114 lines
3.5 KiB
Go
114 lines
3.5 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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)
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// StrategyMore 存储每个品种的策略状态
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type StrategyMore struct {
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LastBarNum float64 // 上次交易的K线编号
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}
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// MultiEMACross 多重均线交叉与时间间隔整合策略
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func J4225(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调参数
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emaBasePeriod := pol.DefInt("emaBasePeriod", 4, core.PNorm(3, 15))
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emaMidRatio := pol.Def("emaMidRatio", 2.1, core.PNorm(1.5, 4))
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emaSlowRatio := pol.Def("emaSlowRatio", 10, core.PNorm(5, 20))
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timeInterval := pol.DefInt("timeInterval", 35, core.PNorm(10, 100))
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atrMultiplier := pol.Def("atrMultiplier", 1.9, core.PNorm(0.5, 5))
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// 计算EMA周期
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emaMidPeriod := int(float64(emaBasePeriod) * emaMidRatio)
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emaSlowPeriod := int(float64(emaBasePeriod) * emaSlowRatio)
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// 确定预热K线数量，取最慢EMA周期的2倍
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warmupNum := emaSlowPeriod * 2
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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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OnStartUp: func(s *strat.StratJob) {
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// 初始化每个品种的策略状态
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s.More = &StrategyMore{
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LastBarNum: -1, // 初始化为-1，表示尚未交易
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}
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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.(*StrategyMore)
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// 计算EMA指标
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emaFast := ta.EMA(e.Close, emaBasePeriod)
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emaMid := ta.EMA(e.Close, emaMidPeriod)
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emaSlow := ta.EMA(e.Close, emaSlowPeriod)
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// 计算ATR用于动态止盈止损
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atr := ta.ATR(e.High, e.Low, e.Close, 14)
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atrVal := atr.Get(0)
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// 检查EMA交叉条件 - 修复重复计算问题
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fastCrossSlow := emaFast.Cross(emaSlow)
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midCrossSlow := emaMid.Cross(emaSlow)
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fastCrossSlowUp := fastCrossSlow == 1 // 快线上穿慢线
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midCrossSlowUp := midCrossSlow == 1 // 中线上穿慢线
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fastCrossSlowDown := fastCrossSlow == -1 // 快线下穿慢线
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midCrossSlowDown := midCrossSlow == -1 // 中线下穿慢线
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// 生成交易信号
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buyCondition := fastCrossSlowUp && midCrossSlowUp
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sellCondition := fastCrossSlowDown && midCrossSlowDown
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// 检查时间间隔是否满足要求
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currentBarNum := e.BarCount(0)
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barsSinceLastTrade := currentBarNum - m.LastBarNum
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timeElapsedOk := m.LastBarNum == -1 || barsSinceLastTrade >= float64(timeInterval)
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// 如果有交易信号且时间间隔满足要求
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if (buyCondition || sellCondition) && timeElapsedOk {
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// 先平掉所有现有仓位
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if len(s.LongOrders) > 0 || len(s.ShortOrders) > 0 {
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s.CloseOrders(&strat.ExitReq{
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Tag: "close_all",
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Dirt: core.OdDirtBoth,
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Force: true,
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})
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}
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// 计算止盈止损价格
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stopLossDist := atrVal * atrMultiplier
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takeProfitDist := stopLossDist * 1.67 // 保持5:3的盈亏比
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// 根据信号方向开仓
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if buyCondition {
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s.OpenOrder(&strat.EnterReq{
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Tag: "Buy",
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Short: false,
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OrderType: core.OrderTypeMarket,
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StopLossVal: stopLossDist,
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TakeProfitVal: takeProfitDist,
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StopLossTag: "stop_loss",
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TakeProfitTag: "take_profit",
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})
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m.LastBarNum = currentBarNum
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} else if sellCondition {
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s.OpenOrder(&strat.EnterReq{
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Tag: "Sell",
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Short: true,
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OrderType: core.OrderTypeMarket,
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StopLossVal: stopLossDist,
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TakeProfitVal: takeProfitDist,
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StopLossTag: "stop_loss",
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TakeProfitTag: "take_profit",
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})
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m.LastBarNum = currentBarNum
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}
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}
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},
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}
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}
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