90 lines
2.6 KiB
Go
90 lines
2.6 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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)
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func J6969(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调超参数
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moveLimit := pol.Def("moveLimit", 69, core.PNorm(50, 90)) // 大幅移动阈值百分比
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maLength := pol.DefInt("maLength", 150, core.PNorm(50, 300)) // 均线过滤周期
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return &strat.TradeStrat{
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WarmupNum: maLength + 3, // 预热数量：均线周期 + 3根K线用于形态判断
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HedgeOff: true, // 修改为单向持仓模式，与原始Pine Script行为一致
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TimeFrames: "3d",
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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// 计算均线指标
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ma := ta.SMA(e.Close, maLength)
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// 判断K线形态
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// downBar: 当前K线是否为阴线
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downBar := e.Open.Get(0) > e.Close.Get(0)
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downBar1 := e.Open.Get(1) > e.Close.Get(1)
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downBar2 := e.Open.Get(2) > e.Close.Get(2)
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// isThreeDown: 连续三根阴线
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isThreeDown := downBar && downBar1 && downBar2
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// isThreeUp: 连续三根阳线
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isThreeUp := !downBar && !downBar1 && !downBar2
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// 计算大幅移动指标
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// isBigMoveDown: 当前K线实体占整个波段的百分比超过阈值
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highLowRange0 := e.High.Get(0) - e.Low.Get(0)
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isBigMoveDown := ((e.Open.Get(0) - e.Close.Get(0)) / (0.001 + highLowRange0)) > moveLimit/100.0
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// 复用 highLowRange0 变量，避免重复计算
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isBigMoveUp := ((e.Close.Get(0) - e.Open.Get(0)) / (0.001 + highLowRange0)) > moveLimit/100.0
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// 生成交易信号
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// isLongBuy: 连续三阴且最后一根是大跌
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isLongBuy := isThreeDown && isBigMoveDown
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// isLongExit: 收盘价突破前一根K线的最高价
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isLongExit := e.Close.Get(0) > e.High.Get(1)
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// isShortBuy: 连续三阳且最后一根是大涨
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isShortBuy := isThreeUp && isBigMoveUp
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// isShortExit: 收盘价跌破前一根K线的最低价
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isShortExit := e.Close.Get(0) < e.Low.Get(1)
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// 执行交易逻辑
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// 多头入场
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if isLongBuy {
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s.OpenOrder(&strat.EnterReq{
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Tag: "Entry Long",
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Short: false,
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})
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}
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// 多头出场
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if isLongExit {
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s.CloseOrders(&strat.ExitReq{
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Tag: "Entry Long",
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Dirt: core.OdDirtLong,
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})
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}
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// 空头入场（需要满足价格低于均线的过滤条件）
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if isShortBuy && e.Close.Get(0) < ma.Get(0) {
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s.OpenOrder(&strat.EnterReq{
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Tag: "Entry Short",
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Short: true,
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})
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}
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// 空头出场
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if isShortExit {
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s.CloseOrders(&strat.ExitReq{
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Tag: "Entry Short",
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Dirt: core.OdDirtShort,
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})
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}
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},
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}
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}
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