89 lines
2.6 KiB
Go
89 lines
2.6 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/strat"
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ta "github.com/banbox/banta"
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"math"
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)
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func J3121(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调参数
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bbLength := pol.DefInt("bbLength", 20, core.PNorm(10, 50))
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bbStdDev := pol.Def("bbStdDev", 1.8, core.PNorm(1.0, 3.0))
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cmoLength := pol.DefInt("cmoLength", 10, core.PNorm(5, 30))
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cmoOverbought := pol.Def("cmoOverbought", 45.0, core.PNorm(30.0, 70.0))
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cmoOversold := pol.Def("cmoOversold", -50.0, core.PNorm(-70.0, -30.0))
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return &strat.TradeStrat{
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WarmupNum: bbLength, // 预热期设置为布林带周期长度
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HedgeOff: true, // 单向持仓模式
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EachMaxLong: 1, // 最多一个多头订单
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EachMaxShort: 1, // 最多一个空头订单
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RunTimeFrames: []string{"5m"},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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// 计算布林带
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bbUpper, bbBasis, bbLower := ta.BBANDS(e.Close, bbLength, bbStdDev, bbStdDev)
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// 计算钱德动量振荡器
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cmo := ta.CMO(e.Close, cmoLength)
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// 获取当前值
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closePrice := e.Close.Get(0)
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cmoValue := cmo.Get(0)
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bbUpperValue := bbUpper.Get(0)
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bbLowerValue := bbLower.Get(0)
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bbBasisValue := bbBasis.Get(0)
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// 检查数据有效性
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if math.IsNaN(closePrice) || math.IsNaN(cmoValue) ||
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math.IsNaN(bbUpperValue) || math.IsNaN(bbLowerValue) || math.IsNaN(bbBasisValue) {
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return
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}
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// 做多条件：价格下穿布林带下轨且CMO低于超卖阈值
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longCondition := e.Close.Cross(bbLower) == -1 && cmoValue < cmoOversold
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// 做空条件：价格上穿布林带上轨且CMO高于超买阈值
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shortCondition := e.Close.Cross(bbUpper) == 1 && cmoValue > cmoOverbought
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// 平多条件：价格上穿布林带中轨或CMO高于超买阈值
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exitLong := e.Close.Cross(bbBasis) == 1 || cmoValue > cmoOverbought
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// 平空条件：价格下穿布林带中轨或CMO低于超卖阈值
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exitShort := e.Close.Cross(bbBasis) == -1 || cmoValue < cmoOversold
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// 执行交易操作
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if longCondition && len(s.LongOrders) == 0 {
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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 shortCondition && len(s.ShortOrders) == 0 {
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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 exitLong && len(s.LongOrders) > 0 {
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s.CloseOrders(&strat.ExitReq{
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Tag: "exit_long",
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Dirt: core.OdDirtLong,
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})
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}
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if exitShort && len(s.ShortOrders) > 0 {
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s.CloseOrders(&strat.ExitReq{
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Tag: "exit_short",
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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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