86 lines
2.0 KiB
Go
86 lines
2.0 KiB
Go
package com
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import (
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"github.com/banbox/banbot/strat"
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ta "github.com/banbox/banta"
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"math"
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)
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type TRS struct {
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MaxLow float64
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MinHigh float64
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SLLong float64 // 止损的tr倍率，有持仓时，逐渐减小
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SLShort float64 // 止损的tr倍率，有持仓时，逐渐减小
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InitSLTR float64
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minSLTR float64
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stepSLTR float64
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}
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func NewTRS(initSLTR, minRate, costStep float64) *TRS {
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var minSLTR = initSLTR * minRate
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var stepSLTR = (initSLTR - minSLTR) / costStep
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return &TRS{
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InitSLTR: initSLTR,
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minSLTR: minSLTR,
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stepSLTR: stepSLTR,
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}
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}
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func (m *TRS) TrialLong(price float64) {
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m.SLLong = m.InitSLTR
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m.MaxLow = price
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}
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func (m *TRS) TrialShort(price float64) {
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m.SLShort = m.InitSLTR
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m.MinHigh = price
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}
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func (m *TRS) setTRS(e *ta.BarEnv, longNum, shortNum int) {
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h, l := e.High.Get(0), e.Low.Get(0)
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if longNum == 0 {
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if m.SLLong != m.InitSLTR {
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m.MaxLow = 0
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}
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} else {
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m.MaxLow = max(m.MaxLow, l)
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if m.SLLong > m.minSLTR+0.01 {
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m.SLLong -= m.stepSLTR
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}
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}
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if shortNum == 0 {
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if m.SLShort != m.InitSLTR {
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m.MinHigh = 0
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}
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} else {
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m.MinHigh = min(m.MinHigh, h)
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if m.SLShort > m.minSLTR+0.01 {
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m.SLShort -= m.stepSLTR
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}
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}
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}
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func (m *TRS) Calc(s *strat.StratJob, atr float64) (float64, float64) {
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m.setTRS(s.Env, len(s.LongOrders), len(s.ShortOrders))
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var stopLong, stopShort float64
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if m.MaxLow > 0 {
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stopLong = m.MaxLow - atr*m.SLLong
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}
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if m.MinHigh > 0 {
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stopShort = m.MinHigh + atr*m.SLShort
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}
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return stopLong, stopShort
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}
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func (m *TRS) CalcSL(s *strat.StratJob, atr *ta.Series, lenAtr, lenAtrB int, pow, rate float64) (float64, float64) {
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atrBase := ta.Lowest(ta.Highest(atr, lenAtr), lenAtrB).Get(0)
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atrRate := math.Pow(atr.Get(0)/atrBase, pow)
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return m.Calc(s, atrBase*atrRate*rate)
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}
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func (m *TRS) CalcSL2(s *strat.StratJob, lenAtr, lenAtrB int, pow, rate float64) (float64, float64) {
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e := s.Env
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atr := ta.ATR(e.High, e.Low, e.Close, lenAtr)
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return m.CalcSL(s, atr, lenAtr, lenAtrB, pow, rate)
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}
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