46 lines
1.3 KiB
Go
46 lines
1.3 KiB
Go
package demo
|
|
|
|
import (
|
|
"github.com/banbox/banbot/config"
|
|
"github.com/banbox/banbot/core"
|
|
"github.com/banbox/banbot/strat"
|
|
ta "github.com/banbox/banta"
|
|
)
|
|
|
|
func Test(pol *config.RunPolicyConfig) *strat.TradeStrat {
|
|
//- 超参(极简)
|
|
highestDay := pol.DefInt("highest day", 20, core.PNorm(10, 40))
|
|
atrN := pol.DefInt("atrn", 14, core.PNorm(10, 30))
|
|
slNATR := pol.Def("sl natr", 2.0, core.PNorm(0.8, 4.0))
|
|
tpNATR := pol.Def("tp natr", 2.5, core.PNorm(1.0, 5.0))
|
|
//预热:技术指标所需长度的最大值 + 余量
|
|
warm := max(highestDay+1, atrN+1, 20) + 2
|
|
return &strat.TradeStrat{
|
|
WarmupNum: warm,
|
|
RunTimeFrames: []string{"15m"},
|
|
HedgeOff: true,
|
|
OnBar: func(s *strat.StratJob) {
|
|
e := s.Env
|
|
if e.Close.Len() <= warm {
|
|
return
|
|
}
|
|
last := e.Close.Get(0)
|
|
hhPrev := ta.Highest(e.High, highestDay).Get(1)
|
|
atr := ta.ATR(e.High, e.Low, e.Close, atrN).Get(0)
|
|
//仅在没有任何多单(含未成交挂单)时考虑新挂单倮京沋塑
|
|
if len(s.LongOrders) == 0 {
|
|
//只在价格位于前高下方时挂“突破买入"的 stop 触发单
|
|
if last < hhPrev && atr > 0 {
|
|
entry := hhPrev
|
|
_ = s.OpenOrder(&strat.EnterReq{
|
|
Tag: "Long",
|
|
Stop: entry,
|
|
StopLossVal: slNATR * atr,
|
|
TakeProfitVal: tpNATR * atr,
|
|
})
|
|
}
|
|
}
|
|
},
|
|
}
|
|
}
|