269 lines
8.7 KiB
Go
269 lines
8.7 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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// State4513 存储每个品种的策略状态
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type State4513 struct {
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dir int // 当前趋势方向，1=上升趋势，-1=下降趋势
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longStop float64 // 多头止损价格
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shortStop float64 // 空头止损价格
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longStopPrev float64 // 前一个多头止损价格
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shortStopPrev float64 // 前一个空头止损价格
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trailingStop float64 // 当前跟踪止损价格
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}
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// Demo 创建并返回策略实例
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func J4513(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调超参数
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bbLength := pol.DefInt("BBLength", 100, core.PNorm(20, 200))
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stdDev := pol.Def("StdDev", 10, core.PNorm(1, 20))
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useMovingAverage := pol.Def("useMovingAverage", 1, core.PUniform(0, 1)) // 1=true, 0=false
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maType := pol.DefInt("maType", 3, core.PUniform(0, 5)) // 0=ema, 1=sma, 2=hma, 3=rma, 4=vwma, 5=wma
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lookbackPeriod := pol.DefInt("lookbackPeriod", 22, core.PNorm(5, 50))
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atrMaType := pol.DefInt("atrMaType", 2, core.PUniform(0, 5)) // 0=ema, 1=sma, 2=hma, 3=rma, 4=vwma, 5=wma
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atrLength := pol.DefInt("atrLength", 10, core.PNorm(5, 30))
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atrMult := pol.Def("atrMult", 4.2, core.PNorm(1, 10))
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wicks := pol.Def("wicks", 0, core.PUniform(0, 1)) // 1=true, 0=false
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considerYearlyHighLow := pol.Def("considerYearlyHighLow", 0, core.PUniform(0, 1)) // 1=true, 0=false
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considerNewLongTermHighLows := pol.Def("considerNewLongTermHighLows", 0, core.PUniform(0, 1)) // 1=true, 0=false
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tradeDirection := pol.DefInt("tradeDirection", 0, core.PUniform(0, 2)) // 0=all, 1=long, 2=short
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// 固定参数
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shortHighLowPeriod := 100
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longHighLowPeriod := 200
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return &strat.TradeStrat{
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Name: "Bollinger Percentage Bands",
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WarmupNum: int(math.Max(float64(bbLength), float64(longHighLowPeriod))) + 10,
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HedgeOff: true, // 单向持仓
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EachMaxLong: 1,
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EachMaxShort: 1,
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RunTimeFrames: []string{"8h"},
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OnStartUp: func(s *strat.StratJob) {
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// 初始化策略状态
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state := &State4513{
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dir: 1,
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longStop: 0,
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shortStop: 0,
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}
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s.More = state
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},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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state, _ := s.More.(*State4513)
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// 1. 计算布林带指标
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// 修复错误1：布林带计算参数错误
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// 原始策略使用bb(close, BBLength, StdDev)，其中StdDev是标准差倍数
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// 修改为使用正确的参数格式，提供上下轨的标准差倍数
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upperClose, _, lowerClose := ta.BBANDS(e.Close, bbLength, stdDev, stdDev)
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upperHigh, _, lowerHigh := ta.BBANDS(e.High, bbLength, stdDev, stdDev)
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upperLow, _, lowerLow := ta.BBANDS(e.Low, bbLength, stdDev, stdDev)
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// 2. 计算布林带百分比
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percentBClose := e.Close.Sub(lowerClose).Div(upperClose.Sub(lowerClose)).Mul(100)
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percentBHigh := e.High.Sub(lowerHigh).Div(upperHigh.Sub(lowerHigh)).Mul(100)
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percentBLow := e.Low.Sub(lowerLow).Div(upperLow.Sub(lowerLow)).Mul(100)
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// 3. 应用移动平均线平滑
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var newClose, newHigh, newLow *ta.Series
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if useMovingAverage > 0.5 {
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percentBMAClose := getMovingAverage(percentBClose, maType, lookbackPeriod)
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percentBMAHigh := getMovingAverage(percentBHigh, maType, lookbackPeriod)
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percentBMALow := getMovingAverage(percentBLow, maType, lookbackPeriod)
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newClose = percentBMAClose
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newHigh = percentBMAHigh
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newLow = percentBMALow
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} else {
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newClose = percentBClose
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newHigh = percentBHigh
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newLow = percentBLow
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}
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// 4. 计算ATR和止损
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closePrev := newClose.Back(1)
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highPrev := newHigh.Back(1)
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lowPrev := newLow.Back(1)
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trueRange := newHigh.Max(closePrev).Sub(newLow.Min(closePrev))
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averageTrueRange := getMovingAverage(trueRange, atrMaType, atrLength)
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atr := averageTrueRange.Mul(atrMult)
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longStopVal := newClose.Sub(atr)
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shortStopVal := newClose.Add(atr)
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// 修复错误2：止损更新逻辑不完整
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// 原始策略使用nz(longStop[1], longStop)处理前一个止损值不存在的情况
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// 修改为正确处理初始状态，并确保止损只能向有利方向移动
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if state.longStopPrev == 0 {
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state.longStopPrev = longStopVal.Get(0)
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}
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if state.shortStopPrev == 0 {
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state.shortStopPrev = shortStopVal.Get(0)
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}
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// 修复错误3：使用Series运算创建常量而不是ta.Const
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if wicks > 0.5 {
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if lowPrev.Get(0) > state.longStopPrev {
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// 使用Max确保止损只能向有利方向移动
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longStopVal = longStopVal.Max(newClose.Sub(newClose).Add(state.longStopPrev))
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}
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} else {
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if closePrev.Get(0) > state.longStopPrev {
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longStopVal = longStopVal.Max(newClose.Sub(newClose).Add(state.longStopPrev))
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}
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}
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if wicks > 0.5 {
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if highPrev.Get(0) < state.shortStopPrev {
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shortStopVal = shortStopVal.Min(newClose.Sub(newClose).Add(state.shortStopPrev))
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}
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} else {
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if closePrev.Get(0) < state.shortStopPrev {
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shortStopVal = shortStopVal.Min(newClose.Sub(newClose).Add(state.shortStopPrev))
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}
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}
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// 5. 判断趋势方向
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// 修复错误4：趋势方向判断可能存在边界条件处理错误
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// 原始策略使用三元运算符，逻辑清晰且紧凑
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// 修改为更接近原始策略的实现
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if state.dir == -1 {
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if wicks > 0.5 {
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if newHigh.Get(0) > state.shortStopPrev {
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state.dir = 1
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}
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} else {
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if newClose.Get(0) > state.shortStopPrev {
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state.dir = 1
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}
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}
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} else if state.dir == 1 {
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if wicks > 0.5 {
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if newLow.Get(0) < state.longStopPrev {
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state.dir = -1
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}
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} else {
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if newClose.Get(0) < state.longStopPrev {
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state.dir = -1
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}
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}
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}
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if state.dir == 1 {
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state.trailingStop = longStopVal.Get(0)
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} else {
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state.trailingStop = shortStopVal.Get(0)
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}
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// 6. 判断辅助条件
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yearlyHighCondition, yearlyLowCondition := getYearlyHighLowCondition(e, considerYearlyHighLow > 0.5)
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newHighS, newLowS := calculateNewHighLows(e, shortHighLowPeriod, longHighLowPeriod, considerNewLongTermHighLows > 0.5)
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// 7. 生成交易信号
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buyCondition := state.dir == 1 && yearlyHighCondition && newHighS
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exitBuyCondition := state.dir == -1
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sellCondition := state.dir == -1 && yearlyLowCondition && newLowS
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exitSellCondition := state.dir == 1
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// 8. 执行交易
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if buyCondition && (tradeDirection == 0 || tradeDirection == 1) {
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s.OpenOrder(&strat.EnterReq{
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Tag: "Buy",
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Short: false,
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})
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}
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if exitBuyCondition && len(s.LongOrders) > 0 {
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s.CloseOrders(&strat.ExitReq{
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Tag: "ExitBuy",
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Dirt: core.OdDirtLong,
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})
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}
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if sellCondition && (tradeDirection == 0 || tradeDirection == 2) {
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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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if exitSellCondition && len(s.ShortOrders) > 0 {
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s.CloseOrders(&strat.ExitReq{
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Tag: "ExitSell",
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Dirt: core.OdDirtShort,
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})
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}
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// 更新状态
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state.longStop = longStopVal.Get(0)
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state.shortStop = shortStopVal.Get(0)
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state.longStopPrev = state.longStop
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state.shortStopPrev = state.shortStop
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},
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}
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}
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// getMovingAverage 根据类型获取移动平均线
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func getMovingAverage(source *ta.Series, maType int, length int) *ta.Series {
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switch maType {
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case 0: // ema
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return ta.EMA(source, length)
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case 1: // sma
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return ta.SMA(source, length)
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case 2: // hma
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return ta.HMA(source, length)
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case 3: // rma
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return ta.RMA(source, length)
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case 4: // vwma - 在Banbot中可能没有直接对应，使用SMA代替
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return ta.SMA(source, length)
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case 5: // wma
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return ta.WMA(source, length)
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default:
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return ta.SMA(source, length)
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}
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}
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// calculateNewHighLows 计算新的高低点条件
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func calculateNewHighLows(e *ta.BarEnv, shortPeriod, longPeriod int, consider bool) (bool, bool) {
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shortHigh := ta.Highest(e.High, shortPeriod)
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longHigh := ta.Highest(e.High, longPeriod)
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shortLow := ta.Lowest(e.Low, shortPeriod)
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longLow := ta.Lowest(e.Low, longPeriod)
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newHigh := true
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newLow := true
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if consider {
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newHigh = math.Abs(shortHigh.Get(0)-longHigh.Get(0)) < 1e-10
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newLow = math.Abs(shortLow.Get(0)-longLow.Get(0)) < 1e-10
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}
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return newHigh, newLow
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}
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// getYearlyHighLowCondition 获取年度高低点条件
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func getYearlyHighLowCondition(e *ta.BarEnv, consider bool) (bool, bool) {
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if !consider {
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return true, true
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}
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// 在Banbot中，我们无法直接获取年度数据，所以简化处理
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// 使用较长期的高低点来近似年度高低点
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yearlyHigh := ta.Highest(e.High, 365)
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yearlyLow := ta.Lowest(e.Low, 365)
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yearlyHighCondition := e.Close.Get(0) > yearlyHigh.Get(0)
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yearlyLowCondition := e.Close.Get(0) < yearlyLow.Get(0)
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return yearlyHighCondition, yearlyLowCondition
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}
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