banstagy/trend/SMACrossV2.go

package trend

import (
	"github.com/banbox/banbot/config"
	"github.com/banbox/banbot/core"
	"github.com/banbox/banbot/strat"
	"github.com/banbox/banstagy/com"
	ta "github.com/banbox/banta"
	"math"
)

/*
自研均线趋势策略，多空都开。适合1h
尝试加止损、止盈、限价入场，都会导致整体收益减少
48个品种，21年到24年11月1日，累计收益1291%，最大回撤66%，夏普9.2

总收益90%来自多头
但加入空投可使夏普从5.64提高到9.2

TODO 添加相似矩阵过滤，趋同的品种不开单
结合MACDEMA，优化做多逻辑

相比SMACrossV1，略微不平滑；且收益降低；优先使用SMACrossV1

*/

type maSta struct {
	openPrice float64
	bigRsi    float64
	bigLong   bool
}

func SMACrossV2(p *config.RunPolicyConfig) *strat.TradeStrat {
	// 初始：两个SMA    做空：SMA  15  8
	maLType := com.DefMaType(p, "maL", com.MaSMA)
	maSType := com.DefMaType(p, "maS", com.MaSMA)
	maLLen := p.DefInt("maLLen", 20, core.PNormF(7, 70, 20, 0))
	maSLen := p.DefInt("maSLen", 15, core.PNormF(5, 50, 15, 0))
	maLRate := p.Def("maLRate", 9, core.PNorm(2, 15))
	maSRate := p.Def("maSRate", 8, core.PNorm(2, 14))
	maLBig := int(math.Round(float64(maLLen) * maLRate))
	maSBig := int(math.Round(float64(maSLen) * maSRate))
	p.KeepHyperOnly("maSLen", "maSRate")
	return &strat.TradeStrat{
		WarmupNum:    200,
		EachMaxShort: 1,
		EachMaxLong:  1,
		BatchInOut:   true,
		OnStartUp: func(s *strat.StratJob) {
			s.More = &maSta{}
		},
		OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
			return []*strat.PairSub{
				{"_cur_", "4h", 30},
			}
		},
		OnBar: func(s *strat.StratJob) {
			e := s.Env
			m, _ := s.More.(*maSta)
			c := e.Close.Get(0)
			atr := ta.ATR(e.High, e.Low, e.Close, 30)
			openRate := 0.015 * c / atr.Get(0)
			if openRate < 1 {
				openRate = math.Sqrt(openRate)
			}
			er := ta.ER(e.Close, 50)
			erDelta := min(1.3, er.Get(0)/er.Get(12))
			if erDelta > 1 {
				openRate *= erDelta
			} else {
				// 过滤掉ER下降的
				openRate = 0
			}

			// 方案一：多空SMA：略微平滑，收益略小一点
			// 方案二：多空VWMA：略微波动大点，收益略好一点
			price := ta.AvgPrice(e)
			ma1 := com.GetMA(price, e.Volume, maLType, maLLen)
			ma2 := com.GetMA(price, e.Volume, maLType, maLBig)
			x1 := ma1.Cross(ma2)
			if x1 == 1 && openRate > 0 {
				s.OpenOrder(&strat.EnterReq{Tag: "long", CostRate: openRate, Log: true})
			} else if x1 == -1 {
				s.CloseOrders(&strat.ExitReq{Tag: "xlong", Dirt: core.OdDirtLong, Log: true})
			}

			if len(s.LongOrders) > 0 && m.openPrice < c && m.bigRsi > 80 && ma1.Get(0)-ma1.Get(2) > atr.Get(0)*0.5 {
				// 多仓，盈利，小均线变向平仓
				m.bigLong = true
			}
			//if m.bigLong && m.bigRsi > 70 {
			//	m.bigLong = false
			//	s.OpenOrder(&strat.EnterReq{Tag: "short2", Short: true, CostRate: openRate, Log: true})
			//}

			ma3 := com.GetMA(price, e.Volume, maSType, maSLen)
			ma4 := com.GetMA(price, e.Volume, maSType, maSBig)
			x2 := ma3.Cross(ma4)
			if len(s.ShortOrders) == 0 && x2 == -1 && openRate > 0 {
				m.bigLong = false
				s.OpenOrder(&strat.EnterReq{Tag: "short", Short: true, CostRate: openRate, Log: true})
			} else if x2 == 1 {
				s.CloseOrders(&strat.ExitReq{Tag: "xshort", Dirt: core.OdDirtShort, Log: true})
			}
			if len(s.ShortOrders) > 0 && m.bigRsi < 30 && s.ShortOrders[0].ProfitRate > 0 {
				s.CloseOrders(&strat.ExitReq{Tag: "xshort2", Dirt: core.OdDirtShort, Log: true})
			}
			//if !s.IsWarmUp {
			//	line := fmt.Sprintf("%s %s %d %d %f %f %f %f %f atr:%f er:%f m1:%f m2:%f m3:%f m4:%f x1:%v x2:%v rate:%f",
			//		s.Account, s.Symbol.Symbol, len(s.LongOrders), len(s.ShortOrders),
			//		e.Open.Get(0), e.High.Get(0), e.Low.Get(0), e.Close.Get(0), e.Volume.Get(0),
			//		atr.Get(0), er.Get(0), ma1.Get(0), ma2.Get(0), ma3.Get(0), ma4.Get(0),
			//		x1, x2, openRate)
			//	s.Strat.WriteOutput(line, true)
			//}
		},
		OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
			m, _ := s.More.(*maSta)
			m.bigRsi = ta.RSI(e.Close, 9).Get(0)
		},
		OnBatchJobs: func(jobs []*strat.StratJob) {
			longNum := float64(0)
			bigDown := float64(0)
			for _, s := range jobs {
				if len(s.LongOrders) == 0 {
					continue
				}
				longNum += 1
				m, _ := s.More.(*maSta)
				if m.bigLong {
					bigDown += 1
				}
			}
			if bigDown*1.5 > longNum && longNum*2 > float64(len(jobs)) {
				for _, s := range jobs {
					if len(s.LongOrders) == 0 {
						continue
					}
					s.CloseOrders(&strat.ExitReq{Tag: "xlong2", Dirt: core.OdDirtLong, Log: true})
				}
			}
		},
	}
}