init

ptn/hammer/v5.go

@@ -0,0 +1,96 @@
+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},
+		}),
+	}
+}