banstagy/llmjob/3939.go

package llmjob

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

func J3939(pol *config.RunPolicyConfig) *strat.TradeStrat {
	// 定义可调超参数
	lwstPeriod := pol.DefInt("lwst_period", 10, core.PNorm(5, 25))
	lwstMultiplier := pol.Def("lwst_multiplier", 3.0, core.PNorm(1.5, 5.5))
	lwstLength := pol.DefInt("lwst_length", 20, core.PNorm(10, 40))
	trendLength := pol.DefInt("trend_length", 14, core.PNorm(7, 25))
	trendThreshold := pol.Def("trend_threshold", 0.5, core.PNorm(0.1, 2.0))
	wtChannelLength := pol.DefInt("wt_channel_length", 9, core.PNorm(5, 20))
	wtAverageLength := pol.DefInt("wt_average_length", 12, core.PNorm(6, 24))
	wtMaLength := pol.DefInt("wt_ma_length", 3, core.PNorm(2, 8))
	wtOverbought := pol.Def("wt_overbought", 53, core.PNorm(40, 70))
	wtOversold := pol.Def("wt_oversold", -53, core.PNorm(-70, -40)) // 修复：独立的超卖参数
	slPercent := pol.Def("sl_percent", 2.0, core.PNorm(0.5, 5.0))
	tpPercent := pol.Def("tp_percent", 4.0, core.PNorm(1.0, 10.0))

	warmupNum := max(lwstPeriod*2, trendLength*2, wtChannelLength+wtAverageLength)

	return &strat.TradeStrat{
		Name:         "Multi-Indicator-Consensus",
		WarmupNum:    warmupNum + 50,
		HedgeOff:     true, // 单向持仓模式
		EachMaxLong:  1,
		EachMaxShort: 1,

		OnBar: func(s *strat.StratJob) {
			e := s.Env
			currentPrice := e.Close.Get(0)

			// =================== Indicator 1: Liquidity Weighted Supertrend ===================
			// Volume-weighted component for dynamic sensitivity
			volSma := ta.SMA(e.Volume, lwstLength)
			volWeight := e.Volume.Div(volSma)

			// ATR-based bands with volume weighting
			atr := ta.ATR(e.High, e.Low, e.Close, lwstPeriod)
			hl2 := ta.HL2(e.High, e.Low)
			_ = hl2.Add(atr.Mul(lwstMultiplier).Mul(volWeight)) // upperBand
			_ = hl2.Sub(atr.Mul(lwstMultiplier).Mul(volWeight)) // lowerBand

			// Trend determination based on price action and previous trend
			// 修复：使用Series保存趋势状态
			lwstTrendSeries := e.Close.To("_lwst_trend", 0)
			var lwstTrend float64
			if e.Close.Len() > 1 {
				prevTrend := lwstTrendSeries.Get(1)
				if currentPrice > prevTrend {
					lwstTrend = 1
				} else if currentPrice < prevTrend {
					lwstTrend = -1
				} else {
					lwstTrend = prevTrend
				}
			} else {
				lwstTrend = 1.0
			}
			lwstTrendSeries.Set(lwstTrend)

			// =================== Indicator 2: Trend Signals ===================
			// Dual EMA system for trend detection
			fastEma := ta.EMA(e.Close, trendLength)
			slowEma := ta.EMA(e.Close, trendLength*2)
			trendDiff := fastEma.Sub(slowEma).Div(slowEma).Mul(100)
			trendDiffVal := trendDiff.Get(0)

			var trendSignal float64
			if trendDiffVal > trendThreshold {
				trendSignal = 1
			} else if trendDiffVal < -trendThreshold {
				trendSignal = -1
			} else {
				trendSignal = 0
			}

			// =================== Indicator 3: Enhanced Wavetrend ===================
			// Calculate Wavetrend components
			ap := ta.HLC3(e.High, e.Low, e.Close)
			esa := ta.EMA(ap, wtChannelLength)
			d := ta.EMA(ap.Sub(esa).Abs(), wtChannelLength)
			ci := ap.Sub(esa).Div(d.Mul(0.015))
			tci := ta.EMA(ci, wtAverageLength)

			// Generate main and signal lines
			wt1 := tci
			wt2 := ta.SMA(wt1, wtMaLength)

			// Generate Wavetrend Signal based on overbought/oversold conditions
			wt1Val := wt1.Get(0)
			wt2Val := wt2.Get(0)

			// 修复：使用Series保存wt_signal状态
			wtSignalSeries := e.Close.To("_wt_signal", 0)
			var wtSignal float64
			if wt1Val > wtOverbought && wt2Val > wtOverbought {
				wtSignal = -1 // 超买信号
			} else if wt1Val < wtOversold && wt2Val < wtOversold { // 修复：使用独立的wtOversold参数
				wtSignal = 1 // 超卖信号
			} else {
				wtSignal = wtSignalSeries.Get(1)
			}
			wtSignalSeries.Set(wtSignal)

			// =================== Consensus Signal Generation ===================
			// 修复：正确计算净信号数（范围-3到3）
			consensusCount := 0
			if lwstTrend == 1 {
				consensusCount++
			} else if lwstTrend == -1 {
				consensusCount--
			}
			if trendSignal == 1 {
				consensusCount++
			} else if trendSignal == -1 {
				consensusCount--
			}
			if wtSignal == 1 {
				consensusCount++
			} else if wtSignal == -1 {
				consensusCount--
			}

			// Generate trading signals when majority (2+ indicators) agree
			buySignal := consensusCount >= 2
			sellSignal := consensusCount <= -2

			// =================== Trade Execution ===================
			if buySignal && len(s.LongOrders) == 0 && len(s.ShortOrders) == 0 {
				// 计算止损止盈价格
				slAmount := currentPrice * slPercent / 100
				tpAmount := currentPrice * tpPercent / 100

				s.OpenOrder(&strat.EnterReq{
					Tag:           "Short",
					Short:         true,
					StopLossVal:   slAmount,
					TakeProfitVal: tpAmount,
				})
			} else if sellSignal && len(s.ShortOrders) == 0 && len(s.LongOrders) == 0 {
				// 计算做空止损止盈价格
				slAmount := currentPrice * slPercent / 100
				tpAmount := currentPrice * tpPercent / 100

				s.OpenOrder(&strat.EnterReq{
					Tag:           "Long",
					Short:         false,
					StopLossVal:   slAmount,
					TakeProfitVal: tpAmount,
				})
			}
		},
	}
}