128 lines
3.2 KiB
Go
128 lines
3.2 KiB
Go
package old
|
||
|
||
import (
|
||
"fmt"
|
||
"github.com/banbox/banbot/btime"
|
||
"github.com/banbox/banbot/config"
|
||
"github.com/banbox/banbot/strat"
|
||
"github.com/banbox/banexg/log"
|
||
"github.com/banbox/banstagy/com"
|
||
ta "github.com/banbox/banta"
|
||
"go.uber.org/zap"
|
||
)
|
||
|
||
func MACD(pol *config.RunPolicyConfig) *strat.TradeStrat {
|
||
return &strat.TradeStrat{
|
||
Version: 1,
|
||
WarmupNum: 300,
|
||
MinTfScore: 0.75,
|
||
DrawDownExit: true,
|
||
OnStartUp: onStartUp,
|
||
OnBar: onBar,
|
||
}
|
||
}
|
||
|
||
type MoreMACD struct {
|
||
*com.ExmTrace
|
||
max1 *com.ExmItem
|
||
max2 *com.ExmItem
|
||
slope float64 // 斜率
|
||
delta float64 // 直线偏移值
|
||
}
|
||
|
||
/*
|
||
val: 当前指标值
|
||
pNum： 前一个索引
|
||
ptime：前一个时间戳
|
||
*/
|
||
func (m *MoreMACD) update(val float64, pNum int, ptime int64) bool {
|
||
if m.ExmTrace.Update(val, pNum, ptime) {
|
||
var exm *com.ExmItem
|
||
last := m.Hist[len(m.Hist)-1]
|
||
if last.Valid && m.ExmTrace.Expect < 0 {
|
||
exm = last
|
||
} else if len(m.Hist) > 1 && m.ExmTrace.Expect > 0 {
|
||
exm = m.Hist[len(m.Hist)-2]
|
||
} else {
|
||
return false
|
||
}
|
||
// 更新最高点和次高点
|
||
if m.max1 == nil || exm.Value >= m.max1.Value {
|
||
m.max1 = exm
|
||
m.max2 = nil
|
||
} else if m.max1 != nil && pNum-exm.BarNum > 500 {
|
||
// 最高点超过500个bar过期
|
||
if m.max2 != nil && m.max2.Value > exm.Value {
|
||
exm = m.max2
|
||
}
|
||
m.max1 = m.max2
|
||
m.max2 = nil
|
||
} else if m.max2 == nil || exm.Value > m.max2.Value {
|
||
m.max2 = exm
|
||
return true
|
||
}
|
||
}
|
||
return false
|
||
}
|
||
|
||
func onStartUp(s *strat.StratJob) {
|
||
s.More = &MoreMACD{
|
||
ExmTrace: &com.ExmTrace{},
|
||
}
|
||
}
|
||
|
||
func onBar(s *strat.StratJob) {
|
||
e := s.Env
|
||
macd, _ := ta.MACD(e.Close, 12, 26, 9)
|
||
atr := ta.ATR(e.High, e.Low, e.Close, 14).Get(0)
|
||
|
||
m, _ := s.More.(*MoreMACD)
|
||
|
||
c := e.Close.Get(0)
|
||
|
||
if m.slope > 0 && m.max1 != nil && m.max2 != nil {
|
||
point := m.slope*float64(e.BarNum) + m.delta
|
||
tag := ""
|
||
stopLoss := float64(0)
|
||
if c-atr*2 > point && len(s.LongOrders) == 0 {
|
||
// 突破压力线，做多
|
||
tag = "long"
|
||
stopLoss = point - atr
|
||
} else if c+atr*0.5 > point && c <= point+atr && len(s.ShortOrders) == 0 {
|
||
// 触发压力线，开空
|
||
tag = "short"
|
||
stopLoss = max(c, point) + atr*2
|
||
}
|
||
if tag != "" && !s.IsWarmUp {
|
||
price1 := e.Close.Get(e.BarNum - m.max1.BarNum)
|
||
price2 := e.Close.Get(e.BarNum - m.max2.BarNum)
|
||
date := btime.ToDateStr(e.TimeStop, "")
|
||
date1 := btime.ToDateStr(m.max1.TimeMS, "")
|
||
date2 := btime.ToDateStr(m.max2.TimeMS, "")
|
||
log.Info(fmt.Sprintf("%s open %s, %s %s %.5f - %s %.5f", date, tag, s.Symbol.Symbol,
|
||
date1, price1, date2, price2))
|
||
err := s.OpenOrder(&strat.EnterReq{
|
||
Tag: tag,
|
||
StopLoss: stopLoss,
|
||
Short: tag == "short",
|
||
})
|
||
if err != nil {
|
||
log.Error("open fail", zap.Error(err))
|
||
}
|
||
}
|
||
|
||
}
|
||
|
||
if m.update(macd.Get(0), e.BarNum-1, e.TimeStart-e.TFMSecs) {
|
||
price1 := e.Close.Get(e.BarNum - m.max1.BarNum)
|
||
price2 := e.Close.Get(e.BarNum - m.max2.BarNum)
|
||
// 更新斜率和偏移值
|
||
m.slope = (price2 - price1) / float64(m.max2.BarNum-m.max1.BarNum)
|
||
m.delta = price1 - m.slope*float64(m.max1.BarNum)
|
||
//date1 := btime.ToDateStr(m.max1.TimeMS, "")
|
||
//date2 := btime.ToDateStr(m.max2.TimeMS, "")
|
||
//log.Info(fmt.Sprintf("update pt2, %s %s %.5f - %s %.5f", s.Symbols.Symbols,
|
||
// date1, price1, date2, price2))
|
||
}
|
||
}
|