121 lines
3.0 KiB
Go
121 lines
3.0 KiB
Go
package s01
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import (
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"fmt"
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"github.com/banbox/banbot/btime"
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"github.com/banbox/banbot/config"
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"github.com/banbox/banbot/orm/ormo"
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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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type S1More struct {
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JumpRates map[int64]float64
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HitNum int // 记录当前是否已开过单。对于单边行情，为避免重复开单，只有当rsi转折时才开单
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}
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func MainV2(pol *config.RunPolicyConfig) *strat.TradeStrat {
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RsiSml = 14
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ThsSml = 40
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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: 0.1,
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DrawDownExit: true,
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BatchInOut: true,
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OnStartUp: func(s *strat.StratJob) {
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s.More = &S1More{
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JumpRates: make(map[int64]float64),
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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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rsi := ta.RSI(e.Close, RsiSml)
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rsiS := rsi.Get(0) - 50
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atr := ta.ATR(e.High, e.Low, e.Close, 14).Get(0)
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m, _ := s.More.(*S1More)
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// 检查是否RSI多次触发，且首次转折
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openOK := m.HitNum > 1 && math.Abs(rsiS) < math.Abs(rsi.Get(1)-50)
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if math.Abs(rsiS) < ThsSml && !openOK {
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// rsi低于阈值，且不属于多次触发后转折
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m.HitNum = 0
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return
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}
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if rsiS > 0 && len(s.ShortOrders) > 0 || rsiS < 0 && len(s.LongOrders) > 0 {
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// 已有入场订单，不重复开单
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return
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}
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m.HitNum += 1
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if m.HitNum > 1 && !openOK {
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// 重复触发，只允许rsi调头时第二次入场
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return
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}
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c := e.Close.Get(0)
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stopLoss := c - atr*2
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tag := "long"
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if rsiS > 0 {
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stopLoss = c + atr*2
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tag = "short"
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}
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err := s.OpenOrder(&strat.EnterReq{
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Tag: tag,
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Short: rsiS > 0,
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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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OnBatchJobs: func(jobs []*strat.StratJob) {
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openNum := float64(0)
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for _, j := range jobs {
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if len(j.Entrys) > 0 {
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openNum += 1
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}
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}
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openRate := openNum / float64(len(jobs))
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// 这里无需限制openRate的上限，前面已禁止单个趋势重复多次开单
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if openRate < 0.2 {
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for _, j := range jobs {
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j.Entrys = nil
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}
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return
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}
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log.Info(fmt.Sprintf("%s open orders, num: %v, total: %v, rate: %.2f",
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btime.ToDateStr(btime.TimeMS(), ""), openNum, len(jobs), openRate))
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},
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GetDrawDownExitRate: func(s *strat.StratJob, od *ormo.InOutOrder, maxChg float64) float64 {
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more, _ := s.More.(*S1More)
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jumpRate, ok := more.JumpRates[od.ID]
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if !ok {
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e := s.Env
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jumpRate = (e.Close.Get(RsiSml)/e.Close.Get(0) - 1) * 0.3
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more.JumpRates[od.ID] = jumpRate
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}
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var rate float64
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switch {
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case maxChg > jumpRate*15:
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rate = 0.15
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case maxChg > jumpRate*10:
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rate = 0.17
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case maxChg > jumpRate*3:
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rate = 0.25
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case maxChg > jumpRate*1:
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rate = 0.37
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case maxChg > jumpRate*0.5:
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rate = 0.5
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default:
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rate = 0
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}
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return rate
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},
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}
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}
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