112 lines
2.9 KiB
Go
112 lines
2.9 KiB
Go
package trend
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import (
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"github.com/banbox/banbot/config"
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"github.com/banbox/banbot/core"
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"github.com/banbox/banbot/strat"
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ta "github.com/banbox/banta"
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"strconv"
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)
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/*
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原始灵感：https://www.fmz.com/strategy/442547
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已改动了大部分
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测试在4h上表现最佳；210101-241101,48个品种
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收益1919%，回撤23%，夏普5.5
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添加adx过滤，收益增加
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测试使用ATRBase显著收益下降
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添加跟踪止损收益下降
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2025/02/24添加大周期方向开单权重，15品种夏普从9.43增长到10.48；最大回撤14.7%变为12.4%
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*/
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type supFlwMore struct {
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enter *strat.EnterReq
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exitIds []int64
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}
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func SuperFollow(p *config.RunPolicyConfig) *strat.TradeStrat {
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atrLen := 14 // 默认12
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mult := p.Def("mult", 1.4, core.PNorm(0.7, 2.5))
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sRate := p.Def("sRate", 1.1, core.PNorm(0.7, 1.8))
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slAtr := p.Def("slAtr", 1.6, core.PNorm(1, 2.5))
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tpRate := p.Def("tpRate", 3, core.PNorm(1.7, 5.5))
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shortMult := -mult * sRate
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return &strat.TradeStrat{
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WarmupNum: 200,
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EachMaxShort: 1,
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EachMaxLong: 1,
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OnStartUp: func(s *strat.StratJob) {
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s.More = 0
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},
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OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
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return []*strat.PairSub{
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{"_cur_", "1d", 100},
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}
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},
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//OnBar: func(s *strat.StratJob) {
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// m, _ := s.More.(*supFlwMore)
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// if m.enter != nil {
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// s.OpenOrder(m.enter)
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// m.enter = nil
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// } else if len(m.exitIds) > 0 {
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// for _, id := range m.exitIds {
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// s.CloseOrders(&strat.ExitReq{Tag: "tooLong", OrderID: id})
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// }
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// m.exitIds = nil
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// }
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//},
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//OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
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// m, _ := s.More.(*supFlwMore)
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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o, c := e.Open.Get(0), e.Close.Get(0)
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atr := ta.ATR(e.High, e.Low, e.Close, atrLen).Get(0)
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dist := (c - o) / atr
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adx := ta.ADX(e.High, e.Low, e.Close, 30).Get(0)
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//bigDirt := s.More.(int)
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openDirt := 0
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overRate := 0.0
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if dist < shortMult && adx < 20 {
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if len(s.ShortOrders) == 0 {
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openDirt = -1
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}
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overRate = dist / shortMult
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} else if dist > mult {
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if len(s.LongOrders) == 0 {
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openDirt = 1
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}
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overRate = dist / mult
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}
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if openDirt != 0 {
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costRate := overRate * 1.1
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//if openDirt*bigDirt < 0 {
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// costRate *= 0.5
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//}
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s.OpenOrder(&strat.EnterReq{
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Tag: strconv.Itoa(openDirt),
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Short: openDirt < 0,
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TakeProfitVal: atr * slAtr * tpRate * overRate,
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StopLossVal: atr * slAtr * overRate,
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CostRate: costRate,
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})
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} else {
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// 长期未关闭的，超过200个平仓
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odList := s.GetOrders(core.OdDirtBoth)
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for _, od := range odList {
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holdNum := e.BarCount(od.EnterAt)
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if holdNum > 200 {
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s.CloseOrders(&strat.ExitReq{Tag: "tooLong", OrderID: od.ID})
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}
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}
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}
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},
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OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
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maSml := ta.SMA(e.Close, 15)
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maBig := ta.SMA(e.Close, 70)
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s.More = maSml.Cross(maBig)
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},
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}
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}
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