banstagy/llmjob/128.go

// 修复后的banbot完整策略代码
package llmjob

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

func J128(pol *config.RunPolicyConfig) *strat.TradeStrat {
	// 定义可调参数
	longEntryThreshold := pol.Def("long_entry_threshold", 60.0, core.PNorm(50.0, 70.0))
	thresholdRange := pol.Def("threshold_range", 14.0, core.PNorm(10.0, 25.0))
	smaPeriod := pol.DefInt("sma_period", 3, core.PNorm(2, 8))
	atrPeriod := pol.DefInt("atr_period", 14, core.PNorm(7, 21))
	tp1ATR := pol.Def("tp1_atr", 3.0, core.PNorm(1.5, 5.0))
	tp2ATR := pol.Def("tp2_atr", 8.0, core.PNorm(5.0, 12.0))
	tp3ATR := pol.Def("tp3_atr", 14.0, core.PNorm(10.0, 20.0))
	tp1Percent := pol.Def("tp1_percent", 12.0, core.PNorm(5.0, 25.0))
	tp2Percent := pol.Def("tp2_percent", 12.0, core.PNorm(5.0, 25.0))
	tp3Percent := pol.Def("tp3_percent", 12.0, core.PNorm(5.0, 25.0))
	useTakeProfit := pol.Def("use_take_profit", 0.0, core.PNorm(0.0, 1.0))      // 0=false, 1=true
	tradingDirection := pol.Def("trading_direction", 2.0, core.PNorm(0.0, 2.0)) // 0=Long, 1=Short, 2=Both

	// 计算衍生参数
	shortEntryThreshold := longEntryThreshold - thresholdRange
	longExitThreshold := shortEntryThreshold
	shortExitThreshold := longEntryThreshold

	// 确定最长预热周期
	warmupNum := 55 + smaPeriod + 10

	return &strat.TradeStrat{
		Name:          "FATR",
		WarmupNum:     warmupNum,
		HedgeOff:      true, // 单向持仓模式
		EachMaxLong:   1,
		EachMaxShort:  1,
		RunTimeFrames: []string{"4h"},
		OnBar: func(s *strat.StratJob) {
			e := s.Env

			// 计算真实高低点和真实波动范围
			trueLow := e.Low.Min(e.Close.Back(1))
			trueHigh := e.High.Max(e.Close.Back(1))
			trueRange := trueHigh.Sub(trueLow)

			// 计算买入压力(BP)
			bp := e.Close.Sub(trueLow)

			// 计算不同周期的压力比率
			calcRatio := func(len int) *ta.Series {
				sumBP := ta.Sum(bp, len)
				sumTR := ta.Sum(trueRange, len)
				return sumBP.Div(sumTR).Mul(100)
			}

			// 计算Fibonacci数列周期的压力比率
			ratio8 := calcRatio(8)
			ratio13 := calcRatio(13)
			ratio21 := calcRatio(21)
			ratio34 := calcRatio(34)
			ratio55 := calcRatio(55)

			// 计算加权平均值
			weightedAvg := ratio8.Mul(5).Add(
				ratio13.Mul(4)).Add(
				ratio21.Mul(3)).Add(
				ratio34.Mul(2)).Add(
				ratio55).Div(15)

			// 应用SMA平滑
			weightedAvgSMA := ta.SMA(weightedAvg, smaPeriod)

			// 计算ATR值
			atrValue := ta.ATR(e.High, e.Low, e.Close, atrPeriod)

			// 获取当前值
			atrVal := atrValue.Get(0)
			closePrice := e.Close.Get(0)

			// 生成交易信号
			longCondition := weightedAvgSMA.Cross(longEntryThreshold) == 1
			shortCondition := weightedAvgSMA.Cross(shortEntryThreshold) == -1
			longExit := weightedAvgSMA.Cross(longExitThreshold) == -1
			shortExit := weightedAvgSMA.Cross(shortExitThreshold) == 1

			// 执行交易逻辑
			isLongEnabled := tradingDirection == 0 || tradingDirection == 2
			isShortEnabled := tradingDirection == 1 || tradingDirection == 2

			// 多头交易逻辑
			if isLongEnabled {
				if longCondition && len(s.LongOrders) == 0 {
					// 开多单
					s.OpenOrder(&strat.EnterReq{
						Tag: "Long",
					})

					// 设置止盈订单
					if useTakeProfit > 0.5 {
						tpPrice1 := closePrice + tp1ATR*atrVal
						tpPrice2 := closePrice + tp2ATR*atrVal
						tpPrice3 := closePrice + tp3ATR*atrVal

						// 设置多个止盈订单
						s.CloseOrders(&strat.ExitReq{
							Tag:      "TP1_Long",
							Dirt:     core.OdDirtLong,
							ExitRate: tp1Percent / 100,
							Limit:    tpPrice1,
						})

						s.CloseOrders(&strat.ExitReq{
							Tag:      "TP2_Long",
							Dirt:     core.OdDirtLong,
							ExitRate: tp2Percent / 100,
							Limit:    tpPrice2,
						})

						s.CloseOrders(&strat.ExitReq{
							Tag:      "TP3_Long",
							Dirt:     core.OdDirtLong,
							ExitRate: tp3Percent / 100,
							Limit:    tpPrice3,
						})
					}
				}

				if longExit && len(s.LongOrders) > 0 {
					// 平多单
					s.CloseOrders(&strat.ExitReq{
						Tag:  "Long_Exit",
						Dirt: core.OdDirtLong,
					})
				}
			}

			// 空头交易逻辑
			if isShortEnabled {
				if shortCondition && len(s.ShortOrders) == 0 {
					// 开空单
					s.OpenOrder(&strat.EnterReq{
						Tag:   "Short",
						Short: true,
					})

					// 设置止盈订单
					if useTakeProfit > 0.5 {
						tpPrice1 := closePrice - tp1ATR*atrVal
						tpPrice2 := closePrice - tp2ATR*atrVal
						tpPrice3 := closePrice - tp3ATR*atrVal

						// 设置多个止盈订单
						s.CloseOrders(&strat.ExitReq{
							Tag:      "TP1_Short",
							Dirt:     core.OdDirtShort,
							ExitRate: tp1Percent / 100,
							Limit:    tpPrice1,
						})

						s.CloseOrders(&strat.ExitReq{
							Tag:      "TP2_Short",
							Dirt:     core.OdDirtShort,
							ExitRate: tp2Percent / 100,
							Limit:    tpPrice2,
						})

						s.CloseOrders(&strat.ExitReq{
							Tag:      "TP3_Short",
							Dirt:     core.OdDirtShort,
							ExitRate: tp3Percent / 100,
							Limit:    tpPrice3,
						})
					}
				}

				if shortExit && len(s.ShortOrders) > 0 {
					// 平空单
					s.CloseOrders(&strat.ExitReq{
						Tag:  "Short_Exit",
						Dirt: core.OdDirtShort,
					})
				}
			}
		},
	}
}