64 lines
1.7 KiB
Go
64 lines
1.7 KiB
Go
package demo
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import (
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"github.com/banbox/banbot/config"
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"github.com/banbox/banbot/orm/ormo"
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"github.com/banbox/banbot/strat"
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ta "github.com/banbox/banta"
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)
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func fixRiskReward(p *config.RunPolicyConfig) *strat.TradeStrat {
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rewardRate := 4.0
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return &strat.TradeStrat{
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EachMaxLong: 1,
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WarmupNum: 30,
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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atr := ta.ATR(e.High, e.Low, e.Close, 14).Get(0)
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rsi := ta.RSI50(e.Close, 14).Get(0)
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ma := ta.SMA(e.Close, 5).Get(0)
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maMid := ta.SMA(e.Close, 10).Get(0)
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maBig := ta.SMA(e.Close, 40).Get(0)
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c := e.Close.Get(0)
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if s.OrderNum == 0 && maMid > maBig && rsi > 15 && c < ma {
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s.OpenOrder(&strat.EnterReq{
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Tag: "long",
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StopLossVal: atr,
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StopLossTag: "init",
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})
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}
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},
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OnCheckExit: func(s *strat.StratJob, od *ormo.InOutOrder) *strat.ExitReq {
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sl := od.GetStopLoss()
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if sl.Tag == "take" {
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// 已设置止盈
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return nil
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}
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if sl.Tag == "init" {
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// 检查是否回本，如果是，设置止损到成本线
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if od.ProfitRate > 0 {
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// 保存初始止损空间
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od.SetInfo("initSL", sl.Range)
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feeRate := od.Enter.FeeQuote * 2 / od.EnterCost()
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slPrice := od.Enter.Average * (1 + feeRate)
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od.SetStopLoss(&ormo.ExitTrigger{
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Price: slPrice,
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Tag: "break_even",
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})
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}
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} else {
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//已设置成本止损，检查是否触发止盈
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slRange := od.GetInfoFloat64("initSL")
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if od.Profit > slRange*rewardRate {
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// 触发止盈线，设置止盈线止损
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od.SetStopLoss(&ormo.ExitTrigger{
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Price: od.Enter.Average + slRange*rewardRate,
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Tag: "take",
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})
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}
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}
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return nil
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},
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}
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}
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