227 lines
6.8 KiB
Go
227 lines
6.8 KiB
Go
package llmjob
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import (
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"fmt"
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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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"github.com/banbox/banexg/utils"
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ta "github.com/banbox/banta"
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"math"
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)
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/*
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需要多品种综合信息，品种数不得少于30
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做多：RSI超卖、RSI轻度超买跟随
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做空：全市场超卖动能枯竭做空
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*/
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// State845 存储每个品种的RSI动态区间策略状态
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type State845 struct {
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position int // 当前持仓状态: 0=无持仓, 1=多头, -1=空头
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overBoughtDyn float64 // 动态超买水平
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overSoldDyn float64 // 动态超卖水平
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rsi float64
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maSub float64
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atr float64
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}
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// RsiDynamic RSI动态区间反转策略
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func J845(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调超参数
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rsiPeriod := pol.DefInt("rsiPeriod", 12, core.PNorm(7, 21))
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overBought := pol.Def("overBought", 76, core.PNorm(70, 90))
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overSold := pol.Def("overSold", 26, core.PNorm(20, 40))
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sensitivity := pol.Def("sensitivity", 2.5, core.PNorm(1.0, 5.0))
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openRate, closeRate := float64(1), float64(0)
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prevRsiAvg, prevRsiBig, rsiDelta := float64(0), float64(0), float64(0)
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prevOverBuy, prevStamp, prevOpenRate := 0, int64(0), float64(0)
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stopLongUntil := int64(0)
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dayMS := int64(utils.TFToSecs("1d") * 1000)
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return &strat.TradeStrat{
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WarmupNum: 91, // 预热K线数量
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EachMaxLong: 1, // 最多开1个多单
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EachMaxShort: 1, // 最多开1个空单
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RunTimeFrames: []string{"1d"},
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BatchInOut: true,
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OnStartUp: func(s *strat.StratJob) {
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// 初始化每个品种的状态
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s.More = &State845{
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position: 0,
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overBoughtDyn: overBought,
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overSoldDyn: overSold,
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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.(*State845)
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rsi := ta.RSI(e.Close, rsiPeriod)
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rsiValue := rsi.Get(0)
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state.rsi = rsiValue
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state.atr = ta.ATR(e.High, e.Low, e.Close, 14).Get(0)
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ma20 := ta.SMA(e.Close, 20).Get(0)
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ma90 := ta.SMA(e.Close, 90).Get(0)
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state.maSub = ma20 - ma90
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// 计算动态超买超卖水平
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calculateDynamicLevels(rsi, sensitivity, overBought, overSold, state)
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// 生成交易信号
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if state.position == 0 && openRate > 0 && e.TimeStop >= stopLongUntil { // 无持仓
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if rsiValue < state.overSoldDyn {
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// RSI跌破超卖水平，建立多头仓位
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s.OpenOrder(&strat.EnterReq{
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Tag: "long",
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CostRate: openRate,
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Log: true,
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})
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state.position = 1
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}
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} else if state.position == -1 { // 持有空头仓位
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if rsiValue <= state.overBoughtDyn {
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// RSI从超买区域回落，平掉多头仓位
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s.CloseOrders(&strat.ExitReq{
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Tag: "exit2",
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Dirt: core.OdDirtLong,
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EnterTag: "long2",
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Log: true,
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})
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state.position = 0
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}
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} else if state.position == 1 { // 持有多头仓位
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if rsiValue >= state.overSoldDyn {
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// RSI从超卖区域回升，平掉多头仓位
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s.CloseOrders(&strat.ExitReq{
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Tag: "exit1",
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Dirt: core.OdDirtLong,
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EnterTag: "long",
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Log: true,
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})
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state.position = 0
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}
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}
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},
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OnBatchJobs: func(jobs []*strat.StratJob) {
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rsiAvg, rsiBig := float64(0), float64(0)
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overBuyNum, curStamp := 0, int64(0)
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var st *strat.TradeStrat
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for _, s := range jobs {
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state, _ := s.More.(*State845)
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rsiAvg += state.rsi
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if state.rsi >= 68 {
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rsiBig += 1
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}
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if state.rsi > state.overBoughtDyn {
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overBuyNum += 1
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}
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curStamp = s.Env.TimeStop
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st = s.Strat
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}
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numFlt := float64(len(jobs))
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rsiAvg /= numFlt
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rsiBig /= numFlt
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if prevRsiAvg >= 70 && rsiAvg < prevRsiAvg && prevRsiBig > 0.5 {
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// 极端过热转向，平仓，禁止做多2周
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openRate, closeRate = -2, 1
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if prevRsiBig > 0.65 && prevOpenRate < 0 {
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openRate = -3
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stopLongUntil = curStamp + dayMS*14
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}
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} else if rsiAvg > 77 && rsiBig > 0.75 || rsiAvg > 70 && rsiBig > 0.5 && (rsiAvg-prevRsiAvg)*5 < rsiDelta {
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// 严重过热，平仓一半，禁止开仓
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openRate, closeRate = -1, 0.5
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if curStamp < stopLongUntil {
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stopLongUntil = max(stopLongUntil, curStamp+dayMS*10)
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}
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} else if rsiAvg > 70 && rsiBig > 0.5 {
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// 中度过热
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openRate, closeRate = 0.6, 0
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if curStamp < stopLongUntil {
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stopLongUntil = max(stopLongUntil, curStamp+dayMS*6)
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}
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} else if rsiAvg > 60 && rsiBig > 0.3 {
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// 轻度过热
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openRate, closeRate = 0.8, 0
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} else {
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openRate, closeRate = 1, 0
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}
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if closeRate > 0 {
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for _, s := range jobs {
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if s.OrderNum > 0 {
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s.CloseOrders(&strat.ExitReq{
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Tag: "cut",
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Dirt: core.OdDirtLong,
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ExitRate: closeRate,
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Log: true,
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})
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}
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}
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}
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if overBuyNum >= 2 || overBuyNum+prevOverBuy >= 3 {
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// 超买跟随，仅适用于多数品种一同上涨，所以要限制数量
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for _, s := range jobs {
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state, _ := s.More.(*State845)
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if state.rsi > state.overBoughtDyn {
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// RSI突破超买水平，追涨买入
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s.OpenOrder(&strat.EnterReq{
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Tag: "long2",
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CostRate: openRate,
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Log: true,
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})
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state.position = -1
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}
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}
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}
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// 超买做空机制，仅对特定品种表现良好，对于动态品种表现更差
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//if openRate <= -3 {
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// for _, s := range jobs {
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// state, _ := s.More.(*State845)
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// if state.maSub < 0 || state.rsi < 76 || len(s.ShortOrders) > 0 {
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// continue
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// }
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// // 牛市中全市场超买时做空；不可在ObBatchJobs中开单，会变差
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// s.OpenOrder(&strat.EnterReq{
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// Tag: "short1",
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// //Short: true,
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// TakeProfitVal: state.atr * 2,
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// StopLossVal: state.atr * 2,
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// Log: true,
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// })
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// }
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//}
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if openRate < 1 {
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st.WriteOutput(fmt.Sprintf("num: %d, rate: %.3f, rsi: %.3f, rsiBig: %.3f",
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len(jobs), openRate, rsiAvg, rsiBig), true)
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}
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if curStamp > prevStamp {
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rsiDelta = rsiAvg - prevRsiAvg
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prevRsiAvg = rsiAvg
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prevRsiBig = rsiBig
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prevStamp = curStamp
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prevOpenRate = openRate
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prevOverBuy = overBuyNum
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}
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},
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}
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}
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// calculateDynamicLevels 计算动态超买超卖水平
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func calculateDynamicLevels(rsi *ta.Series, sensitivity, overBought, overSold float64, state *State845) {
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// 计算近期RSI波动率（标准差）
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stdDev, _ := ta.StdDevBy(rsi, 14, 1)
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rsiVolatility := stdDev.Get(0)
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// 计算动态调整因子
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adjustmentFactor := sensitivity * rsiVolatility / 10
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// 计算动态超买超卖水平
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state.overBoughtDyn = overBought + adjustmentFactor*(100-overBought)/100
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state.overSoldDyn = overSold - adjustmentFactor*overSold/100
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// 确保动态水平在合理范围内
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state.overBoughtDyn = math.Max(70, math.Min(95, state.overBoughtDyn))
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state.overSoldDyn = math.Max(5, math.Min(40, state.overSoldDyn))
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}
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