90 lines
2.1 KiB
Go
90 lines
2.1 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/exg"
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"github.com/banbox/banbot/orm/ormo"
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"github.com/banbox/banbot/strat"
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ta "github.com/banbox/banta"
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"math"
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"strconv"
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)
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/*
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这是针对XEM/USDT:USDT的策略，其最小价格变动0.6%，挂单等待成交盈利很稳定。
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但实盘时实际成交量很小，挂单十几分钟才吃进去。
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*/
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func xem40(p *config.RunPolicyConfig) *strat.TradeStrat {
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lenAtr := 14
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return &strat.TradeStrat{
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WarmupNum: 300,
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MinTfScore: 0.3,
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EachMaxLong: 1,
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EachMaxShort: 1,
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OnStartUp: func(s *strat.StratJob) {
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pip, err := exg.Default.PriceOnePip(s.Symbol.Symbol)
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if err != nil {
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panic(err)
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}
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s.More = pip
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},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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c := e.Close.Get(0)
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pip := s.More.(float64)
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if pip/c < 0.002 {
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// 仅针对XEM，最小价格变动是0.6%
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return
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}
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volMa := ta.SMA(e.Volume, 14).Get(0)
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maSml := ta.SMA(e.Close, 50).Get(0)
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maBig := ta.SMA(e.Close, 300).Get(0)
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rsi := ta.RSI50(e.Close, 50).Get(0)
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atr := ta.ATR(e.High, e.Low, e.Close, lenAtr).Get(0)
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if s.OrderNum > 0 {
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var od *ormo.InOutOrder
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if len(s.LongOrders) > 0 {
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od = s.LongOrders[0]
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} else {
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od = s.ShortOrders[0]
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}
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if od.Status == ormo.InOutStatusPartEnter && (e.TimeStop-od.RealEnterMS())/e.TFMSecs > 3 {
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s.CloseOrders(&strat.ExitReq{Tag: "cancel", UnFillOnly: true})
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}
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return
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}
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sub1, sub2 := c-maSml, maSml-maBig
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dirt := 0
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if sub1*sub2 <= 0 && math.Abs(sub2) < atr {
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// 震荡行情
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if rsi > 3 {
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dirt = -1
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} else if rsi < -3 {
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dirt = 1
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}
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}
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if dirt == 0 && math.Abs(sub2) < pip {
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// 波动很小，直接开单
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dirt = 1
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if c > maSml {
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dirt = -1
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}
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}
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if dirt != 0 {
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amt := min(volMa*0.1, config.StakeAmount/c)
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s.OpenOrder(&strat.EnterReq{
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Tag: strconv.Itoa(dirt),
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Short: dirt < 0,
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Limit: c,
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Amount: amt,
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StopLossVal: pip * 2,
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TakeProfitVal: pip,
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StopBars: 20,
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})
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}
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},
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}
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}
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