139 lines
3.6 KiB
Go
139 lines
3.6 KiB
Go
package t01
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import (
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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/banexg/log"
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"github.com/banbox/banstagy/com"
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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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var (
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// 这里是默认参数，请尽量在MainVX()中修改，不要在这里修改
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maBig = 30
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maSml = 30
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maParent = 50
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sampleNum = 500 // 斜率采样数量
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sampleStep = 2 // 斜率计算间隔
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atrLen = 14
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openOffRate = float64(0) // 开单时，从均线偏移基准ATR的倍数
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goodRate = float64(10) // 收益超过此倍数的ATR时，将止损更新为均线
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badRate = float64(5) // 损失超过此倍数的ATR时，止损退出
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)
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type MoreType struct {
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bigSlop *com.Slop
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hitGoods map[int64]bool // 触发goodRate的订单ID，允许每个bar更新止损
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}
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func openOrder(s *strat.StratJob, closePrice, dirt, price, stopLoss float64) {
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if (stopLoss-closePrice)*dirt >= 0 {
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// 当前止损立刻满足，跳过
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return
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}
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tag := "long"
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if dirt < 0 {
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tag = "short"
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}
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err := s.OpenOrder(&strat.EnterReq{
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Tag: tag,
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Limit: price,
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StopLoss: stopLoss,
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Short: dirt < 0,
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})
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if err != nil {
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log.Error("open order fail", zap.Error(err))
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}
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}
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func onStartUp(s *strat.StratJob) {
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s.More = &MoreType{
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bigSlop: com.NewSlop(sampleNum, 0.25),
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hitGoods: make(map[int64]bool),
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}
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}
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func onInfoBar(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
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sma := ta.SMA(e.Close, maParent)
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prevSma := sma.Get(sampleStep)
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if e.BarNum%sampleStep > 0 || math.IsNaN(prevSma) {
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return
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}
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more, _ := s.More.(*MoreType)
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curSma := sma.Get(0)
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slop := (curSma - prevSma) / curSma
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more.bigSlop.Update(e.BarNum, slop)
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}
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func onBar(s *strat.StratJob) {
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e := s.Env
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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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atrBase := ta.Lowest(ta.Highest(atr, atrLen), baseAtrLen).Get(0)
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c := e.Close.Get(0)
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smaBig := ta.SMA(e.Close, maBig)
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smaVal := smaBig.Get(0)
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// smaSml := ta.SMA(e.Close, maSml)
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// maX := smaSml.Cross(smaBig)
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// rsiVal := ta.RSI(e.Close, 20).Get(0)
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more, _ := s.More.(*MoreType)
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prevSma := smaBig.Get(sampleStep)
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if e.BarNum%sampleStep == 0 && !math.IsNaN(prevSma) {
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slop := (smaVal - prevSma) / smaVal
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more.bigSlop.Update(e.BarNum, slop)
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}
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var longOd, shortOd *ormo.InOutOrder
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if len(s.LongOrders) > 0 {
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longOd = s.LongOrders[0]
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}
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if len(s.ShortOrders) > 0 {
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shortOd = s.ShortOrders[0]
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}
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atrVal := atr.Get(0)
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slRange := max(atrBase*badRate, atrVal*1.5)
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// 检查是否触发盈利阈值，若触发更新止损
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var orders = []*ormo.InOutOrder{longOd, shortOd}
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for _, od := range orders {
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if od != nil {
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odDirt := 1.0
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if od.Short {
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odDirt = -1
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}
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isGood, ok := more.hitGoods[od.ID]
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if !ok && (c-od.Enter.Average)*odDirt >= atrBase*goodRate {
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more.hitGoods[od.ID] = true
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isGood = true
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}
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if isGood {
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// 已触发盈利阈值，每个bar更新止损
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sl := od.GetStopLoss()
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if sl == nil || (smaVal-sl.Price)*odDirt > 0 {
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od.SetStopLoss(&ormo.ExitTrigger{Price: smaVal})
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}
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} else if od.Status == ormo.InOutStatusInit {
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// 尚未入场，更新入场价格，更新止损
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_ = od.SetEnterLimit(smaVal)
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od.SetStopLoss(&ormo.ExitTrigger{Price: smaVal - odDirt*slRange})
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}
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}
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}
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if atrVal < atrBase {
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// && more.bigSlop.Dirt > 0
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if longOd == nil && more.bigSlop.Dirt >= 0 {
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// 开多单 && c-smaVal+slRange > atrBase*0.5
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openOrder(s, c, 1, 0, c-slRange)
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}
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// && more.bigSlop.Dirt < 0
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if shortOd == nil && more.bigSlop.Dirt <= 0 {
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// 开空单 && smaVal+slRange-c > atrBase*0.5
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openOrder(s, c, -1, 0, c+slRange)
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}
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}
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}
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