112 lines
3.2 KiB
Go
112 lines
3.2 KiB
Go
// 修复后的完整策略代码
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// 请勿修改package包名和任意函数名
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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/orm/ormo"
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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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// MACD动态趋势量化交易策略
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func J592(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调超参数
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fastPeriod := pol.DefInt("fastPeriod", 19, core.PNorm(5, 20))
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slowRate := pol.Def("slowRate", 2.9, core.PNorm(1.5, 4))
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signalPeriod := pol.DefInt("signalPeriod", 10, core.PNorm(5, 15))
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// 计算慢线周期
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slowPeriod := int(float64(fastPeriod) * slowRate)
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return &strat.TradeStrat{
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WarmupNum: 100, // 预热K线数量
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EachMaxLong: 1, // 最多开1单做多
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EachMaxShort: 1, // 最多开1单做空
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DrawDownExit: true, // 启用回撤止盈
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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MACD指标
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// 使用initType=1，符合中国主流使用习惯
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macdLine, signalLine := ta.MACDBy(e.Close, fastPeriod, slowPeriod, signalPeriod, 1)
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// 检测MACD线与信号线的交叉
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// 返回值：1表示上穿(金叉)，-1表示下穿(死叉)，0表示重合或未知
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cross := macdLine.Cross(signalLine)
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// 计算ATR用于止损止盈
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atr := ta.ATR(e.High, e.Low, e.Close, 14)
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atrVal := atr.Get(0)
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// 获取当前价格
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// 获取当前订单数量
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longOrders := s.LongOrders
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shortOrders := s.ShortOrders
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// 金叉信号：MACD线上穿信号线，且当前没有做多订单
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if cross == 1 && len(longOrders) == 0 {
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// 如果有空单，先平空单
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if len(shortOrders) > 0 {
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s.CloseOrders(&strat.ExitReq{
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Tag: "close_short",
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Dirt: core.OdDirtShort,
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OrderType: core.OrderTypeMarket,
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})
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}
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// 开多单
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s.OpenOrder(&strat.EnterReq{
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Tag: "long_cross",
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Short: false,
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OrderType: core.OrderTypeMarket,
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StopLossVal: atrVal * 2, // 2倍ATR止损
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TakeProfitVal: atrVal * 4, // 4倍ATR止盈
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StopLossTag: "atr_stop_loss",
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TakeProfitTag: "atr_take_profit",
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})
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}
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// 死叉信号：MACD线下穿信号线，且当前没有做空订单
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if cross == -1 && len(shortOrders) == 0 {
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// 如果有多单，先平多单
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if len(longOrders) > 0 {
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s.CloseOrders(&strat.ExitReq{
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Tag: "close_long",
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Dirt: core.OdDirtLong,
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OrderType: core.OrderTypeMarket,
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})
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}
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// 开空单
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s.OpenOrder(&strat.EnterReq{
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Tag: "short_cross",
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Short: true,
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OrderType: core.OrderTypeMarket,
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StopLossVal: atrVal * 2, // 2倍ATR止损
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TakeProfitVal: atrVal * 4, // 4倍ATR止盈
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StopLossTag: "atr_stop_loss",
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TakeProfitTag: "atr_take_profit",
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})
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}
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},
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// 回撤止盈计算函数
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GetDrawDownExitRate: func(s *strat.StratJob, od *ormo.InOutOrder, maxChg float64) float64 {
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// 最大盈利超过5%后，回撤30%止盈
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if maxChg > 0.05 {
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return 0.3
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}
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// 最大盈利超过2%后，回撤50%止盈
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if maxChg > 0.02 {
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return 0.5
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}
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// 其他情况不设置回撤止盈
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return 0
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},
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}
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}
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