54 lines
1.3 KiB
Go
54 lines
1.3 KiB
Go
package trend
|
|
|
|
import (
|
|
"github.com/banbox/banbot/config"
|
|
"github.com/banbox/banbot/orm/ormo"
|
|
"github.com/banbox/banbot/strat"
|
|
ta "github.com/banbox/banta"
|
|
"math"
|
|
)
|
|
|
|
func fastIO(p *config.RunPolicyConfig) *strat.TradeStrat {
|
|
lenAtr := 15
|
|
baseAtrLen := int(math.Round(float64(lenAtr) * 4.3))
|
|
return &strat.TradeStrat{
|
|
WarmupNum: 100,
|
|
EachMaxLong: 1,
|
|
EachMaxShort: 1,
|
|
DrawDownExit: true,
|
|
OnBar: func(s *strat.StratJob) {
|
|
e := s.Env
|
|
rsi4 := ta.RSI50(e.Close, 4).Get(0)
|
|
rsi14 := ta.RSI50(e.Close, 14).Get(0)
|
|
atr := ta.ATR(e.High, e.Low, e.Close, lenAtr)
|
|
atrBase := ta.Lowest(ta.Highest(atr, lenAtr), baseAtrLen).Get(0)
|
|
|
|
if rsi4 > 30 && rsi14 > 25 && rsi14 < 40 {
|
|
s.OpenOrder(&strat.EnterReq{
|
|
Tag: "long",
|
|
StopLossVal: atrBase,
|
|
TakeProfitVal: atrBase * 2.5,
|
|
})
|
|
} else if rsi4 < -30 && rsi14 < -25 && rsi14 > -40 {
|
|
s.OpenOrder(&strat.EnterReq{
|
|
Tag: "short",
|
|
Short: true,
|
|
StopLossVal: atrBase,
|
|
TakeProfitVal: atrBase * 2.5,
|
|
})
|
|
}
|
|
},
|
|
GetDrawDownExitRate: func(s *strat.StratJob, od *ormo.InOutOrder, maxChg float64) float64 {
|
|
sl := od.GetStopLoss()
|
|
if sl == nil {
|
|
return 0
|
|
}
|
|
slRate := sl.Range / od.Enter.Average
|
|
if maxChg > slRate {
|
|
return 0.63
|
|
}
|
|
return 0
|
|
},
|
|
}
|
|
}
|