164 lines
3.7 KiB
Go
164 lines
3.7 KiB
Go
package s01
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import (
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"github.com/banbox/banbot/config"
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"github.com/banbox/banbot/strat"
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"github.com/banbox/banexg/log"
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ta "github.com/banbox/banta"
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"go.uber.org/zap"
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"math"
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)
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/*
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此策略对应python原始策略名为PivotRev
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【s01_base】
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是最初版本的策略，所有标的使用固定的RSI差阈值：300周期9, 50周期20
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【s01_adp.50】~【s01_adp.100】
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增加了标的自适应的前20个高于固定阈值50%~100%的所有RSI值的均值，作为实际阈值。
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开单数量倍增，曲线稍微平滑一些，收益更高。
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测试最佳值是54%
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【s01_adpb.55】~【s01_adp.70】
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将bigTmp和smlTmp同时满足时才记录，前面是各自达到阈值就记录。
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改了后订单减少40%左右，收益减少30%左右。
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不采用
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后续考虑记录RSI300和RSI50的历史峰值，然后峰值排序，取Top50%的均值作为阈值。
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*/
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var (
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RsiBig = 300
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RsiSml = 50
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ThsBig = float64(9)
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ThsSml = float64(20)
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AtrLen = 14
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bigMin = float64(ThsBig) * 0.55
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smlMin = float64(ThsSml) * 0.55
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AvgLastNum = 20
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)
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type MoreType struct {
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hit bool
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bigThsHis []float64
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smlThsHis []float64
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bigThs float64
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smlThs float64
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bigTmp float64
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smlTmp float64
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}
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func (m *MoreType) close() {
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if m.bigTmp > bigMin {
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m.bigThsHis = append(m.bigThsHis, m.bigTmp)
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if len(m.bigThsHis) > AvgLastNum {
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m.bigThsHis = m.bigThsHis[len(m.bigThsHis)-AvgLastNum:]
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}
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sumVal := float64(0)
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for _, val := range m.bigThsHis {
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sumVal += val
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}
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m.bigThs = sumVal / float64(len(m.bigThsHis))
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}
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if m.smlTmp > smlMin {
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m.smlThsHis = append(m.smlThsHis, m.smlTmp)
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if len(m.smlThsHis) > AvgLastNum {
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m.smlThsHis = m.smlThsHis[len(m.smlThsHis)-AvgLastNum:]
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}
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sumSml := float64(0)
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for _, val := range m.smlThsHis {
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sumSml += val
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}
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m.smlThs = sumSml / float64(len(m.smlThsHis))
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}
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m.bigTmp = -1
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m.smlTmp = -1
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m.hit = false
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}
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func (m *MoreType) check(big, sml float64) {
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if m.bigTmp < 0 {
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m.bigTmp = math.Abs(big)
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} else {
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m.bigTmp = max(m.bigTmp, math.Abs(big))
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}
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if m.smlTmp < 0 {
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m.smlTmp = math.Abs(sml)
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} else {
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m.smlTmp = max(m.smlTmp, math.Abs(sml))
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}
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}
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func MainV0(pol *config.RunPolicyConfig) *strat.TradeStrat {
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return &strat.TradeStrat{
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Version: 1,
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WarmupNum: RsiBig * 10,
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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 = &MoreType{
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bigThs: ThsBig,
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smlThs: ThsSml,
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bigTmp: -1,
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smlTmp: -1,
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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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ma5 := ta.EMA(e.Close, 5)
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ma20 := ta.EMA(e.Close, 20)
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maX := ma5.Cross(ma20)
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rsiB := ta.RSI(e.Close, RsiBig).Get(0) - 50
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rsiS := ta.RSI(e.Close, RsiSml).Get(0) - 50
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atr := ta.ATR(e.High, e.Low, e.Close, AtrLen)
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baseAtrLen := int(math.Round(float64(AtrLen) * 4.3))
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atrB := ta.Lowest(ta.Highest(atr, AtrLen), baseAtrLen).Get(0)
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if math.IsNaN(rsiB) || math.IsInf(rsiB, 0) {
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// 过滤无效值
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return
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}
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m, _ := s.More.(*MoreType)
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if math.Abs(float64(maX)) == 1 {
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// 均线交叉，顶底切换，允许开单
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m.close()
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}
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m.check(rsiB, rsiS)
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if m.hit {
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// 已开单，禁止重复开单
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return
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}
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if math.Abs(rsiB) <= m.bigThs || math.Abs(rsiS) <= m.smlThs {
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// 未触发阈值，不开单
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return
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}
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m.hit = true // 禁止同方向再次开单
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isShort := rsiB > 0
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odDirt := float64(1)
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if isShort {
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odDirt = -1
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}
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stopLoss := e.Close.Get(0) - max(atrB*3, atr.Get(0)*1.5)*odDirt
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err := s.OpenOrder(&strat.EnterReq{
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Tag: "enter",
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Short: isShort,
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StopLoss: stopLoss,
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})
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if err != nil {
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log.Error("open order fail", zap.String("pair", s.Symbol.Symbol),
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zap.String("stagy", s.Strat.Name), zap.Error(err))
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}
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},
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}
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}
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