114 lines
3.2 KiB
Go
114 lines
3.2 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 J3992(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调超参数
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fastLength := pol.DefInt("fastLength", 10, core.PUniform(5, 20))
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macdSlowRate := pol.Def("macdSlowRate", 2.17, core.PNorm(1.5, 4))
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rsiThreshold := pol.DefInt("rsiThreshold", 65, core.PUniform(60, 80))
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bbMult := pol.Def("bbMult", 2.0, core.PNorm(1.5, 3.0))
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rsiLength := pol.DefInt("rsiLength", 14, core.PUniform(7, 21))
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// 计算其他参数
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MACDLength := 9 // 固定值
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slowLength := int(float64(fastLength) * macdSlowRate)
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rsiOverbought := float64(rsiThreshold)
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rsiOversold := 100 - rsiOverbought
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stopLossPercent := 0.02 // 2% stop loss
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takeProfitPercent := 0.05 // 5% take profit
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// 计算预热数量，取最大值
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warmupNum := slowLength
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if MACDLength > warmupNum {
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warmupNum = MACDLength
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}
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if rsiLength > warmupNum {
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warmupNum = rsiLength
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}
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if bbLength := 20; bbLength > warmupNum {
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warmupNum = bbLength
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}
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return &strat.TradeStrat{
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WarmupNum: warmupNum,
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HedgeOff: true, // 单向持仓模式
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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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// 检查数据长度是否足够
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if e.Close.Len() < warmupNum {
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return
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}
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// MACD calculations
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fastMA := ta.EMA(e.Close, fastLength)
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slowMA := ta.EMA(e.Close, slowLength)
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macdLine := fastMA.Sub(slowMA)
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signalLine := ta.EMA(macdLine, MACDLength)
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// RSI calculation
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rsi := ta.RSI(e.Close, rsiLength)
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// Bollinger Bands calculation
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bbLength := 20
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basis := ta.SMA(e.Close, bbLength)
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stdDev := ta.StdDev(e.Close, bbLength)
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dev := stdDev.Mul(bbMult)
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upper := basis.Add(dev)
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lower := basis.Sub(dev)
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// 获取当前值
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closePrice := e.Close.Get(0)
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macdVal := macdLine.Get(0)
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signalVal := signalLine.Get(0)
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rsiVal := rsi.Get(0)
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upperVal := upper.Get(0)
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lowerVal := lower.Get(0)
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// 检查NaN值
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if math.IsNaN(closePrice) || math.IsNaN(macdVal) || math.IsNaN(signalVal) ||
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math.IsNaN(rsiVal) || math.IsNaN(upperVal) || math.IsNaN(lowerVal) {
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return
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}
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// Entry conditions
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macdCrossOver := macdLine.Cross(signalLine) == 1
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rsiCrossUnder := rsi.Cross(rsiOversold) == -1
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longCondition := (macdCrossOver || rsiCrossUnder) && closePrice > lowerVal
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macdCrossUnder := macdLine.Cross(signalLine) == -1
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rsiCrossOver := rsi.Cross(rsiOverbought) == 1
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shortCondition := (macdCrossUnder || rsiCrossOver) && closePrice < upperVal
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// Long position logic
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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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OrderType: core.OrderTypeMarket,
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StopLossVal: closePrice * (1 - stopLossPercent),
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TakeProfitVal: closePrice * (1 + takeProfitPercent),
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})
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}
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// Short position logic
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if shortCondition && len(s.ShortOrders) == 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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OrderType: core.OrderTypeMarket,
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StopLossVal: closePrice * (1 + stopLossPercent),
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TakeProfitVal: closePrice * (1 - takeProfitPercent),
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})
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}
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},
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}
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}
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