banstagy/ptn/hammer/common.go

package hammer

import (
	"fmt"
	"github.com/banbox/banbot/com"
	"github.com/banbox/banbot/orm/ormo"
	"github.com/banbox/banbot/strat"
	"github.com/banbox/banexg"
	"github.com/banbox/banstagy/ptn"
	ta "github.com/banbox/banta"
	"math"
)

type OdInfo struct {
	btmRate   float64 // 锤子下影线占价格的比率
	closeRate float64 // 锤子收盘价占价格比率，与上一个相同说明是阴线
}

type MoreHammer struct {
	ents     [][2]float64      // 前面信号的特征：atrBase比率，回撤比率
	backRate float64           // 历史平均回撤比率
	lastEnt  int               // 上次出现信号时BarNum
	entBar   *banexg.Kline     // 上次信号的Bar
	minPrice float64           // 信号后最低价格
	minAt    int               // 信号后最低价格索引
	atrTimes float64           // 信号是atrBase的倍数
	odInfos  map[int64]*OdInfo // 订单ID对应的信息
}

func StartWatch(e *ta.BarEnv, more *MoreHammer, bar *banexg.Kline, atrTimes float64) {
	more.lastEnt = e.BarNum
	more.entBar = bar
	more.atrTimes = atrTimes
}

func UpdateWatch(s *strat.StratJob, more *MoreHammer, c, l float64, watchMin, watchMax, refNum int) {
	distNum := s.Env.BarNum - more.lastEnt
	bar := more.entBar
	if distNum > watchMax || distNum > watchMin && (c-bar.Close)/(max(bar.Open, bar.Close)-bar.Low) > 0.2 {
		// 超过最大观察个数；或者盈利超过锤子的20%，退出观察
		CloseWatch(s, more, refNum)
		return
	}
	// 处于有效观察期内，更新
	if more.minPrice == 0 {
		more.minPrice = l
	} else if l < more.minPrice {
		more.minPrice = l
		more.minAt = distNum
		if more.minPrice < bar.Low {
			CloseWatch(s, more, refNum)
		}
	}
}

func CloseWatch(s *strat.StratJob, more *MoreHammer, refNum int) {
	if more.lastEnt == 0 {
		return
	}
	defer func() {
		more.lastEnt = 0
		more.atrTimes = 0
		more.minPrice = 0
		more.minAt = 0
		more.entBar = nil
	}()
	bar := more.entBar
	if more.minPrice == 0 || more.minPrice < bar.Low {
		// 价格突破锤子下影线，不再看涨，不作为信号参考
		return
	}
	backUp := bar.Close - bar.Low
	backRate := (bar.Close - more.minPrice) / backUp
	backRate = max(0, backRate)
	more.ents = append(more.ents, [2]float64{more.atrTimes, backRate})
	if len(more.ents) > refNum {
		more.ents = more.ents[:refNum]
	}
	sumRate := float64(0)
	for _, it := range more.ents {
		sumRate += it[1]
	}
	more.backRate = sumRate / float64(len(more.ents))
	backUpRate := backUp / bar.Close
	line := fmt.Sprintf("%v,%.1f,%.1f,%.1f,%v", s.Symbol.Symbol, backUpRate*100,
		more.atrTimes, backRate*100, more.minAt)
	s.Strat.WriteOutput(line, true)
}

func makeOnBar(atrLen, refNum, watchMin, watchMax int, baseRate float64) func(s *strat.StratJob) {
	return func(s *strat.StratJob) {
		e := s.Env
		ma5 := ta.SMA(e.Close, 5).Get(0)
		atr := ta.ATR(e.High, e.Low, e.Close, atrLen)
		baseAtrLen := int(math.Round(float64(atrLen) * 4.3))
		atrBase := ta.Lowest(ta.Highest(atr, atrLen), baseAtrLen).Get(0)
		maSml := ta.SMA(e.Close, 50).Get(0)
		maBig := ta.SMA(e.Close, 300).Get(0)

		more, _ := s.More.(*MoreHammer)

		o, h, l, c := ptn.GetMains(e, 0)
		if math.IsNaN(atrBase) || c < maSml && maSml < maBig {
			return
		}
		price := com.GetPrice(s.Symbol.Symbol, "")
		_ = c == price
		v := e.Volume.Get(0)
		solid := math.Abs(o - c)
		btm := min(o, c) - l
		up := h - max(o, c)
		if btm > max(2.0*solid, up*5.0, atrBase*baseRate) && c < ma5 {
			// 检查是否处于信号后观察模式
			CloseWatch(s, more, refNum)
			// 开始新观察
			bar := &banexg.Kline{Time: e.TimeStart, Open: o, High: h, Low: l, Close: c, Volume: v}
			StartWatch(e, more, bar, btm/atrBase)
			// 创建入场订单
			limit := c - (c-l)*more.backRate*0.55
			stopLoss := c - atr.Get(0)*3.0
			if stopLoss >= min(limit, c) {
				stopLoss = min(limit, c) - atr.Get(0)
			}
			err := s.OpenOrder(&strat.EnterReq{
				Tag:      "long",
				Limit:    limit,
				StopLoss: stopLoss,
			})
			if err != nil {
				fmt.Printf("open fail %v", err)
			}
		} else if more.lastEnt > 0 {
			// 更新观察数据
			UpdateWatch(s, more, c, l, watchMin, watchMax, refNum)
		}
	}
}

func onOrderChange(s *strat.StratJob, od *ormo.InOutOrder, chgType int) {
	if chgType != strat.OdChgEnter {
		// 只监听入场事件
		return
	}
	more, _ := s.More.(*MoreHammer)
	if more.entBar == nil {
		return
	}
	bar := more.entBar
	closePct := (bar.Close - bar.Low) / bar.Close
	btmPct := (min(bar.Open, bar.Close) - bar.Low) / bar.Close
	more.odInfos[od.ID] = &OdInfo{
		btmRate:   btmPct,
		closeRate: closePct,
	}
}

/*
生成回撤止损函数
第一个alpha参数调整反弹值
thres是二维数组，每一维2个，第一个是反弹阈值，第二个是返回的止损阈值；应按第一个降序排列
*/
func makeDrawDownExit(alpha float64, thres [][2]float64) func(s *strat.StratJob, od *ormo.InOutOrder, maxChg float64) float64 {
	return func(s *strat.StratJob, od *ormo.InOutOrder, maxChg float64) float64 {
		more, _ := s.More.(*MoreHammer)
		info, ok := more.odInfos[od.ID]
		if !ok {
			return -1
		}
		// 盈利比率占锤子反弹的比率
		// 建议超参数测试顺序：case upRate -> upRate 尾部系数 -> switch rate -> btmRate/closeRate
		upRate := maxChg / info.btmRate * alpha
		for _, item := range thres {
			if upRate > item[0] {
				return item[1]
			}
		}
		return 0
	}
}