87 lines
2.4 KiB
Go
87 lines
2.4 KiB
Go
package demo
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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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func Made(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调超参数
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fastMAPeriod := pol.DefInt("fast_ma_period", 5, core.PUniform(3, 10))
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slowMAPeriod := pol.DefInt("slow_ma_period", 20, core.PUniform(10, 40))
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atrPeriod := pol.DefInt("atr_period", 14, core.PUniform(7, 21))
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slRate := pol.Def("sl_rate", 2.0, core.PUniform(1.0, 4.0))
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return &strat.TradeStrat{
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WarmupNum: 100,
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EachMaxLong: 1,
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EachMaxShort: 1,
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DrawDownExit: true, // 启用回撤止盈
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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// 计算技术指标
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maFast := ta.SMA(e.Close, fastMAPeriod)
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maSlow := ta.SMA(e.Close, slowMAPeriod)
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atr := ta.ATR(e.High, e.Low, e.Close, atrPeriod)
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// 计算均线交叉信号
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maCrossOver := maFast.Cross(maSlow) // 1 表示上穿
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maCrossUnder := maSlow.Cross(maFast) // 1 表示下穿
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// 获取当前价格和ATR值
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currentPrice := e.Close.Get(0)
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currentATR := atr.Get(0)
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// 多头入场信号：快线上穿慢线（金叉）
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if maCrossOver == 1 {
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if s.GetOrderNum(core.OdDirtShort) > 0 {
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s.CloseOrders(&strat.ExitReq{Dirt: core.OdDirtShort, Tag: "exit_short"})
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}
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if s.GetOrderNum(core.OdDirtLong) == 0 {
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stopLossPrice := currentPrice - currentATR*slRate
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s.OpenOrder(&strat.EnterReq{
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Tag: "long",
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StopLoss: stopLossPrice,
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StopLossTag: "atr_sl_long",
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})
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}
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}
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// 空头入场信号：快线下穿慢线（死叉）
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if maCrossUnder == 1 {
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if s.GetOrderNum(core.OdDirtLong) > 0 {
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s.CloseOrders(&strat.ExitReq{Dirt: core.OdDirtLong, Tag: "exit_long"})
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}
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if s.GetOrderNum(core.OdDirtShort) == 0 {
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stopLossPrice := currentPrice + currentATR*slRate
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s.OpenOrder(&strat.EnterReq{
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Tag: "short",
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Short: true,
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StopLoss: stopLossPrice,
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StopLossTag: "atr_sl_short",
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})
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}
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}
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// 多头出场信号：快线下穿慢线（死叉）
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if maCrossUnder == 1 && s.GetOrderNum(core.OdDirtLong) > 0 {
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s.CloseOrders(&strat.ExitReq{
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Dirt: core.OdDirtLong,
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Tag: "exit_long",
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})
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}
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// 空头出场信号：快线上穿慢线（金叉）
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if maCrossOver == 1 && s.GetOrderNum(core.OdDirtShort) > 0 {
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s.CloseOrders(&strat.ExitReq{
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Dirt: core.OdDirtShort,
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Tag: "exit_short",
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})
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}
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},
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}
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}
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