxRate {
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// 价格盈利超过阈值，卖出止盈
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return &strat.ExitReq{
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Tag: "stop_win",
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OrderID: od.ID,
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}
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}
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return nil
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},
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}
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}
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181
org/digo/v2.go
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181
org/digo/v2.go
Normal file
@@ -0,0 +1,181 @@
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package digo
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import (
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"github.com/banbox/banbot/config"
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"github.com/banbox/banbot/core"
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"github.com/banbox/banbot/orm/ormo"
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"github.com/banbox/banbot/strat"
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ta "github.com/banbox/banta"
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)
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type MoreV2 struct {
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bigEma199 float64
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}
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/*
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# 趋势判断
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趋势多头 = EMA360 > 日线EMA199 且 当前价格 > EMA360
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趋势空头 = EMA360 < 日线EMA199 且 当前价格 < EMA360
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# 震荡判断
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震荡偏多 = min(EMA360, 当前价格) > 日线EMA199 且 当前价格 < EMA360
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震荡偏空 = max(EMA360, 当前价格) < 日线EMA199 且 当前价格 > EMA360
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如果是震荡偏多市场：
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在支撑位：开多单(1倍杠杆)，平掉空单
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在压力位：开小仓位空单(0.5倍杠杆)，平掉多单
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如果是震荡偏空市场：
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在支撑位：开小仓位多单(0.5倍杠杆)，平掉空单
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在压力位：开空单(1倍杠杆)，平掉多单
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止损逐bar更新：
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震荡偏空/震荡偏多：
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多单止损：min(ema360, bigEma199)下方2个点
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空单止损：max(ema360, bigEma199)上方2个点
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*/
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func v2(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义策略参数
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smoothK := int(pol.Def("smoothK", 13, core.PUniform(8, 20)))
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smoothD := int(pol.Def("smoothD", 3, core.PUniform(2, 5)))
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//bSmaLen := int(pol.Def("bSmaLen", 9, core.PUniform(5, 15)))
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//bSmaDev := 2.0
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slRate := 0.02
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return &strat.TradeStrat{
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WarmupNum: 600, // 需要足够的预热周期来计算EMA360
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EachMaxLong: 1, // 最多同时持有1笔多单
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EachMaxShort: 1,
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OnStartUp: func(s *strat.StratJob) {
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s.More = &MoreV2{}
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},
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OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
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return []*strat.PairSub{
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{"_cur_", "1d", 360},
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}
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},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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m, _ := s.More.(*MoreV2)
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c := e.Close.Get(0)
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ema360 := ta.EMA(e.Close, 360).Get(0)
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var trend = 0 // 2 多头， 1 震荡偏多， 0 不确定， -1 震荡偏空 -2 空头
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if c > ema360 && ema360 > m.bigEma199 {
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// 多头排列
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trend = 2
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} else if c < ema360 && ema360 < m.bigEma199 {
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// 空头排列
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trend = -2
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} else if min(c, ema360) > m.bigEma199 && c < ema360 {
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// 震荡偏多，
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trend = 1
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} else if max(c, ema360) < m.bigEma199 && c > ema360 {
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// 震荡偏空
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trend = -1
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}
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_, d, _ := ta.KDJBy(e.High, e.Low, e.Close, smoothK, 3, smoothD, "sma")
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dSMA := ta.SMA(d, 3)
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// 判断支撑压力
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isUpp := dSMA.Cross(20) == -1 // crossunder
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isDww := dSMA.Cross(80.5) == 1 // crossover
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// 计算布林带
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//bbCols := ta.BBANDS(e.Close, bSmaLen, bSmaDev, bSmaDev).Cols
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//bbUpper, bbLower := bbCols[0].Get(0), bbCols[2].Get(0)
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//h := e.High.Get(0)
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isYali := isDww // && h > bbUpper*1.08
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isZhicheng := isUpp // && c < bbLower*1.08
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// 计算止损
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slLong, slShort := 0.0, 0.0
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if trend == 1 || trend == -1 {
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slLong = min(ema360, m.bigEma199) * (1 - slRate)
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slShort = max(ema360, m.bigEma199) * (1 + slRate)
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for _, od := range s.LongOrders {
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od.SetStopLoss(&ormo.ExitTrigger{
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Price: slLong,
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})
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}
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for _, od := range s.ShortOrders {
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od.SetStopLoss(&ormo.ExitTrigger{
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Price: slShort,
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})
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}
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}
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// 开仓和平仓逻辑
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longRate, shortRate := 1.0, 1.0
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if trend == 1 {
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// 震荡偏多
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longRate, shortRate = 1, 0.5
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} else if trend == -1 {
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// 震荡偏空
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longRate, shortRate = 0.5, 1
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}
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if trend == 1 || trend == -1 {
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if isZhicheng {
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// 支撑位开多
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s.OpenOrder(&strat.EnterReq{
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Tag: "longZC1",
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CostRate: longRate,
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StopLoss: slLong,
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})
|
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s.CloseOrders(&strat.ExitReq{
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Tag: "zc1",
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Dirt: core.OdDirtShort,
|
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})
|
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} else if isYali {
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//_ = shortRate
|
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// 压力位半仓开空
|
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s.OpenOrder(&strat.EnterReq{
|
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Tag: "shortYL1",
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CostRate: shortRate,
|
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Short: true,
|
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StopLoss: slShort,
|
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})
|
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s.CloseOrders(&strat.ExitReq{
|
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Tag: "yl1",
|
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Dirt: core.OdDirtLong,
|
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})
|
||||
}
|
||||
}
|
||||
//if isZhicheng && trend == 2 && s.OrderNum == 0 {
|
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// // 支撑位开多
|
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// s.OpenOrder(&strat.EnterReq{
|
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// Tag: "support_long",
|
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// Short: false,
|
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// })
|
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//} else if isYali && trend == 2 && s.OrderNum > 0 {
|
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// // 压力位平多
|
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// s.CloseOrders(&strat.ExitReq{
|
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// Tag: "resistance_close",
|
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// EnterTag: "support_long",
|
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// Dirt: core.OdDirtLong,
|
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// })
|
||||
//}
|
||||
//if trend == -2 && isYali && s.OrderNum == 0 {
|
||||
// // 顺势空，压力位开空
|
||||
// s.OpenOrder(&strat.EnterReq{
|
||||
// Tag: "resi_short",
|
||||
// Short: true,
|
||||
// })
|
||||
//} else if trend == -2 && isZhicheng && s.OrderNum > 0 {
|
||||
// s.CloseOrders(&strat.ExitReq{
|
||||
// Tag: "supp_close",
|
||||
// EnterTag: "resi_short",
|
||||
// Dirt: core.OdDirtShort,
|
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// })
|
||||
//}
|
||||
},
|
||||
OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
|
||||
m, _ := s.More.(*MoreV2)
|
||||
m.bigEma199 = ta.EMA(e.Close, 199).Get(0)
|
||||
},
|
||||
}
|
||||
}
|
||||
112
org/digo/v4.go
Normal file
112
org/digo/v4.go
Normal file
@@ -0,0 +1,112 @@
|
||||
package digo
|
||||
|
||||
import (
|
||||
"github.com/banbox/banbot/config"
|
||||
"github.com/banbox/banbot/core"
|
||||
"github.com/banbox/banbot/orm/ormo"
|
||||
"github.com/banbox/banbot/strat"
|
||||
ta "github.com/banbox/banta"
|
||||
"math"
|
||||
)
|
||||
|
||||
/*
|
||||
# 趋势判断
|
||||
趋势多头 = EMA360 > 日线EMA199 且 当前价格 > EMA360
|
||||
趋势空头 = EMA360 < 日线EMA199 且 当前价格 < EMA360
|
||||
|
||||
# 震荡判断
|
||||
震荡偏多 = min(EMA360, 当前价格) > 日线EMA199 且 当前价格 < EMA360
|
||||
震荡偏空 = max(EMA360, 当前价格) < 日线EMA199 且 当前价格 > EMA360
|
||||
|
||||
如果是震荡偏多市场：
|
||||
在支撑位：开多单(1倍杠杆)，平掉空单
|
||||
在压力位：开小仓位空单(0.5倍杠杆)，平掉多单
|
||||
|
||||
如果是震荡偏空市场：
|
||||
在支撑位：开小仓位多单(0.5倍杠杆)，平掉空单
|
||||
在压力位：开空单(1倍杠杆)，平掉多单
|
||||
|
||||
止损逐bar更新：
|
||||
震荡偏空/震荡偏多：
|
||||
多单止损：min(ema360, bigEma199)下方2个点
|
||||
空单止损：max(ema360, bigEma199)上方2个点
|
||||
*/
|
||||
|
||||
func v4(pol *config.RunPolicyConfig) *strat.TradeStrat {
|
||||
// 定义策略参数
|
||||
smoothK := int(pol.Def("smoothK", 13, core.PUniform(8, 20)))
|
||||
smoothD := int(pol.Def("smoothD", 3, core.PUniform(2, 5)))
|
||||
//bSmaLen := int(pol.Def("bSmaLen", 9, core.PUniform(5, 15)))
|
||||
//bSmaDev := 2.0
|
||||
slRate := 0.05
|
||||
tpRate := 0.05
|
||||
|
||||
return &strat.TradeStrat{
|
||||
WarmupNum: 600, // 需要足够的预热周期来计算EMA360
|
||||
EachMaxLong: 1, // 最多同时持有1笔多单
|
||||
EachMaxShort: 1,
|
||||
OnStartUp: func(s *strat.StratJob) {
|
||||
s.More = &MoreV2{}
|
||||
},
|
||||
OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
|
||||
return []*strat.PairSub{
|
||||
{"_cur_", "1d", 360},
|
||||
}
|
||||
},
|
||||
OnBar: func(s *strat.StratJob) {
|
||||
e := s.Env
|
||||
m, _ := s.More.(*MoreV2)
|
||||
c := e.Close.Get(0)
|
||||
|
||||
ema360 := ta.EMA(e.Close, 360).Get(0)
|
||||
ema169 := ta.EMA(e.Close, 169).Get(0)
|
||||
|
||||
var isLong = false
|
||||
if ema169 > m.bigEma199 && c > ema360 {
|
||||
//顺势偏多
|
||||
isLong = true
|
||||
}
|
||||
// 收盘价偏离ema169的百分比
|
||||
devRangePct := math.Abs(c-ema169) * 100 / ema169
|
||||
|
||||
_, d, _ := ta.KDJBy(e.High, e.Low, e.Close, smoothK, 3, smoothD, "sma")
|
||||
dSMA := ta.SMA(d, 3)
|
||||
|
||||
// 判断支撑压力
|
||||
isUpp := dSMA.Cross(20) == -1 // crossunder
|
||||
isDww := dSMA.Cross(80.5) == 1 // crossover
|
||||
|
||||
isYali := isDww // && h > bbUpper*1.08
|
||||
isZhicheng := isUpp // && c < bbLower*1.08
|
||||
|
||||
// 计算止损
|
||||
slLong := ema169 * (1 - slRate)
|
||||
slShort := ema169 * (1 + slRate)
|
||||
for _, od := range s.LongOrders {
|
||||
od.SetStopLoss(&ormo.ExitTrigger{
|
||||
Price: slLong,
|
||||
})
|
||||
}
|
||||
for _, od := range s.ShortOrders {
|
||||
od.SetStopLoss(&ormo.ExitTrigger{
|
||||
Price: slShort,
|
||||
})
|
||||
}
|
||||
|
||||
_ = isYali
|
||||
|
||||
if isLong && isZhicheng && devRangePct < 5 {
|
||||
s.OpenOrder(&strat.EnterReq{
|
||||
Tag: "longZC1",
|
||||
StopLoss: slLong,
|
||||
TakeProfit: c * (1 + tpRate),
|
||||
})
|
||||
}
|
||||
|
||||
},
|
||||
OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
|
||||
m, _ := s.More.(*MoreV2)
|
||||
m.bigEma199 = ta.EMA(e.Close, 199).Get(0)
|
||||
},
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user