init

ptn/hammer/common.go

@@ -0,0 +1,179 @@
+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
+	}
+}