82 lines
2.0 KiB
Go
82 lines
2.0 KiB
Go
package grid
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import (
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"math"
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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/orm/ormo"
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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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多头网格，下跌买入，上涨卖出。适合波动性较强，方向不明的市场。
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以大周期atrBase的一定比例作为网格的单位大小
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初始倍率: InitRate
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初次开仓条件：
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大周期ER20 < 0.3
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小周期MA5 < MA20 看多网格；否则看空网格
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持有仓位：
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*/
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type GridV1 struct {
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*Grid
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bigER float64 // 大周期ER系数
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}
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func InvGrid(pol *config.RunPolicyConfig) *strat.TradeStrat {
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lenAtr := 20
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baseAtrLen := int(float64(lenAtr) * 4.3)
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unitRate := pol.Def("unitRate", 2, core.PNorm(0.5, 5))
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initRate := int(pol.Def("initRate", 4, core.PNorm(0.7, 7.3)))
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maxAdd := 5
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return &strat.TradeStrat{
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WarmupNum: 100,
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StopEnterBars: 9999999,
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TimeFrames: "1m",
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OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
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return []*strat.PairSub{
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{"_cur_", "4h", 100},
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}
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},
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OnStartUp: func(s *strat.StratJob) {
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s.More = &GridV1{Grid: NewGrid(initRate, maxAdd, 6, false)}
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},
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OnBar: func(s *strat.StratJob) {
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m, _ := s.More.(*GridV1)
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if s.OrderNum == 0 {
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if m.Unit == 0 || m.bigER >= 0.1 || s.IsWarmUp {
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return
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}
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m.Open(s)
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} else {
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m.CheckPos(s)
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}
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},
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OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
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m, _ := s.More.(*GridV1)
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m.bigER = ta.ER(e.Close, 20).Get(0)
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atr := ta.ATR(e.High, e.Low, e.Close, lenAtr)
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atrBase := ta.Lowest(ta.Highest(atr, lenAtr), baseAtrLen).Get(0)
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ma5 := ta.SMA(e.Close, 10).Get(0)
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ma20 := ta.SMA(e.Close, 50).Get(0)
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if s.OrderNum == 0 && !math.IsNaN(atrBase) {
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// 未持仓时更新网格单元大小
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m.Unit = atrBase * unitRate
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m.Dirt = core.OdDirtShort
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if ma5 < ma20 {
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m.Dirt = core.OdDirtLong
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}
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}
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},
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OnOrderChange: func(s *strat.StratJob, od *ormo.InOutOrder, chgType int) {
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m, _ := s.More.(*GridV1)
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m.OnOrderChange(s, od, chgType)
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},
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}
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}
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