init

trend/randCut.go

@@ -0,0 +1,54 @@
+package trend
+
+import (
+	"fmt"
+	"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"
+	"math/rand"
+)
+
+func randCut(p *config.RunPolicyConfig) *strat.TradeStrat {
+	slRate := p.Def("slRate", 3, core.PNorm(1, 3))
+	return &strat.TradeStrat{
+		WarmupNum: 100,
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			c := e.Close.Get(0)
+			atr := ta.ATR(e.High, e.Low, e.Close, 30)
+			slRange := atr.Get(0) * slRate
+			odList := s.GetOrders(0)
+			if len(odList) > 0 {
+				for _, od := range odList {
+					sl := od.GetStopLoss()
+					if od.Short {
+						if sl.Price > c+slRange {
+							od.SetStopLoss(&ormo.ExitTrigger{
+								Price: c + slRange,
+							})
+						}
+					} else if sl.Price < c-slRange {
+						od.SetStopLoss(&ormo.ExitTrigger{
+							Price: c - slRange,
+						})
+					}
+				}
+			} else {
+				openRate := 0.015 * c / atr.Get(0)
+				if openRate < 1 {
+					openRate = math.Sqrt(openRate)
+				}
+				isShort := rand.Float64() > 0.5
+				s.OpenOrder(&strat.EnterReq{
+					Tag:         fmt.Sprintf("%v", isShort),
+					Short:       isShort,
+					CostRate:    openRate,
+					StopLossVal: slRange,
+				})
+			}
+		},
+	}
+}