101 lines
2.8 KiB
Go
101 lines
2.8 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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"math"
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)
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func J5743(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调超参数
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fastPeriod := pol.DefInt("fastPeriod", 12, core.PNorm(5, 20))
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macdRate := pol.Def("macdRate", 2.17, core.PNorm(1.5, 4))
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signalPeriod := pol.DefInt("signalPeriod", 9, core.PNorm(5, 15))
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stopLossBars := pol.DefInt("stopLossBars", 4, core.PNorm(1, 10))
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riskRewardRatio := pol.Def("riskRewardRatio", 2, core.PNorm(1, 3))
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direction := pol.DefInt("direction", 2, core.PUniform(0, 2)) // 0: long, 1: short, 2: both
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// 计算慢速周期
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slowPeriod := int(float64(fastPeriod) * macdRate)
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// 确定预热数量，取所有参数中的最大值
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warmupNum := fastPeriod
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if slowPeriod > warmupNum {
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warmupNum = slowPeriod
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}
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if signalPeriod > warmupNum {
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warmupNum = signalPeriod
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}
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if stopLossBars > warmupNum {
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warmupNum = stopLossBars
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}
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return &strat.TradeStrat{
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WarmupNum: warmupNum,
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EachMaxLong: 1, // 最多一个做多订单
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EachMaxShort: 1, // 最多一个做空订单
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HedgeOff: true, // 单向持仓模式
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RunTimeFrames: []string{"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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macdLine, signalLine := ta.MACD(e.Close, fastPeriod, slowPeriod, signalPeriod)
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// 获取当前值
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macdVal := macdLine.Get(0)
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signalVal := signalLine.Get(0)
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closePrice := e.Close.Get(0)
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// 计算直方图值
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histVal := macdVal - signalVal
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// 检测交叉信号
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macdCross := macdLine.Cross(signalLine)
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longSignal := macdCross == 1 && histVal > 0 // MACD金叉且直方图为正
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shortSignal := macdCross == -1 && histVal < 0 // MACD死叉且直方图为负
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// 计算止损价格
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longStopLoss := ta.Lowest(e.Low, stopLossBars).Get(0)
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shortStopLoss := ta.Highest(e.High, stopLossBars).Get(0)
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// 检查止损价格有效性
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if math.IsNaN(longStopLoss) || math.IsNaN(shortStopLoss) {
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return
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}
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// 执行做多交易
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if direction != 1 && longSignal && len(s.LongOrders) == 0 {
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// 计算止盈价格
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distance := closePrice - longStopLoss
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takeProfit := closePrice + distance*riskRewardRatio
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s.OpenOrder(&strat.EnterReq{
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Tag: "Larga",
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Short: false,
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OrderType: core.OrderTypeMarket,
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StopLoss: longStopLoss,
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TakeProfit: takeProfit,
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})
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}
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// 执行做空交易
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if direction != 0 && shortSignal && len(s.ShortOrders) == 0 {
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// 计算止盈价格
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distance := shortStopLoss - closePrice
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takeProfit := closePrice - distance*riskRewardRatio
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s.OpenOrder(&strat.EnterReq{
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Tag: "Corta",
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Short: true,
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OrderType: core.OrderTypeMarket,
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StopLoss: shortStopLoss,
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TakeProfit: takeProfit,
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})
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}
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},
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}
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}
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