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,
+				})
+			}
+		},
+	}
+}