73 lines
1.9 KiB
Go
73 lines
1.9 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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)
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// ConsecutiveState 存储每个品种的连续计数状态
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type ConsecutiveState struct {
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ups float64 // 连续上涨K线数
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dns float64 // 连续下跌K线数
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}
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func J7801(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义超参数
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consecutiveBarsUp := pol.DefInt("consecutiveBarsUp", 3, core.PNorm(2, 12))
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consecutiveBarsDown := pol.DefInt("consecutiveBarsDown", 4, core.PNorm(2, 12))
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return &strat.TradeStrat{
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Name: "Consecutive Up/Down Strategy",
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WarmupNum: 5, // 需要至少5根K线来确保前值有效
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HedgeOff: true, // 单向持仓模式
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EachMaxLong: 1, // 最大持仓1个多单
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EachMaxShort: 1, // 最大持仓1个空单
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TimeFrames: "8h",
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OnStartUp: func(s *strat.StratJob) {
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// 初始化每个品种的状态
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s.More = &ConsecutiveState{
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ups: 0,
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dns: 0,
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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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state, _ := s.More.(*ConsecutiveState)
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// 获取当前和前一根K线的收盘价
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currentPrice := e.Close.Get(0)
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prevPrice := e.Close.Get(1)
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// 更新连续上涨计数器
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if currentPrice > prevPrice {
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state.ups = state.ups + 1
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state.dns = 0 // 重置连续下跌计数
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} else if currentPrice < prevPrice {
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state.dns = state.dns + 1
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state.ups = 0 // 重置连续上涨计数
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} else {
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// 价格持平，重置两个计数器
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state.ups = 0
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state.dns = 0
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}
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// 检查买入条件：连续上涨达到阈值且没有多单
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if state.ups >= float64(consecutiveBarsUp) && len(s.LongOrders) == 0 {
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s.OpenOrder(&strat.EnterReq{
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Tag: "ConsUpLE",
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})
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}
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// 检查卖出条件：连续下跌达到阈值且没有空单
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if state.dns >= float64(consecutiveBarsDown) && len(s.ShortOrders) == 0 {
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s.OpenOrder(&strat.EnterReq{
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Tag: "ConsDnSE",
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Short: true,
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})
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}
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},
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}
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}
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