banstagy/surge/alldown.go

package surge

import (
	"github.com/banbox/banbot/config"
	"github.com/banbox/banbot/core"
	"github.com/banbox/banbot/strat"
	ta "github.com/banbox/banta"
	"math"
	"sort"
)

/*
全市场瞬时暴跌做空策略。适用于十分钟跌去70%的情况。
可使用下面脚本回测：surge/down_test.go
E:\trade\go\bandata\backtest\bdb35c1d91\surge_alldown.log
*/

type AllDownSta struct {
	volBase  float64 // 平均成交量
	dirtRate float64 // K线方向倍率，范围约：[-3,3]
	barRate  float64 // K线比率
	volRate  float64 // 成交量倍率
}

func AllDown(p *config.RunPolicyConfig) *strat.TradeStrat {
	//var allowLog = false

	lenAtr, lenAtrS := 20, 30
	baseAtrLen := int(math.Round(float64(lenAtr) * 4.3))
	baseAtrLenS := baseAtrLen * 3 / 2

	env, _ := ta.NewBarEnv("", "", "", "1m")
	lenS := env.NewSeries(nil)
	volS := env.NewSeries(nil)

	var prevLen float64
	var volThres = 2.8
	var openDirt float64

	return &strat.TradeStrat{
		WarmupNum:  150,
		BatchInOut: true,
		TimeFrames: "1m",
		OnStartUp: func(s *strat.StratJob) {
			s.More = &AllDownSta{}
		},
		OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
			return []*strat.PairSub{
				{"_cur_", "15m", 100},
			}
		},
		OnBar: func(s *strat.StratJob) {
			e := s.Env
			m, _ := s.More.(*AllDownSta)
			atr := ta.ATR(e.High, e.Low, e.Close, lenAtrS)
			atrBase := ta.Lowest(ta.Highest(atr, lenAtrS), baseAtrLenS).Get(0)
			o, c := e.Open.Get(0), e.Close.Get(0)
			h, l := e.High.Get(0), e.Low.Get(0)
			m.dirtRate = (c - o) / atrBase
			m.barRate = (c - o) / (h - l)
			m.volRate = ta.EMA(e.Volume, lenAtr).Get(0) / m.volBase
		},
		OnInfoBar: func(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
			m, _ := s.More.(*AllDownSta)
			maVol := ta.EMA(e.Volume, lenAtr)
			m.volBase = ta.Lowest(ta.Highest(maVol, lenAtr), baseAtrLen).Get(0) / 3
		},
		OnBatchJobs: func(jobs []*strat.StratJob) {
			jobNum := len(jobs)
			volRates := make([]float64, 0, jobNum)
			lenRates := make([]float64, 0, jobNum)
			solidRates := make([]float64, 0, jobNum)
			volIds := make([]*core.Int64Flt, 0, jobNum)
			var timeMS int64
			for i, j := range jobs {
				m, _ := j.More.(*AllDownSta)
				volRates = append(volRates, m.volRate)
				lenRates = append(lenRates, m.dirtRate)
				solidRates = append(solidRates, m.barRate)
				timeMS = max(timeMS, j.Env.TimeStop)
				volIds = append(volIds, &core.Int64Flt{
					Int: int64(i),
					Val: m.volRate,
				})
			}
			sort.Float64s(volRates)
			sort.Float64s(lenRates)
			sort.Float64s(solidRates)
			vol := volRates[jobNum/2]
			solid := solidRates[jobNum/2]
			lenMid := lenRates[jobNum/2]
			//len33 := lenRates[jobNum/3]
			len66 := lenRates[jobNum*2/3]

			val := lenMid + vol
			env.TimeStop = max(timeMS, env.TimeStop)
			if math.IsNaN(val) || math.IsInf(val, 0) || lenS.Cached() {
				return
			}
			lenS.Append(lenMid)
			volS.Append(vol)
			dataLen := volS.Len()
			if dataLen > env.MaxCache*2 {
				volS.Cut(env.MaxCache)
				lenS.Cut(env.MaxCache)
			}
			volMa1 := ta.SMA(volS, 3).Get(1)
			low5len := ta.Lowest(lenS, 30).Get(1)
			if openDirt >= -1 && vol > volThres && lenMid < low5len && len66 < 0 && solid < -0.5 && prevLen < 0 {
				// 成交量突破阈值，全市场大阴线，前一个也是阴线
				prevRate := lenMid / prevLen
				if prevRate < 3 && prevRate > 1.5 && vol/volMa1 < 2 {
					// 与前一个k线比率不超过3，成交量缓慢增长
					openDirt -= 1
					costRate := 2.0
					if vol < 4 {
						costRate *= vol / 4
					}
					sort.Slice(volIds, func(i, j int) bool {
						return volIds[i].Val < volIds[j].Val
					})
					// 做空成交量最大的1/3部分，获利最丰(收益45%, 55%, 66%)
					items := volIds[jobNum*2/3:]
					for _, it := range items {
						jobs[it.Int].OpenOrder(&strat.EnterReq{
							Tag:      "short",
							CostRate: costRate,
							Short:    true,
						})
					}
				}
			}
			if openDirt < 0 {
				// 正在做空/多
				if lenMid*openDirt < 0 {
					openDirt = 0
					for _, job := range jobs {
						job.CloseOrders(&strat.ExitReq{
							Tag:   "exit",
							Force: true,
						})
					}
				}
			}
			prevLen = lenMid
			//if !allowLog && vol > 2.5 {
			//	allowLog = true
			//}
			//if !math.IsNaN(vol) {
			//	jobs[0].Strat.WriteOutput(fmt.Sprintf("%.2f %.2f %.2f %.2f %.2f", vol, solid, lenMid, len33, len66), true)
			//	if vol < 1.4 {
			//		allowLog = false
			//	}
			//}
		},
	}
}