87 lines
2.4 KiB
Go
87 lines
2.4 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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)
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type MacdState struct {
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lastCrossUp bool
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lastCrossDown bool
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}
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func J3683(pol *config.RunPolicyConfig) *strat.TradeStrat {
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fastPeriod := pol.DefInt("fastPeriod", 16, core.PNorm(5, 20))
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emaRatio := pol.Def("emaRatio", 1.7, core.PNorm(1.5, 4))
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signalPeriod := pol.DefInt("signalPeriod", 8, core.PNorm(5, 15))
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profitRate := pol.Def("profitRate", 0.012, core.PNorm(0.005, 0.03))
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lossRate := pol.Def("lossRate", 0.009, core.PNorm(0.005, 0.03))
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// 计算慢速EMA周期
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slowPeriod := int(float64(fastPeriod) * emaRatio)
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// 确保预热K线数量足够计算MACD指标
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warmupNum := fastPeriod + slowPeriod + signalPeriod
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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{"8h"},
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OnStartUp: func(s *strat.StratJob) {
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// 初始化每个品种的状态变量
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s.More = &MacdState{
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lastCrossUp: false,
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lastCrossDown: false,
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}
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},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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state, _ := s.More.(*MacdState)
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// 计算MACD指标
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macdLine, signalLine := ta.MACD(e.Close, fastPeriod, slowPeriod, signalPeriod)
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// 检测金叉和死叉
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crossUp := macdLine.Cross(signalLine)
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crossDown := signalLine.Cross(macdLine)
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// 更新交叉状态
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if crossUp == 1 { // 金叉
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state.lastCrossUp = true
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state.lastCrossDown = false
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} else if crossDown == 1 { // 死叉
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state.lastCrossUp = false
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state.lastCrossDown = true
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}
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// 获取当前价格
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currentPrice := e.Close.Get(0)
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// 连续金叉且当前无多头订单，开多仓
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if state.lastCrossUp && crossUp == 1 && len(s.LongOrders) == 0 {
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s.OpenOrder(&strat.EnterReq{
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Tag: "买入开多",
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TakeProfitVal: currentPrice * (1 + profitRate),
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StopLossVal: currentPrice * (1 - lossRate),
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TakeProfitTag: "多单止盈",
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StopLossTag: "多单止损",
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})
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}
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// 连续死叉且当前无空头订单，开空仓
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if state.lastCrossDown && crossDown == 1 && len(s.ShortOrders) == 0 {
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s.OpenOrder(&strat.EnterReq{
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Tag: "卖出开空",
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Short: true,
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TakeProfitVal: currentPrice * (1 - profitRate),
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StopLossVal: currentPrice * (1 + lossRate),
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TakeProfitTag: "空单止盈",
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StopLossTag: "空单止损",
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})
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}
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},
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}
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}
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