init

trend/dv2.go

@@ -0,0 +1,59 @@
+package trend
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/strat"
+	ta "github.com/banbox/banta"
+)
+
+/*
+基于DV2超卖且大均线上方时做多
+基于RSI4百分位排名超卖，且大均线上方时做多
+
+效果好于双均线仅做多。
+
+DV2加入做空部分持续亏钱
+RSI加入做空变化不大
+*/
+
+func DVRSI(p *config.RunPolicyConfig) *strat.TradeStrat {
+	return &strat.TradeStrat{
+		WarmupNum:     100,
+		RunTimeFrames: []string{"4h"},
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			c := e.Close.Get(0)
+			dv := ta.DV2(e.High, e.Low, e.Close, 126, 2).Get(0)
+			sma := ta.SMA(e.Close, 50).Get(0)
+			ma10 := ta.SMA(e.Close, 10).Get(0)
+			rsi := ta.PercentRank(ta.RSI(e.Close, 4), 126).Get(0)
+			atr := ta.ATR(e.High, e.Low, e.Close, 14).Get(0)
+			if len(s.LongOrders) > 0 {
+				if c < ma10 {
+					for _, o := range s.LongOrders {
+						holdNum := e.BarCount(o.EnterAt)
+						if holdNum > 5 {
+							s.CloseOrders(&strat.ExitReq{Tag: "exitL", OrderID: o.ID})
+						}
+					}
+				}
+			} else if len(s.ShortOrders) > 0 {
+				if c > ma10 {
+					for _, o := range s.ShortOrders {
+						holdNum := e.BarCount(o.EnterAt)
+						if holdNum > 5 {
+							s.CloseOrders(&strat.ExitReq{Tag: "exitS", OrderID: o.ID})
+						}
+					}
+				}
+			} else if dv <= 10 && c > sma {
+				s.OpenOrder(&strat.EnterReq{Tag: "long", StopLossVal: atr * 3})
+			} else if rsi < 10 && c > sma {
+				s.OpenOrder(&strat.EnterReq{Tag: "long", StopLossVal: atr * 3})
+			}
+			//else if rsi > 90 && c < sma {
+			//	s.OpenOrder(&strat.EnterReq{Tag: "short", Short: true, StopLossVal: atr})
+			//}
+		},
+	}
+}