111 lines
3.3 KiB
Go
111 lines
3.3 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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ta "github.com/banbox/banta"
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"math"
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)
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func J2876(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调超参数
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frequency := pol.DefInt("frequency", 28, core.PNorm(5, 30))
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rsiFrequency := pol.DefInt("rsiFrequency", 220, core.PNorm(14, 100))
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buyZoneDistance := pol.Def("buyZoneDistance", 7, core.PNorm(2, 15))
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avgDownATRSum := pol.DefInt("avgDownATRSum", 3, core.PNorm(1, 10))
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useAbsoluteRSIBarrier := pol.Def("useAbsoluteRSIBarrier", 1, core.PUniform(0, 1)) // 1表示true，0表示false
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barrierLevel := pol.Def("barrierLevel", 45, core.PNorm(30, 70))
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// 计算预热数量，取RSI周期和均线周期中的较大值
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warmupNum := rsiFrequency
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if frequency > rsiFrequency {
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warmupNum = frequency
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}
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// 再加上ATR周期
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warmupNum += 20
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return &strat.TradeStrat{
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WarmupNum: warmupNum,
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HedgeOff: true, // 单向持仓模式
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RunTimeFrames: []string{"15m"},
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EachMaxLong: 3, // 最多允许3个多头订单，对应原策略的pyramiding=3
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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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momentumRSI := ta.RSI(e.Close, rsiFrequency)
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momentumRSI_slow := ta.SMA(momentumRSI, frequency)
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atr := ta.ATR(e.High, e.Low, e.Close, 20)
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// 获取当前值
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rsiValue := momentumRSI.Get(0)
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rsiSlowValue := momentumRSI_slow.Get(0)
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closePrice := e.Close.Get(0)
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// 检查数据有效性
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if math.IsNaN(rsiValue) || math.IsNaN(rsiSlowValue) || math.IsNaN(closePrice) {
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return
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}
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// 计算买卖区域
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buyZoneLower := rsiSlowValue * (1 - buyZoneDistance/100)
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// 生成交易信号
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useBarrier := useAbsoluteRSIBarrier > 0.5
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momentumRSISoftClose := (rsiValue > rsiSlowValue) && (rsiValue > barrierLevel || !useBarrier)
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isClose := momentumRSISoftClose
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// 计算风险管理条件
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riskCondition := true
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if len(s.LongOrders) > 0 {
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// 计算平均持仓价格
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totalCost := 0.0
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totalAmount := 0.0
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for _, od := range s.LongOrders {
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if od.Status >= ormo.InOutStatusPartEnter {
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totalCost += od.EnterCost()
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totalAmount += od.HoldAmount()
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}
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}
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if totalAmount > 0 {
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avgPrice := totalCost / totalAmount
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// 计算过去avgDownATRSum个周期的ATR值之和
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atrSum := 0.0
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for i := 0; i < avgDownATRSum; i++ {
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atrVal := atr.Get(i)
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if !math.IsNaN(atrVal) {
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atrSum += atrVal
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}
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}
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// 计算风险条件：平均持仓价格 - ATR求和值 * 开仓数量 > 当前价格
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riskCondition = avgPrice-atrSum*float64(len(s.LongOrders)) > closePrice
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}
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}
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// 买入信号：RSI低于买入区域下限且满足风险条件
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isBuy := rsiValue < buyZoneLower && (riskCondition || len(s.LongOrders) == 0)
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// 执行交易操作
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if isBuy && len(s.LongOrders) < 3 { // 限制最多3个多头订单
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s.OpenOrder(&strat.EnterReq{
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Tag: "Buy",
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Short: false,
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OrderType: core.OrderTypeMarket,
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})
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}
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// 平仓信号
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if isClose && len(s.LongOrders) > 0 {
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s.CloseOrders(&strat.ExitReq{
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Tag: "Close",
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Dirt: core.OdDirtLong,
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OrderType: core.OrderTypeLimit,
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Limit: closePrice,
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})
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}
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},
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}
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}
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