banstagy/llmjob/2625.go

package llmjob

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

// AtrRsiStrategy 存储每个品种的持仓期间最高价和最低价
type AtrRsiStrategy struct {
	IntraTradeHigh float64
	IntraTradeLow  float64
}

func J2625(pol *config.RunPolicyConfig) *strat.TradeStrat {
	atrLength := pol.DefInt("atr_length", 18, core.PNorm(10, 50))
	atrMaRate := pol.Def("atr_ma_rate", 1.8, core.PNorm(1.2, 3.0))
	rsiLength := pol.DefInt("rsi_length", 9, core.PNorm(7, 30))
	rsiEntry := pol.DefInt("rsi_entry", 7, core.PNorm(5, 20))
	atrMaNormMin := pol.Def("atr_ma_norm_min", 0.3, core.PNorm(0.1, 0.5))
	atrMaNormMax := pol.Def("atr_ma_norm_max", 0.7, core.PNorm(0.5, 1.0))
	trailingPercent := pol.Def("trailing_percent", 1.3, core.PNorm(0.5, 3.0))

	// 计算ATR移动平均线周期
	atrMaLength := int(float64(atrLength) * atrMaRate)

	// 计算RSI买入和卖出阈值
	rsiBuy := 50 + float64(rsiEntry)
	rsiSell := 50 - float64(rsiEntry)

	// 确定预热数量，取最大参数值
	warmupNum := atrMaLength
	if rsiLength > warmupNum {
		warmupNum = rsiLength
	}

	return &strat.TradeStrat{
		WarmupNum:     warmupNum,
		HedgeOff:      true, // 单向持仓模式
		RunTimeFrames: []string{"1h"},
		OnStartUp: func(s *strat.StratJob) {
			// 初始化每个品种的持仓期间最高价和最低价
			s.More = &AtrRsiStrategy{
				IntraTradeHigh: 0,
				IntraTradeLow:  0,
			}
		},
		OnBar: func(s *strat.StratJob) {
			e := s.Env
			m, _ := s.More.(*AtrRsiStrategy)

			// 计算技术指标
			atrValue := ta.ATR(e.High, e.Low, e.Close, atrLength)
			atrMa := ta.SMA(atrValue, atrMaLength)
			rsiValue := ta.RSI(e.Close, rsiLength)

			// 获取当前价格
			closePrice := e.Close.Get(0)
			highPrice := e.High.Get(0)
			lowPrice := e.Low.Get(0)

			// 检查数据有效性
			if math.IsNaN(closePrice) || math.IsNaN(highPrice) || math.IsNaN(lowPrice) ||
				math.IsNaN(atrValue.Get(0)) || math.IsNaN(atrMa.Get(0)) || math.IsNaN(rsiValue.Get(0)) {
				return
			}

			// 计算ATR移动平均线的标准化值
			atrMaNorm := atrMa.Get(0) / closePrice * 100

			// 获取当前持仓状态
			longOrders := s.LongOrders
			shortOrders := s.ShortOrders
			hasLongPosition := len(longOrders) > 0
			hasShortPosition := len(shortOrders) > 0

			// 无持仓状态
			if !hasLongPosition && !hasShortPosition {
				// 重置持仓期间最高价和最低价
				m.IntraTradeHigh = highPrice
				m.IntraTradeLow = lowPrice

				// 检查波动率是否在适合交易范围内
				if atrMaNorm >= atrMaNormMin && atrMaNorm <= atrMaNormMax {
					// 检查当前波动率是否高于平均波动率
					if atrValue.Get(0) > atrMa.Get(0) {
						// 检查RSI信号
						if rsiValue.Get(0) > rsiBuy {
							// RSI超买，做多
							s.OpenOrder(&strat.EnterReq{
								Tag:       "B1",
								OrderType: core.OrderTypeLimit,
								Limit:     closePrice + 5,
							})
						} else if rsiValue.Get(0) < rsiSell {
							// RSI超卖，做空
							s.OpenOrder(&strat.EnterReq{
								Tag:       "S1",
								Short:     true,
								OrderType: core.OrderTypeLimit,
								Limit:     closePrice - 5,
							})
						}
					}
				}
			} else if hasLongPosition {
				// 多头持仓状态
				// 更新持仓期间最高价
				if highPrice > m.IntraTradeHigh {
					m.IntraTradeHigh = highPrice
				}
				m.IntraTradeLow = lowPrice

				// 计算多头追踪止损价格
				longTp := m.IntraTradeHigh * (1 - trailingPercent/100)

				// 获取入场价格
				enterPrice := longOrders[0].InitPrice

				// 设置止损和止盈
				for _, od := range longOrders {
					od.SetStopLoss(&ormo.ExitTrigger{
						Price: longTp,
						Rate:  1.0, // 全部退出
						Tag:   "trailing_stop",
					})

					od.SetTakeProfit(&ormo.ExitTrigger{
						Price: enterPrice * 1.03,
						Rate:  1.0, // 全部退出
						Tag:   "take_profit",
					})
				}
			} else if hasShortPosition {
				// 空头持仓状态
				m.IntraTradeHigh = highPrice
				// 更新持仓期间最低价
				if lowPrice < m.IntraTradeLow {
					m.IntraTradeLow = lowPrice
				}

				// 计算空头追踪止损价格
				shortTp := m.IntraTradeLow * (1 + trailingPercent/100)

				// 获取入场价格
				enterPrice := shortOrders[0].InitPrice

				// 设置止损和止盈
				for _, od := range shortOrders {
					od.SetStopLoss(&ormo.ExitTrigger{
						Price: shortTp,
						Rate:  1.0, // 全部退出
						Tag:   "trailing_stop",
					})

					od.SetTakeProfit(&ormo.ExitTrigger{
						Price: enterPrice * 0.94,
						Rate:  1.0, // 全部退出
						Tag:   "take_profit",
					})
				}
			}
		},
	}
}