117 lines
3.8 KiB
Go
117 lines
3.8 KiB
Go
package trend
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import (
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"fmt"
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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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自研均线趋势策略，多空都开。适合1h
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在15m上，需把均线周期乘以4
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尝试加止损、止盈、限价入场，都会导致整体收益减少
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48个品种，21年到24年11月1日，累计收益1560%，最大回撤25%，夏普5.8
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总收益93%来自多头
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但加入空头可使夏普从4.8提高到5.8
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多空的参数独立，比同一套参数，收益更稳定些
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基于连续信号的商品期货交易策略
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https://mp.weixin.qq.com/s/6MS94OhGYhtjBQ1Ufa5Rag
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下面基于170固定品种：
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使用1.5%*Close/atr作为开仓倍数，夏普从8.12提升到9.63
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增加ErDelta过滤，夏普从9.63提升到11.03；最大回撤从21.8%降低到20.8%
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有效信号权重测试没有明显改善：
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OnStartUp: func(s *strat.StratJob) {
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s.More = []float64{0.5, 0.5} // long, short
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},
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probs := s.More.([]float64)
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if x1 == 1{
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newShort := probs[1] * 0.5
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s.More = []float64{1 - newShort, newShort}
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sigDelta := math.Abs(1 - newShort*2)
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if sigDelta > 0.2 {
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openRate *= (1 - newShort) * 1.7
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s.OpenOrder(&strat.EnterReq{Tag: "long", CostRate: openRate})
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}
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}
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if x2 == -1{
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newLong := probs[0] * 0.5
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s.More = []float64{newLong, 1 - newLong}
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sigDelta := math.Abs(1 - newLong*2)
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if sigDelta > 0.2 {
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openRate *= (1 - newLong) * 1.7
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s.OpenOrder(&strat.EnterReq{Tag: "short", Short: true, CostRate: openRate})
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}
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}
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*/
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func SMACrossV1(p *config.RunPolicyConfig) *strat.TradeStrat {
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// 初始：两个SMA 做空：SMA 15 8
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maLType := com.DefMaType(p, "maL", com.MaSMA)
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maSType := com.DefMaType(p, "maS", com.MaSMA)
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maLLen := p.DefInt("maLLen", 20, core.PNormF(7, 70, 20, 0))
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maSLen := p.DefInt("maSLen", 15, core.PNormF(5, 50, 15, 0))
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maLRate := p.Def("maLRate", 9, core.PNorm(2, 15))
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maSRate := p.Def("maSRate", 8, core.PNorm(2, 14))
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maLBig := int(math.Round(float64(maLLen) * maLRate))
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maSBig := int(math.Round(float64(maSLen) * maSRate))
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p.KeepHyperOnly("maSLen", "maSRate")
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return &strat.TradeStrat{
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WarmupNum: 200,
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EachMaxShort: 1,
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EachMaxLong: 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, 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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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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} else {
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// 过滤掉ER下降的
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openRate = 0
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}
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// 方案一：多空SMA：略微平滑，收益略小一点
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// 方案二：多空VWMA：略微波动大点，收益略好一点
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price := ta.AvgPrice(e)
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ma1 := com.GetMA(price, e.Volume, maLType, maLLen)
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ma2 := com.GetMA(price, e.Volume, maLType, maLBig)
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x1 := ma1.Cross(ma2)
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if x1 == 1 && openRate > 0 {
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s.OpenOrder(&strat.EnterReq{Tag: "long", CostRate: openRate, Log: true})
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} else if x1 == -1 {
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s.CloseOrders(&strat.ExitReq{Tag: "xlong", Dirt: core.OdDirtLong, Log: true})
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}
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ma3 := com.GetMA(price, e.Volume, maSType, maSLen)
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ma4 := com.GetMA(price, e.Volume, maSType, maSBig)
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x2 := ma3.Cross(ma4)
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if x2 == -1 && openRate > 0 {
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s.OpenOrder(&strat.EnterReq{Tag: "short", Short: true, CostRate: openRate, Log: true})
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} else if x2 == 1 {
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s.CloseOrders(&strat.ExitReq{Tag: "xshort", Dirt: core.OdDirtShort, Log: true})
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}
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if !s.IsWarmUp {
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line := fmt.Sprintf("%s %s %d %d %f %f %f %f %f atr:%f er:%f m1:%f m2:%f m3:%f m4:%f x1:%v x2:%v rate:%f",
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s.Account, s.Symbol.Symbol, len(s.LongOrders), len(s.ShortOrders),
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e.Open.Get(0), e.High.Get(0), e.Low.Get(0), e.Close.Get(0), e.Volume.Get(0),
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atr.Get(0), er.Get(0), ma1.Get(0), ma2.Get(0), ma3.Get(0), ma4.Get(0),
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x1, x2, openRate)
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s.Strat.WriteOutput(line, true)
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}
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},
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}
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}
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