init

surge/down_test.go

@@ -0,0 +1,108 @@
+package surge
+
+import (
+	"bufio"
+	"fmt"
+	"github.com/banbox/banbot/btime"
+	"github.com/banbox/banbot/core"
+	ta "github.com/banbox/banta"
+	"math"
+	"os"
+	"strconv"
+	"strings"
+	"testing"
+	"time"
+)
+
+/*
+测试顺势暴跌做空。应对2025-10-10
+*/
+
+func TestDownQwen(t *testing.T) {
+	stamps, data, err := ParseFile("E:\\trade\\go\\bandata\\backtest\\bdb35c1d91\\surge_alldown.log")
+	if err != nil {
+		panic(err)
+	}
+
+	env, _ := ta.NewBarEnv("", "", "", "1m")
+	lenS := env.NewSeries(nil)
+	volS := env.NewSeries(nil)
+
+	var prevLen float64
+	var volThres = 2.8
+	var holdBars int
+	var holdAmt, openDirt float64
+	for i, row := range data {
+		timeMS := stamps[i]
+		vol, solid, lenMid, _, len66 := row[0], row[1], row[2], row[3], row[4]
+		if math.IsNaN(lenMid) {
+			continue
+		}
+		env.TimeStop = timeMS
+		lenS.Append(lenMid)
+		volS.Append(vol)
+		volMa1 := ta.SMA(volS, 3).Get(1)
+		low5len := ta.Lowest(lenS, 30).Get(1)
+		if openDirt != 0 {
+			// 正在做空/多
+			holdAmt += lenMid
+			holdBars += 1
+			if lenMid*openDirt < 0 {
+				dateStr := btime.ToDateStr(timeMS, core.DefaultDateFmt)
+				fmt.Printf("%s close, hold %d total: %.2f\n", dateStr, holdBars, holdAmt*openDirt)
+				openDirt, holdBars = 0, 0
+				holdAmt = 0
+			}
+		} else if vol > volThres && lenMid < low5len && len66 < 0 && solid < -0.5 && prevLen < 0 {
+			// 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
+			// 与前一个k线比率不超过3
+			prevRate := lenMid / prevLen
+			if prevRate < 3 && prevRate > 1.5 && vol/volMa1 < 2 {
+				openDirt = -1
+				fmt.Printf("%s short, thres: %.2f vol: %.2f len: %.2f solid: %.2f\n",
+					btime.ToDateStr(timeMS, core.DefaultDateFmt), volThres, vol, lenMid, solid)
+			}
+		}
+		prevLen = lenMid
+	}
+}
+
+func ParseFile(path string) ([]int64, [][5]float64, error) {
+	f, err := os.Open(path)
+	if err != nil {
+		return nil, nil, err
+	}
+	defer f.Close()
+
+	var ts []int64
+	var vals [][5]float64
+	scanner := bufio.NewScanner(f)
+	for scanner.Scan() {
+		t, v := ParseLine(scanner.Text())
+		if t != 0 {
+			ts = append(ts, t)
+			vals = append(vals, v)
+		}
+	}
+	return ts, vals, scanner.Err()
+}
+
+func ParseLine(s string) (int64, [5]float64) {
+	var arr [5]float64
+	f := strings.Fields(s)
+	if len(f) < 7 {
+		return 0, arr
+	}
+	t, err := time.ParseInLocation("2006-01-02 15:04:05", f[0]+" "+f[1], time.UTC)
+	if err != nil {
+		return 0, arr
+	}
+	for i := 0; i < 5; i++ {
+		v, err := strconv.ParseFloat(f[2+i], 64)
+		if err != nil {
+			return t.UnixMilli(), arr
+		}
+		arr[i] = v
+	}
+	return t.UnixMilli(), arr
+}