145 lines
4.2 KiB
Go
145 lines
4.2 KiB
Go
package llmjob
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import (
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"math"
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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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// FibRSIGoldenCross 用于存储每个品种的斐波那契回撤水平
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type FibRSIGoldenCross struct {
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FibHigh float64
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FibLow float64
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Fib38 float64
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Fib50 float64
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Fib61 float64
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}
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func J3827(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调超参数
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short_ma_length := pol.DefInt("short_ma_length", 40, core.PNorm(20, 100))
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ma_ratio := pol.Def("ma_ratio", 3.8, core.PNorm(2, 6))
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rsi_length := pol.DefInt("rsi_length", 14, core.PNorm(7, 21))
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rsi_overbought := pol.Def("rsi_overbought", 70, core.PNorm(60, 80))
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rsi_oversold := pol.Def("rsi_oversold", 30, core.PNorm(20, 40))
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fib_period := pol.DefInt("fib_period", 50, core.PNorm(20, 100))
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// 计算长期均线周期
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long_ma_length := int(float64(short_ma_length) * ma_ratio)
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// 计算预热数量，取所有指标中最大的周期
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warmup_num := int(math.Max(float64(long_ma_length), float64(fib_period)))
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return &strat.TradeStrat{
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WarmupNum: warmup_num,
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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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TimeFrames: "8h",
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OnStartUp: func(s *strat.StratJob) {
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// 初始化斐波那契回撤水平
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s.More = &FibRSIGoldenCross{
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FibHigh: math.NaN(),
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FibLow: math.NaN(),
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Fib38: math.NaN(),
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Fib50: math.NaN(),
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Fib61: math.NaN(),
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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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fib, _ := s.More.(*FibRSIGoldenCross)
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// 计算技术指标
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rsi := ta.RSI(e.Close, rsi_length)
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short_ma := ta.SMA(e.Close, short_ma_length)
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long_ma := ta.SMA(e.Close, long_ma_length)
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// 获取当前价格
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close_price := e.Close.Get(0)
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if math.IsNaN(close_price) {
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return
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}
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// 更新斐波那契回撤水平
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highest := ta.Highest(e.Close, fib_period).Get(0)
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lowest := ta.Lowest(e.Close, fib_period).Get(0)
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// 如果最高价或最低价发生变化，更新斐波那契回撤水平
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if !math.IsNaN(highest) && (math.IsNaN(fib.FibHigh) || highest != fib.FibHigh) {
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fib.FibHigh = highest
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}
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if !math.IsNaN(lowest) && (math.IsNaN(fib.FibLow) || lowest != fib.FibLow) {
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fib.FibLow = lowest
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}
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// 计算斐波那契回撤水平
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if !math.IsNaN(fib.FibHigh) && !math.IsNaN(fib.FibLow) {
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fib_range := fib.FibHigh - fib.FibLow
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fib.Fib38 = fib.FibHigh - fib_range*0.382
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fib.Fib50 = fib.FibHigh - fib_range*0.5
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fib.Fib61 = fib.FibHigh - fib_range*0.618
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}
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// 获取当前指标值
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rsi_value := rsi.Get(0)
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short_ma_value := short_ma.Get(0)
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long_ma_value := long_ma.Get(0)
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// 检查指标是否有效
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if math.IsNaN(rsi_value) || math.IsNaN(short_ma_value) || math.IsNaN(long_ma_value) ||
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math.IsNaN(fib.Fib50) {
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return
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}
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// 检测交叉信号 - 只计算一次交叉信号
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cross_signal := short_ma.Cross(long_ma)
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golden_cross := cross_signal == 1 // 1表示上穿
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death_cross := cross_signal == -1 // -1表示下穿
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// 检查当前持仓
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long_position := s.Position(1, "") > 0 // 1表示多头
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short_position := s.Position(-1, "") > 0 // -1表示空头
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// 多头入场条件：黄金交叉且价格在50%斐波那契水平之上且RSI未超买
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long_condition := golden_cross && close_price > fib.Fib50 && rsi_value < rsi_overbought
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// 空头入场条件：死亡交叉且价格在50%斐波那契水平之下且RSI未超卖
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short_condition := death_cross && close_price < fib.Fib50 && rsi_value > rsi_oversold
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// 执行交易
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if long_condition && !long_position {
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s.OpenOrder(&strat.EnterReq{
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Tag: "Buy",
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})
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}
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if short_condition && !short_position {
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s.OpenOrder(&strat.EnterReq{
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Tag: "Sell",
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Short: true,
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})
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}
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// 多头平仓条件：RSI超买
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if long_position && rsi_value > rsi_overbought {
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s.CloseOrders(&strat.ExitReq{
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Tag: "Buy",
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Dirt: core.OdDirtLong,
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})
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}
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// 空头平仓条件：RSI超卖
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if short_position && rsi_value < rsi_oversold {
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s.CloseOrders(&strat.ExitReq{
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Tag: "Sell",
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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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