97 lines
2.5 KiB
Go
97 lines
2.5 KiB
Go
package hammer
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import (
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"fmt"
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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"
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ta "github.com/banbox/banta"
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"math"
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)
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/*
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加入RSI低于55限制，同时调低atr倍率，允许更多机会。
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测试效果不如V4，弃用
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*/
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const (
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v5AtrLen = 14
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v5WatchMin = 5 // 入场后观察后续蜡烛的最少个数
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v5WatchMax = 100 // 入场后观察后续蜡烛的最多个数
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v5RefNum = 20 // 回顾历史回撤的数量
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)
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func makeV5OnBar(atrLen, refNum, watchMin, watchMax int, baseRate float64) func(s *strat.StratJob) {
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return func(s *strat.StratJob) {
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e := s.Env
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ma5 := ta.SMA(e.Close, 5).Get(0)
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atr := ta.ATR(e.High, e.Low, e.Close, atrLen)
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baseAtrLen := int(math.Round(float64(atrLen) * 4.3))
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atrBase := ta.Lowest(ta.Highest(atr, atrLen), baseAtrLen).Get(0)
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rsiCol := ta.RSI(e.Close, 20)
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rsi, rsiPrv := rsiCol.Get(0), rsiCol.Get(1)
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more, _ := s.More.(*MoreHammer)
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if math.IsNaN(atrBase) {
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return
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}
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rsiOk := rsiPrv >= 70 && rsiPrv-rsi > 30 || (rsiPrv+rsi)/2 < 55
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if !rsiOk {
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return
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}
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o, h, l, c := e.Open.Get(0), e.High.Get(0), e.Low.Get(0), e.Close.Get(0)
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v := e.Volume.Get(0)
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solid := math.Abs(o - c)
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btm := min(o, c) - l
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up := h - max(o, c)
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if btm > max(2.0*solid, up*5.0, atrBase*baseRate) && c < ma5 {
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// 检查是否处于信号后观察模式
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CloseWatch(s, more, refNum)
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// 开始新观察
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bar := &banexg.Kline{Time: e.TimeStart, Open: o, High: h, Low: l, Close: c, Volume: v}
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StartWatch(e, more, bar, btm/atrBase)
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// 创建入场订单
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limit := c - (c-l)*more.backRate*0.55
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stopLoss := c - atr.Get(0)*3.0
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if stopLoss >= limit {
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stopLoss = limit - atr.Get(0)
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}
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err := s.OpenOrder(&strat.EnterReq{
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Tag: "long",
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Limit: limit,
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StopLoss: stopLoss,
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})
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if err != nil {
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fmt.Printf("open fail %v", err)
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}
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} else if more.lastEnt > 0 {
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// 更新观察数据
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UpdateWatch(s, more, c, l, watchMin, watchMax, refNum)
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}
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}
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}
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func MainV5(pol *config.RunPolicyConfig) *strat.TradeStrat {
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return &strat.TradeStrat{
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Version: 1,
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WarmupNum: 3000,
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MinTfScore: 0.75,
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DrawDownExit: true,
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StopEnterBars: 10,
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OnStartUp: func(s *strat.StratJob) {
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s.More = &MoreHammer{
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odInfos: map[int64]*OdInfo{},
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}
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},
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OnBar: makeV5OnBar(v5AtrLen, v5RefNum, v5WatchMin, v5WatchMax, 2.2),
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OnOrderChange: onOrderChange,
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GetDrawDownExitRate: makeDrawDownExit(0.8, [][2]float64{
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{0.625, 0.25},
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{0.3, 0.37},
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{0.15, 0.5},
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}),
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}
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}
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