init

2026-08-24 20:53:21 +08:00
commit 6e78bba16a
287 changed files with 32443 additions and 0 deletions
--- a/trend/20250225/SuperFollow.go
+++ b/trend/20250225/SuperFollow.go
@@ -0,0 +1,111 @@
+package trend
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/strat"
+	ta "github.com/banbox/banta"
+	"strconv"
+)
+
+/*
+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
+添加跟踪止损收益下降
+2025/02/24添加大周期方向开单权重，15品种夏普从9.43增长到10.48；最大回撤14.7%变为12.4%
+*/
+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 = 0
+		},
+		OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
+			return []*strat.PairSub{
+				{"_cur_", "1d", 100},
+			}
+		},
+		//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)
+			//bigDirt := s.More.(int)
+
+			openDirt := 0
+			overRate := 0.0
+			if dist < shortMult && adx < 20 {
+				if len(s.ShortOrders) == 0 {
+					openDirt = -1
+				}
+				overRate = dist / shortMult
+			} else if dist > mult {
+				if len(s.LongOrders) == 0 {
+					openDirt = 1
+				}
+				overRate = dist / mult
+			}
+			if openDirt != 0 {
+				costRate := overRate * 1.1
+				//if openDirt*bigDirt < 0 {
+				//	costRate *= 0.5
+				//}
+				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})
+					}
+				}
+			}
+		},
+		OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
+			maSml := ta.SMA(e.Close, 15)
+			maBig := ta.SMA(e.Close, 70)
+			s.More = maSml.Cross(maBig)
+		},
+	}
+}