95 lines
2.7 KiB
Go
95 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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func J2874(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调参数
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rsiPeriod := pol.DefInt("rsiPeriod", 70, core.PNorm(20, 100))
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longExitThreshold := pol.Def("longExitThreshold", 0.65, core.PNorm(0.55, 0.8))
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shortExitThreshold := pol.Def("shortExitThreshold", 0.35, core.PNorm(0.2, 0.45))
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allowLong := pol.Def("allowLong", 1.0, core.PUniform(0, 1)) > 0.5
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allowShort := pol.Def("allowShort", 1.0, core.PUniform(0, 1)) > 0.5
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return &strat.TradeStrat{
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WarmupNum: rsiPeriod, // 预热期至少为RSI周期
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HedgeOff: true, // 单向持仓模式，与原PineScript策略一致
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RunTimeFrames: []string{"4h"},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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// 计算各种价格组合
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ohlc4 := ta.HLC3(e.High, e.Low, e.Close).Add(e.Open).Div(4)
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hlc3 := ta.HLC3(e.High, e.Low, e.Close)
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hl2 := ta.HL2(e.High, e.Low)
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// 计算各种RSI值并归一化(除以100)
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rsiOhlc4 := ta.RSI(ohlc4, rsiPeriod).Div(100)
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rsiClose := ta.RSI(e.Close, rsiPeriod).Div(100)
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rsiOpen := ta.RSI(e.Open, rsiPeriod).Div(100)
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rsiHigh := ta.RSI(e.High, rsiPeriod).Div(100)
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rsiHlc3 := ta.RSI(hlc3, rsiPeriod).Div(100)
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rsiHl2 := ta.RSI(hl2, rsiPeriod).Div(100)
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// 计算RSI均值
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rsiAvg := rsiOhlc4.Add(rsiClose).Add(rsiOpen).Add(rsiHigh).Add(rsiHlc3).Add(rsiHl2).Div(6)
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rsiAvgVal := rsiAvg.Get(0)
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// 检查数据有效性
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if math.IsNaN(rsiAvgVal) {
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return
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}
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// 检测RSI均值与0.5的交叉
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entryThreshold := 0.5
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crossSignal := rsiAvg.Cross(entryThreshold)
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// 生成交易信号
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longSignal := crossSignal == 1 // RSI均值上穿0.5
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shortSignal := crossSignal == -1 // RSI均值下穿0.5
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// 生成平仓信号
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longExit := rsiAvgVal >= longExitThreshold || shortSignal
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shortExit := rsiAvgVal <= shortExitThreshold || longSignal
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// 执行交易逻辑
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if allowLong && longSignal && len(s.LongOrders) == 0 {
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// 开多头仓位
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s.OpenOrder(&strat.EnterReq{
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Tag: "long",
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})
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}
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if allowShort && shortSignal && len(s.ShortOrders) == 0 {
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// 开空头仓位
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s.OpenOrder(&strat.EnterReq{
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Tag: "short",
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Short: true,
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})
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}
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if allowLong && len(s.LongOrders) > 0 && longExit {
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// 平多头仓位
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s.CloseOrders(&strat.ExitReq{
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Tag: "long_exit",
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Dirt: core.OdDirtLong,
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})
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}
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if allowShort && len(s.ShortOrders) > 0 && shortExit {
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// 平空头仓位
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s.CloseOrders(&strat.ExitReq{
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Tag: "short_exit",
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Dirt: core.OdDirtShort,
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})
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}
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},
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}
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}
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