init

trend/20250225/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})
+			}
+		},
+	}
+}