package trend

import (
	"github.com/banbox/banbot/config"
	"github.com/banbox/banbot/core"
	"github.com/banbox/banbot/strat"
	"github.com/banbox/banstagy/com"
	ta "github.com/banbox/banta"
	"math"
)

/*
自研均线趋势策略，多空都开。适合1h
在15m上，需把均线周期乘以4
尝试加止损、止盈、限价入场，都会导致整体收益减少
48个品种，21年到24年11月1日，累计收益1560%，最大回撤25%，夏普5.8

总收益93%来自多头
但加入空头可使夏普从4.8提高到5.8
多空的参数独立，比同一套参数，收益更稳定些

基于连续信号的商品期货交易策略
https://mp.weixin.qq.com/s/6MS94OhGYhtjBQ1Ufa5Rag
下面基于170固定品种：
使用1.5%*Close/atr作为开仓倍数，夏普从8.12提升到9.63
增加ErDelta过滤，夏普从9.63提升到11.03；最大回撤从21.8%降低到20.8%

有效信号权重测试没有明显改善：
OnStartUp: func(s *strat.StratJob) {
	s.More = []float64{0.5, 0.5} // long, short
},
probs := s.More.([]float64)
if x1 == 1{
	newShort := probs[1] * 0.5
	s.More = []float64{1 - newShort, newShort}
	sigDelta := math.Abs(1 - newShort*2)
	if sigDelta > 0.2 {
		openRate *= (1 - newShort) * 1.7
		s.OpenOrder(&strat.EnterReq{Tag: "long", CostRate: openRate})
	}
}
if x2 == -1{
	newLong := probs[0] * 0.5
	s.More = []float64{newLong, 1 - newLong}
	sigDelta := math.Abs(1 - newLong*2)
	if sigDelta > 0.2 {
		openRate *= (1 - newLong) * 1.7
		s.OpenOrder(&strat.EnterReq{Tag: "short", Short: true, CostRate: openRate})
	}
}
*/

func SMACrossV1(p *config.RunPolicyConfig) *strat.TradeStrat {
	// 初始：两个SMA    做空：SMA  15  8
	maLType := com.DefMaType(p, "maL", com.MaSMA)
	maSType := com.DefMaType(p, "maS", com.MaSMA)
	maLLen := p.DefInt("maLLen", 20, core.PNormF(7, 70, 20, 0))
	maSLen := p.DefInt("maSLen", 15, core.PNormF(5, 50, 15, 0))
	maLRate := p.Def("maLRate", 9, core.PNorm(2, 15))
	maSRate := p.Def("maSRate", 8, core.PNorm(2, 14))
	maLBig := int(math.Round(float64(maLLen) * maLRate))
	maSBig := int(math.Round(float64(maSLen) * maSRate))
	p.KeepHyperOnly("maSLen", "maSRate")
	return &strat.TradeStrat{
		WarmupNum:    200,
		EachMaxShort: 1,
		EachMaxLong:  1,
		OnBar: func(s *strat.StratJob) {
			e := s.Env
			c := e.Close.Get(0)
			atr := ta.ATR(e.High, e.Low, e.Close, 30)
			openRate := 0.015 * c / atr.Get(0)
			if openRate < 1 {
				openRate = math.Sqrt(openRate)
			}
			er := ta.ER(e.Close, 50)
			erDelta := min(1.3, er.Get(0)/er.Get(12))
			if erDelta > 1 {
				openRate *= erDelta
			} else {
				// 过滤掉ER下降的
				openRate = 0
			}

			// 方案一：多空SMA：略微平滑，收益略小一点
			// 方案二：多空VWMA：略微波动大点，收益略好一点
			price := ta.AvgPrice(e)
			ma1 := com.GetMA(price, e.Volume, maLType, maLLen)
			ma2 := com.GetMA(price, e.Volume, maLType, maLBig)
			x1 := ma1.Cross(ma2)
			if x1 == 1 && openRate > 0 {
				s.OpenOrder(&strat.EnterReq{Tag: "long", CostRate: openRate})
			} else if x1 == -1 {
				s.CloseOrders(&strat.ExitReq{Tag: "xlong", Dirt: core.OdDirtLong})
			}

			ma3 := com.GetMA(price, e.Volume, maSType, maSLen)
			ma4 := com.GetMA(price, e.Volume, maSType, maSBig)
			x2 := ma3.Cross(ma4)
			if x2 == -1 && openRate > 0 {
				s.OpenOrder(&strat.EnterReq{Tag: "short", Short: true, CostRate: openRate})
			} else if x2 == 1 {
				s.CloseOrders(&strat.ExitReq{Tag: "xshort", Dirt: core.OdDirtShort})
			}
		},
	}
}