114 lines
3.3 KiB
Go
114 lines
3.3 KiB
Go
package trend
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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/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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/*
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测试加入1d的大周期过滤，对做多或做空都未获得更好效果，反而略差
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20210101-20250101
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只做多：1776%，回撤28.8%，夏普3.93
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多空双开：1913%，回撤22%，夏普4.53
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做空部分单独运行波动很大，但和做多一起运行可减少做多的回撤
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参考SMACross1加入海龟资金和ErDelta过滤后：
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170品种下：夏普从7.97提升到8.91，显示最大回撤从18.71%下降到17.65%；收益从718%变为707%
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2025/02/25 ERChg<1时保留ATR比率开单，整体*1.15
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*/
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type entExitMore struct {
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enter *strat.EnterReq
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exit *strat.ExitReq
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}
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func MACDEMAV2(p *config.RunPolicyConfig) *strat.TradeStrat {
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// 初始HMA 25 4
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maType := com.DefMaType(p, "ma", com.MaHMA) // hma 包揽优化列表头部
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maLen := p.DefInt("maLen", 15, core.PNormF(7, 100, 25, 0)) // 超过40表现不佳，20多表现最好
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maRate := p.Def("maRate", 4.1, core.PNorm(1.5, 7))
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emaLen := p.DefInt("emaLen", 100, core.PNormF(30, 240, 100, 0))
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macdRt := p.Def("macdRt", 1, core.PNormF(0.7, 3, 1.2, 0))
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maBigLen := int(math.Round(float64(maLen) * maRate))
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mc1, mc2, mc3 := int(math.Round(12*macdRt)), int(math.Round(26*macdRt)), int(math.Round(9*macdRt))
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p.KeepHyperOnly("ma", "maLen", "maRate")
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return &strat.TradeStrat{
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WarmupNum: 500,
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EachMaxLong: 1,
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EachMaxShort: 1,
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//OnStartUp: func(s *strat.StratJob) {
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// s.More = &entExitMore{}
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//},
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//OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
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// return []*strat.PairSub{
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// {"_cur_", "4h", 500},
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// }
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//},
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//OnBar: func(s *strat.StratJob) {
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// m, _ := s.More.(*entExitMore)
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// if m.enter != nil {
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// s.OpenOrder(m.enter)
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// m.enter = nil
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// }
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// if m.exit != nil {
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// s.CloseOrders(m.exit)
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// m.exit = nil
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// }
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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.(*entExitMore)
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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c := e.Close.Get(0)
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atr := ta.ATR(e.High, e.Low, e.Close, 30)
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openRate := 0.015 * c / atr.Get(0)
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if openRate < 1 {
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openRate = math.Sqrt(openRate)
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}
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openRate *= 1.15
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er := ta.ER(e.Close, 50)
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erDelta := min(1.3, er.Get(0)/er.Get(12))
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if erDelta > 1 {
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openRate *= erDelta
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}
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ema := ta.EMA(e.Close, emaLen).Get(0)
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macd, signal := ta.MACD(e.Close, mc1, mc2, mc3)
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macdSub := macd.Get(0) - signal.Get(0)
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if c > ema && macdSub > 0 && len(s.LongOrders) == 0 {
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s.OpenOrder(&strat.EnterReq{
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Tag: "long",
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CostRate: openRate,
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})
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} else if len(s.LongOrders) > 0 && (macdSub < 0 && c < ema) {
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s.CloseOrders(&strat.ExitReq{
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Tag: "closeL",
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Dirt: core.OdDirtLong,
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})
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}
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ma1 := com.GetMA(e.Close, e.Volume, maType, maLen)
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ma2 := com.GetMA(e.Close, e.Volume, maType, maBigLen)
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cross := ma1.Cross(ma2)
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if cross == 1 && len(s.ShortOrders) > 0 {
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s.CloseOrders(&strat.ExitReq{
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Tag: "closeS",
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Dirt: core.OdDirtShort,
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})
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} else if cross == -1 && len(s.ShortOrders) == 0 {
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s.OpenOrder(&strat.EnterReq{
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Tag: "short",
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Short: true,
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CostRate: openRate,
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})
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}
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},
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}
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}
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