87 lines
2.0 KiB
Go
87 lines
2.0 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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"math"
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)
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/*
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https://www.forexfactory.com/thread/291622-trading-made-simple
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在1d周期，大多数品种上长期较好；稳定性一般
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*/
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func eelfranzTDI(p *config.RunPolicyConfig) *strat.TradeStrat {
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var rsiLen = p.DefInt("rsiLen", 13, core.PNorm(8, 25))
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var rsiMaLen = p.DefInt("rsiMa", 34, core.PNorm(20, 40))
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var fastLen = p.DefInt("fast", 2, core.PNorm(2, 5))
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var slowLen = p.DefInt("slow", 7, core.PNorm(4, 15))
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return &strat.TradeStrat{
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WarmupNum: 50,
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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rsi := ta.RSI(e.Close, rsiLen)
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rsiMa := ta.SMA(rsi, rsiMaLen).Get(0)
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stDev := StDev(rsi, rsiMaLen).Get(0)
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upZone := rsiMa + 1.6185*stDev
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dnZone := rsiMa - 1.6185*stDev
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// market base line
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marketBase := (upZone + dnZone) / 2
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// rsi price line: green
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fast := ta.SMA(rsi, fastLen).Get(0)
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// trade signal line: red
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slow := ta.SMA(rsi, slowLen).Get(0)
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if len(s.LongOrders) > 0 {
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if fast < slow {
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s.CloseOrders(&strat.ExitReq{
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Tag: "exitL",
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Dirt: core.OdDirtLong,
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})
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}
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} else if fast > max(slow, marketBase) {
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s.OpenOrder(&strat.EnterReq{
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Tag: "long",
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})
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}
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if len(s.ShortOrders) > 0 {
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if fast > slow {
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s.CloseOrders(&strat.ExitReq{
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Tag: "exitS",
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Dirt: core.OdDirtShort,
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})
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}
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} else if slow > max(fast, marketBase) {
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s.OpenOrder(&strat.EnterReq{
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Tag: "short",
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Short: true,
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})
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}
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},
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}
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}
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func StDev(obj *ta.Series, period int) *ta.Series {
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res := obj.To("stDev", period)
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if res.Cached() {
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return res
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}
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arr := ta.WrapFloatArr(res, period, obj.Get(0))
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if len(arr) < period {
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return res.Append(math.NaN())
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} else {
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var sum, ssum float64
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for _, v := range arr {
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sum += v
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ssum += v * v
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}
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var lenFlt = float64(period)
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variance := (ssum*lenFlt - sum*sum) / (lenFlt * (lenFlt - 1))
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return res.Append(math.Sqrt(variance))
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}
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}
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