91 lines
2.3 KiB
Go
91 lines
2.3 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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)
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func J4994(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调参数
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rsiLength := pol.DefInt("RSIlength", 14, core.PNorm(5, 50))
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rsiTop := pol.Def("RSItop", 70.0, core.PNorm(69, 90))
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rsiBottom := pol.Def("RSIbottom", 35.0, core.PNorm(20, 40))
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rvolLenRatio := pol.Def("rvolLenRatio", 1.0, core.PNorm(0.5, 3.0))
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rvolThreshold := pol.Def("RVOLthreshold", 1.5, core.PNorm(1.2, 3.0))
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// 计算实际成交量周期
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rvolLen := int(float64(rsiLength) * rvolLenRatio)
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return &strat.TradeStrat{
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Name: "RelativeVolumeStrategy",
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WarmupNum: rsiLength + rvolLen + 1,
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HedgeOff: true, // 单向持仓模式
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EachMaxLong: 1, // 最多1个多头仓位
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EachMaxShort: 1, // 最多1个空头仓位
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RunTimeFrames: []string{"4h"},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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volume := e.Volume.Get(0)
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// 计算RSI指标
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rsiVal := ta.RSI(e.Close, rsiLength)
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currentRSI := rsiVal.Get(0)
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// 计算相对成交量
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avgVolume := ta.SMA(e.Volume, rvolLen)
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rvolVal := volume / avgVolume.Get(0)
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// 检测RSI交叉信号
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rsiCrossTop := rsiVal.Cross(rsiTop)
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rsiCrossBottom := rsiVal.Cross(rsiBottom)
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// 多头条件：RSI上穿阈值且成交量放大
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longCondition := rsiCrossTop == 1 && rvolVal > rvolThreshold
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// 空头条件：RSI下穿阈值且成交量放大
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shortCondition := rsiCrossBottom == -1 && rvolVal > rvolThreshold
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// 平多条件：RSI回落
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closeLong := currentRSI < 69
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// 平空条件：RSI反弹
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closeShort := currentRSI > 35
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// 执行交易逻辑
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hasLong := len(s.LongOrders) > 0
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hasShort := len(s.ShortOrders) > 0
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// 多头开仓
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if longCondition && !hasLong {
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s.OpenOrder(&strat.EnterReq{
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Tag: "Long",
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Short: false,
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})
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}
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// 多头平仓
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if closeLong && hasLong {
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s.CloseOrders(&strat.ExitReq{
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Tag: "CloseLong",
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Dirt: core.OdDirtLong,
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})
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}
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// 空头开仓
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if shortCondition && !hasShort {
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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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// 空头平仓
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if closeShort && hasShort {
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s.CloseOrders(&strat.ExitReq{
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Tag: "CloseShort",
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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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