109 lines
2.5 KiB
Go
109 lines
2.5 KiB
Go
package surge
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import (
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"bufio"
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"fmt"
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"github.com/banbox/banbot/btime"
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"github.com/banbox/banbot/core"
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ta "github.com/banbox/banta"
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"math"
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"os"
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"strconv"
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"strings"
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"testing"
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"time"
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)
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/*
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测试顺势暴跌做空。应对2025-10-10
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*/
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func TestDownQwen(t *testing.T) {
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stamps, data, err := ParseFile("E:\\trade\\go\\bandata\\backtest\\bdb35c1d91\\surge_alldown.log")
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if err != nil {
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panic(err)
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}
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env, _ := ta.NewBarEnv("", "", "", "1m")
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lenS := env.NewSeries(nil)
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volS := env.NewSeries(nil)
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var prevLen float64
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var volThres = 2.8
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var holdBars int
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var holdAmt, openDirt float64
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for i, row := range data {
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timeMS := stamps[i]
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vol, solid, lenMid, _, len66 := row[0], row[1], row[2], row[3], row[4]
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if math.IsNaN(lenMid) {
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continue
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}
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env.TimeStop = timeMS
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lenS.Append(lenMid)
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volS.Append(vol)
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volMa1 := ta.SMA(volS, 3).Get(1)
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low5len := ta.Lowest(lenS, 30).Get(1)
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if openDirt != 0 {
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// 正在做空/多
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holdAmt += lenMid
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holdBars += 1
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if lenMid*openDirt < 0 {
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dateStr := btime.ToDateStr(timeMS, core.DefaultDateFmt)
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fmt.Printf("%s close, hold %d total: %.2f\n", dateStr, holdBars, holdAmt*openDirt)
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openDirt, holdBars = 0, 0
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holdAmt = 0
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}
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} else if vol > volThres && lenMid < low5len && len66 < 0 && solid < -0.5 && prevLen < 0 {
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// 成交量突破阈值，中位数阴线，3个len全部阴线，中位数创新低
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// 与前一个k线比率不超过3
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prevRate := lenMid / prevLen
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if prevRate < 3 && prevRate > 1.5 && vol/volMa1 < 2 {
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openDirt = -1
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fmt.Printf("%s short, thres: %.2f vol: %.2f len: %.2f solid: %.2f\n",
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btime.ToDateStr(timeMS, core.DefaultDateFmt), volThres, vol, lenMid, solid)
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}
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}
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prevLen = lenMid
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}
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}
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func ParseFile(path string) ([]int64, [][5]float64, error) {
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f, err := os.Open(path)
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if err != nil {
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return nil, nil, err
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}
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defer f.Close()
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var ts []int64
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var vals [][5]float64
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scanner := bufio.NewScanner(f)
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for scanner.Scan() {
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t, v := ParseLine(scanner.Text())
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if t != 0 {
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ts = append(ts, t)
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vals = append(vals, v)
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}
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}
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return ts, vals, scanner.Err()
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}
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func ParseLine(s string) (int64, [5]float64) {
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var arr [5]float64
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f := strings.Fields(s)
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if len(f) < 7 {
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return 0, arr
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}
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t, err := time.ParseInLocation("2006-01-02 15:04:05", f[0]+" "+f[1], time.UTC)
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if err != nil {
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return 0, arr
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}
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for i := 0; i < 5; i++ {
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v, err := strconv.ParseFloat(f[2+i], 64)
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if err != nil {
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return t.UnixMilli(), arr
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}
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arr[i] = v
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}
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return t.UnixMilli(), arr
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}
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