111 lines
2.5 KiB
Go
111 lines
2.5 KiB
Go
package ptn
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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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ta "github.com/banbox/banta"
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"math"
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)
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type tunmoMore struct {
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topVal float64
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btmVal float64
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barNum int
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}
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/*
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检查是否是吞没形态
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*/
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func isTunMo(e *ta.BarEnv) (int, float64, float64) {
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o, h, l, c := GetMains(e, 0)
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o1, h1, l1, c1 := GetMains(e, 1)
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solid := math.Abs(o - c)
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if solid/(h-l) < 0.6 {
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// 第二个蜡烛实体至少60%
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return 0, 0, 0
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}
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solid1 := math.Abs(o1 - c1)
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if solid1/(h1-l1) <= 0.13 && solid > solid1*3 {
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// 第一个是十字星，直接符合
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if o > c {
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return -1, min(l, l1), max(h, h1)
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} else {
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return 1, min(l, l1), max(h, h1)
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}
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}
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if o < c {
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// 后一个是阳线，要求前一个是阴线
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if o1 > c1 && o1 <= c && c1 >= o {
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// 前开<收盘 & 前收 > 开盘
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return 1, min(l, l1), max(h, h1)
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}
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} else if o1 < c1 && c1 <= o && o1 >= c {
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// 后一个阴线，要求前一个阳线
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// 前收<开盘 & 前开 > 收盘
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return -1, min(l, l1), max(h, h1)
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}
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return 0, 0, 0
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}
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func TunMo(pol *config.RunPolicyConfig) *strat.TradeStrat {
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const v1AtrLen = 14
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return &strat.TradeStrat{
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Version: 1,
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WarmupNum: 30,
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MinTfScore: 0.75,
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DrawDownExit: true,
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OnStartUp: func(s *strat.StratJob) {
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s.More = &tunmoMore{}
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},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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// ma5 := ta.SMA(e.Close, 5).Get(1)
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atr := ta.ATR(e.High, e.Low, e.Close, v1AtrLen)
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baseAtrLen := int(math.Round(float64(v1AtrLen) * 4.3))
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atrBase := ta.Lowest(ta.Highest(atr, v1AtrLen), baseAtrLen).Get(0)
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//rsiCol := ta.RSI(e.Close, 14)
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//rsi := rsiCol.Range(0, 2)
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if math.IsNaN(atrBase) || s.OrderNum > 0 {
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return
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}
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m, _ := s.More.(*tunmoMore)
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mode, btmVal, topVal := isTunMo(e)
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if mode != 0 && atr.Get(0) > atrBase*2 {
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m.btmVal = btmVal - atrBase
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m.topVal = topVal + atrBase
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m.barNum = e.BarNum
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}
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if e.BarNum-m.barNum > 10 {
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// 忽略吞没形态10个之后的蜡烛
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return
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}
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c := e.Close.Get(0)
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// slices.Max(rsi) > 70
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// && c > ma5
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if c > m.topVal {
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stopLoss := max(m.topVal, c) + atr.Get(0)
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err := s.OpenOrder(&strat.EnterReq{
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Tag: "short",
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StopLoss: stopLoss,
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Short: true,
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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 c < m.btmVal {
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stopLoss := min(m.btmVal, c) - atr.Get(0)
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err := s.OpenOrder(&strat.EnterReq{
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Tag: "long",
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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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}
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},
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}
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}
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