110 lines
3.4 KiB
Go
110 lines
3.4 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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"math"
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)
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func J3955(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调超参数
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macdFastPeriod := pol.DefInt("macdFastPeriod", 14, core.PNorm(5, 20))
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macdSlowRate := pol.Def("macdSlowRate", 2, core.PNorm(1.5, 4))
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macdSignalPeriod := pol.DefInt("macdSignalPeriod", 9, core.PNorm(5, 15))
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vwmaFastPeriod := pol.DefInt("vwmaFastPeriod", 20, core.PNorm(10, 40))
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leverage := pol.DefInt("leverage", 1, core.PNorm(1, 20))
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// 计算MACD慢线周期
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macdSlowPeriod := int(float64(macdFastPeriod) * macdSlowRate)
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return &strat.TradeStrat{
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WarmupNum: macdSlowPeriod + macdSignalPeriod, // 确保有足够的数据计算指标
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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{"8h"},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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// 计算MACD指标
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macdLine, signalLine := ta.MACD(e.Close, macdFastPeriod, macdSlowPeriod, macdSignalPeriod)
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histogram := macdLine.Sub(signalLine) // 计算MACD柱状图
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// 计算VWMA指标
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vwma20 := ta.VWMA(e.Close, e.Volume, vwmaFastPeriod) // 使用VWMA替代WMA，考虑成交量因素
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vwma50 := ta.VWMA(e.Close, e.Volume, 50) // 使用VWMA替代WMA，考虑成交量因素
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// 获取当前指标值
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macdLineVal := macdLine.Get(0)
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signalLineVal := signalLine.Get(0)
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histogramVal := histogram.Get(0)
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vwma20Val := vwma20.Get(0)
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vwma50Val := vwma50.Get(0)
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// 检查数据有效性
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if math.IsNaN(macdLineVal) || math.IsNaN(signalLineVal) || math.IsNaN(histogramVal) ||
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math.IsNaN(vwma20Val) || math.IsNaN(vwma50Val) {
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return
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}
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// 生成MACD信号
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macdLongEntrySignal := histogramVal > 0
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macdShortEntrySignal := histogramVal < 0
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// 生成VWMA信号
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vwmaLongEntrySignal := vwma20Val > vwma50Val
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vwmaShortEntrySignal := vwma20Val < vwma50Val
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// 生成组合交易信号
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longEntry := macdLongEntrySignal && vwmaLongEntrySignal
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shortEntry := macdShortEntrySignal && vwmaShortEntrySignal
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// 检测MACD交叉信号作为出场条件（优化为单次调用）
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cross := macdLine.Cross(signalLine)
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longExit := cross == -1 // MACD线下穿信号线
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shortExit := cross == 1 // MACD线上穿信号线
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// 执行交易逻辑
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if longEntry && len(s.LongOrders) == 0 {
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// 计算杠杆化后的合约数量
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costRate := float64(leverage)
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s.OpenOrder(&strat.EnterReq{
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Tag: "Long",
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Short: false,
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CostRate: costRate,
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Leverage: float64(leverage),
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OrderType: core.OrderTypeMarket,
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})
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}
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if longExit && len(s.LongOrders) > 0 {
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s.CloseOrders(&strat.ExitReq{
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Tag: "LongExit",
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Dirt: core.OdDirtLong,
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})
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}
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if shortEntry && len(s.ShortOrders) == 0 {
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// 计算杠杆化后的合约数量
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costRate := float64(leverage)
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s.OpenOrder(&strat.EnterReq{
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Tag: "Short",
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Short: true,
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CostRate: costRate,
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Leverage: float64(leverage),
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OrderType: core.OrderTypeMarket,
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})
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}
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if shortExit && len(s.ShortOrders) > 0 {
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s.CloseOrders(&strat.ExitReq{
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Tag: "ShortExit",
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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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