65 lines
1.9 KiB
Go
65 lines
1.9 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/strat"
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ta "github.com/banbox/banta"
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"math"
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)
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func J32(pol *config.RunPolicyConfig) *strat.TradeStrat {
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smaLength := pol.DefInt("smaLength", 30, core.PNorm(5, 30))
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macdFastLength := pol.DefInt("macdFastLength", 25, core.PNorm(5, 20))
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macdSlowLength := pol.DefInt("macdSlowLength", 38, core.PNorm(15, 40))
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macdSignalSmoothing := pol.DefInt("macdSignalSmoothing", 3, core.PNorm(3, 15))
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warmupNum := smaLength
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if macdSlowLength > warmupNum {
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warmupNum = macdSlowLength
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}
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if macdFastLength+macdSignalSmoothing > warmupNum {
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warmupNum = macdFastLength + macdSignalSmoothing
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}
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return &strat.TradeStrat{
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WarmupNum: warmupNum,
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HedgeOff: true,
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EachMaxLong: 1,
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RunTimeFrames: []string{"8h"},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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sma10 := ta.SMA(e.Close, smaLength)
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macdLine, signalLine := ta.MACD(e.Close, macdFastLength, macdSlowLength, macdSignalSmoothing)
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closePrice := e.Close.Get(0)
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sma10Value := sma10.Get(0)
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macdValue := macdLine.Get(0)
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signalValue := signalLine.Get(0)
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if math.IsNaN(closePrice) || math.IsNaN(sma10Value) || math.IsNaN(macdValue) || math.IsNaN(signalValue) {
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return
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}
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priceCrossSMA := e.Close.Cross(sma10)
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macdCrossSignal := macdLine.Cross(signalLine)
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longCondition := priceCrossSMA == 1 && macdCrossSignal == 1
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shortCondition := priceCrossSMA == -1 && macdCrossSignal == -1
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if longCondition && len(s.LongOrders) == 0 {
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s.OpenOrder(&strat.EnterReq{
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Tag: "Long",
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})
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s.CloseOrders(&strat.ExitReq{
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Tag: "CloseShort",
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Dirt: core.OdDirtShort,
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})
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}
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if shortCondition && len(s.LongOrders) > 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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})
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s.CloseOrders(&strat.ExitReq{
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Tag: "CloseLong",
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Dirt: core.OdDirtLong,
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})
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}
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},
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}
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}
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