106 lines
3.8 KiB
Go
106 lines
3.8 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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"github.com/banbox/banbot/config"
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"github.com/banbox/banbot/core"
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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 J1569(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调超参数
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fastPeriod := pol.DefInt("fastPeriod", 10, core.PNorm(5, 20))
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smaRatio := pol.Def("smaRatio", 2.0, core.PNorm(1.5, 4.0))
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supportResistancePeriod := pol.DefInt("supportResistancePeriod", 12, core.PNorm(5, 20))
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confirmPeriod := pol.DefInt("confirmPeriod", 3, core.PNorm(2, 5))
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riskRewardRatio := pol.Def("riskRewardRatio", 2.2, core.PNorm(1.5, 3.0))
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// 计算慢速SMA周期
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slowPeriod := int(float64(fastPeriod) * smaRatio)
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// 确保预热K线数量足够计算所有指标
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warmupNum := slowPeriod
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if supportResistancePeriod > warmupNum {
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warmupNum = supportResistancePeriod
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}
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return &strat.TradeStrat{
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WarmupNum: warmupNum,
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HedgeOff: true, // 单向持仓模式
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EachMaxLong: 1, // 最多1个多头订单
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EachMaxShort: 1, // 最多1个空头订单
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RunTimeFrames: []string{"1h"},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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// 计算移动平均线
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smaFast := ta.SMA(e.Close, fastPeriod)
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smaSlow := ta.SMA(e.Close, slowPeriod)
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// 计算支撑阻力位（过去10根K线的最高价和最低价）
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recentLow := ta.Lowest(e.Low, supportResistancePeriod)
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recentHigh := ta.Highest(e.High, supportResistancePeriod)
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// 计算确认条件所需的指标
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highestSmaSlow := ta.Highest(smaSlow, confirmPeriod)
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lowestSmaSlow := ta.Lowest(smaSlow, confirmPeriod)
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lowestLow3 := ta.Lowest(e.Low, confirmPeriod)
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highestHigh3 := ta.Highest(e.High, confirmPeriod)
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// 获取当前值
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closePrice := e.Close.Get(0)
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smaSlowVal := smaSlow.Get(0)
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recentLowVal := recentLow.Get(0)
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recentHighVal := recentHigh.Get(0)
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highestSmaSlowVal := highestSmaSlow.Get(0)
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lowestSmaSlowVal := lowestSmaSlow.Get(0)
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lowestLow3Val := lowestLow3.Get(0)
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highestHigh3Val := highestHigh3.Get(0)
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// 生成交易信号 - 只计算一次交叉信号
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crossSignal := smaFast.Cross(smaSlow)
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bullishCross := crossSignal == 1 // 10周期SMA上穿20周期SMA
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bearishCross := crossSignal == -1 // 10周期SMA下穿20周期SMA
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breakoutUp := closePrice > highestSmaSlowVal // 收盘价突破过去3根K线的20周期SMA最高点
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breakoutDown := closePrice < lowestSmaSlowVal // 收盘价跌破过去3根K线的20周期SMA最低点
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retestUp := lowestLow3Val > smaSlowVal // 过去3根K线的最低价保持在20周期SMA之上
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retestDown := highestHigh3Val < smaSlowVal // 过去3根K线的最高价保持在20周期SMA之下
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// 三重确认条件
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buyCondition := bullishCross && breakoutUp && retestUp
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sellCondition := bearishCross && breakoutDown && retestDown
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// 计算止损止盈
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longSL := recentLowVal // 买入止损设为过去10根K线的最低价
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shortSL := recentHighVal // 卖出止损设为过去10根K线的最高价
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riskSizeLong := closePrice - longSL // 买入交易的风险大小
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riskSizeShort := shortSL - closePrice // 卖出交易的风险大小
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longTP := closePrice + (riskSizeLong * riskRewardRatio) // 买入交易的止盈价格
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shortTP := closePrice - (riskSizeShort * riskRewardRatio) // 卖出交易的止盈价格
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// 执行交易
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if buyCondition && len(s.LongOrders) == 0 {
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s.OpenOrder(&strat.EnterReq{
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Tag: "Long",
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OrderType: core.OrderTypeMarket,
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StopLoss: longSL,
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TakeProfit: longTP,
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})
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}
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if sellCondition && len(s.ShortOrders) == 0 {
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s.OpenOrder(&strat.EnterReq{
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Tag: "Short",
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Short: true,
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OrderType: core.OrderTypeMarket,
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StopLoss: shortSL,
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TakeProfit: shortTP,
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})
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}
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},
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}
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}
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