init

ptn/tunmo.go

@@ -0,0 +1,110 @@
+package ptn
+
+import (
+	"fmt"
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/strat"
+	ta "github.com/banbox/banta"
+	"math"
+)
+
+type tunmoMore struct {
+	topVal float64
+	btmVal float64
+	barNum int
+}
+
+/*
+检查是否是吞没形态
+*/
+func isTunMo(e *ta.BarEnv) (int, float64, float64) {
+	o, h, l, c := GetMains(e, 0)
+	o1, h1, l1, c1 := GetMains(e, 1)
+	solid := math.Abs(o - c)
+	if solid/(h-l) < 0.6 {
+		// 第二个蜡烛实体至少60%
+		return 0, 0, 0
+	}
+	solid1 := math.Abs(o1 - c1)
+	if solid1/(h1-l1) <= 0.13 && solid > solid1*3 {
+		// 第一个是十字星，直接符合
+		if o > c {
+			return -1, min(l, l1), max(h, h1)
+		} else {
+			return 1, min(l, l1), max(h, h1)
+		}
+	}
+	if o < c {
+		// 后一个是阳线，要求前一个是阴线
+		if o1 > c1 && o1 <= c && c1 >= o {
+			// 前开<收盘 & 前收 > 开盘
+			return 1, min(l, l1), max(h, h1)
+		}
+	} else if o1 < c1 && c1 <= o && o1 >= c {
+		// 后一个阴线，要求前一个阳线
+		// 前收<开盘 & 前开 > 收盘
+		return -1, min(l, l1), max(h, h1)
+	}
+	return 0, 0, 0
+}
+
+func TunMo(pol *config.RunPolicyConfig) *strat.TradeStrat {
+	const v1AtrLen = 14
+	return &strat.TradeStrat{
+		Version:      1,
+		WarmupNum:    30,
+		MinTfScore:   0.75,
+		DrawDownExit: true,
+		OnStartUp: func(s *strat.StratJob) {
+			s.More = &tunmoMore{}
+		},
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			// ma5 := ta.SMA(e.Close, 5).Get(1)
+			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)
+
+			//rsiCol := ta.RSI(e.Close, 14)
+			//rsi := rsiCol.Range(0, 2)
+
+			if math.IsNaN(atrBase) || s.OrderNum > 0 {
+				return
+			}
+			m, _ := s.More.(*tunmoMore)
+			mode, btmVal, topVal := isTunMo(e)
+			if mode != 0 && atr.Get(0) > atrBase*2 {
+				m.btmVal = btmVal - atrBase
+				m.topVal = topVal + atrBase
+				m.barNum = e.BarNum
+			}
+			if e.BarNum-m.barNum > 10 {
+				// 忽略吞没形态10个之后的蜡烛
+				return
+			}
+			c := e.Close.Get(0)
+			//  slices.Max(rsi) > 70
+			// && c > ma5
+			if c > m.topVal {
+				stopLoss := max(m.topVal, c) + atr.Get(0)
+				err := s.OpenOrder(&strat.EnterReq{
+					Tag:      "short",
+					StopLoss: stopLoss,
+					Short:    true,
+				})
+				if err != nil {
+					fmt.Printf("open fail %v", err)
+				}
+			} else if c < m.btmVal {
+				stopLoss := min(m.btmVal, c) - atr.Get(0)
+				err := s.OpenOrder(&strat.EnterReq{
+					Tag:      "long",
+					StopLoss: stopLoss,
+				})
+				if err != nil {
+					fmt.Printf("open fail %v", err)
+				}
+			}
+		},
+	}
+}