init

surge/alldown.go

@@ -0,0 +1,157 @@
+package surge
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/strat"
+	ta "github.com/banbox/banta"
+	"math"
+	"sort"
+)
+
+/*
+全市场瞬时暴跌做空策略。适用于十分钟跌去70%的情况。
+可使用下面脚本回测：surge/down_test.go
+E:\trade\go\bandata\backtest\bdb35c1d91\surge_alldown.log
+*/
+
+type AllDownSta struct {
+	volBase  float64 // 平均成交量
+	dirtRate float64 // K线方向倍率，范围约：[-3,3]
+	barRate  float64 // K线比率
+	volRate  float64 // 成交量倍率
+}
+
+func AllDown(p *config.RunPolicyConfig) *strat.TradeStrat {
+	//var allowLog = false
+
+	lenAtr, lenAtrS := 20, 30
+	baseAtrLen := int(math.Round(float64(lenAtr) * 4.3))
+	baseAtrLenS := baseAtrLen * 3 / 2
+
+	env, _ := ta.NewBarEnv("", "", "", "1m")
+	lenS := env.NewSeries(nil)
+	volS := env.NewSeries(nil)
+
+	var prevLen float64
+	var volThres = 2.8
+	var openDirt float64
+
+	return &strat.TradeStrat{
+		WarmupNum:  150,
+		BatchInOut: true,
+		TimeFrames: "1m",
+		OnStartUp: func(s *strat.StratJob) {
+			s.More = &AllDownSta{}
+		},
+		OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
+			return []*strat.PairSub{
+				{"_cur_", "15m", 100},
+			}
+		},
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			m, _ := s.More.(*AllDownSta)
+			atr := ta.ATR(e.High, e.Low, e.Close, lenAtrS)
+			atrBase := ta.Lowest(ta.Highest(atr, lenAtrS), baseAtrLenS).Get(0)
+			o, c := e.Open.Get(0), e.Close.Get(0)
+			h, l := e.High.Get(0), e.Low.Get(0)
+			m.dirtRate = (c - o) / atrBase
+			m.barRate = (c - o) / (h - l)
+			m.volRate = ta.EMA(e.Volume, lenAtr).Get(0) / m.volBase
+		},
+		OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
+			m, _ := s.More.(*AllDownSta)
+			maVol := ta.EMA(e.Volume, lenAtr)
+			m.volBase = ta.Lowest(ta.Highest(maVol, lenAtr), baseAtrLen).Get(0) / 3
+		},
+		OnBatchJobs: func(jobs []*strat.StratJob) {
+			jobNum := len(jobs)
+			volRates := make([]float64, 0, jobNum)
+			lenRates := make([]float64, 0, jobNum)
+			solidRates := make([]float64, 0, jobNum)
+			volIds := make([]*core.Int64Flt, 0, jobNum)
+			var timeMS int64
+			for i, j := range jobs {
+				m, _ := j.More.(*AllDownSta)
+				volRates = append(volRates, m.volRate)
+				lenRates = append(lenRates, m.dirtRate)
+				solidRates = append(solidRates, m.barRate)
+				timeMS = max(timeMS, j.Env.TimeStop)
+				volIds = append(volIds, &core.Int64Flt{
+					Int: int64(i),
+					Val: m.volRate,
+				})
+			}
+			sort.Float64s(volRates)
+			sort.Float64s(lenRates)
+			sort.Float64s(solidRates)
+			vol := volRates[jobNum/2]
+			solid := solidRates[jobNum/2]
+			lenMid := lenRates[jobNum/2]
+			//len33 := lenRates[jobNum/3]
+			len66 := lenRates[jobNum*2/3]
+
+			val := lenMid + vol
+			env.TimeStop = max(timeMS, env.TimeStop)
+			if math.IsNaN(val) || math.IsInf(val, 0) || lenS.Cached() {
+				return
+			}
+			lenS.Append(lenMid)
+			volS.Append(vol)
+			dataLen := volS.Len()
+			if dataLen > env.MaxCache*2 {
+				volS.Cut(env.MaxCache)
+				lenS.Cut(env.MaxCache)
+			}
+			volMa1 := ta.SMA(volS, 3).Get(1)
+			low5len := ta.Lowest(lenS, 30).Get(1)
+			if openDirt >= -1 && vol > volThres && lenMid < low5len && len66 < 0 && solid < -0.5 && prevLen < 0 {
+				// 成交量突破阈值，全市场大阴线，前一个也是阴线
+				prevRate := lenMid / prevLen
+				if prevRate < 3 && prevRate > 1.5 && vol/volMa1 < 2 {
+					// 与前一个k线比率不超过3，成交量缓慢增长
+					openDirt -= 1
+					costRate := 2.0
+					if vol < 4 {
+						costRate *= vol / 4
+					}
+					sort.Slice(volIds, func(i, j int) bool {
+						return volIds[i].Val < volIds[j].Val
+					})
+					// 做空成交量最大的1/3部分，获利最丰(收益45%, 55%, 66%)
+					items := volIds[jobNum*2/3:]
+					for _, it := range items {
+						jobs[it.Int].OpenOrder(&strat.EnterReq{
+							Tag:      "short",
+							CostRate: costRate,
+							Short:    true,
+						})
+					}
+				}
+			}
+			if openDirt < 0 {
+				// 正在做空/多
+				if lenMid*openDirt < 0 {
+					openDirt = 0
+					for _, job := range jobs {
+						job.CloseOrders(&strat.ExitReq{
+							Tag:   "exit",
+							Force: true,
+						})
+					}
+				}
+			}
+			prevLen = lenMid
+			//if !allowLog && vol > 2.5 {
+			//	allowLog = true
+			//}
+			//if !math.IsNaN(vol) {
+			//	jobs[0].Strat.WriteOutput(fmt.Sprintf("%.2f %.2f %.2f %.2f %.2f", vol, solid, lenMid, len33, len66), true)
+			//	if vol < 1.4 {
+			//		allowLog = false
+			//	}
+			//}
+		},
+	}
+}