120 lines
3.0 KiB
Go
120 lines
3.0 KiB
Go
package rev
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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/orm/ormo"
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"github.com/banbox/banbot/strat"
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"github.com/banbox/banstagy/com"
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ta "github.com/banbox/banta"
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"math"
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)
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type MoreRev struct {
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thres float64 // 阈值
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dirt float64 // 1rsi高于0，-1rsi低于0
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hitAt int // 进入极值的BarNum
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exmVal float64 // 最大极值
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bigRsi float64 // 大周期rsi
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}
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func (m *MoreRev) update(rsi50 float64, barNum int) {
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rsiAbs := math.Abs(rsi50)
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if rsiAbs < m.thres {
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m.dirt = 0
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m.hitAt = 0
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m.exmVal = 0
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return
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}
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if m.dirt == 0 {
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if rsi50 > 0 {
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m.dirt = 1
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} else {
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m.dirt = -1
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}
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m.hitAt = barNum
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m.exmVal = rsiAbs
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} else if m.exmVal < rsiAbs {
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m.exmVal = rsiAbs
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}
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}
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func S01V1(pol *config.RunPolicyConfig) *strat.TradeStrat {
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var lenRsi = 22
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var lenRsi2 = 140
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var thresRsi = 20.0
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var hitRsi = 22.0
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var minKeep = 3
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lenAtr := 15
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baseAtrLen := int(math.Round(float64(lenAtr) * 4.3))
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return &strat.TradeStrat{
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Version: 1,
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WarmupNum: lenRsi * 2,
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MinTfScore: 0.75,
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DrawDownExit: true,
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OnStartUp: func(s *strat.StratJob) {
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s.More = &MoreRev{thres: thresRsi}
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},
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OnPairInfos: com.MakePairInfos(lenRsi2),
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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m, _ := s.More.(*MoreRev)
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rsi := ta.RSI(e.Close, lenRsi)
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rsiMa := ta.SMA(rsi, 3)
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rsiVal := rsi.Get(0)
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rsiX := rsi.Cross(rsiMa)
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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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atrRate := math.Sqrt(atr.Get(0) / atrBase)
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c := e.Close.Get(0)
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bigRsiFit := math.Abs(m.bigRsi) > 5 && m.bigRsi*m.dirt > 0
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rsiFit := m.dirt != 0 && m.exmVal >= hitRsi && e.BarNum-m.hitAt >= minKeep
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if s.OrderNum == 0 && bigRsiFit && rsiFit && (rsiX == 1 || rsiX == -1) {
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// rsi处于极值范围，且触发最大极值，且满足最少极值数量，且和rsi均值交叉
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slVal := atrBase * atrRate * 5
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slLong, slShort := c-slVal, c+slVal
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//entPrice := c - slVal*0.3
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//if m.dirt > 0 {
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// entPrice = c - slVal*0.3
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//}
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com.FastOpen(s, -m.dirt, slLong, slShort, 0)
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} else if rsiFit && s.EnteredNum > 0 && m.bigRsi*m.dirt > 0 {
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if m.dirt == 1 && len(s.LongOrders) > 0 && m.bigRsi > 2 {
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// 平多
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_ = s.CloseOrders(&strat.ExitReq{
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Tag: "exitL",
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Dirt: core.OdDirtLong,
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})
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} else if m.dirt == -1 && len(s.ShortOrders) > 0 && m.bigRsi < -2 {
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_ = s.CloseOrders(&strat.ExitReq{
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Tag: "exitS",
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Dirt: core.OdDirtShort,
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})
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}
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}
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m.update(rsiVal-50, e.BarNum)
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},
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OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
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m, _ := s.More.(*MoreRev)
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m.bigRsi = ta.RSI50(e.Close, lenRsi2).Get(0)
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},
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GetDrawDownExitRate: func(s *strat.StratJob, od *ormo.InOutOrder, maxChg float64) float64 {
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sl := od.GetStopLoss()
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if sl == nil || sl.Range == 0 {
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return 0
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}
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bestRate := maxChg * od.InitPrice / sl.Range
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if bestRate > 2 {
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return 0.3
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} else if bestRate > 1 {
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return 0.5
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}
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return 0
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},
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}
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}
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