banstagy/llmjob/his/3762.go

package his

import (
	"fmt"
	"github.com/banbox/banbot/com"
	"github.com/banbox/banbot/config"
	"github.com/banbox/banbot/core"
	"github.com/banbox/banbot/orm/ormo"
	"github.com/banbox/banbot/strat"
	"github.com/banbox/banexg"
	"github.com/banbox/banexg/log"
	"github.com/banbox/banexg/utils"
	ta "github.com/banbox/banta"
	"go.uber.org/zap"
	"math"
)

/*
超跌反弹策略。30个品种为宜
做空部分没有利润，禁用
*/

type State3762 struct {
	NoLongUntil  int64
	NoShortUntil int64
}

func J3762(pol *config.RunPolicyConfig) *strat.TradeStrat {
	// 定义策略参数
	p := pol.DefInt("p", 20, core.PNorm(5, 50))
	d := pol.Def("d", 30.0, core.PNorm(5, 50))
	mult := pol.Def("mult", 1.5, core.PNorm(1.0, 3.0))
	slRate := pol.Def("slRate", 25, core.PNorm(0, 50))
	needlong := pol.Def("needlong", 1.0, core.PUniform(0, 1)) > 0.5
	needshort := pol.Def("needshort", 0.0, core.PUniform(0, 1)) > 0.5

	dayMS := int64(utils.TFToSecs("1d") * 1000)

	lenAtr := 20
	baseAtrLen := int(math.Round(float64(lenAtr) * 4.3))
	return &strat.TradeStrat{
		WarmupNum:     baseAtrLen * 2, // 预热K线数量，确保有足够数据计算指标
		RunTimeFrames: []string{"15m"},
		OnStartUp: func(s *strat.StratJob) {
			s.More = &State3762{}
		},
		OnBar: func(s *strat.StratJob) {
			e := s.Env
			m, _ := s.More.(*State3762)
			// 计算基础布林带指标
			sma := ta.SMA(e.Close, p)
			ma7 := ta.SMA(e.Close, 7).Get(0)
			ma30 := ta.SMA(e.Close, 30).Get(0)
			multCur := mult
			if ma7 < ma30 {
				// 熊市下移下限
				multCur *= 1.35
			}
			stddev := ta.StdDev(e.Close, p).Get(0) * multCur
			upperBB := sma.Get(0) + stddev
			lowerBB := sma.Get(0) - stddev

			atr := ta.ATR(e.High, e.Low, e.Close, lenAtr)
			atrBase := ta.Lowest(ta.Highest(atr, lenAtr), baseAtrLen).Get(0)

			// 计算百分比偏离轨道
			atrRt := d
			if ma7 < ma30 {
				// 熊市下移下限
				atrRt *= 1.35
			}
			upex2 := sma.Get(0) + atrBase*atrRt
			dnex2 := sma.Get(0) - atrBase*atrRt

			// 计算最终轨道
			upexPrice := max(upperBB, (upex2+upperBB)/2)
			dnexPrice := min(lowerBB, (dnex2+lowerBB)/2)

			// 获取当前价格
			closePrice := e.Close.Get(0)
			openPrice := e.Open.Get(0)

			// 生成交易信号
			exitSignal := closePrice > openPrice // 绿色K线信号

			if math.IsNaN(upexPrice) || math.IsNaN(dnexPrice) {
				return
			}
			slRange := min(atrBase*slRate, closePrice*0.25)

			// 执行交易逻辑
			if !s.IsWarmUp {
				s.Strat.WriteOutput(fmt.Sprintf("%s upp: %.6f, low: %.6f upex2: %.6f, dnex2: %.6f upex: %.6f, dnex: %.6f slRange: %.6f",
					e.Symbol, upperBB, lowerBB, upex2, dnex2, upexPrice, dnexPrice, slRange), true)
			}
			if needlong {
				if len(s.LongOrders) == 0 {
					// 使用限价单在下轨价格做多，不依赖当前价格是否突破轨道
					if e.TimeStop >= m.NoLongUntil {
						curPrice := com.GetPrice(e.Symbol, banexg.OdSideBuy)
						if math.Abs(curPrice/closePrice-1) > 0.01 {
							log.Info("bad price from GetPrice", zap.String("pair", e.Symbol),
								zap.Float64("val", curPrice), zap.Float64("close", closePrice))
						}
						s.OpenOrder(&strat.EnterReq{
							Tag:         "Long",
							Limit:       dnexPrice, // 以下轨价格作为限价单
							StopLossVal: slRange,
							Log:         true,
						})
					}
				} else {
					for _, od := range s.LongOrders {
						if od.Status == ormo.InOutStatusInit {
							err := od.SetEnterLimit(dnexPrice)
							if err != nil {
								log.Error("SetEnterLimit fail", zap.Error(err))
							} else {
								err = od.SetStopLoss(&ormo.ExitTrigger{
									Price: dnexPrice - slRange,
								})
								if err != nil {
									log.Error("SetStopLoss fail", zap.Error(err))
								}
							}
						} else if od.Status == ormo.InOutStatusFullEnter {
							barNum := e.BarCount(od.Enter.UpdateAt)
							if barNum > 2 && od.ProfitRate < 0 {
								// 持仓2个k线，出现亏损，平仓
								s.CloseOrders(&strat.ExitReq{
									Tag:  "Exit bad Long",
									Dirt: core.OdDirtLong,
									Log:  true,
								})
								m.NoLongUntil = e.TimeStop + dayMS
							}
						}
					}
				}
			}

			if needshort {
				if len(s.ShortOrders) == 0 {
					// 使用限价单在上轨价格做空，不依赖当前价格是否突破轨道
					if e.TimeStop >= m.NoShortUntil {
						s.OpenOrder(&strat.EnterReq{
							Tag:         "Short",
							Short:       true,
							Limit:       upexPrice, // 以上轨价格作为限价单
							StopLossVal: slRange,
							Log:         true,
						})
					}
				} else {
					for _, od := range s.ShortOrders {
						if od.Status == ormo.InOutStatusInit {
							err := od.SetEnterLimit(upexPrice)
							if err != nil {
								log.Error("SetEnterLimit fail", zap.Error(err))
							} else {
								err = od.SetStopLoss(&ormo.ExitTrigger{
									Price: upexPrice + slRange,
								})
								if err != nil {
									log.Error("SetStopLoss fail", zap.Error(err))
								}
							}
						} else if od.Status == ormo.InOutStatusFullEnter {
							barNum := e.BarCount(od.Enter.UpdateAt)
							if barNum > 2 && od.ProfitRate < 0 {
								// 持仓2个k线，出现亏损，平仓
								s.CloseOrders(&strat.ExitReq{
									Tag:  "Exit bad short",
									Dirt: core.OdDirtShort,
									Log:  true,
								})
								m.NoShortUntil = e.TimeStop + dayMS
							}
						}
					}
				}
			}

			// 平仓条件：绿色K线
			if exitSignal {
				if len(s.LongOrders) > 0 {
					s.CloseOrders(&strat.ExitReq{
						Tag:  "Exit Long",
						Dirt: core.OdDirtLong,
						Log:  true,
					})
				}
			} else {
				if len(s.ShortOrders) > 0 {
					s.CloseOrders(&strat.ExitReq{
						Tag:  "Exit Short",
						Dirt: core.OdDirtShort,
						Log:  true,
					})
				}
			}
		},
		OnOrderChange: func(s *strat.StratJob, od *ormo.InOutOrder, chgType int) {
			if chgType == core.OdChgExitFill && od.ExitTag == core.ExitTagStopLoss {
				m, _ := s.More.(*State3762)
				if od.Short {
					m.NoShortUntil = od.ExitAt + dayMS
				} else {
					m.NoLongUntil = od.ExitAt + dayMS
				}
			}
		},
	}
}