99 lines
2.2 KiB
Go
99 lines
2.2 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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)
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/*
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初版：https://jesse.trade/strategies/trendswingtrader-v1
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去掉e1<c或e1>c后，更不稳定
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adx对部分条件应用会更好，直接全部过滤略差
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加入海龟资金管理&ER开仓系数后表现略差
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*/
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func swing(p *config.RunPolicyConfig) *strat.TradeStrat {
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slRate := p.Def("slRate", 4.5, core.PNorm(0.5, 5))
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tpRate := p.Def("tpRate", 8, core.PNorm(3, 13))
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return &strat.TradeStrat{
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WarmupNum: 200,
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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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adx := ta.ADX(e.High, e.Low, e.Close, 14).Get(0)
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atr := ta.ATR(e.High, e.Low, e.Close, 14).Get(0)
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e1 := ta.EMA(e.Close, 30).Get(0)
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e2 := ta.EMA(e.Close, 50).Get(0)
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e3 := ta.EMA(e.Close, 120).Get(0)
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openRate := float64(1)
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trend := float64(0)
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tag := ""
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if e2 < e1 && e1 < c {
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if e3 < e2 {
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tag = "long1"
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} else {
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tag = "long2"
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if adx <= 25 {
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// 表现较差
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openRate *= 0.5
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}
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}
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trend = 1
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} else if e2 > e1 && e1 > c {
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if e3 > e2 {
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tag = "short1"
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} else {
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tag = "short2"
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if adx <= 25 {
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// 表现较差
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openRate *= 0.5
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}
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}
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trend = -1
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}
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if tag != "" {
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if adx <= 25 {
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tag += "_a"
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}
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}
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if len(s.LongOrders) > 0 {
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for _, od := range s.LongOrders {
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sl := od.GetStopLoss()
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curSL := c - atr*slRate
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if curSL > sl.Price {
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sl.Price = curSL
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}
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}
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} else if trend == 1 && tag != "" && openRate > 0 {
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s.OpenOrder(&strat.EnterReq{
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Tag: tag,
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CostRate: openRate,
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StopLossVal: atr * slRate,
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TakeProfitVal: atr * tpRate,
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TakeProfitRate: 0.5,
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})
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}
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if len(s.ShortOrders) > 0 {
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for _, od := range s.ShortOrders {
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sl := od.GetStopLoss()
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curSL := c + atr*slRate
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if curSL < sl.Price {
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sl.Price = curSL
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}
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}
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} else if trend == -1 && tag != "" && openRate > 0 {
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s.OpenOrder(&strat.EnterReq{
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Tag: tag,
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Short: true,
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CostRate: openRate,
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StopLossVal: atr * slRate,
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TakeProfitVal: atr * tpRate,
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TakeProfitRate: 0.5,
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})
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}
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},
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}
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}
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