banstagy/old/eat.go

package old

import (
	"github.com/banbox/banbot/config"
	"github.com/banbox/banbot/strat"
	"github.com/banbox/banexg/log"
	ta "github.com/banbox/banta"
	"go.uber.org/zap"
	"math"
	"sort"
)

var (
	lenAtr       = 9
	rangeRate    = 0.6  // 预计bar利润区间比率：60%
	ShakeTop     = 0.2  // 只对分数前20%的标的进行震荡交易
	minProfitPct = 0.01 // 最小目标盈利百分比
)

type TMore struct {
	symbol     string
	shakeScore float64 // 震荡分数：(1-平均实体比率)*平均bar波动比率
	btmPrice   float64 // 平均向下突破比率
	topPrice   float64 // 平均向上突破比率
	shakeOK    bool    // 是否允许震荡中开单
	shakeHit   float64 // 震荡首先触发位置：-1触发顶部，1触发底部
}

func Eat(pol *config.RunPolicyConfig) *strat.TradeStrat {
	baseAtrLen := int(math.Round(float64(lenAtr) * 5))
	return &strat.TradeStrat{
		Version:    1,
		WarmupNum:  max(30, baseAtrLen),
		MinTfScore: 0.75,
		BatchInfo:  true,
		OnStartUp: func(s *strat.StratJob) {
			s.More = &TMore{
				symbol: s.Symbol.Symbol,
			}
		},
		OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
			return []*strat.PairSub{
				{Pair: "_cur_", TimeFrame: "8h", WarmupNum: 30},
			}
		},
		OnBar: func(s *strat.StratJob) {
			e := s.Env
			h, l, c := e.High.Get(0), e.Low.Get(0), e.Close.Get(0)
			m, _ := s.More.(*TMore)
			if m.shakeOK {
				// 允许震荡开单
				if m.shakeHit == 0 {
					if h >= m.topPrice {
						m.shakeHit = -1
					} else if l <= m.btmPrice {
						m.shakeHit = 1
					}
				}
				if s.OrderNum == 0 && m.shakeHit != 0 {
					slRange := (m.topPrice - m.btmPrice)
					tag := "long"
					trigPrice := m.btmPrice
					takeProfit := m.topPrice
					if m.shakeHit < 0 {
						tag = "short"
						trigPrice = m.topPrice
						takeProfit = m.btmPrice
					}
					stopLoss := trigPrice - slRange*m.shakeHit
					slDst := (c - stopLoss) * m.shakeHit / slRange
					tpDst := (takeProfit - c) * m.shakeHit / slRange
					if slDst > 0.5 && tpDst > 0.7 {
						// 到止损的距离不低于50%
						err := s.OpenOrder(&strat.EnterReq{
							Tag:        tag,
							Short:      m.shakeHit < 0,
							StopLoss:   stopLoss,
							TakeProfit: takeProfit,
						})
						//date := btime.ToDateStr(btime.TimeMS(), "")
						//log.Info(fmt.Sprintf("%s %s open %s c:%.3f  sl:%.3f, tp:%.3f", s.Symbols.Symbols,
						//	date, tag, c, stopLoss, takeProfit))
						if err != nil {
							log.Error("open fail", zap.Error(err))
						}
					}
				}
			}
		},
		OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
			// ma := ta.EMA(e.Close, 5)
			rsi := ta.RSI(e.Close, 9)

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

			// 计算平均实体比率
			o, h, l, c := e.Open.Get(0), e.High.Get(0), e.Low.Get(0), e.Close.Get(0)
			ph, pl, pc := e.High.Get(1), e.Low.Get(1), e.Close.Get(1)
			solidTop, solidBtm := max(o, c), min(o, c)
			tRange, pRange := h-l, ph-pl
			//tr := e.GetSeries("tRange")
			//tr.Set(math.Sqrt(tRange * 100 / c))
			//maTRate := ta.EMA(tr, 3)
			solRate := e.Close.To("solRate", 0)
			solRate.Set(math.Abs(o-c) / tRange)
			maSRT := ta.EMA(solRate, 3).Get(0)

			// 计算上下行比率
			dnRate := e.Close.To("dnRate", 0)
			dnRate.Set((l - pc) / pRange)
			maDnRate := ta.EMA(dnRate, 5)
			upRate := e.Close.To("upRate", 0)
			upRate.Set((h - pc) / pRange)
			maUpRate := ta.EMA(upRate, 5)

			m, _ := s.More.(*TMore)
			m.shakeScore = (1 - maSRT) // * maTRate.Get(0)
			top := c + maUpRate.Get(0)*tRange
			btm := c + maDnRate.Get(0)*tRange
			edgeOff := (top - btm) * (1 - rangeRate) * 0.5
			m.btmPrice = btm - edgeOff
			m.topPrice = top + edgeOff
			//m.maChg = (ma.Get(0) - ma.Get(1)) / pRange
			topLineRate := (h - solidTop) / tRange
			btmLineRate := (solidBtm - l) / tRange
			lineDiff := math.Abs(topLineRate-btmLineRate) / max(topLineRate, btmLineRate)
			rsiVal, pRsi := rsi.Get(0)-50, rsi.Get(1)-50
			m.shakeOK = (top-btm)*rangeRate/c >= minProfitPct && lineDiff < 0.35 && maSRT < 0.3
			m.shakeHit = 0
			//log.Info(fmt.Sprintf("h: %.3f l:%.3f c:%.3f maSRT: %.3f upRate:%.3f dnRate:%.3f %v", h, l, c,
			//	maSRT.Get(0), maUpRate.Get(0), maDnRate.Get(0), m.shakeOK))
			if math.Abs(rsiVal) > 20 || math.Abs(pRsi) > 20 {
				// (ATR较大/反向影线占比大)和RSI都极端时，容易反转，禁止震荡开单
				revLineRate := btmLineRate
				if rsiVal > 0 {
					revLineRate = topLineRate
				}
				if atrRate > 2.5 || atrRate > 1.3 && revLineRate > 0.75 {
					m.shakeOK = false
				}
			}
		},
		OnBatchInfos: func(tf string, jobs map[string]*strat.JobEnv) {
			// 筛选出所有币中shakeScore降序的前n个，然后在子周期中低买高卖
			var mores = make([]*TMore, 0, len(jobs))
			for _, job := range jobs {
				m, _ := job.Job.More.(*TMore)
				mores = append(mores, m)
			}
			var shakeTopN = int(math.Ceil(float64(len(jobs)) * ShakeTop))
			sort.Slice(mores, func(i, j int) bool {
				return mores[i].shakeScore > mores[j].shakeScore
			})
			for _, m := range mores {
				if shakeTopN > 0 && m.shakeOK {
					shakeTopN -= 1
				} else {
					m.shakeOK = false
				}
			}
		},
	}
}