init

trend/fastio.go

@@ -0,0 +1,53 @@
+package trend
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/orm/ormo"
+	"github.com/banbox/banbot/strat"
+	ta "github.com/banbox/banta"
+	"math"
+)
+
+func fastIO(p *config.RunPolicyConfig) *strat.TradeStrat {
+	lenAtr := 15
+	baseAtrLen := int(math.Round(float64(lenAtr) * 4.3))
+	return &strat.TradeStrat{
+		WarmupNum:    100,
+		EachMaxLong:  1,
+		EachMaxShort: 1,
+		DrawDownExit: true,
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			rsi4 := ta.RSI50(e.Close, 4).Get(0)
+			rsi14 := ta.RSI50(e.Close, 14).Get(0)
+			atr := ta.ATR(e.High, e.Low, e.Close, lenAtr)
+			atrBase := ta.Lowest(ta.Highest(atr, lenAtr), baseAtrLen).Get(0)
+
+			if rsi4 > 30 && rsi14 > 25 && rsi14 < 40 {
+				s.OpenOrder(&strat.EnterReq{
+					Tag:           "long",
+					StopLossVal:   atrBase,
+					TakeProfitVal: atrBase * 2.5,
+				})
+			} else if rsi4 < -30 && rsi14 < -25 && rsi14 > -40 {
+				s.OpenOrder(&strat.EnterReq{
+					Tag:           "short",
+					Short:         true,
+					StopLossVal:   atrBase,
+					TakeProfitVal: atrBase * 2.5,
+				})
+			}
+		},
+		GetDrawDownExitRate: func(s *strat.StratJob, od *ormo.InOutOrder, maxChg float64) float64 {
+			sl := od.GetStopLoss()
+			if sl == nil {
+				return 0
+			}
+			slRate := sl.Range / od.Enter.Average
+			if maxChg > slRate {
+				return 0.63
+			}
+			return 0
+		},
+	}
+}