banstagy/llmjob/5609.go

package llmjob

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

// State5609 存储每个品种的策略状态
type State5609 struct {
	longEntryPrice  float64
	shortEntryPrice float64
	longEntryBar    int64
	shortEntryBar   int64
}

func J5609(pol *config.RunPolicyConfig) *strat.TradeStrat {
	// 定义可调超参数
	atrPeriod := pol.DefInt("atrPeriod", 14, core.PNorm(7, 30))
	bbLength := pol.DefInt("bbLength", 18, core.PNorm(10, 50))
	bbStdDev := pol.Def("bbStdDev", 1.9, core.PNorm(1, 3))
	rsiPeriod := pol.DefInt("rsiPeriod", 12, core.PNorm(7, 21))
	atrMultiplier := pol.Def("atrMultiplier", 1.6, core.PNorm(0.5, 3))
	vwapLength := pol.DefInt("vwapLength", 20, core.PNorm(10, 40))
	targetMultiplier := pol.Def("targetMultiplier", 2.4, core.PNorm(1, 4))
	maxHoldingBars := pol.DefInt("maxHoldingBars", 3, core.PNorm(2, 10))

	// 计算预热期，确保所有指标都有足够的数据计算
	warmupNum := bbLength
	if atrPeriod > warmupNum {
		warmupNum = atrPeriod
	}
	if rsiPeriod > warmupNum {
		warmupNum = rsiPeriod
	}
	if vwapLength > warmupNum {
		warmupNum = vwapLength
	}
	// 额外增加20个K线确保稳定性
	warmupNum += 20

	return &strat.TradeStrat{
		Name:          "OptionsStrategy",
		WarmupNum:     warmupNum,
		HedgeOff:      true, // 单向持仓模式
		EachMaxLong:   1,    // 最多一个多头订单
		EachMaxShort:  1,    // 最多一个空头订单
		RunTimeFrames: []string{"4h"},
		OnStartUp: func(s *strat.StratJob) {
			// 初始化每个品种的策略状态
			s.More = &State5609{
				longEntryPrice:  0,
				shortEntryPrice: 0,
				longEntryBar:    0,
				shortEntryBar:   0,
			}
		},
		OnBar: func(s *strat.StratJob) {
			e := s.Env
			state := s.More.(*State5609)

			// 计算技术指标
			atrValue := ta.ATR(e.High, e.Low, e.Close, atrPeriod)
			smaValue := ta.SMA(e.Close, bbLength)
			stdDev := ta.StdDev(e.Close, bbLength)
			upperBB := smaValue.Add(stdDev.Mul(bbStdDev))
			lowerBB := smaValue.Sub(stdDev.Mul(bbStdDev))
			rsiValue := ta.RSI(e.Close, rsiPeriod)
			// 修复错误1：使用正确的VWAP计算方法
			vwap := ta.Sum(e.Close.Mul(e.Volume), vwapLength).Div(ta.Sum(e.Volume, vwapLength))
			volSMA := ta.SMA(e.Volume, 10)
			atrSMA := ta.SMA(atrValue, 20)

			// 获取当前值
			closePrice := e.Close.Get(0)
			atrVal := atrValue.Get(0)
			upperBBVal := upperBB.Get(0)
			lowerBBVal := lowerBB.Get(0)
			rsiVal := rsiValue.Get(0)
			vwapVal := vwap.Get(0)
			volumeVal := e.Volume.Get(0)
			volSMAVal := volSMA.Get(0)
			atrSMAVal := atrSMA.Get(0)

			// 检查数据有效性
			if math.IsNaN(closePrice) || math.IsNaN(atrVal) || math.IsNaN(upperBBVal) ||
				math.IsNaN(lowerBBVal) || math.IsNaN(rsiVal) || math.IsNaN(vwapVal) ||
				math.IsNaN(volumeVal) || math.IsNaN(volSMAVal) || math.IsNaN(atrSMAVal) {
				return
			}

			// 计算条件
			volSpike := volumeVal > volSMAVal*1.5
			atrFilter := atrVal > atrSMAVal*0.5

			// 生成交易信号
			longCE := e.Close.Cross(upperBB) == 1 && rsiVal > 60 && volSpike && closePrice > vwapVal && atrFilter
			longPE := e.Close.Cross(lowerBB) == -1 && rsiVal < 40 && volSpike && closePrice < vwapVal && atrFilter

			// 计算止损止盈
			longStopLoss := 0.0
			longTarget := 0.0
			shortStopLoss := 0.0
			shortTarget := 0.0

			// 修复错误5：使用实际成交的平均价格作为止损止盈的计算基准
			if len(s.LongOrders) > 0 {
				// 获取多头持仓的平均价格
				longAvgPrice := state.longEntryPrice
				if longAvgPrice > 0 {
					longStopLoss = longAvgPrice - atrMultiplier*atrVal
					longTarget = longAvgPrice + targetMultiplier*atrVal
				}
			}

			if len(s.ShortOrders) > 0 {
				// 获取空头持仓的平均价格
				shortAvgPrice := state.shortEntryPrice
				if shortAvgPrice > 0 {
					shortStopLoss = shortAvgPrice + atrMultiplier*atrVal
					shortTarget = shortAvgPrice - targetMultiplier*atrVal
				}
			}

			// 执行交易
			if longCE && len(s.LongOrders) == 0 {
				s.OpenOrder(&strat.EnterReq{
					Tag:           "CE Entry",
					OrderType:     core.OrderTypeMarket,
					StopLossVal:   atrMultiplier * atrVal,
					TakeProfitVal: targetMultiplier * atrVal,
				})
				// 记录入场价格和K线时间
				state.longEntryPrice = closePrice
				state.longEntryBar = e.TimeStop
			}

			if longPE && len(s.ShortOrders) == 0 {
				s.OpenOrder(&strat.EnterReq{
					Tag:           "PE Entry",
					Short:         true,
					OrderType:     core.OrderTypeMarket,
					StopLossVal:   atrMultiplier * atrVal,
					TakeProfitVal: targetMultiplier * atrVal,
				})
				// 记录入场价格和K线时间
				state.shortEntryPrice = closePrice
				state.shortEntryBar = e.TimeStop
			}

			// 出场管理
			if len(s.LongOrders) > 0 {
				// 计算持仓时间（K线数）
				holdBars := e.BarCount(state.longEntryBar)

				// 止盈出场
				if closePrice >= longTarget {
					s.CloseOrders(&strat.ExitReq{
						Tag:   "CE Target Hit",
						Dirt:  core.OdDirtLong,
						Force: true,
					})
				}
				// 止损出场
				if closePrice <= longStopLoss {
					s.CloseOrders(&strat.ExitReq{
						Tag:   "CE Stop Loss Hit",
						Dirt:  core.OdDirtLong,
						Force: true,
					})
				}
				// 时间出场
				if int64(holdBars) >= int64(maxHoldingBars) {
					s.CloseOrders(&strat.ExitReq{
						Tag:   "CE Timed Exit",
						Dirt:  core.OdDirtLong,
						Force: true,
					})
				}
			}

			if len(s.ShortOrders) > 0 {
				// 计算持仓时间（K线数）
				holdBars := e.BarCount(state.shortEntryBar)

				// 止盈出场
				if closePrice <= shortTarget {
					s.CloseOrders(&strat.ExitReq{
						Tag:   "PE Target Hit",
						Dirt:  core.OdDirtShort,
						Force: true,
					})
				}
				// 止损出场
				if closePrice >= shortStopLoss {
					s.CloseOrders(&strat.ExitReq{
						Tag:   "PE Stop Loss Hit",
						Dirt:  core.OdDirtShort,
						Force: true,
					})
				}
				// 时间出场
				if int64(holdBars) >= int64(maxHoldingBars) {
					s.CloseOrders(&strat.ExitReq{
						Tag:   "PE Timed Exit",
						Dirt:  core.OdDirtShort,
						Force: true,
					})
				}
			}
		},
	}
}