132 lines
4.1 KiB
Go
132 lines
4.1 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 J5763(pol *config.RunPolicyConfig) *strat.TradeStrat {
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keh := pol.DefInt("keh", 33, core.PNorm(5, 30))
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tenkanPeriod := pol.DefInt("tenkanPeriod", 23, core.PNorm(5, 20))
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kijunTenkanRatio := pol.Def("kijunTenkanRatio", 3.3, core.PNorm(2.0, 4.0))
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senkouBPeriod := pol.DefInt("senkouBPeriod", 75, core.PNorm(30, 100))
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displacement := pol.DefInt("displacement", 28, core.PNorm(15, 40))
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// 计算基准线周期
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kijunPeriod := int(float64(tenkanPeriod) * kijunTenkanRatio)
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// 计算预热期数量，考虑最长的周期和位移
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warmupNum := senkouBPeriod + displacement
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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Hull移动平均线
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// 当前周期HMA计算
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halfKeh := int(math.Round(float64(keh) / 2))
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n2ma := ta.WMA(e.Close, halfKeh).Mul(2)
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nma := ta.WMA(e.Close, keh)
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diff := n2ma.Sub(nma)
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sqn := int(math.Round(math.Sqrt(float64(keh))))
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n1 := ta.WMA(diff, sqn)
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// 前一周期HMA计算
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closeBack1 := e.Close.Back(1)
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n2ma1 := ta.WMA(closeBack1, halfKeh).Mul(2)
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nma1 := ta.WMA(closeBack1, keh)
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diff1 := n2ma1.Sub(nma1)
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sqn1 := int(math.Round(math.Sqrt(float64(keh))))
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n2 := ta.WMA(diff1, sqn1)
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// 计算一目均衡图组件
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// 转换线(Tenkan-sen)
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tenkanSenHigh := ta.Highest(e.High, tenkanPeriod)
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tenkanSenLow := ta.Lowest(e.Low, tenkanPeriod)
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tenkanSen := tenkanSenHigh.Add(tenkanSenLow).Div(2)
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// 基准线(Kijun-sen)
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kijunSenHigh := ta.Highest(e.High, kijunPeriod)
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kijunSenLow := ta.Lowest(e.Low, kijunPeriod)
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kijunSen := kijunSenHigh.Add(kijunSenLow).Div(2)
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// 先行带A(Senkou Span A)
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senkouSpanA := tenkanSen.Add(kijunSen).Div(2)
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// 先行带B(Senkou Span B)
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senkouSpanBHigh := ta.Highest(e.High, senkouBPeriod)
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senkouSpanBLow := ta.Lowest(e.Low, senkouBPeriod)
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senkouSpanB := senkouSpanBHigh.Add(senkouSpanBLow).Div(2)
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// 先行带高点和低点(位移后)
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senkouSpanABack := senkouSpanA.Back(displacement - 1)
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senkouSpanBBack := senkouSpanB.Back(displacement - 1)
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senkouSpanH := senkouSpanABack.Max(senkouSpanBBack)
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senkouSpanL := senkouSpanABack.Min(senkouSpanBBack)
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// 滞后线(Chikou Span)
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chikouSpan := e.Close.Back(displacement - 1)
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// 获取当前值
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n1Val := n1.Get(0)
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n2Val := n2.Get(0)
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closeVal := e.Close.Get(0)
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tenkanSenVal := tenkanSen.Get(0)
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kijunSenVal := kijunSen.Get(0)
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senkouSpanHVal := senkouSpanH.Get(0)
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senkouSpanLVal := senkouSpanL.Get(0)
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chikouSpanVal := chikouSpan.Get(0)
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// 多头入场条件
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longCondition := n1Val > n2Val && closeVal > n2Val && closeVal > chikouSpanVal &&
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closeVal > senkouSpanHVal && (tenkanSenVal >= kijunSenVal || closeVal > kijunSenVal)
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// 空头入场条件
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shortCondition := n1Val < n2Val && closeVal < n2Val && closeVal < chikouSpanVal &&
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closeVal < senkouSpanLVal && (tenkanSenVal <= kijunSenVal || closeVal < kijunSenVal)
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// 多头平仓条件
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closeLongCondition := n1Val < n2Val && (closeVal < n2Val || tenkanSenVal < kijunSenVal ||
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closeVal < tenkanSenVal || closeVal < kijunSenVal || closeVal < senkouSpanHVal || closeVal < chikouSpanVal)
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// 空头平仓条件
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closeShortCondition := n1Val > n2Val && (closeVal > n2Val || tenkanSenVal > kijunSenVal ||
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closeVal > tenkanSenVal || closeVal > kijunSenVal || closeVal > senkouSpanLVal || closeVal > chikouSpanVal)
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// 执行交易逻辑
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if longCondition && len(s.LongOrders) == 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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if shortCondition && len(s.ShortOrders) == 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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if closeLongCondition && len(s.LongOrders) > 0 {
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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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if closeShortCondition && len(s.ShortOrders) > 0 {
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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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