init

org/fmz/BearMACD.go

@@ -0,0 +1,64 @@
+package fmz
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/strat"
+	"github.com/banbox/banstagy/com"
+	ta "github.com/banbox/banta"
+	"math"
+)
+
+/*
+https://www.fmz.com/strategy/426836
+该策略专注于熊市下跌行情中的做空交易,同时确保资产处于大周期下行通道中,然后在进一步下跌后止盈退出。
+测试在48个品种，210101-250101, 1h，收益296%，回撤17%，夏普7.42
+
+空头优化620轮，取25%位置，maS: 7  maSLen: 191  rate: 2.35
+多头优化182轮，取22%位置，maL: 1  maLLen: 219  rate: 2.33
+
+后续优化方向：
+止损止盈的倍率，开单倍率
+*/
+
+func BearMACD(p *config.RunPolicyConfig) *strat.TradeStrat {
+	// short: 7  191  2.35
+	// long: 1  219  2.33
+	maSType := com.DefMaType(p, "maS", com.MaALMA)
+	maSLen := int(p.Def("maSLen", 191, core.PNormF(30, 800, 230, 0)))
+	maLType := com.DefMaType(p, "maL", com.MaEMA)
+	maLLen := int(p.Def("maLLen", 219, core.PNormF(30, 800, 230, 0)))
+	rate := p.Def("rate", 2.35, core.PNormF(0.5, 3, 1.6, 0))
+	mc1 := int(math.Round(12 * rate))
+	mc2 := int(math.Round(26 * rate))
+	mc3 := int(math.Round(9 * rate))
+	return &strat.TradeStrat{
+		WarmupNum: max(maSLen, maLLen),
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			c := e.Close.Get(0)
+			maS := com.GetMA(e.Close, e.Volume, maSType, maSLen).Get(0)
+			maL := com.GetMA(e.Close, e.Volume, maLType, maLLen).Get(0)
+			macd, signal := ta.MACD(e.Close, mc1, mc2, mc3)
+			macdX := macd.Cross(signal)
+			atr := ta.ATR(e.High, e.Low, e.Close, 14).Get(0)
+			if s.OrderNum > 0 {
+				return
+			}
+			if macdX == -1 && c < maS {
+				s.OpenOrder(&strat.EnterReq{
+					Tag:           "short",
+					Short:         true,
+					StopLossVal:   atr * 1.3,
+					TakeProfitVal: atr * 4,
+				})
+			} else if macdX == 1 && c > maL {
+				s.OpenOrder(&strat.EnterReq{
+					Tag:           "long",
+					StopLossVal:   atr * 1.3,
+					TakeProfitVal: atr * 6,
+				})
+			}
+		},
+	}
+}

org/fmz/ComboMaBear.go

@@ -0,0 +1,91 @@
+package fmz
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/strat"
+	ta "github.com/banbox/banta"
+	"math"
+	"strconv"
+)
+
+/*
+https://www.fmz.com/strategy/429466
+本策略结合了均线先行指标和熊强力指标,形成短期看跌方向信号的组合策略。均线先行指标判断趋势,熊强力指标确定做空时机。策略适合短线操作,追踪市场调整行情。
+
+在48个品种，210101-241101上，表现很差
+4h,1h,15m均震荡严重
+*/
+
+type CMA struct {
+	maPos float64
+	bpPos float64
+}
+
+func ComboMaBear(p *config.RunPolicyConfig) *strat.TradeStrat {
+	bpShort := 4.0
+	bpLong := 0.3
+	return &strat.TradeStrat{
+		WarmupNum: 50,
+		OnStartUp: func(s *strat.StratJob) {
+			s.More = &CMA{}
+		},
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			o, h, l, c, c1 := e.Open.Get(0), e.High.Get(0), e.Low.Get(0), e.Close.Get(0), e.Close.Get(1)
+			m, _ := s.More.(*CMA)
+			ma := ta.EMA(e.Close, 14).Get(0)
+			atr := ta.ATR(e.High, e.Low, e.Close, 14).Get(0)
+			hh := max(e.High.Get(0), e.High.Get(1))
+			ll := min(e.Low.Get(0), e.Low.Get(1))
+			nXS := hh
+			if ll > ma || hh < ma {
+				nXS = ll
+			}
+			xsDiff := nXS - c1
+			if xsDiff < 0 {
+				m.maPos = 1
+			} else if xsDiff > 0 {
+				m.maPos = -1
+			}
+
+			var bp float64
+			solRate := math.Abs(c-o) / (h - l)
+			var isBear bool
+			if solRate < 0.1 {
+				// 实体不足10%，看上下影线
+				isBear = h-c > c-l
+			} else {
+				// 实体较大，直接判断
+				isBear = c < o
+			}
+			if isBear {
+				// 阴线取全部
+				bp = h - l
+			} else {
+				// 阳线取较大影线
+				bp = max(h-c, c-l)
+			}
+			bpRate := bp / atr
+			if bpRate > bpShort {
+				m.bpPos = -1
+			} else if bpRate < bpLong {
+				m.bpPos = 1
+			}
+
+			openDirt := 0
+			if m.maPos == 1 && m.bpPos == 1 {
+				openDirt = 1
+			} else if m.maPos == -1 && m.bpPos == -1 {
+				openDirt = -1
+			} else if s.OrderNum > 0 {
+				s.CloseOrders(&strat.ExitReq{Tag: "exit"})
+			}
+			if openDirt != 0 && s.OrderNum == 0 {
+				s.OpenOrder(&strat.EnterReq{
+					Tag:   strconv.Itoa(openDirt),
+					Short: openDirt < 0,
+				})
+			}
+		},
+	}
+}

org/fmz/common.go

@@ -0,0 +1,10 @@
+package fmz
+
+import "github.com/banbox/banbot/strat"
+
+func init() {
+	strat.AddStratGroup("fmz", map[string]strat.FuncMakeStrat{
+		"ComboMaBear": ComboMaBear,
+		"BearMACD":    BearMACD,
+	})
+}