145 lines
3.5 KiB
Go
145 lines
3.5 KiB
Go
package llmjob
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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/orm/ormo"
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"github.com/banbox/banbot/strat"
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"math"
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"time"
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)
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type WeekendData struct {
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FridayClose float64
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HasLong bool
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TotCost float64
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TotAmt float64
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}
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func J2439(pol *config.RunPolicyConfig) *strat.TradeStrat {
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entryThreshold := pol.Def("entryThreshold", 0.02, core.PNorm(0.01, 0.1))
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profitTakingPercentThreshold := pol.Def("profitTakingPercentThreshold", 0.06, core.PNorm(0.01, 0.08))
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return &strat.TradeStrat{
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WarmupNum: 7, // 需要最多7天的数据来获取周五收盘价
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HedgeOff: true, // 单向持仓模式
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RunTimeFrames: []string{"5m"},
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OnStartUp: func(s *strat.StratJob) {
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s.More = &WeekendData{FridayClose: math.NaN()}
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},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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data, _ := s.More.(*WeekendData)
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currentTime := time.Unix(e.TimeStop/1000, 0)
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weekday := currentTime.Weekday()
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// 计算距离周五的天数
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var daysSinceFriday int
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switch weekday {
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case time.Saturday:
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daysSinceFriday = 1
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case time.Sunday:
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daysSinceFriday = 0
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case time.Monday:
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daysSinceFriday = 6
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case time.Tuesday:
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daysSinceFriday = 5
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case time.Wednesday:
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daysSinceFriday = 4
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case time.Thursday:
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daysSinceFriday = 3
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case time.Friday:
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daysSinceFriday = 2
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}
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// 获取周五收盘价 - 使用日线数据
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if e.Close.Len() > daysSinceFriday {
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data.FridayClose = e.Close.Get(daysSinceFriday)
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}
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// 如果没有有效的周五收盘价，不执行交易逻辑
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if math.IsNaN(data.FridayClose) {
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return
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}
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// 检查止盈条件
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if s.EnteredNum > 0 {
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totalProfitRate := 0.0
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for _, od := range s.LongOrders {
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if od.Status >= ormo.InOutStatusPartEnter {
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totalProfitRate += od.ProfitRate
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}
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}
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for _, od := range s.ShortOrders {
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if od.Status >= ormo.InOutStatusPartEnter {
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totalProfitRate += od.ProfitRate
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}
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}
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if totalProfitRate > profitTakingPercentThreshold {
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s.CloseOrders(&strat.ExitReq{
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Tag: "profit_take",
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Dirt: core.OdDirtBoth,
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})
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return
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}
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}
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// 周末交易逻辑（周日和周一）
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if weekday == time.Sunday || weekday == time.Monday {
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currentPrice := e.Close.Get(0)
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if math.IsNaN(currentPrice) {
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return
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}
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upperThreshold := data.FridayClose * (1 + entryThreshold)
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lowerThreshold := data.FridayClose * (1 - entryThreshold)
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// 没有持仓时的入场逻辑
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if s.OrderNum == 0 {
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if currentPrice > upperThreshold {
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s.OpenOrder(&strat.EnterReq{
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Tag: "short_entry",
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Short: true,
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})
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} else if currentPrice < lowerThreshold {
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s.OpenOrder(&strat.EnterReq{
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Tag: "long_entry",
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})
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}
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} else {
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// 已有持仓时的加仓逻辑
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for _, od := range s.ShortOrders {
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if od.Status >= ormo.InOutStatusPartEnter && currentPrice > od.InitPrice*(1+entryThreshold) {
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s.OpenOrder(&strat.EnterReq{
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Tag: "add_short",
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Short: true,
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})
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break
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}
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}
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for _, od := range s.LongOrders {
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if od.Status >= ormo.InOutStatusPartEnter {
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s.OpenOrder(&strat.EnterReq{
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Tag: "add_long",
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})
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break
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}
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}
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}
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}
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// 周二平仓逻辑
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if weekday == time.Tuesday {
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if s.OrderNum > 0 {
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s.CloseOrders(&strat.ExitReq{
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Tag: "monday_close",
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Dirt: core.OdDirtBoth,
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})
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}
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}
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},
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}
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}
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