104 lines
2.7 KiB
Go
104 lines
2.7 KiB
Go
// 修复后的banbot完整策略代码
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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/strat"
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ta "github.com/banbox/banta"
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"math"
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)
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/*
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以大止损实现的高胜率，订单太少
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尝试使用atrBase针对CostRate、TakeProfit、StopLoss进行自适应，效果都更差。
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*/
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func J2523(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调参数
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maLen := pol.DefInt("maLen", 240, core.PNorm(50, 300))
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adxThres := pol.Def("adxThres", 20, core.PNorm(15, 35))
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slRate := pol.Def("slRate", 2.5, core.PNorm(0.8, 5.0))
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// 计算预热K线数，确保所有指标都能正确计算
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warmupNum := maLen + 20
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//rates := make([]float64, 0, 10)
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return &strat.TradeStrat{
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WarmupNum: warmupNum,
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RunTimeFrames: []string{"3d"},
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StakeRate: 20,
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EachMaxLong: 1,
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EachMaxShort: 1,
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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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maBig := ta.SMA(e.Close, maLen)
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rsi := ta.RSI(e.Close, 14)
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// 使用DMI计算ADX，与原始策略保持一致
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adx := ta.ADX(e.High, e.Low, e.Close, 14)
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atr := ta.ATR(e.High, e.Low, e.Close, 14)
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// 获取当前值和历史值，避免重复计算
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curClose := e.Close.Get(0)
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curMA := maBig.Get(0)
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curRSI := rsi.Get(0)
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curADX := adx.Get(0)
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curATR := atr.Get(0)
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// 检查数据有效性
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if math.IsNaN(curClose) || math.IsNaN(curMA) || math.IsNaN(curRSI) ||
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math.IsNaN(curADX) || math.IsNaN(curATR) {
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return
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}
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// 检查2根K线前是否发生交叉
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closeXBig := e.Close.Cross(maBig)
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rsi2 := rsi.Get(2)
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adxOk := adx.Get(2) > adxThres
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buyConfirmation := closeXBig == 3 && (rsi2 > 40) && adxOk
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sellConfirmation := closeXBig == -3 && (rsi2 < 60) && adxOk
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// 执行交易逻辑
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if buyConfirmation {
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s.OpenOrder(&strat.EnterReq{
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Tag: "Buy",
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TakeProfitVal: curClose * 0.02, // 2%止盈
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StopLossVal: slRate * curATR,
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})
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s.CloseOrders(&strat.ExitReq{
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Tag: "XShort",
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Dirt: core.OdDirtShort,
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})
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}
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if sellConfirmation {
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s.OpenOrder(&strat.EnterReq{
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Tag: "short",
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Short: true,
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TakeProfitVal: curClose * 0.02, // 2%止盈
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StopLossVal: slRate * curATR,
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})
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s.CloseOrders(&strat.ExitReq{
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Tag: "XLong",
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Dirt: core.OdDirtLong,
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})
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}
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},
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//OnShutDown: func(s *strat.StratJob) {
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// if len(rates) == 0 {
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// return
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// }
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// sort.Float64s(rates)
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// size := len(rates) / 10
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// for i := 0; i < len(rates); i += size {
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// block := rates[i:min(len(rates), i+size)]
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// avg := floats.Sum(block) / float64(len(block))
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// fmt.Printf("rate %v: %.3f\n", i, avg)
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// }
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// rates = nil
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//},
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}
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}
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