526 lines
15 KiB
Go
526 lines
15 KiB
Go
// 修复后的banbot完整策略代码
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package llmjob
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import (
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"fmt"
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"github.com/banbox/banbot/btime"
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"github.com/banbox/banbot/config"
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"github.com/banbox/banbot/core"
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"github.com/banbox/banbot/orm/ormo"
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"github.com/banbox/banbot/strat"
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"github.com/banbox/banexg/log"
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ta "github.com/banbox/banta"
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"github.com/sasha-s/go-deadlock"
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"go.uber.org/zap"
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"math"
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)
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/*
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根据AtrBase基于不同品种权重，限制范围后更好
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从4h根据行情自动调整加仓阈值和止盈阈值后：
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之前：夏普0.93，显示回撤35.8%，最大回撤95.4%，最大资金占用3.2W，总收益119.6%
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之后：夏普1.38，显示回撤5.66%，最大回撤36.2%，最大资金占用1.64W，总收益79.4%
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尝试使用公式0.383*pow(1+target_qty, x)加仓，符合测试的数据，但效果更差
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*/
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// State1525S 存储每个品种的策略状态
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type State1525S struct {
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avgPrice float64 // 平均持仓成本
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positionQty float64 // 当前持仓数量
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tpLimit float64
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score float64 // 下跌行情力度分数，值域[0,6]
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}
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func J1525(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调超参数
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smaPeriod := pol.DefInt("sma_period", 18, core.PNorm(5, 50))
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targetPercRaw := pol.Def("target_perc", -0.14, core.PNorm(-0.3, -0.05))
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takeProfitRaw := pol.Def("take_profit", 0.09, core.PNorm(0.05, 0.3))
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targetQty := pol.Def("target_qty", 0.65, core.PNorm(0.2, 1.0))
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// 加仓次数，超过20后变差；低于19后有段时间不稳定
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maxAdd := pol.DefInt("max_add", 19, core.PNorm(1, 30))
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maxOpenPair := pol.DefInt("max_open_pair", 25, core.PNorm(1, 30)) // 最大同时交易品种
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openPairs := make(map[*strat.StratJob]int)
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pairLock := deadlock.Mutex{}
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lenAtr := 20
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baseAtrLen := int(math.Round(float64(lenAtr) * 4.3))
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targetPerc := targetPercRaw
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takeProfit := takeProfitRaw
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printMS := int64(0)
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maxPairs := 0
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// 加仓倍率，基于targetQty： 1, 0.6, 1 1.7 3 4.7 7.7 12.8 21.1 35 57.5 95 157 256 385 464 767
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return &strat.TradeStrat{
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WarmupNum: max(smaPeriod, baseAtrLen),
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HedgeOff: true, // 单向持仓模式
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RunTimeFrames: []string{"5m"},
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BatchInfo: true,
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OrderOnRotation: "open",
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OnStartUp: func(s *strat.StratJob) {
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// 初始化策略状态
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s.More = &State1525S{}
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},
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OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
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return []*strat.PairSub{
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{"_cur_", "4h", 20},
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}
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},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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state, _ := s.More.(*State1525S)
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closePrice := e.Close.Get(0)
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// 不利行情下调整参数
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targetPercJob, takeProfitJob := targetPercRaw, takeProfitRaw
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if state.score >= 5 {
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targetPercJob = targetPercRaw * 2
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takeProfitJob = takeProfitRaw * 0.6
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} else if state.score >= 4 {
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targetPercJob = targetPercRaw * 1.7
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takeProfitJob = takeProfitRaw * 0.7
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} else if state.score >= 3 {
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targetPercJob = targetPercRaw * 1.3
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takeProfitJob = takeProfitRaw * 0.8
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}
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targetPercCur := (targetPercJob + targetPerc) / 2
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takeProfitCur := (takeProfitJob + takeProfit) / 2
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// 计算SMA
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ma := ta.SMA(e.Close, smaPeriod)
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atr := ta.ATR(e.High, e.Low, e.Close, lenAtr)
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atrBase := ta.Lowest(ta.Highest(atr, lenAtr), baseAtrLen).Get(0)
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openRate := 0.006 * closePrice / atrBase
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if openRate < 1 {
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openRate = math.Sqrt(openRate)
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}
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openRate = max(0.7, min(1.5, openRate))
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// 计算当前持仓盈亏比例
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var pnl float64
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if state.positionQty > 0 && state.avgPrice > 0 {
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pnl = (closePrice - state.avgPrice) / state.avgPrice
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}
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// 计算止盈价格
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if state.positionQty > 0 && state.avgPrice > 0 {
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curTakeProfit := state.avgPrice * (1 + takeProfitCur)
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if curTakeProfit != state.tpLimit {
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state.tpLimit = curTakeProfit
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// 设置限价单止盈
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s.CloseOrders(&strat.ExitReq{
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Tag: "Take Profit",
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Limit: state.tpLimit,
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})
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}
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}
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// 首次入场条件：价格上穿SMA且无持仓
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if e.Close.Cross(ma) == 1 && state.positionQty == 0 {
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pairLock.Lock()
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_, allow := openPairs[s]
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if !allow && len(openPairs) < maxOpenPair {
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openPairs[s] = 1
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maxPairs = max(maxPairs, len(openPairs))
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allow = true
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}
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pairLock.Unlock()
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if allow {
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s.OpenOrder(&strat.EnterReq{
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Tag: "Long",
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CostRate: openRate,
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})
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}
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}
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// 加仓条件：亏损达到目标比例且有持仓
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if state.positionQty > 0 && pnl <= targetPercCur && len(s.LongOrders) < maxAdd {
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// 计算加仓数量，确保是整数
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odNum := len(s.LongOrders)
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addQty := math.Floor(state.positionQty * targetQty)
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pairLock.Lock()
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openPairs[s] = odNum
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pairLock.Unlock()
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s.OpenOrder(&strat.EnterReq{
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Tag: fmt.Sprintf("%v", odNum),
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Amount: addQty,
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})
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if odNum > 5 {
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printMS = e.TimeStop
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}
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}
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},
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OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
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score := float64(0)
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if ta.RSI(e.Close, 14).Get(0) < 30 {
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score += 1
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}
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roc := ta.ROC(e.Close, 20).Get(0)
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if roc < -20 {
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score += 2
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} else if roc < -10 {
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score += 1
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}
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plusDi, minusDi := ta.PluMinDI(e.High, e.Low, e.Close, 14)
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adx := ta.ADX(e.High, e.Low, e.Close, 14).Get(0)
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if minusDi.Get(0) > plusDi.Get(0) {
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if adx > 40 {
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score += 2
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} else if adx > 25 {
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score += 1
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}
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}
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ma25 := ta.SMA(e.Close, 25).Get(0)
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ma99 := ta.SMA(e.Close, 99).Get(0)
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if ma99 > ma25 {
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score += 1
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}
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state, _ := s.More.(*State1525S)
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state.score = score
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},
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OnBatchInfos: func(tf string, jobs map[string]*strat.JobEnv) {
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jobNum := len(jobs)
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if jobNum < 3 {
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return
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}
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downNum, downHeavyNum := float64(0), float64(0)
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timeStop := int64(0)
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var last *strat.JobEnv
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for _, j := range jobs {
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state, _ := j.Job.More.(*State1525S)
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if state.score >= 5 {
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downHeavyNum += 1
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}
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if state.score >= 3 {
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downNum += 1
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}
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timeStop = j.Env.TimeStop
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last = j
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}
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downRate := downNum / float64(len(jobs))
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downHeavyRate := downHeavyNum / float64(len(jobs))
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if printMS > 0 {
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printMS = 0
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dateStr := btime.ToDateStr(timeStop, core.DefaultDateFmt)
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fmt.Printf("%v downRate: %.3f downHeavyRate: %.3f\n", dateStr, downRate*100, downHeavyRate*100)
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}
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if downHeavyRate >= 0.8 {
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// 极端下跌
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targetPerc = targetPercRaw * 2
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takeProfit = takeProfitRaw * 0.5
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} else if downRate >= 0.85 && downHeavyRate >= 0.6 {
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// 严重下跌
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targetPerc = targetPercRaw * 1.8
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takeProfit = takeProfitRaw * 0.5
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} else if downRate >= 0.7 && downRate <= 0.85 {
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// 市场中度下跌
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targetPerc = targetPercRaw * 1.6
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takeProfit = takeProfitRaw * 0.65
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} else if downRate >= 0.5 && downRate <= 0.7 {
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// 轻度下跌
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targetPerc = targetPercRaw * 1.3
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takeProfit = takeProfitRaw * 0.8
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} else {
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// 轻度或未下跌
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targetPerc = targetPercRaw
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takeProfit = takeProfitRaw
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}
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pairLock.Lock()
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totNum := 0
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for _, num := range openPairs {
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totNum += num
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}
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pairLock.Unlock()
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if totNum > 0 {
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last.Job.Strat.WriteOutput(fmt.Sprintf("pairNum: %v", totNum), true)
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}
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},
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OnOrderChange: func(s *strat.StratJob, od *ormo.InOutOrder, chgType int) {
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state, _ := s.More.(*State1525S)
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// 当订单入场时更新持仓状态
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if chgType == strat.OdChgEnterFill && od.EnterTag != "" {
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// 计算新的平均成本
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if state.positionQty == 0 {
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// 首次开仓
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state.avgPrice = od.InitPrice
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state.positionQty = od.HoldAmount()
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} else {
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// 加仓，更新平均成本
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oldQty := state.positionQty
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oldAvgPrice := state.avgPrice
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newQty := od.HoldAmount()
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newAvgPrice := od.InitPrice
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// 计算新的平均成本
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totalQty := oldQty + newQty
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totalCost := oldQty*oldAvgPrice + newQty*newAvgPrice
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state.avgPrice = totalCost / totalQty
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state.positionQty = totalQty
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}
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}
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// 当订单完全平仓时重置持仓状态
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if chgType == strat.OdChgExitFill && od.ExitTag != "" && od.Status == ormo.InOutStatusFullExit {
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state.avgPrice = 0
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state.positionQty = 0
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state.tpLimit = 0
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pairLock.Lock()
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delete(openPairs, s)
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pairLock.Unlock()
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}
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},
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OnShutDown: func(s *strat.StratJob) {
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if maxPairs == 0 {
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return
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}
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log.Info("max open pairs", zap.Int("num", maxPairs))
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maxPairs = 0
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},
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}
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}
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// State1525Sim 存储每个品种的策略状态
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type State1525Sim struct {
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totAmount float64
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totCost float64
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tpLimit float64 // 止盈出场价格
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odNum int
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upFlag float64 // 1: ma20 > ma99 && ma20 > ma20[2]
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score float64 // 下跌行情力度分数，值域[0,6]
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}
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func J1525Sim(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 最多30个品种，单笔30，初始3W
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// 定义可调超参数
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smaPeriod := pol.DefInt("sma_period", 18, core.PNorm(5, 50))
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targetPercRaw := pol.Def("target_perc", -0.14, core.PNorm(-0.3, -0.05))
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takeProfitRaw := pol.Def("take_profit", 0.09, core.PNorm(0.05, 0.3))
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targetQty := pol.Def("target_qty", 0.6, core.PNorm(0.2, 1.0))
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// 加仓次数，超过20后变差；低于19后有段时间不稳定
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maxAdd := pol.DefInt("max_add", 19, core.PNorm(1, 30))
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startLvlRaw := pol.DefInt("start_lvl", 3, core.PNorm(1, 15))
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maxOpenPair := pol.DefInt("max_open_pair", 20, core.PNorm(1, 30)) // 最大同时交易品种
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openPairs := make(map[*strat.StratJob]int)
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pairLock := deadlock.Mutex{}
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lenAtr := 20
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baseAtrLen := int(math.Round(float64(lenAtr) * 4.3))
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targetPerc := targetPercRaw
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takeProfit := takeProfitRaw
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startLvl := startLvlRaw
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// 加仓倍率，基于targetQty： 1, 0.6, 1 1.7 3 4.7 7.7 12.8 21.1 35 57.5 95 157 256 385 464 767
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return &strat.TradeStrat{
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WarmupNum: max(smaPeriod, baseAtrLen),
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HedgeOff: true, // 单向持仓模式
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RunTimeFrames: []string{"5m"},
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BatchInfo: true,
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StakeRate: 0.25,
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OrderOnRotation: "open", // 品种切换时允许开单
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OnStartUp: func(s *strat.StratJob) {
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s.More = &State1525Sim{}
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},
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OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
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return []*strat.PairSub{
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{"_cur_", "4h", 20},
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}
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},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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state, _ := s.More.(*State1525Sim)
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closePrice := e.Close.Get(0)
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// 不利行情下调整参数
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targetPercJob, takeProfitJob := targetPercRaw, takeProfitRaw
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if state.score >= 5 {
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targetPercJob = targetPercRaw * 2
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takeProfitJob = takeProfitRaw * 0.6
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} else if state.score >= 4 {
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targetPercJob = targetPercRaw * 1.7
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takeProfitJob = takeProfitRaw * 0.7
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} else if state.score >= 3 {
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targetPercJob = targetPercRaw * 1.3
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takeProfitJob = takeProfitRaw * 0.8
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}
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targetPercCur := (targetPercJob + targetPerc) / 2
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takeProfitCur := (takeProfitJob + takeProfit) / 2
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// 计算SMA
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ma := ta.SMA(e.Close, smaPeriod)
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atr := ta.ATR(e.High, e.Low, e.Close, lenAtr)
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atrBase := ta.Lowest(ta.Highest(atr, lenAtr), baseAtrLen).Get(0)
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openRate := 0.006 * closePrice / atrBase
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if openRate < 1 {
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openRate = math.Sqrt(openRate)
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}
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openRate = max(0.7, min(1.5, openRate))
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// 检查止盈触发
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if state.tpLimit > 0 && state.tpLimit <= e.High.Get(0) {
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state.totAmount = 0
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state.totCost = 0
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state.tpLimit = 0
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state.odNum = 0
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pairLock.Lock()
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delete(openPairs, s)
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pairLock.Unlock()
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}
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// 计算当前持仓盈亏比例、止盈
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var pnl, avgPrice float64
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if state.totAmount > 0 {
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avgPrice = state.totCost / state.totAmount
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pnl = closePrice/avgPrice - 1
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curTP := avgPrice * (1 + takeProfitCur)
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if curTP != state.tpLimit {
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state.tpLimit = curTP
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// 设置限价单止盈
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s.CloseOrders(&strat.ExitReq{
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Tag: "Take Profit",
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Limit: curTP,
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})
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}
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}
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// 首次入场条件：价格上穿SMA且无持仓
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if e.Close.Cross(ma) == 1 && state.totAmount == 0 && openRate > 0 {
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state.odNum = 1
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state.totAmount = openRate
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state.totCost = closePrice * openRate
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}
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// 加仓条件：亏损达到目标比例且有持仓
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if avgPrice > 0 && pnl <= targetPercCur && state.odNum < maxAdd {
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amt := state.totAmount * targetQty
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state.totAmount += amt
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state.totCost += amt * closePrice
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curStart := startLvl
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if state.upFlag < 0 {
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// 下降趋势上升3个阶梯，和全局阈值取平均
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curStart = (startLvl + startLvlRaw + 3) / 2
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}
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if state.odNum >= curStart {
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pairLock.Lock()
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_, allow := openPairs[s]
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if !allow && len(openPairs) < maxOpenPair {
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allow = true
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}
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if allow {
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openPairs[s] = len(s.LongOrders)
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}
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pairLock.Unlock()
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if allow {
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s.OpenOrder(&strat.EnterReq{
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Tag: fmt.Sprintf("%v", state.odNum),
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CostRate: amt,
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})
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}
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}
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state.odNum += 1
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}
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},
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OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
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score := float64(0)
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if ta.RSI(e.Close, 14).Get(0) < 30 {
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score += 1
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}
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roc := ta.ROC(e.Close, 20).Get(0)
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if roc < -20 {
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score += 2
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} else if roc < -10 {
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score += 1
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}
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plusDi, minusDi := ta.PluMinDI(e.High, e.Low, e.Close, 14)
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adx := ta.ADX(e.High, e.Low, e.Close, 14).Get(0)
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if minusDi.Get(0) > plusDi.Get(0) {
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if adx > 40 {
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score += 2
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} else if adx > 25 {
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score += 1
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||
}
|
||
}
|
||
ma7 := ta.SMA(e.Close, 7).Get(0)
|
||
ma20 := ta.SMA(e.Close, 20)
|
||
ma20V := ma20.Get(0)
|
||
ma99 := ta.SMA(e.Close, 99).Get(0)
|
||
if ma99 > ma20V {
|
||
score += 1
|
||
}
|
||
state, _ := s.More.(*State1525Sim)
|
||
state.score = score
|
||
state.upFlag = 0
|
||
if ma20V > ma99 && ma20V > ma20.Get(2) {
|
||
state.upFlag = 1
|
||
} else if ma7 < min(ma20V, ma99) {
|
||
state.upFlag = -1
|
||
}
|
||
},
|
||
OnBatchInfos: func(tf string, jobs map[string]*strat.JobEnv) {
|
||
jobNum := len(jobs)
|
||
if jobNum < 3 {
|
||
return
|
||
}
|
||
downNum, downHeavyNum, sumUp := float64(0), float64(0), float64(0)
|
||
var last *strat.JobEnv
|
||
for _, j := range jobs {
|
||
state, _ := j.Job.More.(*State1525Sim)
|
||
if state.score >= 5 {
|
||
downHeavyNum += 1
|
||
}
|
||
if state.score >= 3 {
|
||
downNum += 1
|
||
}
|
||
sumUp += max(0, state.upFlag)
|
||
last = j
|
||
}
|
||
downRate := downNum / float64(len(jobs))
|
||
downHeavyRate := downHeavyNum / float64(len(jobs))
|
||
sumUp /= float64(len(jobs))
|
||
if downHeavyRate >= 0.8 {
|
||
// 极端下跌
|
||
targetPerc = targetPercRaw * 2
|
||
takeProfit = takeProfitRaw * 0.5
|
||
} else if downRate >= 0.85 && downHeavyRate >= 0.6 {
|
||
// 严重下跌
|
||
targetPerc = targetPercRaw * 1.8
|
||
takeProfit = takeProfitRaw * 0.5
|
||
} else if downRate >= 0.7 && downRate <= 0.85 {
|
||
// 市场中度下跌
|
||
targetPerc = targetPercRaw * 1.6
|
||
takeProfit = takeProfitRaw * 0.65
|
||
} else if downRate >= 0.5 && downRate <= 0.7 {
|
||
// 轻度下跌
|
||
targetPerc = targetPercRaw * 1.3
|
||
takeProfit = takeProfitRaw * 0.8
|
||
} else {
|
||
// 轻度或未下跌
|
||
targetPerc = targetPercRaw
|
||
takeProfit = takeProfitRaw
|
||
}
|
||
// 调整最小开仓级别
|
||
if sumUp > 0.7 {
|
||
startLvl = startLvlRaw
|
||
} else if sumUp > 0.5 && downRate <= 0.5 {
|
||
startLvl = startLvlRaw + 2
|
||
} else if sumUp > 0.3 && downRate <= 0.7 {
|
||
startLvl = startLvlRaw + 4
|
||
} else {
|
||
startLvl = startLvlRaw + 6
|
||
}
|
||
pairLock.Lock()
|
||
totNum := 0
|
||
for _, num := range openPairs {
|
||
totNum += num
|
||
}
|
||
pairLock.Unlock()
|
||
if totNum > 0 {
|
||
last.Job.Strat.WriteOutput(fmt.Sprintf("pairNum: %v", totNum), true)
|
||
}
|
||
},
|
||
}
|
||
}
|