banstagy/llmjob/4267.go

package llmjob

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

func J4267(pol *config.RunPolicyConfig) *strat.TradeStrat {
	// 定义可调超参数
	shortMaLength := pol.DefInt("shortMaLength", 10, core.PNorm(5, 20))
	maRate := pol.Def("maRate", 1.8, core.PNorm(1.5, 4))
	rsiOverbought := pol.DefInt("rsiOverbought", 75, core.PNorm(60, 85))
	rsiOversold := pol.DefInt("rsiOversold", 25, core.PNorm(15, 40))
	bbMultiplier := pol.Def("bbMultiplier", 2.0, core.PNorm(1.5, 3.0))

	// 计算长期均线周期
	longMaLength := int(float64(shortMaLength) * maRate)

	// 确定预热数量，取所有指标中最大的周期
	warmupNum := longMaLength
	if warmupNum < 20 {
		warmupNum = 20
	}
	if warmupNum < 26 {
		warmupNum = 26
	}

	return &strat.TradeStrat{
		Name:          "Multi-Technical-Indicator-Synergistic-Trading-System",
		WarmupNum:     warmupNum,
		HedgeOff:      true, // 单向持仓模式
		EachMaxLong:   1,    // 最多一个做多订单
		EachMaxShort:  1,    // 最多一个做空订单
		RunTimeFrames: []string{"4h"},
		OnBar: func(s *strat.StratJob) {
			e := s.Env

			// 计算移动平均线
			shortMa := ta.SMA(e.Close, shortMaLength)
			longMa := ta.SMA(e.Close, longMaLength)

			// 计算RSI
			rsi := ta.RSI(e.Close, 14)

			// 计算MACD
			macdLine, signalLine := ta.MACD(e.Close, 12, 26, 9)
			macdHist := macdLine.Sub(signalLine)

			// 计算布林带
			bbUpper, _, bbLower := ta.BBANDS(e.Close, 20, bbMultiplier, bbMultiplier)

			// 获取当前价格
			closePrice := e.Close.Get(0)
			if math.IsNaN(closePrice) {
				return
			}

			// 检测主要交易信号：MA交叉
			maCross := shortMa.Cross(longMa)
			buySignal := maCross == 1   // 短期均线上穿长期均线
			sellSignal := maCross == -1 // 短期均线下穿长期均线

			// 检测辅助交易信号
			rsiVal := rsi.Get(0)
			macdHistVal := macdHist.Get(0)
			bbLowerVal := bbLower.Get(0)
			bbUpperVal := bbUpper.Get(0)

			additionalBuySignal := !math.IsNaN(rsiVal) && !math.IsNaN(macdHistVal) && !math.IsNaN(bbLowerVal) &&
				rsiVal < float64(rsiOversold) && macdHistVal > 0 && closePrice < bbLowerVal

			additionalSellSignal := !math.IsNaN(rsiVal) && !math.IsNaN(macdHistVal) && !math.IsNaN(bbUpperVal) &&
				rsiVal > float64(rsiOverbought) && macdHistVal < 0 && closePrice > bbUpperVal

			// 执行交易策略
			if buySignal {
				// 平掉所有做空订单
				if len(s.ShortOrders) > 0 {
					s.CloseOrders(&strat.ExitReq{
						Tag:   "MA_Sell_Close",
						Dirt:  core.OdDirtShort,
						Force: true,
					})
				}

				// 开做多订单
				if len(s.LongOrders) == 0 {
					s.OpenOrder(&strat.EnterReq{
						Tag: "MA_Buy",
					})
				}
			} else if sellSignal {
				// 平掉所有做多订单
				if len(s.LongOrders) > 0 {
					s.CloseOrders(&strat.ExitReq{
						Tag:   "MA_Buy_Close",
						Dirt:  core.OdDirtLong,
						Force: true,
					})
				}

				// 平掉所有做空订单
				if len(s.ShortOrders) > 0 {
					s.CloseOrders(&strat.ExitReq{
						Tag:   "MA_Sell_Close",
						Dirt:  core.OdDirtShort,
						Force: true,
					})
				}

				// 开做空订单
				if len(s.ShortOrders) == 0 {
					s.OpenOrder(&strat.EnterReq{
						Tag:   "MA_Sell",
						Short: true,
					})
				}
			}

			// 辅助信号处理（仅在主要信号未触发时执行）
			if additionalBuySignal && !buySignal && len(s.LongOrders) == 0 {
				// 平掉所有做空订单
				if len(s.ShortOrders) > 0 {
					s.CloseOrders(&strat.ExitReq{
						Tag:   "Aux_Sell_Close",
						Dirt:  core.OdDirtShort,
						Force: true,
					})
				}

				// 开做多订单
				s.OpenOrder(&strat.EnterReq{
					Tag: "Aux_Buy",
				})
			} else if additionalSellSignal && !sellSignal && len(s.ShortOrders) == 0 {
				// 平掉所有做多订单
				if len(s.LongOrders) > 0 {
					s.CloseOrders(&strat.ExitReq{
						Tag:   "Aux_Buy_Close",
						Dirt:  core.OdDirtLong,
						Force: true,
					})
				}

				// 开做空订单
				s.OpenOrder(&strat.EnterReq{
					Tag:   "Aux_Sell",
					Short: true,
				})
			}
		},
	}
}