97 lines
2.9 KiB
Go
97 lines
2.9 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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)
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type NinjaState struct {
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longEntryBar int64
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shortEntryBar int64
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}
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func J7050(pol *config.RunPolicyConfig) *strat.TradeStrat {
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lookbackPeriods := pol.DefInt("lookbackPeriods", 4, core.PUniform(2, 8))
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entryOffsetRatio := pol.Def("entryOffsetRatio", 0.85, core.PUniform(0.2, 0.9))
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barsToHold := pol.DefInt("barsToHold", 0, core.PUniform(0, 5))
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return &strat.TradeStrat{
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WarmupNum: lookbackPeriods + 1,
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HedgeOff: true,
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TimeFrames: "4h",
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OnStartUp: func(s *strat.StratJob) {
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s.More = &NinjaState{
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longEntryBar: -1,
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shortEntryBar: -1,
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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.(*NinjaState)
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currentBar := e.TimeStop / e.TFMSecs
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// 修复：在K线开始时，首先检查是否需要平掉上一根K线建的仓位（对应原始策略中的 K 线收盘平仓）
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if barsToHold == 0 && s.OrderNum > 0 {
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s.CloseOrders(&strat.ExitReq{Tag: "close_at_bar_close"})
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}
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// 获取历史K线数据
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low1 := e.Low.Get(1)
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low2 := e.Low.Get(2)
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low3 := e.Low.Get(3)
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high1 := e.High.Get(1)
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high2 := e.High.Get(2)
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high3 := e.High.Get(3)
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c := e.Close.Get(0)
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// 优化：缓存重复计算
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range1 := high1 - low1
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// 计算做多条件：连续3根K线最低价递减且当前收盘价 <= low[1]
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longCondition := low1 > low2 && low2 > low3 && c <= low1
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if longCondition && len(s.LongOrders) == 0 {
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// 计算止损触发价：low[1] + (high[1]-low[1]) * entryOffsetRatio
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stopPrice := low1 + range1*entryOffsetRatio
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s.OpenOrder(&strat.EnterReq{
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Tag: "BarUp",
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Stop: stopPrice,
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})
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state.longEntryBar = currentBar
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}
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// 计算做空条件：连续3根K线最高价递增且当前收盘价 >= high[1]
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shortCondition := high1 < high2 && high2 < high3 && c >= high1
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if shortCondition && len(s.ShortOrders) == 0 {
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// 计算止损触发价：high[1] - (high[1]-low[1]) * entryOffsetRatio
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stopPrice := high1 - range1*entryOffsetRatio
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s.OpenOrder(&strat.EnterReq{
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Tag: "BarDown",
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Short: true,
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Stop: stopPrice,
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})
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state.shortEntryBar = currentBar
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}
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// 平仓逻辑：达到持仓K线数限制 (当 barsToHold > 0 时的增强逻辑)
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if barsToHold > 0 {
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if len(s.LongOrders) > 0 && state.longEntryBar >= 0 &&
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currentBar-state.longEntryBar >= int64(barsToHold) {
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s.CloseOrders(&strat.ExitReq{Tag: "close_long", Dirt: core.OdDirtLong})
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}
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if len(s.ShortOrders) > 0 && state.shortEntryBar >= 0 &&
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currentBar-state.shortEntryBar >= int64(barsToHold) {
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s.CloseOrders(&strat.ExitReq{Tag: "close_short", Dirt: core.OdDirtShort})
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}
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}
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// 清理已平仓的记录
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if len(s.LongOrders) == 0 {
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state.longEntryBar = -1
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}
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if len(s.ShortOrders) == 0 {
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state.shortEntryBar = -1
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}
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},
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}
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}
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