banstagy/llmjob/3746.go

package llmjob

import (
	"github.com/banbox/banbot/config"
	"github.com/banbox/banbot/core"
	"github.com/banbox/banbot/orm/ormo"
	"github.com/banbox/banbot/strat"
	ta "github.com/banbox/banta"
	"math"
)

type KijunData struct {
	initialCapital float64
	netProfit      float64
}

func J3746(pol *config.RunPolicyConfig) *strat.TradeStrat {
	// 定义可调超参数
	ksPeriod := pol.DefInt("ksPeriod", 30, core.PNorm(9, 50))
	atrPeriod := pol.DefInt("atrPeriod", 14, core.PNorm(7, 30))
	atrMultiplier := pol.Def("atrMultiplier", 1.5, core.PNorm(0.8, 4))
	targetPoints := pol.Def("targetPoints", 100, core.PNorm(50, 200))
	riskPercent := pol.Def("riskPercent", 4, core.PNorm(1, 10))
	equityProtection := pol.Def("equityProtection", 30, core.PNorm(10, 50))

	return &strat.TradeStrat{
		WarmupNum:     ksPeriod, // 预热K线数量，确保基均线计算有足够数据
		HedgeOff:      true,     // 单向持仓模式
		RunTimeFrames: []string{"3d"},
		OnStartUp: func(s *strat.StratJob) {
			// 初始化每个品种的特定数据
			s.More = &KijunData{
				initialCapital: 50000.0, // 初始资金
				netProfit:      0.0,     // 初始净利润
			}
		},

		OnBar: func(s *strat.StratJob) {
			e := s.Env
			m, _ := s.More.(*KijunData)

			// 计算技术指标
			atr := ta.ATR(e.High, e.Low, e.Close, atrPeriod)
			atrValue := atr.Get(0)

			// 计算基均线 (Kijun Sen)
			highest := ta.Highest(e.High, ksPeriod)
			lowest := ta.Lowest(e.Low, ksPeriod)
			kijunSen := highest.Add(lowest).Div(2)
			kijunSenValue := kijunSen.Get(0)

			// 检查数据有效性
			if math.IsNaN(atrValue) || math.IsNaN(kijunSenValue) {
				return
			}

			// 生成交易信号
			openPrice := e.Open.Get(0)
			closePrice := e.Close.Get(0)
			baseLong := openPrice < kijunSenValue && closePrice > kijunSenValue
			baseShort := openPrice > kijunSenValue && closePrice < kijunSenValue

			// 计算止损距离
			stopLossVal := atrValue * atrMultiplier

			// 更新净利润
			// 计算总浮动盈亏
			totalFloating := 0.0
			for _, od := range s.LongOrders {
				totalFloating += od.Profit
			}
			for _, od := range s.ShortOrders {
				totalFloating += od.Profit
			}
			m.netProfit = totalFloating

			// 权益保护检查
			equityStopout := false
			if s.OrderNum > 0 {
				// 计算当前余额（初始资金 + 净利润）
				totalBalance := m.initialCapital + m.netProfit

				// 检查是否触发权益保护
				if totalFloating < 0 && math.Abs(totalFloating/totalBalance) > equityProtection/100 {
					equityStopout = true
				}
			}

			// 权益保护触发时平仓所有头寸
			if equityStopout {
				s.CloseOrders(&strat.ExitReq{
					Tag:   "equity_protection",
					Dirt:  core.OdDirtBoth,
					Force: true,
				})
				return
			}

			// 检查是否有持仓
			hasLongPosition := len(s.LongOrders) > 0
			hasShortPosition := len(s.ShortOrders) > 0

			// 计算头寸大小
			balance := m.initialCapital + m.netProfit
			riskAmount := balance * (riskPercent / 100) // 风险金额
			size := riskAmount / stopLossVal            // 合约数量
			if size < 0.001 {                           // 最小合约数量检查
				size = 0.001
			}

			// 多头交易
			if baseLong && !hasLongPosition && !hasShortPosition {
				s.OpenOrder(&strat.EnterReq{
					Tag:           "l_en",
					Amount:        size,
					StopLossVal:   stopLossVal,
					TakeProfitVal: targetPoints,
					StopLossTag:   "stop_loss",
					TakeProfitTag: "take_profit",
				})
			}

			// 空头交易
			if baseShort && !hasShortPosition && !hasLongPosition {
				s.OpenOrder(&strat.EnterReq{
					Tag:           "s_en",
					Short:         true,
					Amount:        size,
					StopLossVal:   stopLossVal,
					TakeProfitVal: targetPoints,
					StopLossTag:   "stop_loss",
					TakeProfitTag: "take_profit",
				})
			}
		},

		OnCheckExit: func(s *strat.StratJob, od *ormo.InOutOrder) *strat.ExitReq {
			// 计算基均线
			highest := ta.Highest(s.Env.High, ksPeriod)
			lowest := ta.Lowest(s.Env.Low, ksPeriod)
			kijunSen := highest.Add(lowest).Div(2)
			kijunSenValue := kijunSen.Get(0)

			closePrice := s.Env.Close.Get(0)

			// 多头平仓条件：收盘价低于基均线
			if !od.Short && closePrice < kijunSenValue {
				return &strat.ExitReq{
					Tag: "long_exit",
				}
			}

			// 空头平仓条件：收盘价高于基均线
			if od.Short && closePrice > kijunSenValue {
				return &strat.ExitReq{
					Tag: "short_exit",
				}
			}

			return nil
		},
	}
}