250 lines
7.7 KiB
Go
250 lines
7.7 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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"time"
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)
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type MfiStrategyState struct {
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DayStart int64
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DayLow float64
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DayHigh float64
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EntryTime int64
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LongSlPrice float64
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ShortSlPrice float64
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LongTpPrice float64
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ShortTpPrice float64
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TrailStop float64
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TrailStopShort float64
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EntryHigh float64
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EntryLow float64
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}
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func J5129(pol *config.RunPolicyConfig) *strat.TradeStrat {
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mfiPeriod := pol.DefInt("mfiPeriod", 3, core.PNorm(2, 10))
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barBodySize := pol.Def("barBodySize", 0.65, core.PNorm(0.3, 0.8))
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maPeriod := pol.DefInt("maPeriod", 120, core.PNorm(20, 200))
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useMaFilter := pol.Def("useMaFilter", 1.0, nil)
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useShorts := pol.Def("useShorts", 1.0, nil)
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slType := pol.Def("slType", 0, nil) // 0:Strategy Stop, 1:Swing, 2:ATR
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swingLookback := pol.DefInt("swingLookback", 10, core.PNorm(5, 30))
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swingPercInc := pol.Def("swingPercInc", 0.03, core.PNorm(0.01, 0.1))
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atrLength := pol.DefInt("atrLength", 14, core.PNorm(7, 30))
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atrMultiple := pol.Def("atrMultiple", 6.5, core.PNorm(2.0, 10.0))
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rewardRatio := pol.Def("rewardRatio", 3.2, core.PNorm(1.5, 4.0))
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useTpSl := pol.Def("useTpSl", 1.0, nil)
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useTimedExit := pol.Def("useTimedExit", 0.0, nil)
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useTrailingStop := pol.Def("useTrailingStop", 0.0, nil)
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allowDirectPositionReverse := pol.Def("allowDirectPositionReverse", 1.0, nil)
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return &strat.TradeStrat{
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Name: "Money Flow Index 5 min Strategy",
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Version: 1,
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WarmupNum: 100,
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HedgeOff: false,
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EachMaxLong: 1,
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EachMaxShort: 1,
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RunTimeFrames: []string{"15m"},
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OnStartUp: func(s *strat.StratJob) {
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s.More = &MfiStrategyState{
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DayStart: -1,
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DayLow: math.Inf(1),
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DayHigh: math.Inf(-1),
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EntryTime: 0,
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LongSlPrice: math.NaN(),
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ShortSlPrice: math.NaN(),
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LongTpPrice: math.NaN(),
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ShortTpPrice: math.NaN(),
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TrailStop: math.NaN(),
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TrailStopShort: math.NaN(),
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EntryHigh: math.NaN(),
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EntryLow: math.NaN(),
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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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now := e.TimeStop
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c, h, l, o := e.Close.Get(0), e.High.Get(0), e.Low.Get(0), e.Open.Get(0)
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if math.IsNaN(c) || math.IsNaN(h) || math.IsNaN(l) {
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return
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}
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// 更新交易日状态
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t := time.UnixMilli(now)
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dayStartMs := time.Date(t.Year(), t.Month(), t.Day(), 0, 0, 0, 0, t.Location()).UnixMilli()
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m := s.More.(*MfiStrategyState)
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if m.DayStart != dayStartMs {
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m.DayStart = dayStartMs
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m.DayLow = l
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m.DayHigh = h
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} else {
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if l < m.DayLow {
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m.DayLow = l
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}
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if h > m.DayHigh {
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m.DayHigh = h
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}
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}
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// 计算指标
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mfi := ta.MFI(e, mfiPeriod)
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smaVal := ta.SMA(e.Close, maPeriod)
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maFilter := c > smaVal.Get(0)
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atr := ta.ATR(e.High, e.Low, e.Close, atrLength).Get(0)
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// K线实体判断 - 修复错误3：与原始策略保持一致
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barSize := h - l
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var barBodySizeVal float64
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if c > o {
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barBodySizeVal = (o - c) * -1
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} else {
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barBodySizeVal = (o - c)
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}
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shortWicks := barBodySizeVal > barSize*barBodySize
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// 交易信号
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prevMfi := mfi.Get(1)
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buySignal := !math.IsNaN(prevMfi) && prevMfi == 100 && c > o && shortWicks && (useMaFilter == 0.0 || maFilter)
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sellSignal := false
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if useShorts == 1.0 {
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sellSignal = !math.IsNaN(prevMfi) && prevMfi == 0 && c < o && shortWicks && (useMaFilter == 0.0 || !maFilter)
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}
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// 检查60分钟退出规则 - 修复错误2：添加60分钟退出规则
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if useTimedExit == 1.0 && m.EntryTime > 0 {
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timeSinceEntry := (now - m.EntryTime) / 60000 // 转换为分钟
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if timeSinceEntry >= 60 {
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// 60分钟后平仓
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if len(s.LongOrders) > 0 || len(s.ShortOrders) > 0 {
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s.CloseOrders(&strat.ExitReq{Dirt: core.OdDirtBoth})
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m.EntryTime = 0
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}
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}
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}
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// 计算止损止盈 - 修复错误1和4：记录开仓时的止损价格
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var longSl, shortSl, longTp, shortTp float64
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if useTpSl == 1.0 {
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switch int(slType) {
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case 0: // Strategy Stop
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longSl = m.DayLow * (1 - swingPercInc)
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shortSl = m.DayHigh * (1 + swingPercInc)
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case 1: // Swing Lo/Hi
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ll := ta.Lowest(e.Low, swingLookback).Get(0) * (1 - swingPercInc)
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hh := ta.Highest(e.High, swingLookback).Get(0) * (1 + swingPercInc)
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longSl = ll
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shortSl = hh
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case 2: // ATR Stop
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ohlc4 := (o + h + l + c) / 4
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longSl = ohlc4 - atr*atrMultiple
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shortSl = ohlc4 + atr*atrMultiple
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}
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longTp = c + (c-longSl)*rewardRatio
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shortTp = c - (shortSl-c)*rewardRatio
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}
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// 更新追踪止损 - 修复错误5：添加追踪止损功能
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if useTrailingStop == 1.0 {
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if len(s.LongOrders) > 0 {
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for _, pos := range s.LongOrders {
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if pos.Status == ormo.InOutStatusFullEnter { // 多头仓位
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if math.IsNaN(m.EntryHigh) || h > m.EntryHigh {
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m.EntryHigh = h
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}
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trailOffset := pos.InitPrice - m.LongSlPrice
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newTrailStop := m.EntryHigh - trailOffset
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if math.IsNaN(m.TrailStop) || newTrailStop > m.TrailStop {
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m.TrailStop = newTrailStop
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}
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}
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}
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}
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if len(s.ShortOrders) > 0 {
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for _, pos := range s.ShortOrders {
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if pos.Status == ormo.InOutStatusFullEnter { // 空头仓位
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if math.IsNaN(m.EntryLow) || l < m.EntryLow {
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m.EntryLow = l
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}
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trailOffset := m.ShortSlPrice - pos.InitPrice
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newTrailStop := m.EntryLow + trailOffset
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if math.IsNaN(m.TrailStopShort) || newTrailStop < m.TrailStopShort {
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m.TrailStopShort = newTrailStop
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}
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}
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}
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}
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}
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// 开仓 - 修复错误6：检查持仓数量和挂单数量
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canOpenLong := len(s.LongOrders) == 0 && (len(s.ShortOrders) == 0 || (allowDirectPositionReverse == 1.0 && len(s.ShortOrders) > 0))
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canOpenShort := len(s.ShortOrders) == 0 && (len(s.LongOrders) == 0 || (allowDirectPositionReverse == 1.0 && len(s.LongOrders) > 0))
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if buySignal && canOpenLong {
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// 记录开仓时的止损价格
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m.LongSlPrice = longSl
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m.LongTpPrice = longTp
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m.EntryHigh = h
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m.EntryTime = now
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req := &strat.EnterReq{
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Tag: "long",
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StopLoss: longSl,
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TakeProfit: longTp,
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StopLossTag: "sl",
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TakeProfitTag: "tp",
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}
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s.OpenOrder(req)
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}
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if sellSignal && canOpenShort {
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// 记录开仓时的止损价格
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m.ShortSlPrice = shortSl
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m.ShortTpPrice = shortTp
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m.EntryLow = l
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m.EntryTime = now
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req := &strat.EnterReq{
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Tag: "short",
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Short: true,
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StopLoss: shortSl,
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TakeProfit: shortTp,
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StopLossTag: "sl",
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TakeProfitTag: "tp",
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}
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s.OpenOrder(req)
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}
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// 更新现有订单的止损止盈
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if len(s.LongOrders) > 0 && !math.IsNaN(m.LongSlPrice) {
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for _, order := range s.LongOrders {
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if order.Status == ormo.InOutStatusInit {
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order.SetStopLoss(&ormo.ExitTrigger{Price: m.LongSlPrice, Tag: "sl"})
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order.SetTakeProfit(&ormo.ExitTrigger{Price: m.LongTpPrice, Tag: "tp"})
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if useTrailingStop == 1.0 && !math.IsNaN(m.TrailStop) {
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order.SetStopLoss(&ormo.ExitTrigger{Price: m.TrailStop, Tag: "sl"})
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}
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}
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}
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}
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if len(s.ShortOrders) > 0 && !math.IsNaN(m.ShortSlPrice) {
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for _, order := range s.ShortOrders {
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if order.Status == ormo.InOutStatusInit {
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order.SetStopLoss(&ormo.ExitTrigger{Price: m.ShortSlPrice, Tag: "sl"})
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order.SetTakeProfit(&ormo.ExitTrigger{Price: m.ShortTpPrice, Tag: "tp"})
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if useTrailingStop == 1.0 && !math.IsNaN(m.TrailStopShort) {
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order.SetStopLoss(&ormo.ExitTrigger{Price: m.TrailStopShort, Tag: "sl"})
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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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