init

trend/swing.go

@@ -0,0 +1,98 @@
+package trend
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/strat"
+	ta "github.com/banbox/banta"
+)
+
+/*
+初版：https://jesse.trade/strategies/trendswingtrader-v1
+去掉e1<c或e1>c后，更不稳定
+adx对部分条件应用会更好，直接全部过滤略差
+加入海龟资金管理&ER开仓系数后表现略差
+*/
+
+func swing(p *config.RunPolicyConfig) *strat.TradeStrat {
+	slRate := p.Def("slRate", 4.5, core.PNorm(0.5, 5))
+	tpRate := p.Def("tpRate", 8, core.PNorm(3, 13))
+	return &strat.TradeStrat{
+		WarmupNum: 200,
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			c := e.Close.Get(0)
+			adx := ta.ADX(e.High, e.Low, e.Close, 14).Get(0)
+			atr := ta.ATR(e.High, e.Low, e.Close, 14).Get(0)
+			e1 := ta.EMA(e.Close, 30).Get(0)
+			e2 := ta.EMA(e.Close, 50).Get(0)
+			e3 := ta.EMA(e.Close, 120).Get(0)
+			openRate := float64(1)
+			trend := float64(0)
+			tag := ""
+			if e2 < e1 && e1 < c {
+				if e3 < e2 {
+					tag = "long1"
+				} else {
+					tag = "long2"
+					if adx <= 25 {
+						// 表现较差
+						openRate *= 0.5
+					}
+				}
+				trend = 1
+			} else if e2 > e1 && e1 > c {
+				if e3 > e2 {
+					tag = "short1"
+				} else {
+					tag = "short2"
+					if adx <= 25 {
+						// 表现较差
+						openRate *= 0.5
+					}
+				}
+				trend = -1
+			}
+			if tag != "" {
+				if adx <= 25 {
+					tag += "_a"
+				}
+			}
+			if len(s.LongOrders) > 0 {
+				for _, od := range s.LongOrders {
+					sl := od.GetStopLoss()
+					curSL := c - atr*slRate
+					if curSL > sl.Price {
+						sl.Price = curSL
+					}
+				}
+			} else if trend == 1 && tag != "" && openRate > 0 {
+				s.OpenOrder(&strat.EnterReq{
+					Tag:            tag,
+					CostRate:       openRate,
+					StopLossVal:    atr * slRate,
+					TakeProfitVal:  atr * tpRate,
+					TakeProfitRate: 0.5,
+				})
+			}
+			if len(s.ShortOrders) > 0 {
+				for _, od := range s.ShortOrders {
+					sl := od.GetStopLoss()
+					curSL := c + atr*slRate
+					if curSL < sl.Price {
+						sl.Price = curSL
+					}
+				}
+			} else if trend == -1 && tag != "" && openRate > 0 {
+				s.OpenOrder(&strat.EnterReq{
+					Tag:            tag,
+					Short:          true,
+					CostRate:       openRate,
+					StopLossVal:    atr * slRate,
+					TakeProfitVal:  atr * tpRate,
+					TakeProfitRate: 0.5,
+				})
+			}
+		},
+	}
+}