60 lines
1.6 KiB
Go
60 lines
1.6 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/strat"
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ta "github.com/banbox/banta"
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)
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/*
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基于DV2超卖且大均线上方时做多
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基于RSI4百分位排名超卖，且大均线上方时做多
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效果好于双均线仅做多。
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DV2加入做空部分持续亏钱
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RSI加入做空变化不大
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*/
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func DVRSI(p *config.RunPolicyConfig) *strat.TradeStrat {
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return &strat.TradeStrat{
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WarmupNum: 100,
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RunTimeFrames: []string{"4h"},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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c := e.Close.Get(0)
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dv := ta.DV2(e.High, e.Low, e.Close, 126, 2).Get(0)
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sma := ta.SMA(e.Close, 50).Get(0)
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ma10 := ta.SMA(e.Close, 10).Get(0)
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rsi := ta.PercentRank(ta.RSI(e.Close, 4), 126).Get(0)
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atr := ta.ATR(e.High, e.Low, e.Close, 14).Get(0)
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if len(s.LongOrders) > 0 {
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if c < ma10 {
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for _, o := range s.LongOrders {
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holdNum := e.BarCount(o.EnterAt)
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if holdNum > 5 {
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s.CloseOrders(&strat.ExitReq{Tag: "exitL", OrderID: o.ID})
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}
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}
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}
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} else if len(s.ShortOrders) > 0 {
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if c > ma10 {
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for _, o := range s.ShortOrders {
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holdNum := e.BarCount(o.EnterAt)
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if holdNum > 5 {
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s.CloseOrders(&strat.ExitReq{Tag: "exitS", OrderID: o.ID})
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}
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}
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}
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} else if dv <= 10 && c > sma {
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s.OpenOrder(&strat.EnterReq{Tag: "long", StopLossVal: atr * 3})
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} else if rsi < 10 && c > sma {
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s.OpenOrder(&strat.EnterReq{Tag: "long", StopLossVal: atr * 3})
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}
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//else if rsi > 90 && c < sma {
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// s.OpenOrder(&strat.EnterReq{Tag: "short", Short: true, StopLossVal: atr})
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//}
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},
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}
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}
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