60 lines
2.1 KiB
Go
60 lines
2.1 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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)
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func pcmp(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可优化的超参数
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shortPeriod := int(pol.Def("short", 7, core.PNorm(5, 10)))
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longPeriod := int(pol.Def("long", 14, core.PNorm(10, 20)))
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return &strat.TradeStrat{
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WarmupNum: longPeriod + 5, // 预热数据数量，确保有足够的历史数据
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EachMaxLong: 1, // 最多持有1个多单
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EachMaxShort: 1, // 最多持有1个空单
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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curPrice := e.Close.Get(0)
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// 检查当前价格是否高于短周期和长周期前的价格
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shortPriceHigher := curPrice > e.Close.Get(shortPeriod)
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longPriceHigher := curPrice > e.Close.Get(longPeriod)
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// 检查当前价格是否低于短周期和长周期前的价格
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shortPriceLower := curPrice < e.Close.Get(shortPeriod)
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longPriceLower := curPrice < e.Close.Get(longPeriod)
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// 多头信号：当前价格比两个周期前都高
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goLong := shortPriceHigher && longPriceHigher
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// 空头信号：当前价格比两个周期前都低
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goShort := shortPriceLower && longPriceLower
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// 检查当前订单状态
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hasLongOrder := len(s.LongOrders) > 0
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hasShortOrder := len(s.ShortOrders) > 0
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// 开多单逻辑：当前价格比两个周期前都高，且没有持仓
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if goLong && !hasLongOrder && !hasShortOrder {
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s.OpenOrder(&strat.EnterReq{Tag: "long"})
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} else if goShort && !hasShortOrder && !hasLongOrder {
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// 开空单逻辑：当前价格比两个周期前都低，且没有持仓
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s.OpenOrder(&strat.EnterReq{Tag: "short", Short: true})
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}
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// 平多单逻辑：不满足做多条件，且有多单持仓
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if !goLong && hasLongOrder {
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s.CloseOrders(&strat.ExitReq{Tag: "close_long", Dirt: core.OdDirtLong})
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}
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// 平空单逻辑：不满足做空条件，且有空单持仓
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if !goShort && hasShortOrder {
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s.CloseOrders(&strat.ExitReq{Tag: "close_short", Dirt: core.OdDirtShort})
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}
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},
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}
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}
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