init

trend/eelfranzTDI.go

@@ -0,0 +1,86 @@
+package trend
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/strat"
+	ta "github.com/banbox/banta"
+	"math"
+)
+
+/*
+https://www.forexfactory.com/thread/291622-trading-made-simple
+在1d周期，大多数品种上长期较好；稳定性一般
+*/
+
+func eelfranzTDI(p *config.RunPolicyConfig) *strat.TradeStrat {
+	var rsiLen = p.DefInt("rsiLen", 13, core.PNorm(8, 25))
+	var rsiMaLen = p.DefInt("rsiMa", 34, core.PNorm(20, 40))
+	var fastLen = p.DefInt("fast", 2, core.PNorm(2, 5))
+	var slowLen = p.DefInt("slow", 7, core.PNorm(4, 15))
+	return &strat.TradeStrat{
+		WarmupNum: 50,
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			rsi := ta.RSI(e.Close, rsiLen)
+			rsiMa := ta.SMA(rsi, rsiMaLen).Get(0)
+
+			stDev := StDev(rsi, rsiMaLen).Get(0)
+			upZone := rsiMa + 1.6185*stDev
+			dnZone := rsiMa - 1.6185*stDev
+			// market base line
+			marketBase := (upZone + dnZone) / 2
+
+			// rsi price line: green
+			fast := ta.SMA(rsi, fastLen).Get(0)
+			// trade signal line: red
+			slow := ta.SMA(rsi, slowLen).Get(0)
+
+			if len(s.LongOrders) > 0 {
+				if fast < slow {
+					s.CloseOrders(&strat.ExitReq{
+						Tag:  "exitL",
+						Dirt: core.OdDirtLong,
+					})
+				}
+			} else if fast > max(slow, marketBase) {
+				s.OpenOrder(&strat.EnterReq{
+					Tag: "long",
+				})
+			}
+			if len(s.ShortOrders) > 0 {
+				if fast > slow {
+					s.CloseOrders(&strat.ExitReq{
+						Tag:  "exitS",
+						Dirt: core.OdDirtShort,
+					})
+				}
+			} else if slow > max(fast, marketBase) {
+				s.OpenOrder(&strat.EnterReq{
+					Tag:   "short",
+					Short: true,
+				})
+			}
+		},
+	}
+}
+
+func StDev(obj *ta.Series, period int) *ta.Series {
+	res := obj.To("stDev", period)
+	if res.Cached() {
+		return res
+	}
+	arr := ta.WrapFloatArr(res, period, obj.Get(0))
+	if len(arr) < period {
+		return res.Append(math.NaN())
+	} else {
+		var sum, ssum float64
+		for _, v := range arr {
+			sum += v
+			ssum += v * v
+		}
+		var lenFlt = float64(period)
+		variance := (ssum*lenFlt - sum*sum) / (lenFlt * (lenFlt - 1))
+		return res.Append(math.Sqrt(variance))
+	}
+}