105 lines
2.7 KiB
Go
105 lines
2.7 KiB
Go
package llmjob
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import (
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"math"
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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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func J570(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调参数
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fastLength := pol.DefInt("fastLength", 20, core.PNorm(5, 20))
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macdRate := pol.Def("macdRate", 3, core.PNorm(1.5, 3.5))
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MACDLength := pol.DefInt("MACDLength", 12, core.PNorm(5, 15))
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macdThreshold := pol.Def("macdThreshold", -0.25, core.PNorm(-0.8, -0.1))
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takeProfitValue := pol.Def("takeProfitValue", 12, core.PNorm(2, 15))
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// 计算慢速EMA周期
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slowLength := int(float64(fastLength) * macdRate)
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// 确定预热数量，需要足够的K线来计算MACD和检测谷底
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warmupNum := slowLength + MACDLength + 3
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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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TimeFrames: "8h",
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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// 计算MACD指标
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fastEMA := ta.EMA(e.Close, fastLength)
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slowEMA := ta.EMA(e.Close, slowLength)
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macd := fastEMA.Sub(slowEMA)
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aMACD := ta.EMA(macd, MACDLength)
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delta := macd.Sub(aMACD)
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// 获取当前、前一个和前两个时间点的delta值
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delta0 := delta.Get(0)
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delta1 := delta.Get(1)
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delta2 := delta.Get(2)
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// 获取当前MACD值和收盘价
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macdValue := macd.Get(0)
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closePrice := e.Close.Get(0)
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// 检查数据有效性
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if math.IsNaN(delta0) || math.IsNaN(delta1) || math.IsNaN(delta2) ||
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math.IsNaN(macdValue) || math.IsNaN(closePrice) {
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return
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}
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// 检测MACD谷底
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isValley := delta0 > delta1 && delta1 < delta2
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// 谷底买入信号
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if isValley && macdValue <= macdThreshold && delta0 < 0 {
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// 设置止盈价格
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// 生成买入订单
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s.OpenOrder(&strat.EnterReq{
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Tag: "valley_buy",
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TakeProfitVal: takeProfitValue,
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})
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}
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// 检测delta与0的交叉
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crossResult := delta.Cross(0)
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// delta上穿0，买入信号
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if crossResult == 1 {
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// 获取当前最高价和最低价
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highPrice := e.High.Get(0)
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lowPrice := e.Low.Get(0)
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if !math.IsNaN(highPrice) && !math.IsNaN(lowPrice) {
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// 生成买入订单，使用固定止盈值0.3
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s.OpenOrder(&strat.EnterReq{
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Tag: "MacdLE",
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TakeProfitVal: 0.3,
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})
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}
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}
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// delta下穿0，卖出信号
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if crossResult == -1 {
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// 获取当前最高价和最低价
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highPrice := e.High.Get(0)
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lowPrice := e.Low.Get(0)
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if !math.IsNaN(highPrice) && !math.IsNaN(lowPrice) {
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// 生成卖出订单，使用固定止盈值0.3
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s.OpenOrder(&strat.EnterReq{
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Tag: "MacdSE",
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Short: true,
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TakeProfitVal: 0.3,
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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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