145 lines
4.3 KiB
Go
145 lines
4.3 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/orm/ormo"
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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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// MartingaleState 存储马丁格尔策略的状态
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type MartingaleState struct {
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ContractSize float64 // 当前合约数量
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MartingaleCount int // 马丁格尔计数器
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LastTradeResult float64 // 上次交易结果
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}
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func J587(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调超参数
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fastLength := pol.DefInt("fastLength", 15, core.PNorm(5, 30))
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maRate := pol.Def("maRate", 2.0, core.PNorm(1.5, 4.0))
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maxMartingaleCount := pol.DefInt("maxMartingaleCount", 3, core.PNorm(1, 5))
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martingaleMultiplier := pol.Def("martingaleMultiplier", 2.0, core.PNorm(1.5, 3.0))
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// 计算慢线周期
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slowLength := int(float64(fastLength) * maRate)
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signalSmoothing := 9
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// 止盈止损比例
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longTakeProfit := 1.015 // 多头止盈1.5%
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longStopLoss := 0.99 // 多头止损1%
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shortTakeProfit := 1.01 // 空头止盈1%
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shortStopLoss := 0.99 // 空头止损1%
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return &strat.TradeStrat{
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WarmupNum: slowLength + signalSmoothing, // 确保有足够的数据计算MACD
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HedgeOff: true, // 单向持仓模式
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RunTimeFrames: []string{"3d"},
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OnStartUp: func(s *strat.StratJob) {
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// 初始化马丁格尔状态
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s.More = &MartingaleState{
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ContractSize: 0.02,
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MartingaleCount: 0,
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LastTradeResult: 0,
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}
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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.(*MartingaleState)
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// 计算MACD指标
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macdLine, signalLine := ta.MACD(e.Close, fastLength, slowLength, signalSmoothing)
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// 检测MACD交叉信号(只计算一次)
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macdCross := macdLine.Cross(signalLine)
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longCondition := macdCross == 1 // 上穿
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shortCondition := macdCross == -1 // 下穿
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// 获取当前价格
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currentPrice := e.Close.Get(0)
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if math.IsNaN(currentPrice) {
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return
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}
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// 多头信号
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if longCondition && s.Position(1, "") == 0 {
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// 计算止盈止损价格
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takeProfitPrice := currentPrice * longTakeProfit
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stopLossPrice := currentPrice * longStopLoss
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takeProfitVal := takeProfitPrice - currentPrice
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stopLossVal := currentPrice - stopLossPrice
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// 开多单
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s.OpenOrder(&strat.EnterReq{
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Tag: "Long",
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OrderType: core.OrderTypeMarket,
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Short: false,
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TakeProfitVal: takeProfitVal,
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StopLossVal: stopLossVal,
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TakeProfitTag: "long_take_profit",
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StopLossTag: "long_stop_loss",
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CostRate: state.ContractSize / 0.02, // 根据合约数量调整开仓金额
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})
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// 记录当前交易结果
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state.LastTradeResult = 0
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}
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// 空头信号
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if shortCondition && s.Position(-1, "") == 0 {
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// 计算止盈止损价格
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takeProfitPrice := currentPrice / shortTakeProfit
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stopLossPrice := currentPrice / shortStopLoss
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takeProfitVal := currentPrice - takeProfitPrice
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stopLossVal := stopLossPrice - currentPrice
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// 开空单
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s.OpenOrder(&strat.EnterReq{
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Tag: "Short",
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OrderType: core.OrderTypeMarket,
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Short: true,
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TakeProfitVal: takeProfitVal,
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StopLossVal: stopLossVal,
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TakeProfitTag: "short_take_profit",
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StopLossTag: "short_stop_loss",
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CostRate: state.ContractSize / 0.02, // 根据合约数量调整开仓金额
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})
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// 记录当前交易结果
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state.LastTradeResult = 0
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}
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},
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OnOrderChange: func(s *strat.StratJob, od *ormo.InOutOrder, chgType int) {
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state, _ := s.More.(*MartingaleState)
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// 当订单完全平仓时更新马丁格尔状态
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if chgType == strat.OdChgExitFill && od.Status == ormo.InOutStatusFullExit {
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// 获取当前交易结果
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currentProfit := od.ProfitRate
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if currentProfit < state.LastTradeResult {
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// 上次交易亏损
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if state.MartingaleCount < maxMartingaleCount {
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// 增加马丁格尔计数并加倍合约数量
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state.ContractSize *= martingaleMultiplier
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state.MartingaleCount++
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} else {
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// 达到最大马丁格尔次数,重置
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state.ContractSize = 0.02
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state.MartingaleCount = 0
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}
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} else {
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// 盈利或持平,重置马丁格尔状态
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state.ContractSize = 0.02
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state.MartingaleCount = 0
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}
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// 更新交易结果
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state.LastTradeResult = currentProfit
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}
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},
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}
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}
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