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This commit is contained in:
157
surge/alldown.go
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157
surge/alldown.go
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@@ -0,0 +1,157 @@
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package surge
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import (
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"github.com/banbox/banbot/config"
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"github.com/banbox/banbot/core"
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"github.com/banbox/banbot/strat"
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ta "github.com/banbox/banta"
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"math"
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"sort"
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)
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/*
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全市场瞬时暴跌做空策略。适用于十分钟跌去70%的情况。
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可使用下面脚本回测：surge/down_test.go
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E:\trade\go\bandata\backtest\bdb35c1d91\surge_alldown.log
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*/
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type AllDownSta struct {
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volBase float64 // 平均成交量
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dirtRate float64 // K线方向倍率，范围约：[-3,3]
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barRate float64 // K线比率
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volRate float64 // 成交量倍率
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}
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func AllDown(p *config.RunPolicyConfig) *strat.TradeStrat {
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//var allowLog = false
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lenAtr, lenAtrS := 20, 30
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baseAtrLen := int(math.Round(float64(lenAtr) * 4.3))
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baseAtrLenS := baseAtrLen * 3 / 2
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env, _ := ta.NewBarEnv("", "", "", "1m")
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lenS := env.NewSeries(nil)
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volS := env.NewSeries(nil)
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var prevLen float64
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var volThres = 2.8
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var openDirt float64
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return &strat.TradeStrat{
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WarmupNum: 150,
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BatchInOut: true,
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TimeFrames: "1m",
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OnStartUp: func(s *strat.StratJob) {
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s.More = &AllDownSta{}
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},
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OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
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return []*strat.PairSub{
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{"_cur_", "15m", 100},
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}
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},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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m, _ := s.More.(*AllDownSta)
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atr := ta.ATR(e.High, e.Low, e.Close, lenAtrS)
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atrBase := ta.Lowest(ta.Highest(atr, lenAtrS), baseAtrLenS).Get(0)
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o, c := e.Open.Get(0), e.Close.Get(0)
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h, l := e.High.Get(0), e.Low.Get(0)
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m.dirtRate = (c - o) / atrBase
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m.barRate = (c - o) / (h - l)
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m.volRate = ta.EMA(e.Volume, lenAtr).Get(0) / m.volBase
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},
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OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
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m, _ := s.More.(*AllDownSta)
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maVol := ta.EMA(e.Volume, lenAtr)
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m.volBase = ta.Lowest(ta.Highest(maVol, lenAtr), baseAtrLen).Get(0) / 3
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},
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OnBatchJobs: func(jobs []*strat.StratJob) {
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jobNum := len(jobs)
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volRates := make([]float64, 0, jobNum)
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lenRates := make([]float64, 0, jobNum)
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solidRates := make([]float64, 0, jobNum)
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volIds := make([]*core.Int64Flt, 0, jobNum)
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var timeMS int64
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for i, j := range jobs {
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m, _ := j.More.(*AllDownSta)
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volRates = append(volRates, m.volRate)
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lenRates = append(lenRates, m.dirtRate)
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solidRates = append(solidRates, m.barRate)
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timeMS = max(timeMS, j.Env.TimeStop)
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volIds = append(volIds, &core.Int64Flt{
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Int: int64(i),
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Val: m.volRate,
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})
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}
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sort.Float64s(volRates)
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sort.Float64s(lenRates)
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sort.Float64s(solidRates)
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vol := volRates[jobNum/2]
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solid := solidRates[jobNum/2]
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lenMid := lenRates[jobNum/2]
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//len33 := lenRates[jobNum/3]
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len66 := lenRates[jobNum*2/3]
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val := lenMid + vol
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env.TimeStop = max(timeMS, env.TimeStop)
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if math.IsNaN(val) || math.IsInf(val, 0) || lenS.Cached() {
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return
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}
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lenS.Append(lenMid)
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volS.Append(vol)
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dataLen := volS.Len()
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if dataLen > env.MaxCache*2 {
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volS.Cut(env.MaxCache)
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lenS.Cut(env.MaxCache)
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}
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volMa1 := ta.SMA(volS, 3).Get(1)
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low5len := ta.Lowest(lenS, 30).Get(1)
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if openDirt >= -1 && vol > volThres && lenMid < low5len && len66 < 0 && solid < -0.5 && prevLen < 0 {
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// 成交量突破阈值，全市场大阴线，前一个也是阴线
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prevRate := lenMid / prevLen
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if prevRate < 3 && prevRate > 1.5 && vol/volMa1 < 2 {
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// 与前一个k线比率不超过3，成交量缓慢增长
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openDirt -= 1
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costRate := 2.0
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if vol < 4 {
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costRate *= vol / 4
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}
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sort.Slice(volIds, func(i, j int) bool {
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return volIds[i].Val < volIds[j].Val
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})
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// 做空成交量最大的1/3部分，获利最丰(收益45%, 55%, 66%)
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items := volIds[jobNum*2/3:]
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for _, it := range items {
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jobs[it.Int].OpenOrder(&strat.EnterReq{
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Tag: "short",
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CostRate: costRate,
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Short: true,
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})
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}
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}
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}
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if openDirt < 0 {
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// 正在做空/多
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if lenMid*openDirt < 0 {
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openDirt = 0
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for _, job := range jobs {
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job.CloseOrders(&strat.ExitReq{
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Tag: "exit",
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Force: true,
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})
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}
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}
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}
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prevLen = lenMid
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//if !allowLog && vol > 2.5 {
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// allowLog = true
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//}
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//if !math.IsNaN(vol) {
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// jobs[0].Strat.WriteOutput(fmt.Sprintf("%.2f %.2f %.2f %.2f %.2f", vol, solid, lenMid, len33, len66), true)
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// if vol < 1.4 {
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// allowLog = false
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// }
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//}
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},
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}
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}
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10
surge/common.go
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10
surge/common.go
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@@ -0,0 +1,10 @@
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package surge
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import "github.com/banbox/banbot/strat"
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func init() {
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strat.AddStratGroup("surge", map[string]strat.FuncMakeStrat{
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"maxVol": goMaxVol,
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"alldown": AllDown,
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})
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}
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108
surge/down_test.go
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108
surge/down_test.go
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@@ -0,0 +1,108 @@
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package surge
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import (
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"bufio"
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"fmt"
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"github.com/banbox/banbot/btime"
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"github.com/banbox/banbot/core"
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ta "github.com/banbox/banta"
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"math"
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"os"
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"strconv"
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"strings"
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"testing"
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"time"
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)
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/*
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测试顺势暴跌做空。应对2025-10-10
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*/
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func TestDownQwen(t *testing.T) {
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stamps, data, err := ParseFile("E:\\trade\\go\\bandata\\backtest\\bdb35c1d91\\surge_alldown.log")
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if err != nil {
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panic(err)
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}
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env, _ := ta.NewBarEnv("", "", "", "1m")
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lenS := env.NewSeries(nil)
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volS := env.NewSeries(nil)
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var prevLen float64
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var volThres = 2.8
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var holdBars int
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var holdAmt, openDirt float64
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for i, row := range data {
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timeMS := stamps[i]
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vol, solid, lenMid, _, len66 := row[0], row[1], row[2], row[3], row[4]
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if math.IsNaN(lenMid) {
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continue
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}
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env.TimeStop = timeMS
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lenS.Append(lenMid)
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volS.Append(vol)
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volMa1 := ta.SMA(volS, 3).Get(1)
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low5len := ta.Lowest(lenS, 30).Get(1)
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if openDirt != 0 {
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// 正在做空/多
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holdAmt += lenMid
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holdBars += 1
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if lenMid*openDirt < 0 {
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dateStr := btime.ToDateStr(timeMS, core.DefaultDateFmt)
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fmt.Printf("%s close, hold %d total: %.2f\n", dateStr, holdBars, holdAmt*openDirt)
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openDirt, holdBars = 0, 0
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holdAmt = 0
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}
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} else if vol > volThres && lenMid < low5len && len66 < 0 && solid < -0.5 && prevLen < 0 {
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// 成交量突破阈值，中位数阴线，3个len全部阴线，中位数创新低
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// 与前一个k线比率不超过3
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prevRate := lenMid / prevLen
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if prevRate < 3 && prevRate > 1.5 && vol/volMa1 < 2 {
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openDirt = -1
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fmt.Printf("%s short, thres: %.2f vol: %.2f len: %.2f solid: %.2f\n",
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btime.ToDateStr(timeMS, core.DefaultDateFmt), volThres, vol, lenMid, solid)
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}
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}
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prevLen = lenMid
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}
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}
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func ParseFile(path string) ([]int64, [][5]float64, error) {
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f, err := os.Open(path)
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if err != nil {
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return nil, nil, err
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}
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defer f.Close()
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var ts []int64
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var vals [][5]float64
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scanner := bufio.NewScanner(f)
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for scanner.Scan() {
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t, v := ParseLine(scanner.Text())
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if t != 0 {
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ts = append(ts, t)
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vals = append(vals, v)
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}
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}
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return ts, vals, scanner.Err()
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}
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func ParseLine(s string) (int64, [5]float64) {
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var arr [5]float64
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f := strings.Fields(s)
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if len(f) < 7 {
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return 0, arr
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}
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t, err := time.ParseInLocation("2006-01-02 15:04:05", f[0]+" "+f[1], time.UTC)
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if err != nil {
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return 0, arr
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}
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for i := 0; i < 5; i++ {
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v, err := strconv.ParseFloat(f[2+i], 64)
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if err != nil {
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return t.UnixMilli(), arr
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}
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arr[i] = v
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}
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return t.UnixMilli(), arr
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}
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43
surge/max_vol.go
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43
surge/max_vol.go
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@@ -0,0 +1,43 @@
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package surge
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import (
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"fmt"
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"github.com/banbox/banbot/config"
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"github.com/banbox/banbot/strat"
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ta "github.com/banbox/banta"
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)
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type volSta struct {
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rate float64
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}
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func goMaxVol(pol *config.RunPolicyConfig) *strat.TradeStrat {
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return &strat.TradeStrat{
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WarmupNum: 100,
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BatchInOut: true,
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OnStartUp: func(s *strat.StratJob) {
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s.More = &volSta{}
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},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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more, _ := s.More.(*volSta)
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bigVolMa := ta.SMA(e.Volume, 100).Get(0)
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more.rate = e.Volume.Get(0)/bigVolMa - 1
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},
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OnBatchJobs: func(jobs []*strat.StratJob) {
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var maxIn, maxOut *strat.StratJob
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var inVal, outVal float64
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for _, j := range jobs {
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sta, _ := j.More.(*volSta)
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if sta.rate < outVal {
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outVal = sta.rate
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maxOut = j
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} else if sta.rate > inVal {
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inVal = sta.rate
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maxIn = j
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}
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}
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fmt.Printf("%v %v", maxIn, maxOut)
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},
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}
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}
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