279 lines
9.7 KiB
Go
279 lines
9.7 KiB
Go
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/orm/ormo"
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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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// StrategyState 保存每个品种的交易状态
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type StrategyState struct {
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isLong bool // 当前是否持有多头仓位
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isShort bool // 当前是否持有空头仓位
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partialTpTriggered bool // 第一止盈是否已触发
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stopPrice float64 // 止损价格
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firstTpPrice float64 // 第一止盈价格
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secondTpPrice float64 // 第二止盈价格
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firstTpQty float64 // 第一止盈数量
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positionSize float64 // 仓位大小
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entryPrice float64 // 入场价格
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}
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func J1665(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调超参数
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fastLength := pol.DefInt("fastLength", 5, core.PNorm(3, 15))
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emaRate := pol.Def("emaRate", 3.0, core.PNorm(1.5, 6.0))
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rsiLength := pol.DefInt("rsiLength", 7, core.PNorm(3, 21))
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atrPeriod := pol.DefInt("atrPeriod", 10, core.PNorm(5, 20))
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stopLossRate := pol.Def("stopLossRate", 5.0, core.PNorm(2.0, 10.0))
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firstTakeProfitRate := pol.Def("firstTakeProfitRate", 8.0, core.PNorm(4.0, 16.0))
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secondTakeProfitRate := pol.Def("secondTakeProfitRate", 12.0, core.PNorm(6.0, 24.0))
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firstTakeProfitQtyRate := pol.Def("firstTakeProfitQtyRate", 50.0, core.PNorm(25.0, 75.0))
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leverageRate := pol.Def("leverageRate", 3.0, core.PNorm(1.0, 5.0))
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// 计算慢速EMA长度
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slowLength := int(float64(fastLength) * emaRate)
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return &strat.TradeStrat{
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WarmupNum: slowLength + 26, // 确保有足够数据计算所有指标
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HedgeOff: true, // 单向持仓
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EachMaxLong: 1, // 最多一个多单
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EachMaxShort: 1, // 最多一个空单
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RunTimeFrames: []string{"8h"},
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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 = &StrategyState{
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isLong: false,
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isShort: false,
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partialTpTriggered: false,
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stopPrice: math.NaN(),
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firstTpPrice: math.NaN(),
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secondTpPrice: math.NaN(),
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firstTpQty: math.NaN(),
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positionSize: math.NaN(),
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entryPrice: math.NaN(),
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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.(*StrategyState)
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// 计算技术指标
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fastEMA := ta.EMA(e.Close, fastLength)
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slowEMA := ta.EMA(e.Close, slowLength)
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rsi := ta.RSI(e.Close, rsiLength)
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atr := ta.ATR(e.High, e.Low, e.Close, atrPeriod)
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macd, signal := ta.MACD(e.Close, 12, 26, 9)
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// 获取当前值
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closePrice := e.Close.Get(0)
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prevClosePrice := e.Close.Get(1)
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highPrice := e.High.Get(0)
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lowPrice := e.Low.Get(0)
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if math.IsNaN(closePrice) {
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return
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}
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// 检测MACD交叉
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macdCross := macd.Cross(signal)
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macdGolden := macdCross == 1 // MACD金叉
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macdDeath := macdCross == -1 // MACD死叉
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// 生成交易信号
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longCondition := fastEMA.Get(0) > slowEMA.Get(0) && macdGolden && rsi.Get(0) < 70
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shortCondition := fastEMA.Get(0) < slowEMA.Get(0) && macdDeath && rsi.Get(0) > 30
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// 平仓信号
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exitLong := shortCondition || fastEMA.Get(0) < slowEMA.Get(0)
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exitShort := longCondition || fastEMA.Get(0) > slowEMA.Get(0)
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// 计算仓位大小
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if !math.IsNaN(atr.Get(0)) && atr.Get(0) > 0 {
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maxRiskPerTrade := 0.05
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// 修复错误1：使用动态账户权益而非固定值1000
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stakeAmount := s.Strat.GetStakeAmount(s)
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basePosition := stakeAmount * maxRiskPerTrade
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atrAmount := atr.Get(0) * closePrice
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riskPosition := basePosition / atrAmount * leverageRate
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maxPosition := stakeAmount * 0.4 / closePrice
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state.positionSize = math.Min(riskPosition, maxPosition)
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// 修复错误6：将firstTpQty的初始化移到仓位计算函数内部
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state.firstTpQty = state.positionSize * (firstTakeProfitQtyRate / 100.0)
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}
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// 多头入场
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if longCondition && !state.isLong && !state.isShort && !math.IsNaN(state.positionSize) {
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state.entryPrice = closePrice
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state.stopPrice = closePrice * (1 - stopLossRate/100)
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state.firstTpPrice = closePrice * (1 + firstTakeProfitRate/100)
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state.secondTpPrice = closePrice * (1 + secondTakeProfitRate/100)
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s.OpenOrder(&strat.EnterReq{
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Tag: "long",
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Amount: state.positionSize,
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StopLoss: state.stopPrice,
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StopLossTag: "stop_loss",
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})
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state.isLong = true
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state.partialTpTriggered = false
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}
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// 空头入场
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if shortCondition && !state.isShort && !state.isLong && !math.IsNaN(state.positionSize) {
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state.entryPrice = closePrice
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state.stopPrice = closePrice * (1 + stopLossRate/100)
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state.firstTpPrice = closePrice * (1 - firstTakeProfitRate/100)
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state.secondTpPrice = closePrice * (1 - secondTakeProfitRate/100)
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s.OpenOrder(&strat.EnterReq{
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Tag: "short",
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Short: true,
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Amount: state.positionSize,
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StopLoss: state.stopPrice,
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StopLossTag: "stop_loss",
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})
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state.isShort = true
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state.partialTpTriggered = false
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}
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// 修复错误2：在每个K线更新时重新计算止盈止损价格
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if state.isLong {
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state.stopPrice = state.entryPrice * (1 - stopLossRate/100)
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state.firstTpPrice = state.entryPrice * (1 + firstTakeProfitRate/100)
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if !state.partialTpTriggered {
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state.secondTpPrice = state.entryPrice * (1 + secondTakeProfitRate/100)
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}
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// 修复错误3：在触发第一止盈时立即调整第二止盈价格
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if !state.partialTpTriggered && (!math.IsNaN(prevClosePrice) && prevClosePrice >= state.firstTpPrice || highPrice >= state.firstTpPrice) {
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state.partialTpTriggered = true
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state.secondTpPrice = highPrice * (1 + 0.04) // 基于当前最高价再上涨4%
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}
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}
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if state.isShort {
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state.stopPrice = state.entryPrice * (1 + stopLossRate/100)
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state.firstTpPrice = state.entryPrice * (1 - firstTakeProfitRate/100)
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if !state.partialTpTriggered {
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state.secondTpPrice = state.entryPrice * (1 - secondTakeProfitRate/100)
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}
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// 修复错误3：在触发第一止盈时立即调整第二止盈价格
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if !state.partialTpTriggered && (!math.IsNaN(prevClosePrice) && prevClosePrice <= state.firstTpPrice || lowPrice <= state.firstTpPrice) {
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state.partialTpTriggered = true
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state.secondTpPrice = lowPrice * (1 - 0.04) // 基于当前最低价再下跌4%
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}
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}
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// 多头平仓条件
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if exitLong && state.isLong {
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s.CloseOrders(&strat.ExitReq{
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Tag: "exit_long",
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Dirt: core.OdDirtLong,
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})
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state.isLong = false
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state.partialTpTriggered = false
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}
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// 空头平仓条件
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if exitShort && state.isShort {
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s.CloseOrders(&strat.ExitReq{
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Tag: "exit_short",
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Dirt: core.OdDirtShort,
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})
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state.isShort = false
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state.partialTpTriggered = false
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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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state, _ := s.More.(*StrategyState)
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prevClosePrice := s.Env.Close.Get(1)
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highPrice := s.Env.High.Get(0)
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lowPrice := s.Env.Low.Get(0)
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if od.Short {
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// 空仓管理
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if state.isShort {
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// 修复错误7：使用前一根K线的收盘价和当前K线的最高价/最低价检查止损
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if (!math.IsNaN(prevClosePrice) && prevClosePrice >= state.stopPrice) || highPrice >= state.stopPrice {
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return &strat.ExitReq{
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Tag: "short_stop_loss",
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OrderID: od.ID,
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}
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}
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// 修复错误7：使用前一根K线的收盘价和当前K线的最低价检查第一止盈
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if !state.partialTpTriggered && ((!math.IsNaN(prevClosePrice) && prevClosePrice <= state.firstTpPrice) || lowPrice <= state.firstTpPrice) {
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return &strat.ExitReq{
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Tag: "short_first_take_profit",
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OrderID: od.ID,
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Amount: state.firstTpQty,
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}
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}
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// 修复错误7：使用前一根K线的收盘价和当前K线的最低价检查第二止盈
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if state.partialTpTriggered && ((!math.IsNaN(prevClosePrice) && prevClosePrice <= state.secondTpPrice) || lowPrice <= state.secondTpPrice) {
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state.isShort = false
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state.partialTpTriggered = false
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return &strat.ExitReq{
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Tag: "short_second_take_profit",
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OrderID: od.ID,
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}
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}
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}
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} else {
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// 多仓管理
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if state.isLong {
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// 修复错误7：使用前一根K线的收盘价和当前K线的最低价检查止损
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if (!math.IsNaN(prevClosePrice) && prevClosePrice <= state.stopPrice) || lowPrice <= state.stopPrice {
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return &strat.ExitReq{
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Tag: "long_stop_loss",
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OrderID: od.ID,
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}
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}
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// 修复错误7：使用前一根K线的收盘价和当前K线的最高价检查第一止盈
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if !state.partialTpTriggered && ((!math.IsNaN(prevClosePrice) && prevClosePrice >= state.firstTpPrice) || highPrice >= state.firstTpPrice) {
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return &strat.ExitReq{
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Tag: "long_first_take_profit",
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OrderID: od.ID,
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Amount: state.firstTpQty,
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}
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}
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// 修复错误7：使用前一根K线的收盘价和当前K线的最高价检查第二止盈
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if state.partialTpTriggered && ((!math.IsNaN(prevClosePrice) && prevClosePrice >= state.secondTpPrice) || highPrice >= state.secondTpPrice) {
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state.isLong = false
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state.partialTpTriggered = false
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return &strat.ExitReq{
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Tag: "long_second_take_profit",
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OrderID: od.ID,
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}
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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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OnOrderChange: func(s *strat.StratJob, od *ormo.InOutOrder, chgType int) {
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state, _ := s.More.(*StrategyState)
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// 订单状态变化时更新策略状态
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if chgType == strat.OdChgExitFill {
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if od.Short {
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// 空单完全平仓
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state.isShort = false
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state.partialTpTriggered = false
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} else {
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// 多单完全平仓
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state.isLong = false
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state.partialTpTriggered = false
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}
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}
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},
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}
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}
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