115 lines
3.1 KiB
Go
115 lines
3.1 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/orm/ormo"
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"github.com/banbox/banbot/strat"
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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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基于MACDEMAV2，修改做空部分。做空的表现和SMACrossV1很相似，导致趋同性回撤
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压力位开空，止损为atr
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盈利空间超过atr，设置止损为c+atr
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盈利超过3倍atr，设置止损0.6
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10个bar时，小亏，直接平仓
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*/
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func MACDEMAV3(p *config.RunPolicyConfig) *strat.TradeStrat {
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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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lenAtr := int(p.Def("atr", 29, core.PNorm(7, 40)))
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baseAtrLen := int(float64(lenAtr) * 4.3)
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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("emaLen", "macdRt")
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stateKey := "state"
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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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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, lenAtr)
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atrBase := ta.Lowest(ta.Highest(atr, lenAtr), baseAtrLen).Get(0)
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atrVal := atr.Get(0)
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atrMa := (atrBase + atrVal) / 2
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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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hh3 := ta.Highest(e.High, 3).Get(0)
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_, kdjD, _ := ta.KDJBy(e.High, e.Low, e.Close, 13, 3, 3, "sma")
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dSMA := ta.SMA(kdjD, 3)
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isYaLi := dSMA.Cross(80.5) == 1 // crossover
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if (c-ema)*macdSub > 0 {
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if macdSub < 0 {
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if len(s.LongOrders) > 0 {
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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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} else {
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//s.OpenOrder(&strat.EnterReq{
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// Tag: "long",
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//})
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}
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}
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if len(s.ShortOrders) > 0 {
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low := e.Low.Get(0)
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for _, od := range s.ShortOrders {
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if od.Status < ormo.InOutStatusFullEnter {
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continue
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}
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// state: 0初始止损 1平衡止损c+atr 2盈利宽止损
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state := od.GetInfoFloat64(stateKey)
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bestRange := od.InitPrice - low
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sl := od.GetStopLoss()
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if bestRange > atrMa*2 || state == 2 {
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// 处于较好盈利
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newSl := c + bestRange*0.35
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if newSl < sl.Price {
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od.SetStopLoss(&ormo.ExitTrigger{Price: newSl, Tag: "good"})
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od.SetInfo(stateKey, 2)
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}
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continue
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}
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holdNum := e.BarCount(od.EnterAt)
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if holdNum > 9.5 && od.Profit < 0 {
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// 超过10个bar，依然亏，直接平
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s.CloseOrders(&strat.ExitReq{Tag: "exit10", OrderID: od.ID})
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continue
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}
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if bestRange > atrMa*0.6 || state == 1 {
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// 处于平衡状态
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newSL := c + atrMa*0.3
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if newSL < sl.Price {
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od.SetStopLoss(&ormo.ExitTrigger{Price: newSL, Tag: "zero"})
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od.SetInfo(stateKey, 1)
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}
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}
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}
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}
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if isYaLi && 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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Limit: hh3 - atrMa*0.5,
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StopLoss: hh3 + atrMa,
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StopBars: 7,
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})
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}
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},
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}
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}
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