72 lines
1.6 KiB
Go
72 lines
1.6 KiB
Go
package s01
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import (
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"github.com/banbox/banbot/config"
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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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"math"
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)
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/*
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此策略对应python原始策略名为PivotRev
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*/
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func MainV1(pol *config.RunPolicyConfig) *strat.TradeStrat {
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RsiBig = 60
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RsiSml = 14
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ThsBig = 20
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ThsSml = 30
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AtrLen = 14
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return &strat.TradeStrat{
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Version: 1,
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WarmupNum: RsiBig,
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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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ma5 := ta.EMA(e.Close, 5)
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ma20 := ta.EMA(e.Close, 20)
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maX := ma5.Cross(ma20)
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rsiB := ta.RSI(e.Close, RsiBig).Get(0) - 50
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rsiS := ta.RSI(e.Close, RsiSml).Get(0) - 50
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atr := ta.ATR(e.High, e.Low, e.Close, AtrLen)
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basev1AtrLen := int(math.Round(float64(AtrLen) * 4.3))
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atrB := ta.Lowest(ta.Highest(atr, AtrLen), basev1AtrLen).Get(0)
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if math.Abs(float64(maX)) == 1 {
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// 均线交叉，顶底切换，允许开单
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s.More = nil
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} else if s.More != nil {
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// 禁止开单
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return
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}
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if math.Abs(rsiB) <= ThsBig || math.Abs(rsiS) <= ThsSml {
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// 未触发阈值，不开单
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return
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}
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s.More = true // 禁止同方向再次开单
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isShort := rsiB > 0
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odDirt := float64(1)
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if isShort {
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odDirt = -1
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}
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stopLoss := e.Close.Get(0) - max(atrB*3, atr.Get(0)*1.5)*odDirt
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err := s.OpenOrder(&strat.EnterReq{
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Tag: "enter",
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Short: isShort,
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StopLoss: stopLoss,
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})
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if err != nil {
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log.Error("open order fail", zap.String("pair", s.Symbol.Symbol),
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zap.String("stagy", s.Strat.Name), zap.Error(err))
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}
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},
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}
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}
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