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anyongjin
2026-08-24 20:53:21 +08:00
commit 6e78bba16a
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68
trend/ma1/common.go Normal file
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package ma1
import (
"github.com/banbox/banbot/config"
"github.com/banbox/banbot/strat"
"github.com/banbox/banstagy/com"
ta "github.com/banbox/banta"
"math"
)
func Main(pol *config.RunPolicyConfig) *strat.TradeStrat {
return MainV2_1(pol)
}
var (
// 这里是默认参数，请尽量在MainVX()中修改，不要在这里修改
periodBig = 30
periodSml = 10
parentRate = 0.7
periodParBig = int(float64(periodBig) * parentRate)
periodParSml = int(float64(periodSml) * parentRate)
sampleNum = 500 // 斜率采样数量
sampleStep = 2 // 斜率计算间隔
atrLen = 14
openOffRate = float64(0) // 开单时，从均线偏移基准ATR的倍数
goodRate = float64(10) // 收益超过此倍数的ATR时，将止损更新为均线
badRate = float64(5) // 损失超过此倍数的ATR时，止损退出
)
type MoreType struct {
*com.Slop
hitGoods map[int64]bool // 触发goodRate的订单ID，允许每个bar更新止损
open int // 1开多 -1开空
}
func onStartUp(s *strat.StratJob) {
s.More = &MoreType{
Slop: com.NewSlop(sampleNum, 0.25),
hitGoods: make(map[int64]bool),
}
}
func onInfoMaCross(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
smaSml := ta.SMA(e.Close, periodParSml)
smaBig := ta.SMA(e.Close, periodParBig)
x := smaSml.Cross(smaBig)
more, _ := s.More.(*MoreType)
if x == 1 || x == -1 {
more.Dirt = x
}
}
func onInfoMaSlop(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
sma := ta.SMA(e.Close, periodParBig)
prevSma := sma.Get(sampleStep)
if e.BarNum%sampleStep > 0 || math.IsNaN(prevSma) {
return
}
more, _ := s.More.(*MoreType)
curSma := sma.Get(0)
slop := (curSma - prevSma) / curSma
//more.Slop.Update(e.BarNum, slop)
if slop > 0 {
more.Dirt = 1
} else {
more.Dirt = -1
}
}

63
trend/ma1/v1.go Normal file
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package ma1
import (
"github.com/banbox/banbot/config"
"github.com/banbox/banbot/strat"
"github.com/banbox/banstagy/com"
ta "github.com/banbox/banta"
)
func MainV1(pol *config.RunPolicyConfig) *strat.TradeStrat {
periodSml = 300
periodBig = 1800
parentRate = 0.5
periodParBig = int(float64(periodBig) * parentRate)
periodParSml = int(float64(periodSml) * parentRate)
return &strat.TradeStrat{
Version: 1,
WarmupNum: periodBig,
MinTfScore: 0.75,
//DrawDownExit: true,
OnStartUp: onStartUp,
OnPairInfos: com.MakePairInfos(sampleNum*sampleStep + periodParBig),
OnInfoBar: onInfoMaCross,
OnBar: func(s *strat.StratJob) {
e := s.Env
sml := ta.SMA(e.Close, 10)
big := ta.SMA(e.Close, 50)
x := sml.Cross(big)
smaSml := ta.SMA(e.Close, periodSml)
smaBig := ta.SMA(e.Close, periodBig)
crx := smaSml.Cross(smaBig)
more, _ := s.More.(*MoreType)
if crx == 1 || crx == -1 {
closeTag := "x_short"
if crx < 0 {
closeTag = "x_long"
}
_ = s.CloseOrders(&strat.ExitReq{
Tag: closeTag,
Dirt: crx * -1,
})
if crx == more.Dirt {
// 交叉信号和大环境一致
more.open = crx
}
}
if more.open != 0 && more.open == -x {
more.open = 0
openTag := "long"
if x > 0 {
openTag = "short"
}
_ = s.OpenOrder(&strat.EnterReq{
Tag: openTag,
Short: x > 0,
})
}
},
}
}

80
trend/ma1/v2.1.go Normal file
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package ma1
import (
"github.com/banbox/banbot/config"
"github.com/banbox/banbot/strat"
ta "github.com/banbox/banta"
"math"
)
/*
针对15m的参数
*/
func MainV2_1(pol *config.RunPolicyConfig) *strat.TradeStrat {
periodSml = 120
periodBig = 800
parentRate = 0.5
periodParBig = int(float64(periodBig) * parentRate)
periodParSml = int(float64(periodSml) * parentRate)
return &strat.TradeStrat{
Version: 1,
WarmupNum: sampleNum*sampleStep + periodBig,
MinTfScore: 0.75,
//DrawDownExit: true,
OnStartUp: onStartUp,
//OnPairInfos: onPairInfos,
//OnInfoBar: onInfoMaSlop,
OnBar: func(s *strat.StratJob) {
e := s.Env
sml := ta.SMA(e.Close, 30)
big := ta.SMA(e.Close, 70)
x := sml.Cross(big)
smaSml := ta.SMA(e.Close, periodSml)
smaBig := ta.SMA(e.Close, periodBig)
crx := smaSml.Cross(smaBig)
more, _ := s.More.(*MoreType)
if crx == 1 || crx == -1 {
closeTag := "x_short"
if crx < 0 {
closeTag = "x_long"
}
_ = s.CloseOrders(&strat.ExitReq{
Tag: closeTag,
Dirt: crx * -1,
})
more.open = crx
//if crx == more.Dirt {
// 交叉信号和大环境一致
//openTag := "long"
//if crx < 0 {
// openTag = "short"
//}
//_ = s.OpenOrder(&strategy.EnterReq{
// Tag: openTag,
// Short: crx < 0,
//})
//}
}
prevSma := smaBig.Get(sampleStep)
if e.BarNum%sampleStep == 0 && !math.IsNaN(prevSma) {
curSma := smaBig.Get(0)
more.Slop.Update(e.BarNum, (curSma-prevSma)/curSma)
}
x = -x
if more.open != 0 && more.open == x && more.open*more.Dirt >= 0 {
more.open = 0
openTag := "long"
if x < 0 {
openTag = "short"
}
_ = s.OpenOrder(&strat.EnterReq{
Tag: openTag,
Short: x < 0,
})
}
},
}
}

84
trend/ma1/v2.go Normal file
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package ma1
import (
"github.com/banbox/banbot/config"
"github.com/banbox/banbot/strat"
"github.com/banbox/banstagy/com"
ta "github.com/banbox/banta"
)
/*
针对15m的参数
*/
func MainV2(pol *config.RunPolicyConfig) *strat.TradeStrat {
periodSml = 120
periodBig = 750
parentRate = 0.5
periodParBig = int(float64(periodBig) * parentRate)
periodParSml = int(float64(periodSml) * parentRate)
return &strat.TradeStrat{
Version: 1,
WarmupNum: periodBig,
MinTfScore: 0.75,
//DrawDownExit: true,
OnStartUp: onStartUp,
OnPairInfos: com.MakePairInfos(sampleNum*sampleStep + periodParBig),
OnInfoBar: onInfoMaCross,
OnBar: func(s *strat.StratJob) {
e := s.Env
sml := ta.SMA(e.Close, 30)
big := ta.SMA(e.Close, 70)
x := sml.Cross(big)
smaSml := ta.SMA(e.Close, periodSml)
smaBig := ta.SMA(e.Close, periodBig)
crx := smaSml.Cross(smaBig)
more, _ := s.More.(*MoreType)
if crx == 1 || crx == -1 {
closeTag := "x_short"
if crx < 0 {
closeTag = "x_long"
}
_ = s.CloseOrders(&strat.ExitReq{
Tag: closeTag,
Dirt: crx * -1,
})
if crx == more.Dirt {
// 交叉信号和大环境一致
more.open = crx
//openTag := "long"
//if crx < 0 {
// openTag = "short"
//}
//_ = s.OpenOrder(&strategy.EnterReq{
// Tag: openTag,
// Short: crx < 0,
//})
}
}
x = -x
if more.open != 0 && more.open == x {
more.open = 0
openTag := "long"
if x < 0 {
openTag = "short"
}
_ = s.OpenOrder(&strat.EnterReq{
Tag: openTag,
Short: x < 0,
})
}
},
//GetDrawDownExitRate: func(s *strategy.StratJob, od *ormo.InOutOrder, maxChg float64) float64 {
// if maxChg > 3 {
// return 0.2
// } else if maxChg > 1 {
// return 0.25
// } else if maxChg > 0.5 {
// return 0.3
// }
// return 0
//},
}
}

74
trend/ma1/v3.go Normal file
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package ma1
import (
"github.com/banbox/banbot/config"
"github.com/banbox/banbot/strat"
"github.com/banbox/banstagy/com"
ta "github.com/banbox/banta"
)
/*
针对1h的参数
*/
func MainV3(pol *config.RunPolicyConfig) *strat.TradeStrat {
periodSml = 28
periodBig = 160
parentRate = 0.75
periodParBig = int(float64(periodBig) * parentRate)
periodParSml = int(float64(periodSml) * parentRate)
return &strat.TradeStrat{
Version: 1,
WarmupNum: periodBig,
MinTfScore: 0.75,
//DrawDownExit: true,
OnStartUp: onStartUp,
OnPairInfos: com.MakePairInfos(sampleNum*sampleStep + periodParBig),
OnInfoBar: onInfoMaCross,
OnBar: func(s *strat.StratJob) {
e := s.Env
sml := ta.SMA(e.Close, 7)
big := ta.SMA(e.Close, 24)
x := sml.Cross(big)
smaSml := ta.SMA(e.Close, periodSml)
smaBig := ta.SMA(e.Close, periodBig)
crx := smaSml.Cross(smaBig)
more, _ := s.More.(*MoreType)
if crx == 1 || crx == -1 {
closeTag := "x_short"
if crx < 0 {
closeTag = "x_long"
}
_ = s.CloseOrders(&strat.ExitReq{
Tag: closeTag,
Dirt: crx * -1,
})
if crx == more.Dirt {
// 交叉信号和大环境一致
more.open = crx
//openTag := "long"
//if crx < 0 {
// openTag = "short"
//}
//_ = s.OpenOrder(&strategy.EnterReq{
// Tag: openTag,
// Short: crx < 0,
//})
}
}
x = -x
if more.open != 0 && more.open == x {
more.open = 0
openTag := "long"
if x < 0 {
openTag = "short"
}
_ = s.OpenOrder(&strat.EnterReq{
Tag: openTag,
Short: x < 0,
})
}
},
}
}