init

2026-08-24 20:53:21 +08:00
commit 6e78bba16a
287 changed files with 32443 additions and 0 deletions
--- a/trend/20250208/MACDEMAV2.go
+++ b/trend/20250208/MACDEMAV2.go
@@ -0,0 +1,113 @@
+package trend
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/strat"
+	"github.com/banbox/banstagy/com"
+	ta "github.com/banbox/banta"
+	"math"
+)
+
+/*
+备份于2025/02/25
+测试加入1d的大周期过滤，对做多或做空都未获得更好效果，反而略差
+
+20210101-20250101
+只做多：1776%，回撤28.8%，夏普3.93
+多空双开：1913%，回撤22%，夏普4.53
+做空部分单独运行波动很大，但和做多一起运行可减少做多的回撤
+
+参考SMACross1加入海龟资金和ErDelta过滤后：
+170品种下：夏普从7.97提升到8.91，显示最大回撤从18.71%下降到17.65%；收益从718%变为707%
+*/
+type entExitMore struct {
+	enter *strat.EnterReq
+	exit  *strat.ExitReq
+}
+
+func MACDEMAV2(p *config.RunPolicyConfig) *strat.TradeStrat {
+	// 初始HMA  25  4
+	maType := com.DefMaType(p, "ma", com.MaHMA)                // hma 包揽优化列表头部
+	maLen := p.DefInt("maLen", 25, core.PNormF(7, 100, 25, 0)) // 超过40表现不佳，20多表现最好
+	maRate := p.Def("maRate", 4.1, core.PNorm(1.5, 7))
+	emaLen := p.DefInt("emaLen", 100, core.PNormF(30, 240, 100, 0))
+	macdRt := p.Def("macdRt", 1, core.PNormF(0.7, 3, 1.2, 0))
+	maBigLen := int(math.Round(float64(maLen) * maRate))
+	mc1, mc2, mc3 := int(math.Round(12*macdRt)), int(math.Round(26*macdRt)), int(math.Round(9*macdRt))
+	p.KeepHyperOnly("ma", "maLen", "maRate")
+	return &strat.TradeStrat{
+		WarmupNum:    500,
+		EachMaxLong:  1,
+		EachMaxShort: 1,
+		//OnStartUp: func(s *strat.StratJob) {
+		//	s.More = &entExitMore{}
+		//},
+		//OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
+		//	return []*strat.PairSub{
+		//		{"_cur_", "4h", 500},
+		//	}
+		//},
+		//OnBar: func(s *strat.StratJob) {
+		//	m, _ := s.More.(*entExitMore)
+		//	if m.enter != nil {
+		//		s.OpenOrder(m.enter)
+		//		m.enter = nil
+		//	}
+		//	if m.exit != nil {
+		//		s.CloseOrders(m.exit)
+		//		m.exit = nil
+		//	}
+		//},
+		//OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
+		//	m, _ := s.More.(*entExitMore)
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			c := e.Close.Get(0)
+			atr := ta.ATR(e.High, e.Low, e.Close, 30)
+			openRate := 0.015 * c / atr.Get(0)
+			if openRate < 1 {
+				openRate = math.Sqrt(openRate)
+			}
+			er := ta.ER(e.Close, 50)
+			erDelta := min(1.3, er.Get(0)/er.Get(12))
+			if erDelta > 1 {
+				openRate *= erDelta
+			} else {
+				openRate = 0
+			}
+
+			ema := ta.EMA(e.Close, emaLen).Get(0)
+			macd, signal := ta.MACD(e.Close, mc1, mc2, mc3)
+			macdSub := macd.Get(0) - signal.Get(0)
+
+			if c > ema && macdSub > 0 && len(s.LongOrders) == 0 {
+				s.OpenOrder(&strat.EnterReq{
+					Tag:      "long",
+					CostRate: openRate,
+				})
+			} else if len(s.LongOrders) > 0 && (macdSub < 0 && c < ema) {
+				s.CloseOrders(&strat.ExitReq{
+					Tag:  "closeL",
+					Dirt: core.OdDirtLong,
+				})
+			}
+
+			ma1 := com.GetMA(e.Close, e.Volume, maType, maLen)
+			ma2 := com.GetMA(e.Close, e.Volume, maType, maBigLen)
+			cross := ma1.Cross(ma2)
+			if cross == 1 && len(s.ShortOrders) > 0 {
+				s.CloseOrders(&strat.ExitReq{
+					Tag:  "closeS",
+					Dirt: core.OdDirtShort,
+				})
+			} else if cross == -1 && len(s.ShortOrders) == 0 {
+				s.OpenOrder(&strat.EnterReq{
+					Tag:      "short",
+					Short:    true,
+					CostRate: openRate,
+				})
+			}
+		},
+	}
+}
--- a/trend/20250208/SMACrossV1.go
+++ b/trend/20250208/SMACrossV1.go
@@ -0,0 +1,107 @@
+package trend
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/strat"
+	"github.com/banbox/banstagy/com"
+	ta "github.com/banbox/banta"
+	"math"
+)
+
+/*
+自研均线趋势策略，多空都开。适合1h
+在15m上，需把均线周期乘以4
+尝试加止损、止盈、限价入场，都会导致整体收益减少
+48个品种，21年到24年11月1日，累计收益1560%，最大回撤25%，夏普5.8
+
+总收益93%来自多头
+但加入空头可使夏普从4.8提高到5.8
+多空的参数独立，比同一套参数，收益更稳定些
+
+基于连续信号的商品期货交易策略
+https://mp.weixin.qq.com/s/6MS94OhGYhtjBQ1Ufa5Rag
+下面基于170固定品种：
+使用1.5%*Close/atr作为开仓倍数，夏普从8.12提升到9.63
+增加ErDelta过滤，夏普从9.63提升到11.03；最大回撤从21.8%降低到20.8%
+
+有效信号权重测试没有明显改善：
+OnStartUp: func(s *strat.StratJob) {
+	s.More = []float64{0.5, 0.5} // long, short
+},
+probs := s.More.([]float64)
+if x1 == 1{
+	newShort := probs[1] * 0.5
+	s.More = []float64{1 - newShort, newShort}
+	sigDelta := math.Abs(1 - newShort*2)
+	if sigDelta > 0.2 {
+		openRate *= (1 - newShort) * 1.7
+		s.OpenOrder(&strat.EnterReq{Tag: "long", CostRate: openRate})
+	}
+}
+if x2 == -1{
+	newLong := probs[0] * 0.5
+	s.More = []float64{newLong, 1 - newLong}
+	sigDelta := math.Abs(1 - newLong*2)
+	if sigDelta > 0.2 {
+		openRate *= (1 - newLong) * 1.7
+		s.OpenOrder(&strat.EnterReq{Tag: "short", Short: true, CostRate: openRate})
+	}
+}
+*/
+
+func SMACrossV1(p *config.RunPolicyConfig) *strat.TradeStrat {
+	// 初始：两个SMA    做空：SMA  15  8
+	maLType := com.DefMaType(p, "maL", com.MaSMA)
+	maSType := com.DefMaType(p, "maS", com.MaSMA)
+	maLLen := p.DefInt("maLLen", 20, core.PNormF(7, 70, 20, 0))
+	maSLen := p.DefInt("maSLen", 15, core.PNormF(5, 50, 15, 0))
+	maLRate := p.Def("maLRate", 9, core.PNorm(2, 15))
+	maSRate := p.Def("maSRate", 8, core.PNorm(2, 14))
+	maLBig := int(math.Round(float64(maLLen) * maLRate))
+	maSBig := int(math.Round(float64(maSLen) * maSRate))
+	p.KeepHyperOnly("maSLen", "maSRate")
+	return &strat.TradeStrat{
+		WarmupNum:    200,
+		EachMaxShort: 1,
+		EachMaxLong:  1,
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			c := e.Close.Get(0)
+			atr := ta.ATR(e.High, e.Low, e.Close, 30)
+			openRate := 0.015 * c / atr.Get(0)
+			if openRate < 1 {
+				openRate = math.Sqrt(openRate)
+			}
+			er := ta.ER(e.Close, 50)
+			erDelta := min(1.3, er.Get(0)/er.Get(12))
+			if erDelta > 1 {
+				openRate *= erDelta
+			} else {
+				// 过滤掉ER下降的
+				openRate = 0
+			}
+
+			// 方案一：多空SMA：略微平滑，收益略小一点
+			// 方案二：多空VWMA：略微波动大点，收益略好一点
+			price := ta.AvgPrice(e)
+			ma1 := com.GetMA(price, e.Volume, maLType, maLLen)
+			ma2 := com.GetMA(price, e.Volume, maLType, maLBig)
+			x1 := ma1.Cross(ma2)
+			if x1 == 1 && openRate > 0 {
+				s.OpenOrder(&strat.EnterReq{Tag: "long", CostRate: openRate})
+			} else if x1 == -1 {
+				s.CloseOrders(&strat.ExitReq{Tag: "xlong", Dirt: core.OdDirtLong})
+			}
+
+			ma3 := com.GetMA(price, e.Volume, maSType, maSLen)
+			ma4 := com.GetMA(price, e.Volume, maSType, maSBig)
+			x2 := ma3.Cross(ma4)
+			if x2 == -1 && openRate > 0 {
+				s.OpenOrder(&strat.EnterReq{Tag: "short", Short: true, CostRate: openRate})
+			} else if x2 == 1 {
+				s.CloseOrders(&strat.ExitReq{Tag: "xshort", Dirt: core.OdDirtShort})
+			}
+		},
+	}
+}
--- a/trend/20250208/SuperFollow.go
+++ b/trend/20250208/SuperFollow.go
@@ -0,0 +1,98 @@
+package trend
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/strat"
+	ta "github.com/banbox/banta"
+	"strconv"
+)
+
+/*
+版本1：备份：2025/02/23
+
+原始灵感：https://www.fmz.com/strategy/442547
+已改动了大部分
+
+测试在4h上表现最佳；210101-241101,48个品种
+收益1919%，回撤23%，夏普5.5
+添加adx过滤，收益增加
+测试使用ATRBase显著收益下降
+*/
+type supFlwMore struct {
+	enter   *strat.EnterReq
+	exitIds []int64
+}
+
+func SuperFollow(p *config.RunPolicyConfig) *strat.TradeStrat {
+	atrLen := 14 // 默认12
+	mult := p.Def("mult", 1.4, core.PNorm(0.7, 2.5))
+	sRate := p.Def("sRate", 1.1, core.PNorm(0.7, 1.8))
+	slAtr := p.Def("slAtr", 1.6, core.PNorm(1, 2.5))
+	tpRate := p.Def("tpRate", 3, core.PNorm(1.7, 5.5))
+	shortMult := -mult * sRate
+	return &strat.TradeStrat{
+		WarmupNum:    200,
+		EachMaxShort: 1,
+		EachMaxLong:  1,
+		//OnStartUp: func(s *strat.StratJob) {
+		//	s.More = &supFlwMore{}
+		//},
+		//OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
+		//	return []*strat.PairSub{
+		//		{"_cur_", "4h", 200},
+		//	}
+		//},
+		//OnBar: func(s *strat.StratJob) {
+		//	m, _ := s.More.(*supFlwMore)
+		//	if m.enter != nil {
+		//		s.OpenOrder(m.enter)
+		//		m.enter = nil
+		//	} else if len(m.exitIds) > 0 {
+		//		for _, id := range m.exitIds {
+		//			s.CloseOrders(&strat.ExitReq{Tag: "tooLong", OrderID: id})
+		//		}
+		//		m.exitIds = nil
+		//	}
+		//},
+		//OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
+		//	m, _ := s.More.(*supFlwMore)
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			o, c := e.Open.Get(0), e.Close.Get(0)
+			atr := ta.ATR(e.High, e.Low, e.Close, atrLen).Get(0)
+			dist := (c - o) / atr
+
+			adx := ta.ADX(e.High, e.Low, e.Close, 30).Get(0)
+
+			openDirt := 0
+			overRate := 0.0
+			if len(s.ShortOrders) == 0 && dist < shortMult && adx < 20 {
+				openDirt = -1
+				overRate = dist / shortMult
+			} else if len(s.LongOrders) == 0 && dist > mult {
+				openDirt = 1
+				overRate = dist / mult
+			}
+			if openDirt != 0 {
+				costRate := overRate * 1.1
+				s.OpenOrder(&strat.EnterReq{
+					Tag:           strconv.Itoa(openDirt),
+					Short:         openDirt < 0,
+					TakeProfitVal: atr * slAtr * tpRate * overRate,
+					StopLossVal:   atr * slAtr * overRate,
+					CostRate:      costRate,
+				})
+			} else {
+				// 长期未关闭的，超过200个平仓
+				odList := s.GetOrders(core.OdDirtBoth)
+				for _, od := range odList {
+					holdNum := e.BarCount(od.EnterAt)
+					if holdNum > 200 {
+						s.CloseOrders(&strat.ExitReq{Tag: "tooLong", OrderID: od.ID})
+					}
+				}
+			}
+		},
+	}
+}
--- a/trend/20250208/main.go
+++ b/trend/20250208/main.go
@@ -0,0 +1,11 @@
+package trend
+
+import "github.com/banbox/banbot/strat"
+
+func init() {
+	strat.AddStratGroup("20250208", map[string]strat.FuncMakeStrat{
+		"m01": SuperFollow,
+		"m02": MACDEMAV2,
+		"m03": SMACrossV1,
+	})
+}