271 lines
7.4 KiB
Go
271 lines
7.4 KiB
Go
package his
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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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ta "github.com/banbox/banta"
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"github.com/sasha-s/go-deadlock"
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"math"
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)
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/*
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需要多品种综合市场信息，品种数不可少于30
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*/
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// ZoneTradeState 用于存储每个交易区间的状态信息
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type ZoneTradeState struct {
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LastTradeTime2 int64 // 买入区间2的最后交易时间
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LastTradeTime3 int64 // 买入区间3的最后交易时间
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LastTradeTime4 int64 // 买入区间4的最后交易时间
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LastSellTime int64 // 最后卖出时间
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atrBase float64
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score float64
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upFlag float64
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}
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func J3782(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调超参数
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maPeriod := pol.DefInt("maPeriod", 100, core.PNorm(20, 200))
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baseRetracement := pol.Def("baseRetracement", 0.08, core.PNorm(0.05, 0.2))
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retracementRate := pol.Def("retracementRate", 1.8, core.PNorm(1.5, 2.5))
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profitRate := pol.Def("profitRate", 0.03, core.PNorm(0.015, 0.06))
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tradeDelay := pol.Def("tradeDelay", 40, core.PNorm(10, 100))
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slRate := pol.Def("slRate", 63, core.PNorm(5, 35))
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// 计算各回撤比例
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retracement2 := baseRetracement
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retracement3 := baseRetracement * retracementRate
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retracement4 := baseRetracement * retracementRate * 1.33
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lenAtr := 20
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baseAtrLen := int(math.Round(float64(lenAtr) * 4.3))
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rates := make([]float64, 0, 10)
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// 最大交易数量
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maxTrades2 := 2
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maxTrades3 := 3
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maxTrades4 := 4
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openPairs := 0.0
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var pairLock deadlock.Mutex
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addThres, firstRate := 1.0, 1.0
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avgAtrBase := 2.5
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maxPair := 3.0
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return &strat.TradeStrat{
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WarmupNum: maPeriod,
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BatchInfo: true,
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BatchInOut: true,
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RunTimeFrames: []string{"15m"},
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OnStartUp: func(s *strat.StratJob) {
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// 初始化状态信息
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s.More = &ZoneTradeState{}
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},
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OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
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return []*strat.PairSub{
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{"_cur_", "4h", baseAtrLen * 2},
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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.(*ZoneTradeState)
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// 计算MA100
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ma100 := ta.SMA(e.Close, maPeriod)
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ma100Val := ma100.Get(0)
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// 计算交易价格水平
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curRate := max(addThres, 1+state.score/10)
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itemRate := max(0.7, min(math.Sqrt(state.atrBase/avgAtrBase), 1.4))
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buyPrice2 := ma100Val * (1 - retracement2*curRate*itemRate*firstRate)
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buyPrice3 := ma100Val * (1 - retracement3*curRate*itemRate)
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buyPrice4 := ma100Val * (1 - retracement4*curRate*itemRate)
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sellPrice := ma100Val * (1 + profitRate)
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// 获取当前价格
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lowPrice := e.Low.Get(0)
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highPrice := e.High.Get(0)
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// 检查交易间隔条件
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currentBarTime := e.TimeStop
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lastEnt := max(state.LastTradeTime2, state.LastTradeTime3, state.LastTradeTime4)
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canTrade := e.BarCount(lastEnt) >= 10
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canTrade2 := canTrade && e.BarCount(state.LastTradeTime2) >= tradeDelay
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canTrade3 := canTrade && e.BarCount(state.LastTradeTime3) >= tradeDelay
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canTrade4 := canTrade && e.BarCount(state.LastTradeTime4) >= tradeDelay
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canSell := e.BarCount(state.LastSellTime) >= tradeDelay
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// 获取当前总开仓数量，与原始策略的strategy.opentrades保持一致
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openTrades := len(s.LongOrders) + len(s.ShortOrders)
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if lowPrice <= buyPrice4 && openTrades < maxTrades4 && canTrade4 {
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pairLock.Lock()
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allow := false
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if openPairs < maxPair {
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openPairs += 3
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allow = true
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}
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pairLock.Unlock()
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if allow {
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s.OpenOrder(&strat.EnterReq{
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Tag: "BuyZone4",
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CostRate: 3,
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Log: true,
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})
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state.LastTradeTime4 = currentBarTime
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}
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}
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if lowPrice <= buyPrice3 && openTrades < maxTrades3 && canTrade3 {
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pairLock.Lock()
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allow := false
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if openPairs < maxPair {
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openPairs += 1.5
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allow = true
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}
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pairLock.Unlock()
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if allow {
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s.OpenOrder(&strat.EnterReq{
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Tag: "BuyZone3",
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CostRate: 1.5,
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Log: true,
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})
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state.LastTradeTime3 = currentBarTime
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}
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}
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if lowPrice <= buyPrice2 && openTrades < maxTrades2 && canTrade2 {
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pairLock.Lock()
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allow := false
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if openPairs < maxPair {
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openPairs += 1
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allow = true
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}
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pairLock.Unlock()
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if allow {
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s.OpenOrder(&strat.EnterReq{
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Tag: "BuyZone2",
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CostRate: 1,
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Log: true,
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})
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state.LastTradeTime2 = currentBarTime
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}
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}
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// 检查卖出条件
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if s.OrderNum > 0 {
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curPrice := e.Close.Get(0)
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slRange := slRate * itemRate * curPrice / 100
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avgPrice := s.PositionAvgPrice(core.OdDirtLong, "")
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if curPrice+slRange <= avgPrice {
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s.CloseOrders(&strat.ExitReq{
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Tag: "StopLoss",
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Log: true,
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})
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state.LastSellTime = currentBarTime
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} else {
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exitPrice := avgPrice*(1+profitRate)*0.4 + sellPrice*0.6
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if openTrades > 0 && highPrice >= exitPrice && canSell {
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s.CloseOrders(&strat.ExitReq{
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Tag: "SellAll",
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Log: true,
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})
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state.LastSellTime = currentBarTime
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}
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}
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}
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},
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OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
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score := float64(0)
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if ta.RSI(e.Close, 14).Get(0) < 30 {
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score += 1
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}
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roc := ta.ROC(e.Close, 20).Get(0)
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if roc < -20 {
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score += 2
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} else if roc < -10 {
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score += 1
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}
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plusDi, minusDi := ta.PluMinDI(e.High, e.Low, e.Close, 14)
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adx := ta.ADX(e.High, e.Low, e.Close, 14).Get(0)
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if minusDi.Get(0) > plusDi.Get(0) {
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if adx > 40 {
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score += 2
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} else if adx > 25 {
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score += 1
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}
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}
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atr := ta.ATR(e.High, e.Low, e.Close, lenAtr)
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atrBase := ta.Lowest(ta.Highest(atr, lenAtr), baseAtrLen).Get(0)
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rates = append(rates, atrBase/(e.Close.Get(0)*0.01))
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//openRate := 0.006 * closePrice / atrBase
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//if openRate < 1 {
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// openRate = math.Sqrt(openRate)
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//}
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//openRate = max(0.7, min(1.5, openRate))
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ma7 := ta.SMA(e.Close, 7).Get(0)
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ma20 := ta.SMA(e.Close, 20)
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ma20V := ma20.Get(0)
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ma99 := ta.SMA(e.Close, 99).Get(0)
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if ma99 > ma20V {
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score += 1
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}
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state, _ := s.More.(*ZoneTradeState)
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state.score = score
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state.upFlag = 0
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state.atrBase = atrBase / (e.Close.Get(0) * 0.01)
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if ma20V > ma99 && ma20V > ma20.Get(2) {
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state.upFlag = 1
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} else if ma7 < min(ma20V, ma99) {
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state.upFlag = -1
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}
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},
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OnBatchJobs: func(jobs []*strat.StratJob) {
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pairLock.Lock()
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openPairs = 0
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pairLock.Unlock()
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},
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OnBatchInfos: func(tf string, jobs map[string]*strat.JobEnv) {
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if len(jobs) < 3 {
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return
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}
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downNum, downHeavyNum := float64(0), float64(0)
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atrRates := make([]float64, 0, len(jobs))
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for _, j := range jobs {
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state, _ := j.Job.More.(*ZoneTradeState)
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if state.score >= 5 {
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downHeavyNum += 1
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}
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if state.score >= 3 {
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downNum += 1
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}
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atrRates = append(atrRates, state.atrBase)
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}
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jobNum := float64(len(jobs))
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downRate := downNum / jobNum
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downHeavyRate := downHeavyNum / jobNum
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avgAtrBase = atrRates[len(jobs)/2]
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if downHeavyRate >= 0.8 {
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// 极端下跌
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addThres, firstRate = 1.6, 1.2
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maxPair = jobNum * 0.5
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} else if downRate >= 0.85 && downHeavyRate >= 0.6 {
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// 严重下跌
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addThres, firstRate = 1.45, 1.15
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maxPair = jobNum * 0.55
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} else if downRate >= 0.7 && downRate <= 0.85 {
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// 市场中度下跌
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addThres, firstRate = 1.3, 1.1
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maxPair = jobNum * 0.6
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} else if downRate >= 0.5 && downRate <= 0.7 {
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// 轻度下跌
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addThres, firstRate = 1.15, 1.05
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maxPair = jobNum * 0.7
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} else {
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// 轻度或未下跌
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maxPair = jobNum
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addThres, firstRate = 1, 1
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}
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},
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}
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}
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