init

trend/MACDEMAV3.go

@@ -0,0 +1,114 @@
+package trend
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/orm/ormo"
+	"github.com/banbox/banbot/strat"
+	ta "github.com/banbox/banta"
+	"math"
+)
+
+/*
+基于MACDEMAV2，修改做空部分。做空的表现和SMACrossV1很相似，导致趋同性回撤
+
+压力位开空，止损为atr
+盈利空间超过atr，设置止损为c+atr
+盈利超过3倍atr，设置止损0.6
+10个bar时，小亏，直接平仓
+*/
+
+func MACDEMAV3(p *config.RunPolicyConfig) *strat.TradeStrat {
+	emaLen := p.DefInt("emaLen", 100, core.PNormF(30, 240, 100, 0))
+	macdRt := p.Def("macdRt", 1, core.PNormF(0.7, 3, 1.2, 0))
+
+	lenAtr := int(p.Def("atr", 29, core.PNorm(7, 40)))
+	baseAtrLen := int(float64(lenAtr) * 4.3)
+	mc1, mc2, mc3 := int(math.Round(12*macdRt)), int(math.Round(26*macdRt)), int(math.Round(9*macdRt))
+	p.KeepHyperOnly("emaLen", "macdRt")
+
+	stateKey := "state"
+	return &strat.TradeStrat{
+		WarmupNum:    500,
+		EachMaxLong:  1,
+		EachMaxShort: 1,
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			c := e.Close.Get(0)
+			atr := ta.ATR(e.High, e.Low, e.Close, lenAtr)
+			atrBase := ta.Lowest(ta.Highest(atr, lenAtr), baseAtrLen).Get(0)
+			atrVal := atr.Get(0)
+			atrMa := (atrBase + atrVal) / 2
+
+			ema := ta.EMA(e.Close, emaLen).Get(0)
+			macd, signal := ta.MACD(e.Close, mc1, mc2, mc3)
+			macdSub := macd.Get(0) - signal.Get(0)
+
+			hh3 := ta.Highest(e.High, 3).Get(0)
+			_, kdjD, _ := ta.KDJBy(e.High, e.Low, e.Close, 13, 3, 3, "sma")
+			dSMA := ta.SMA(kdjD, 3)
+			isYaLi := dSMA.Cross(80.5) == 1 // crossover
+
+			if (c-ema)*macdSub > 0 {
+				if macdSub < 0 {
+					if len(s.LongOrders) > 0 {
+						s.CloseOrders(&strat.ExitReq{
+							Tag:  "closeL",
+							Dirt: core.OdDirtLong,
+						})
+					}
+				} else {
+					//s.OpenOrder(&strat.EnterReq{
+					//	Tag: "long",
+					//})
+				}
+			}
+
+			if len(s.ShortOrders) > 0 {
+				low := e.Low.Get(0)
+				for _, od := range s.ShortOrders {
+					if od.Status < ormo.InOutStatusFullEnter {
+						continue
+					}
+					// state: 0初始止损  1平衡止损c+atr  2盈利宽止损
+					state := od.GetInfoFloat64(stateKey)
+					bestRange := od.InitPrice - low
+					sl := od.GetStopLoss()
+					if bestRange > atrMa*2 || state == 2 {
+						// 处于较好盈利
+						newSl := c + bestRange*0.35
+						if newSl < sl.Price {
+							od.SetStopLoss(&ormo.ExitTrigger{Price: newSl, Tag: "good"})
+							od.SetInfo(stateKey, 2)
+						}
+						continue
+					}
+					holdNum := e.BarCount(od.EnterAt)
+					if holdNum > 9.5 && od.Profit < 0 {
+						// 超过10个bar，依然亏，直接平
+						s.CloseOrders(&strat.ExitReq{Tag: "exit10", OrderID: od.ID})
+						continue
+					}
+					if bestRange > atrMa*0.6 || state == 1 {
+						// 处于平衡状态
+						newSL := c + atrMa*0.3
+						if newSL < sl.Price {
+							od.SetStopLoss(&ormo.ExitTrigger{Price: newSL, Tag: "zero"})
+							od.SetInfo(stateKey, 1)
+						}
+					}
+				}
+			}
+
+			if isYaLi && len(s.ShortOrders) == 0 {
+				s.OpenOrder(&strat.EnterReq{
+					Tag:      "short",
+					Short:    true,
+					Limit:    hh3 - atrMa*0.5,
+					StopLoss: hh3 + atrMa,
+					StopBars: 7,
+				})
+			}
+		},
+	}
+}