120 lines
2.8 KiB
Go
120 lines
2.8 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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)
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/*
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测试仅c<h1时有明显收益，其他如l1,c1,hlc1等，收益都不够好
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初始策略：日线级别，c<h1，tr>atr时开多，持有一日平仓
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*/
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func smp1(p *config.RunPolicyConfig) *strat.TradeStrat {
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allowOpen := false
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return &strat.TradeStrat{
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WarmupNum: 10,
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RunTimeFrames: []string{"4h"},
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OnPairInfos: func(s *strat.StratJob) []*strat.PairSub {
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return []*strat.PairSub{
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{"_cur_", "1d", 30},
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}
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},
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OnSymbols: func(items []string) []string {
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hasBTC := false
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for _, it := range items {
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if it == "BTC/USDT:USDT" {
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hasBTC = true
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}
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}
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if !hasBTC {
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return append([]string{"BTC/USDT:USDT"}, items...)
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}
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return items
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},
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OnStartUp: func(s *strat.StratJob) {
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s.More = 0
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},
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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atr := ta.ATR(e.High, e.Low, e.Close, 14).Get(0)
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doOpen := s.More.(int)
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c := e.Close.Get(0)
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o := e.Open.Get(0)
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if len(s.LongOrders) > 0 {
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slPrice := c - atr*3
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for _, od := range s.LongOrders {
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holdNum := e.BarCount(od.EnterAt)
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if holdNum < 8 {
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continue
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}
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sl := od.GetStopLoss()
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if sl == nil && (c-od.InitPrice < atr*3 || o >= c-atr*0.6) {
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s.CloseOrders(&strat.ExitReq{
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Tag: "exit",
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OrderID: od.ID,
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})
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} else if sl == nil || slPrice > sl.Price {
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od.SetStopLoss(&ormo.ExitTrigger{
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Price: slPrice,
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})
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}
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}
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} else if doOpen == 1 {
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s.More = 0
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s.OpenOrder(&strat.EnterReq{
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Tag: "long1",
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})
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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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if pair == "BTC/USDT:USDT" {
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ma30 := ta.SMA(e.Close, 45).Get(0)
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c := e.Close.Get(0)
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allowOpen = c > ma30
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}
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c := e.Close.Get(0)
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h1 := e.High.Get(1)
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atr := ta.ATR(e.High, e.Low, e.Close, 14).Get(0)
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tr := ta.TR(e.High, e.Low, e.Close).Get(0)
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ma := ta.SMA(e.Close, 14).Get(0)
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if allowOpen && len(s.LongOrders) == 0 && c < h1-atr*0.4 && c > ma {
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if tr > atr {
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s.More = 1
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}
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}
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},
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}
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}
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func smp0(p *config.RunPolicyConfig) *strat.TradeStrat {
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return &strat.TradeStrat{
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WarmupNum: 30,
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RunTimeFrames: []string{"1d"},
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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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h1 := e.High.Get(1)
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atr := ta.ATR(e.High, e.Low, e.Close, 14).Get(0)
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tr := ta.TR(e.High, e.Low, e.Close).Get(0)
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ma := ta.SMA(e.Close, 14).Get(0)
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if len(s.LongOrders) > 0 {
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s.CloseOrders(&strat.ExitReq{
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Tag: "exit",
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Dirt: core.OdDirtLong,
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})
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} else if c < h1-atr*0.4 && c > ma {
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if tr > atr {
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s.OpenOrder(&strat.EnterReq{
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Tag: "long1",
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TakeProfitVal: atr * 2,
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})
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}
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}
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},
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}
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}
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