271 lines
8.0 KiB
Go
271 lines
8.0 KiB
Go
package llmjob
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import (
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"fmt"
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"math"
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"sort"
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"sync"
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"github.com/banbox/banbot/biz"
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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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"github.com/banbox/banexg/utils"
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ta "github.com/banbox/banta"
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"go.uber.org/zap"
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)
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/*
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超跌反弹策略。30个品种为宜；已增加暴跌抄底机制。
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开单越多，后续抄底价指数下移
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做空部分没有利润，不稳定，小亏，禁用
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*/
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type State3762 struct {
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NoLongUntil int64
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BWidth float64
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MidPrice float64
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SlRange float64
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volRate float64
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}
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func J3762(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义策略参数
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p := pol.DefInt("p", 20, core.PNorm(5, 50))
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d := pol.Def("d", 30.0, core.PNorm(5, 50))
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mult := pol.Def("mult", 1.5, core.PNorm(1.0, 3.0))
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slRate := pol.Def("slRate", 25, core.PNorm(0, 250)) //default: 25
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// 某品种入场时，下移其他品种的倍率（相对BWidth）
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// 0.3开单太多亏损，0.5开单不足亏损
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downOtherRate := 0.33
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dayMS := int64(utils.TFToSecs("1d") * 1000)
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longFillNum := float64(0)
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fillLock := sync.Mutex{}
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var allJobs []*strat.StratJob
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// 基于成交量计算的区间倍率，成交量太大时，适当调低做多和止损价格
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var rangeVolRate = float64(1)
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allowPairs := 1 // 允许挂单的订单数，默认为品种数，随开单减少，防止交易所故障导致下单过多
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openPairs := 0 // 实际有订单的品种数（挂单+持仓）
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lenAtr := 20
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baseAtrLen := int(math.Round(float64(lenAtr) * 4.3))
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calcBuyPrice := func(m *State3762) float64 {
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return m.MidPrice - m.BWidth*(1+math.Pow(longFillNum, 1.5)*downOtherRate)*rangeVolRate
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}
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return &strat.TradeStrat{
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WarmupNum: baseAtrLen * 2, // 预热K线数量，确保有足够数据计算指标
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RunTimeFrames: []string{"15m"},
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BatchInOut: true,
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OnStartUp: func(s *strat.StratJob) {
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s.More = &State3762{}
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},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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m, _ := s.More.(*State3762)
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// 计算基础布林带指标
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sma := ta.SMA(e.Close, p)
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ma7 := ta.SMA(e.Close, 7).Get(0)
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ma30 := ta.SMA(e.Close, 30).Get(0)
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multCur := mult
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if ma7 < ma30 {
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// 熊市下移下限
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multCur *= 1.35
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}
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stddev := ta.StdDev(e.Close, p).Get(0) * multCur
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upperBB := sma.Get(0) + stddev
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lowerBB := sma.Get(0) - stddev
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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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maVol := ta.EMA(e.Volume, lenAtr)
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volBase := ta.Lowest(ta.Highest(maVol, lenAtr), baseAtrLen).Get(0)
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m.volRate = maVol.Get(0) / volBase
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volH3Rate := ta.Highest(maVol, 3).Get(0) / volBase
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// 计算百分比偏离轨道
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atrRt := d
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if ma7 < ma30 {
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// 熊市下移下限
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atrRt *= 1.35
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}
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upex2 := sma.Get(0) + atrBase*atrRt
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dnex2 := sma.Get(0) - atrBase*atrRt
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// 计算最终轨道
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upexPrice := max(upperBB, (upex2+upperBB)/2)
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dnexPrice := min(lowerBB, (dnex2+lowerBB)/2)
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m.BWidth = (upexPrice - dnexPrice) / 2
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m.MidPrice = (upexPrice + dnexPrice) / 2
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//lowPrice, highPrice := dnexPrice, upexPrice
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lowPrice := calcBuyPrice(m)
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// 获取当前价格
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closePrice := e.Close.Get(0)
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// 平仓条件：阳线
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if len(s.LongOrders) > 0 && s.LongOrders[0].Status >= ormo.InOutStatusPartEnter {
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doExit := closePrice > e.Open.Get(0)
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if volH3Rate > 5 {
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// 放巨量入场的订单，等待阳线后一个K线出场
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doExit = e.Close.Get(1) > e.Open.Get(1)
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}
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if doExit {
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s.CloseOrders(&strat.ExitReq{
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Tag: "ExitLong",
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Dirt: core.OdDirtLong,
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Log: true,
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})
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}
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}
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if math.IsNaN(lowPrice) || lowPrice <= 0 {
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return
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}
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slRange := min(atrBase*slRate, closePrice*0.25) * min(3, rangeVolRate)
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m.SlRange = slRange
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// 执行交易逻辑
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//if !s.IsWarmUp && e.TimeStop >= 1760130900000 {
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// line := fmt.Sprintf("%s upp: %.6f, low: %.6f upex2: %.6f, dnex2: %.6f dnex: %.6f slRange: %.6f",
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// e.Symbol, upperBB, lowerBB, upex2, dnex2, lowPrice, slRange)
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// s.Strat.WriteOutput(line, true)
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//}
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if len(s.LongOrders) == 0 {
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// 使用限价单在下轨价格做多，不依赖当前价格是否突破轨道
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if e.TimeStop >= m.NoLongUntil && openPairs < allowPairs {
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fillLock.Lock()
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openPairs += 1
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fillLock.Unlock()
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s.OpenOrder(&strat.EnterReq{
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Tag: "Long",
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Limit: lowPrice, // 以下轨价格作为限价单
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StopLossVal: slRange,
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Log: true,
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})
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}
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} else {
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for _, od := range s.LongOrders {
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if od.Status == ormo.InOutStatusInit {
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err := od.SetEnterLimit(lowPrice)
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if err != nil {
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log.Error("SetEnterLimit fail", zap.Error(err))
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} else {
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err = od.SetStopLoss(&ormo.ExitTrigger{
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Price: lowPrice - slRange,
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})
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if err != nil {
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log.Error("SetStopLoss fail", zap.Error(err))
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}
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}
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} else if od.Status == ormo.InOutStatusFullEnter {
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barNum := e.BarCount(od.Enter.UpdateAt)
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if barNum > 2 && od.ProfitRate < 0 {
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// 持仓2个k线，出现亏损，平仓
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s.CloseOrders(&strat.ExitReq{
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Tag: "ExitBad",
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Dirt: core.OdDirtLong,
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Log: true,
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})
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m.NoLongUntil = e.TimeStop + dayMS
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}
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}
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}
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}
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},
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OnBatchJobs: func(jobs []*strat.StratJob) {
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fillLock.Lock()
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longFillNum = 0
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openPairs = 0
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volRates := make([]float64, 0, len(jobs))
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for _, s := range jobs {
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if len(s.LongOrders) > 0 {
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openPairs += 1
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for _, od := range s.LongOrders {
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if od.Status >= ormo.InOutStatusPartEnter {
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longFillNum += 1
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}
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}
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}
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m, _ := s.More.(*State3762)
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volRates = append(volRates, m.volRate)
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}
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fillLock.Unlock()
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allJobs = jobs
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sort.Float64s(volRates)
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rangeVolRate = max(1, math.Pow(volRates[len(volRates)/2]/2, 0.3))
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allowPairs = int(math.Round(math.Pow(0.8, longFillNum) * float64(len(allJobs))))
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//jobs[0].Strat.WriteOutput(fmt.Sprintf("%.3f", rangeVolRate), true)
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},
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OnOrderChange: func(s *strat.StratJob, od *ormo.InOutOrder, chgType int) {
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if chgType == core.OdChgExitFill {
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if od.Enter.Amount > 0 {
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m, _ := s.More.(*State3762)
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m.NoLongUntil = od.ExitAt + dayMS
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fillLock.Lock()
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longFillNum -= 1
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openPairs -= 1
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fillLock.Unlock()
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}
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} else if chgType == core.OdChgEnterFill {
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fillLock.Lock()
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longFillNum += 1
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openPairs = 0 // 这里应当重新计算，避免并发和回调导致错误
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for _, job := range allJobs {
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if len(job.LongOrders) > 0 {
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openPairs += 1
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}
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}
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fillLock.Unlock()
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// 降低允许开仓的品种数，避免交易所故障导致下单太多
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allowPairs = int(math.Round(math.Pow(0.85, longFillNum) * float64(len(allJobs))))
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needClose := openPairs - allowPairs // 需要关闭的订单数
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if needClose > 0 {
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// 排序确保多次回测一致
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sort.Slice(allJobs, func(i, j int) bool {
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return allJobs[i].Symbol.Symbol < allJobs[j].Symbol.Symbol
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})
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}
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odMgr := biz.GetOdMgr(s.Account)
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// 移动其他品种的入场价格，避免同时开仓太多
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for _, job := range allJobs {
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if job == s || len(job.LongOrders) == 0 {
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continue
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}
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m, _ := job.More.(*State3762)
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lowPrice := calcBuyPrice(m)
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for _, odr := range job.LongOrders {
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if odr.Status <= ormo.InOutStatusPartEnter {
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if lowPrice <= 0 || needClose > 0 {
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needClose -= 1
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job.CloseOrders(&strat.ExitReq{
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Tag: "cancel",
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OrderID: odr.ID,
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Force: true,
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})
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odMgr.ProcessOrders(job)
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} else {
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err := odr.SetEnterLimit(lowPrice)
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if err == nil {
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odr.EnterTag = fmt.Sprintf("long%d", int(longFillNum))
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odr.SetStopLoss(&ormo.ExitTrigger{
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Price: max(lowPrice-m.SlRange, lowPrice*0.1),
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})
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}
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}
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} else {
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odr.SetStopLoss(&ormo.ExitTrigger{
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Price: max(lowPrice-m.SlRange, odr.Enter.Price*0.1),
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})
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}
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}
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}
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}
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},
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}
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}
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