95 lines
2.4 KiB
Go
95 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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"math"
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)
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func J3956(pol *config.RunPolicyConfig) *strat.TradeStrat {
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fastLength := pol.DefInt("fastLength", 9, core.PNorm(5, 20))
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slowMaRate := pol.Def("slowMaRate", 2.17, core.PNorm(1.5, 4))
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signalLength := pol.DefInt("signalLength", 20, core.PNorm(9, 30))
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entryLevel := pol.Def("entryLevel", 0, core.PNorm(-5, 5))
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longExitLevel := pol.Def("longExitLevel", 11, core.PNorm(5, 20))
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shortExitLevel := pol.Def("shortExitLevel", -9, core.PNorm(-20, -5))
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// 计算慢速EMA周期
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slowLength := int(float64(fastLength) * slowMaRate)
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// 确定预热数量，取所有参数中的最大值
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warmupNum := fastLength
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if slowLength > warmupNum {
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warmupNum = slowLength
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}
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if signalLength > warmupNum {
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warmupNum = signalLength
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}
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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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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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fastEma := ta.EMA(e.Close, fastLength)
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slowEma := ta.EMA(e.Close, slowLength)
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macd := fastEma.Sub(slowEma)
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signal := ta.EMA(macd, signalLength)
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hist := macd.Sub(signal)
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// 获取当前值
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histVal := hist.Get(0)
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if math.IsNaN(histVal) {
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return
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}
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// 检查交叉信号
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entryCross := hist.Cross(entryLevel)
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longEntry := entryCross == 1 // 上穿入场水平线
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shortEntry := entryCross == -1 // 下穿入场水平线
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longExit := hist.Cross(longExitLevel) == 1 // 上穿多头出场水平线
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shortExit := hist.Cross(shortExitLevel) == -1 // 下穿空头出场水平线
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// 获取当前持仓状态
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longPos := s.Position(core.OdDirtLong, "")
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shortPos := s.Position(core.OdDirtShort, "")
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// 多头入场
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if longEntry && longPos == 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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// 空头入场
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if shortEntry && shortPos == 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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// 多头出场
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if longPos > 0 && longExit {
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s.CloseOrders(&strat.ExitReq{
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Tag: "Long Exit",
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Dirt: core.OdDirtLong,
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})
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}
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// 空头出场
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if shortPos < 0 && shortExit {
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s.CloseOrders(&strat.ExitReq{
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Tag: "Short Exit",
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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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