116 lines
4.1 KiB
Go
116 lines
4.1 KiB
Go
// 修复后的banbot完整策略代码
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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/orm/ormo"
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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 J4316(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调超参数
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ema1Length := pol.DefInt("ema1_length", 19, core.PNorm(5, 50))
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ema2Length := pol.DefInt("ema2_length", 50, core.PNorm(20, 100))
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rsiOverbought := pol.DefInt("rsi_overbought", 70, core.PNorm(60, 80))
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rsiOversold := pol.DefInt("rsi_oversold", 30, core.PNorm(20, 40))
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macdFast := pol.DefInt("macd_fast", 12, core.PNorm(8, 16))
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macdSlow := pol.DefInt("macd_slow", 26, core.PNorm(20, 32))
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macdSignal := pol.DefInt("macd_signal", 9, core.PNorm(6, 12))
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atrLength := pol.DefInt("atr_length", 14, core.PNorm(7, 21))
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atrMult := pol.Def("atr_mult", 1.85, core.PNorm(1.5, 5))
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useVolume := pol.Def("use_volume", 1.0, core.PNorm(0.0, 1.0)) > 0.5 // 修复：使用Def代替DefBool
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volumeMult := pol.Def("volume_mult", 2.0, core.PNorm(1.0, 4.0))
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capitalRisk := pol.Def("capital_risk", 2.0, core.PNorm(0.5, 5.0)) / 100
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return &strat.TradeStrat{
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WarmupNum: ema2Length + 20, // 确保所有指标都有足够数据
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HedgeOff: true, // 单向持仓模式
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EachMaxLong: 1, // 最多一个多头订单
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EachMaxShort: 1, // 最多一个空头订单
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DrawDownExit: true, // 启用回撤止盈
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RunTimeFrames: []string{"15m"},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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// 计算技术指标
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ema1 := ta.EMA(e.Close, ema1Length)
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ema2 := ta.EMA(e.Close, ema2Length)
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rsi := ta.RSI(e.Close, 14)
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// 计算MACD
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macdLine := ta.EMA(e.Close, macdFast).Sub(ta.EMA(e.Close, macdSlow))
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macdSignalLine := ta.EMA(macdLine, macdSignal)
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macdHist := macdLine.Sub(macdSignalLine)
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// 计算ATR
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atr := ta.ATR(e.High, e.Low, e.Close, atrLength)
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// 计算成交量过滤条件
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volumeMA := ta.SMA(e.Volume, 20)
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volumeFilter := e.Volume.Get(0) > volumeMA.Get(0)*volumeMult
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// 检查数据有效性
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if math.IsNaN(ema1.Get(0)) || math.IsNaN(ema2.Get(0)) ||
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math.IsNaN(rsi.Get(0)) || math.IsNaN(macdHist.Get(0)) ||
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math.IsNaN(atr.Get(0)) {
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return
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}
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// 信号过滤 - 优化重复计算
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crossResult := ema1.Cross(ema2)
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emaCrossUp := crossResult == 1 // 快速EMA上穿慢速EMA
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emaCrossDown := crossResult == -1 // 快速EMA下穿慢速EMA
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rsiFilterLong := rsi.Get(0) > float64(rsiOversold) // RSI高于超卖水平
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rsiFilterShort := rsi.Get(0) < float64(rsiOverbought) // RSI低于超买水平
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macdFilterLong := macdHist.Get(0) > 0 // MACD柱状图为正
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macdFilterShort := macdHist.Get(0) < 0 // MACD柱状图为负
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volumeOk := !useVolume || volumeFilter // 成交量条件满足
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// 生成交易信号
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longEntry := emaCrossUp && rsiFilterLong && macdFilterLong && volumeOk
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shortEntry := emaCrossDown && rsiFilterShort && macdFilterShort && volumeOk
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// 风险管理计算
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atrValue := atr.Get(0) // 修复：删除未使用的closePrice变量
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// 计算交易规模 - 修复基于ATR的交易规模计算
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riskAmount := s.Strat.GetStakeAmount(s) * capitalRisk
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tradeSize := riskAmount / math.Max(atrValue*atrMult, 1.0)
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// 计算追踪止损价格
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// 执行交易
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if longEntry && len(s.LongOrders) == 0 {
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s.OpenOrder(&strat.EnterReq{
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Tag: "Long",
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Amount: tradeSize,
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// 修复：移除不存在的TrailOffset字段
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})
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}
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if shortEntry && 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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Amount: tradeSize,
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// 修复：移除不存在的TrailOffset字段
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})
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}
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},
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// 实现回撤止盈逻辑
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GetDrawDownExitRate: func(s *strat.StratJob, od *ormo.InOutOrder, maxChg float64) float64 {
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// 根据最大盈利回撤比例决定止盈
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if maxChg > 0.1 { // 盈利超过10%
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return 0.5 // 回撤50%止盈
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} else if maxChg > 0.05 { // 盈利超过5%
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return 0.7 // 回撤70%止盈
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}
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return 0 // 不设置回撤止盈
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},
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}
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}
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