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anyongjin
2026-08-24 20:53:21 +08:00
commit 6e78bba16a
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179
ptn/hammer/common.go Normal file
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package hammer
import (
"fmt"
"github.com/banbox/banbot/com"
"github.com/banbox/banbot/orm/ormo"
"github.com/banbox/banbot/strat"
"github.com/banbox/banexg"
"github.com/banbox/banstagy/ptn"
ta "github.com/banbox/banta"
"math"
)
type OdInfo struct {
btmRate float64 // 锤子下影线占价格的比率
closeRate float64 // 锤子收盘价占价格比率，与上一个相同说明是阴线
}
type MoreHammer struct {
ents [][2]float64 // 前面信号的特征：atrBase比率，回撤比率
backRate float64 // 历史平均回撤比率
lastEnt int // 上次出现信号时BarNum
entBar *banexg.Kline // 上次信号的Bar
minPrice float64 // 信号后最低价格
minAt int // 信号后最低价格索引
atrTimes float64 // 信号是atrBase的倍数
odInfos map[int64]*OdInfo // 订单ID对应的信息
}
func StartWatch(e *ta.BarEnv, more *MoreHammer, bar *banexg.Kline, atrTimes float64) {
more.lastEnt = e.BarNum
more.entBar = bar
more.atrTimes = atrTimes
}
func UpdateWatch(s *strat.StratJob, more *MoreHammer, c, l float64, watchMin, watchMax, refNum int) {
distNum := s.Env.BarNum - more.lastEnt
bar := more.entBar
if distNum > watchMax || distNum > watchMin && (c-bar.Close)/(max(bar.Open, bar.Close)-bar.Low) > 0.2 {
// 超过最大观察个数；或者盈利超过锤子的20%，退出观察
CloseWatch(s, more, refNum)
return
}
// 处于有效观察期内，更新
if more.minPrice == 0 {
more.minPrice = l
} else if l < more.minPrice {
more.minPrice = l
more.minAt = distNum
if more.minPrice < bar.Low {
CloseWatch(s, more, refNum)
}
}
}
func CloseWatch(s *strat.StratJob, more *MoreHammer, refNum int) {
if more.lastEnt == 0 {
return
}
defer func() {
more.lastEnt = 0
more.atrTimes = 0
more.minPrice = 0
more.minAt = 0
more.entBar = nil
}()
bar := more.entBar
if more.minPrice == 0 || more.minPrice < bar.Low {
// 价格突破锤子下影线，不再看涨，不作为信号参考
return
}
backUp := bar.Close - bar.Low
backRate := (bar.Close - more.minPrice) / backUp
backRate = max(0, backRate)
more.ents = append(more.ents, [2]float64{more.atrTimes, backRate})
if len(more.ents) > refNum {
more.ents = more.ents[:refNum]
}
sumRate := float64(0)
for _, it := range more.ents {
sumRate += it[1]
}
more.backRate = sumRate / float64(len(more.ents))
backUpRate := backUp / bar.Close
line := fmt.Sprintf("%v,%.1f,%.1f,%.1f,%v", s.Symbol.Symbol, backUpRate*100,
more.atrTimes, backRate*100, more.minAt)
s.Strat.WriteOutput(line, true)
}
func makeOnBar(atrLen, refNum, watchMin, watchMax int, baseRate float64) func(s *strat.StratJob) {
return func(s *strat.StratJob) {
e := s.Env
ma5 := ta.SMA(e.Close, 5).Get(0)
atr := ta.ATR(e.High, e.Low, e.Close, atrLen)
baseAtrLen := int(math.Round(float64(atrLen) * 4.3))
atrBase := ta.Lowest(ta.Highest(atr, atrLen), baseAtrLen).Get(0)
maSml := ta.SMA(e.Close, 50).Get(0)
maBig := ta.SMA(e.Close, 300).Get(0)
more, _ := s.More.(*MoreHammer)
o, h, l, c := ptn.GetMains(e, 0)
if math.IsNaN(atrBase) || c < maSml && maSml < maBig {
return
}
price := com.GetPrice(s.Symbol.Symbol, "")
_ = c == price
v := e.Volume.Get(0)
solid := math.Abs(o - c)
btm := min(o, c) - l
up := h - max(o, c)
if btm > max(2.0*solid, up*5.0, atrBase*baseRate) && c < ma5 {
// 检查是否处于信号后观察模式
CloseWatch(s, more, refNum)
// 开始新观察
bar := &banexg.Kline{Time: e.TimeStart, Open: o, High: h, Low: l, Close: c, Volume: v}
StartWatch(e, more, bar, btm/atrBase)
// 创建入场订单
limit := c - (c-l)*more.backRate*0.55
stopLoss := c - atr.Get(0)*3.0
if stopLoss >= min(limit, c) {
stopLoss = min(limit, c) - atr.Get(0)
}
err := s.OpenOrder(&strat.EnterReq{
Tag: "long",
Limit: limit,
StopLoss: stopLoss,
})
if err != nil {
fmt.Printf("open fail %v", err)
}
} else if more.lastEnt > 0 {
// 更新观察数据
UpdateWatch(s, more, c, l, watchMin, watchMax, refNum)
}
}
}
func onOrderChange(s *strat.StratJob, od *ormo.InOutOrder, chgType int) {
if chgType != strat.OdChgEnter {
// 只监听入场事件
return
}
more, _ := s.More.(*MoreHammer)
if more.entBar == nil {
return
}
bar := more.entBar
closePct := (bar.Close - bar.Low) / bar.Close
btmPct := (min(bar.Open, bar.Close) - bar.Low) / bar.Close
more.odInfos[od.ID] = &OdInfo{
btmRate: btmPct,
closeRate: closePct,
}
}
/*
生成回撤止损函数
第一个alpha参数调整反弹值
thres是二维数组，每一维2个，第一个是反弹阈值，第二个是返回的止损阈值；应按第一个降序排列
*/
func makeDrawDownExit(alpha float64, thres [][2]float64) func(s *strat.StratJob, od *ormo.InOutOrder, maxChg float64) float64 {
return func(s *strat.StratJob, od *ormo.InOutOrder, maxChg float64) float64 {
more, _ := s.More.(*MoreHammer)
info, ok := more.odInfos[od.ID]
if !ok {
return -1
}
// 盈利比率占锤子反弹的比率
// 建议超参数测试顺序：case upRate -> upRate 尾部系数 -> switch rate -> btmRate/closeRate
upRate := maxChg / info.btmRate * alpha
for _, item := range thres {
if upRate > item[0] {
return item[1]
}
}
return 0
}
}

45
ptn/hammer/v1.go Normal file
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package hammer
import (
"fmt"
"github.com/banbox/banbot/config"
"github.com/banbox/banbot/strat"
ta "github.com/banbox/banta"
"math"
)
const v1AtrLen = 14
func MainV1(pol *config.RunPolicyConfig) *strat.TradeStrat {
return &strat.TradeStrat{
Version: 1,
WarmupNum: 30,
MinTfScore: 0.75,
DrawDownExit: true,
OnBar: func(s *strat.StratJob) {
e := s.Env
ma5 := ta.SMA(e.Close, 5).Get(0)
atr := ta.ATR(e.High, e.Low, e.Close, v1AtrLen)
baseAtrLen := int(math.Round(float64(v1AtrLen) * 4.3))
atrBase := ta.Lowest(ta.Highest(atr, v1AtrLen), baseAtrLen).Get(0)
if math.IsNaN(atrBase) {
return
}
o, h, l, c := e.Open.Get(0), e.High.Get(0), e.Low.Get(0), e.Close.Get(0)
solid := math.Abs(o - c)
btm := min(o, c) - l
up := h - max(o, c)
if btm > max(2.0*solid, up*5.0, atrBase*3) && c < ma5 {
stopLoss := c - atr.Get(0)*3.0
err := s.OpenOrder(&strat.EnterReq{
Tag: "long",
StopLoss: stopLoss,
})
if err != nil {
fmt.Printf("open fail %v", err)
}
}
},
}
}

27
ptn/hammer/v2.go Normal file
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package hammer
import (
"github.com/banbox/banbot/config"
"github.com/banbox/banbot/strat"
)
const (
v2AtrLen = 14
v2WatchMin = 5 // 入场后观察后续蜡烛的最少个数
v2WatchMax = 100 // 入场后观察后续蜡烛的最多个数
v2RefNum = 20 // 回顾历史回撤的数量
)
func MainV2(pol *config.RunPolicyConfig) *strat.TradeStrat {
return &strat.TradeStrat{
Version: 1,
WarmupNum: 3000,
MinTfScore: 0.75,
DrawDownExit: true,
StopEnterBars: 10,
OnStartUp: func(s *strat.StratJob) {
s.More = &MoreHammer{}
},
OnBar: makeOnBar(v2AtrLen, v2RefNum, v2WatchMin, v2WatchMax, 3),
}
}

35
ptn/hammer/v3.go Normal file
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package hammer
import (
"github.com/banbox/banbot/config"
"github.com/banbox/banbot/strat"
)
const (
v3AtrLen = 14
v3WatchMin = 5 // 入场后观察后续蜡烛的最少个数
v3WatchMax = 100 // 入场后观察后续蜡烛的最多个数
v3RefNum = 20 // 回顾历史回撤的数量
)
func MainV3(pol *config.RunPolicyConfig) *strat.TradeStrat {
return &strat.TradeStrat{
Version: 1,
WarmupNum: 3000,
MinTfScore: 0.75,
DrawDownExit: true,
StopEnterBars: 10,
OnStartUp: func(s *strat.StratJob) {
s.More = &MoreHammer{
odInfos: map[int64]*OdInfo{},
}
},
OnBar: makeOnBar(v3AtrLen, v3RefNum, v3WatchMin, v3WatchMax, 3),
OnOrderChange: onOrderChange,
GetDrawDownExitRate: makeDrawDownExit(0.8, [][2]float64{
{0.625, 0.25},
{0.3, 0.37},
{0.15, 0.5},
}),
}
}

35
ptn/hammer/v4.go Normal file
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package hammer
import (
"github.com/banbox/banbot/config"
"github.com/banbox/banbot/strat"
)
const (
v4AtrLen = 14
v4WatchMin = 5 // 入场后观察后续蜡烛的最少个数
v4WatchMax = 100 // 入场后观察后续蜡烛的最多个数
v4RefNum = 20 // 回顾历史回撤的数量
)
func MainV4(pol *config.RunPolicyConfig) *strat.TradeStrat {
return &strat.TradeStrat{
Version: 1,
WarmupNum: 3000,
MinTfScore: 0.75,
DrawDownExit: true,
StopEnterBars: 10,
OnStartUp: func(s *strat.StratJob) {
s.More = &MoreHammer{
odInfos: map[int64]*OdInfo{},
}
},
OnBar: makeOnBar(v4AtrLen, v4RefNum, v4WatchMin, v4WatchMax, 2.76),
OnOrderChange: onOrderChange,
GetDrawDownExitRate: makeDrawDownExit(0.8, [][2]float64{
{0.625, 0.25},
{0.3, 0.37},
{0.15, 0.5},
}),
}
}

96
ptn/hammer/v5.go Normal file
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package hammer
import (
"fmt"
"github.com/banbox/banbot/config"
"github.com/banbox/banbot/strat"
"github.com/banbox/banexg"
ta "github.com/banbox/banta"
"math"
)
/*
加入RSI低于55限制，同时调低atr倍率，允许更多机会。
测试效果不如V4，弃用
*/
const (
v5AtrLen = 14
v5WatchMin = 5 // 入场后观察后续蜡烛的最少个数
v5WatchMax = 100 // 入场后观察后续蜡烛的最多个数
v5RefNum = 20 // 回顾历史回撤的数量
)
func makeV5OnBar(atrLen, refNum, watchMin, watchMax int, baseRate float64) func(s *strat.StratJob) {
return func(s *strat.StratJob) {
e := s.Env
ma5 := ta.SMA(e.Close, 5).Get(0)
atr := ta.ATR(e.High, e.Low, e.Close, atrLen)
baseAtrLen := int(math.Round(float64(atrLen) * 4.3))
atrBase := ta.Lowest(ta.Highest(atr, atrLen), baseAtrLen).Get(0)
rsiCol := ta.RSI(e.Close, 20)
rsi, rsiPrv := rsiCol.Get(0), rsiCol.Get(1)
more, _ := s.More.(*MoreHammer)
if math.IsNaN(atrBase) {
return
}
rsiOk := rsiPrv >= 70 && rsiPrv-rsi > 30 || (rsiPrv+rsi)/2 < 55
if !rsiOk {
return
}
o, h, l, c := e.Open.Get(0), e.High.Get(0), e.Low.Get(0), e.Close.Get(0)
v := e.Volume.Get(0)
solid := math.Abs(o - c)
btm := min(o, c) - l
up := h - max(o, c)
if btm > max(2.0*solid, up*5.0, atrBase*baseRate) && c < ma5 {
// 检查是否处于信号后观察模式
CloseWatch(s, more, refNum)
// 开始新观察
bar := &banexg.Kline{Time: e.TimeStart, Open: o, High: h, Low: l, Close: c, Volume: v}
StartWatch(e, more, bar, btm/atrBase)
// 创建入场订单
limit := c - (c-l)*more.backRate*0.55
stopLoss := c - atr.Get(0)*3.0
if stopLoss >= limit {
stopLoss = limit - atr.Get(0)
}
err := s.OpenOrder(&strat.EnterReq{
Tag: "long",
Limit: limit,
StopLoss: stopLoss,
})
if err != nil {
fmt.Printf("open fail %v", err)
}
} else if more.lastEnt > 0 {
// 更新观察数据
UpdateWatch(s, more, c, l, watchMin, watchMax, refNum)
}
}
}
func MainV5(pol *config.RunPolicyConfig) *strat.TradeStrat {
return &strat.TradeStrat{
Version: 1,
WarmupNum: 3000,
MinTfScore: 0.75,
DrawDownExit: true,
StopEnterBars: 10,
OnStartUp: func(s *strat.StratJob) {
s.More = &MoreHammer{
odInfos: map[int64]*OdInfo{},
}
},
OnBar: makeV5OnBar(v5AtrLen, v5RefNum, v5WatchMin, v5WatchMax, 2.2),
OnOrderChange: onOrderChange,
GetDrawDownExitRate: makeDrawDownExit(0.8, [][2]float64{
{0.625, 0.25},
{0.3, 0.37},
{0.15, 0.5},
}),
}
}