init

trend/t01v1.go

@@ -0,0 +1,84 @@
+package trend
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/strat"
+	"github.com/banbox/banstagy/com"
+	ta "github.com/banbox/banta"
+	"math"
+)
+
+func calcDirt(e *ta.BarEnv) float64 {
+	h, l := e.High.Get(0), e.Low.Get(0)
+	o, c := e.Open.Get(0), e.Close.Get(0)
+	h1, l1 := e.High.Get(1), e.Low.Get(1)
+	//h2, l2 := e.High.Get(2), e.Low.Get(2)
+
+	if h == l {
+		return 0
+	}
+	bodyRate := math.Abs(o-c) / (h - l)
+	if bodyRate < 0.5 {
+		return 0
+	}
+
+	subH1, subL1 := h-h1, l-l1
+	//subH2, subL2 := h1-h2, l1-l2
+	if subH1 > 0 && subL1 > 0 {
+		//if math.IsNaN(subH2) || subH2 < 0 || subL2 < 0 {
+		//	return 0
+		//}
+		//if subL2+subH2 < subH1+subL1 {
+		//	return 1
+		//}
+		return 1
+	}
+	//else if subH1 < 0 && subL1 < 0 {
+	//	if math.IsNaN(subH2) || subH2 > 0 || subL2 > 0 {
+	//		return 0
+	//	}
+	//	if subL2+subH2 > subH1+subL1 {
+	//		return -1
+	//	}
+	//	return 0
+	//}
+	return 0
+}
+
+func T01V1(pol *config.RunPolicyConfig) *strat.TradeStrat {
+
+	lenAtr := 15
+	baseAtrLen := int(math.Round(float64(lenAtr) * 4.3))
+	return &strat.TradeStrat{
+		Version:      1,
+		WarmupNum:    30,
+		MinTfScore:   0.75,
+		DrawDownExit: true,
+		OnStartUp: func(s *strat.StratJob) {
+			s.More = float64(0)
+		},
+		//OnPairInfos: common.MakePairInfos(10),
+		OnBar: func(s *strat.StratJob) {
+			e := s.Env
+			ma := ta.SMA(e.Close, 10).Get(0)
+
+			atr := ta.ATR(e.High, e.Low, e.Close, lenAtr)
+			atrBase := ta.Lowest(ta.Highest(atr, lenAtr), baseAtrLen).Get(0)
+			atrRate := math.Sqrt(atr.Get(0) / atrBase)
+
+			//bigDirt, _ := s.More.(float64)
+
+			c := e.Close.Get(0)
+			dirt := calcDirt(e)
+			maSub := c - ma
+			if s.OrderNum == 0 && dirt != 0 && maSub*dirt > 0 { // && bigDirt == dirt {
+				slVal := atrBase * atrRate * 0.2
+				slLong, slShort := c-slVal, c+slVal
+				com.FastOpen(s, dirt, slLong, slShort, 0)
+			}
+		},
+		//OnInfoBar: func(s *strategy.StratJob, e *ta.BarEnv, pair, tf string) {
+		//	s.More = calcDirt(e)
+		//},
+	}
+}