76 lines
1.7 KiB
Go
76 lines
1.7 KiB
Go
package old
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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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"github.com/banbox/banexg/log"
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ta "github.com/banbox/banta"
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"go.uber.org/zap"
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)
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/*
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适合4h，收益很不稳定
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*/
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func BreakOutV1(pol *config.RunPolicyConfig) *strat.TradeStrat {
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periodBig := 200
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periodSml := 30
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return &strat.TradeStrat{
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Version: 1,
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WarmupNum: periodBig,
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MinTfScore: 0.75,
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//DrawDownExit: true,
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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hhBig := ta.Highest(e.Close, periodBig).Get(1)
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//llSml := ta.Lowest(e.Close, periodSml).Get(1)
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llBig := ta.Lowest(e.Close, periodBig).Get(1)
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//hhSml := ta.Highest(e.Close, periodSml).Get(1)
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maSml := ta.SMA(e.Close, periodSml)
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maBig := ta.SMA(e.Close, periodBig)
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maX := maSml.Cross(maBig)
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c := e.Close.Get(0)
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openTag := ""
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closeTag := ""
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if len(s.LongOrders) == 0 && c >= hhBig {
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openTag = "long"
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} else if len(s.ShortOrders) == 0 && c <= llBig {
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openTag = "short"
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}
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if maX == 1 {
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closeTag = "xshort"
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} else if maX == -1 {
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closeTag = "xlong"
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}
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//if len(s.LongOrders) > 0 && c <= llSml {
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// closeTag = "xlong"
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//} else if len(s.ShortOrders) > 0 && c >= hhSml {
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// closeTag = "xshort"
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//}
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if openTag != "" {
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err := s.OpenOrder(&strat.EnterReq{
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Tag: openTag,
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Short: openTag == "short",
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})
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if err != nil {
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log.Error("open fail", zap.Error(err))
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}
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}
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if closeTag != "" {
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dirt := core.OdDirtLong
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if closeTag == "xshort" {
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dirt = core.OdDirtShort
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}
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err := s.CloseOrders(&strat.ExitReq{
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Tag: closeTag,
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Dirt: dirt,
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})
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if err != nil {
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log.Error("close fail", zap.Error(err))
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}
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}
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},
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}
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}
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