129 lines
3.7 KiB
Go
129 lines
3.7 KiB
Go
// 修复后的banbot完整策略代码
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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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// 定义一个结构体来存储策略需要的变量
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type StrategyData struct {
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atrValue float64
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}
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func J4034(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调参数
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fastLength := pol.DefInt("fastLength", 12, core.PNorm(5, 20))
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emaRate := pol.Def("emaRate", 2.33, core.PNorm(1.5, 5.0))
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rsiLength := pol.DefInt("rsiLength", 14, core.PNorm(7, 30))
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rsiOverbought := pol.DefInt("rsiOverbought", 70, core.PNorm(60, 85))
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rsiOversold := pol.DefInt("rsiOversold", 30, core.PNorm(15, 40))
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volLength := pol.DefInt("volLength", 20, core.PNorm(10, 40))
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atrLength := pol.DefInt("atrLength", 14, core.PNorm(7, 30))
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atrMultiplierSL := pol.Def("atrMultiplierSL", 1.8, core.PNorm(1.0, 3.0))
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atrMultiplierTP := pol.Def("atrMultiplierTP", 2.5, core.PNorm(1.5, 5.0))
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// 计算慢速EMA周期
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slowLength := int(float64(fastLength) * emaRate)
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// 确定预热数量，取所有指标中最大的周期
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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 rsiLength > warmupNum {
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warmupNum = rsiLength
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}
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if volLength > warmupNum {
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warmupNum = volLength
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}
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if atrLength > warmupNum {
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warmupNum = atrLength
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}
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// 额外增加1个K线用于突破确认
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warmupNum += 1
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return &strat.TradeStrat{
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WarmupNum: warmupNum,
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EachMaxLong: 1, // 最多同时持有一个多头订单
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EachMaxShort: 1, // 最多同时持有一个空头订单
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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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// 初始化策略数据
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s.More = &StrategyData{atrValue: 0}
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},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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// 计算技术指标
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fastEMA := ta.EMA(e.Close, fastLength)
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slowEMA := ta.EMA(e.Close, slowLength)
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rsiValue := ta.RSI(e.Close, rsiLength)
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volMA := ta.SMA(e.Volume, volLength)
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atr := ta.ATR(e.High, e.Low, e.Close, atrLength)
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// 获取当前值
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closePrice := e.Close.Get(0)
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highPrev := e.High.Get(1)
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lowPrev := e.Low.Get(1)
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volume := e.Volume.Get(0)
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volMAValue := volMA.Get(0)
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rsi := rsiValue.Get(0)
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atrValue := atr.Get(0)
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maCross := fastEMA.Cross(slowEMA)
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// 检查数据有效性
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if math.IsNaN(closePrice) || math.IsNaN(highPrev) || math.IsNaN(lowPrev) ||
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math.IsNaN(volume) || math.IsNaN(volMAValue) || math.IsNaN(rsi) || math.IsNaN(atrValue) {
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return
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}
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// 存储ATR值以便在跟踪止损中使用
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data, _ := s.More.(*StrategyData)
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data.atrValue = atrValue
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// K线突破条件
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longCandleBreak := closePrice > highPrev
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shortCandleBreak := closePrice < lowPrev
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// 入场条件
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longCondition := maCross == 1 && rsi < float64(rsiOverbought) && volume > volMAValue && longCandleBreak
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shortCondition := maCross == -1 && rsi > float64(rsiOversold) && volume > volMAValue && shortCandleBreak
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// 执行交易
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if longCondition && len(s.LongOrders) == 0 {
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// 计算具体止损止盈价格
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longStop := closePrice - atrMultiplierSL*atrValue
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longTP := closePrice + atrMultiplierTP*atrValue
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s.OpenOrder(&strat.EnterReq{
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Tag: "Long",
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Short: false,
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OrderType: core.OrderTypeMarket,
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StopLoss: longStop,
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TakeProfit: longTP,
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})
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}
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if shortCondition && len(s.ShortOrders) == 0 {
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// 计算具体止损止盈价格
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shortStop := closePrice + atrMultiplierSL*atrValue
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shortTP := closePrice - atrMultiplierTP*atrValue
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s.OpenOrder(&strat.EnterReq{
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Tag: "Short",
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Short: true,
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OrderType: core.OrderTypeMarket,
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StopLoss: shortStop,
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TakeProfit: shortTP,
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})
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}
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},
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}
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}
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