rvi indicator

README.md

@@ -157,3 +157,15 @@ page design:
   - programmer: git repository actions, golang python js..., code examples
   - trader: ai strategy coder (交易员, 交易策略, 交易信号, 交易执行)
   - 新手学习者: 引导, 普通用户(player) ai strategy coder
+
+策略构建加速:
+- CICD pipeline: indicator/strategy -> git repository -> go plugin/docker image -> 入库OSS -> 回测
+- 用户系统: 注册登录, web看板参数存储, 账户管理(交易记录, 资金管理)
+- websocket行情推送: 实时k线, 交易信号
+- 指标参数、策略参数组合迭代, web页面自定义参数回测
+- 交易系统: 交易执行
+
+指标策略库(安全等级)：
+1. 系统内置
+2. go plugin 外挂, 从OSS拉取
+3. docker image, 运行在容器中

config/exchange.toml

@@ -19,7 +19,7 @@ marketSubscribeLimit = 16
 consumeBatch = 1024
 consumeLater = 2000                             # 时间到达later或者数据累计到batch触发consume
 # httpProxy = ""
-# httpProxy = "http://192.168.1.5:7890"
+# httpProxy = "http://192.168.1.4:7890"
 httpProxy = "http://10.255.183.209:7890"
 
 # 模拟盘API交易地址如下：

pkg/indicator/rvi.go

@@ -4,7 +4,7 @@ import (
 	"sig-pub/pkg/types"
 )
 
-// RVI Relative Vigor Index
+// RVI Relative Vigor Index 相对能量指数
 // RVI = SMA(Num, N) / SMA(Denom, N)
 // Num = (Close-Open) + 2*(Close_1-Open_1) + 2*(Close_2-Open_2) + (Close_3-Open_3)
 // Denom = (High-Low) + 2*(High_1-Low_1) + 2*(High_2-Low_2) + (High_3-Low_3)
@@ -72,13 +72,13 @@ func (c *RVI) Calculate(ctx IIndicatorContext) (vector float64) {
 		rvi = numSum / denomSum
 	}
 
-	ctx.State().Set("rvi", rvi)
+	ctx.State().Set("_rvi", rvi)
 
 	// Calculate Signal
 	// Signal = (RVI + 2*RVI_1 + 2*RVI_2 + RVI_3) / 6
-	rvi1, ok1 := ctx.State().Get("rvi", 1)
-	rvi2, ok2 := ctx.State().Get("rvi", 2)
-	rvi3, ok3 := ctx.State().Get("rvi", 3)
+	rvi1, ok1 := ctx.State().Get("_rvi", 1)
+	rvi2, ok2 := ctx.State().Get("_rvi", 2)
+	rvi3, ok3 := ctx.State().Get("_rvi", 3)
 
 	var sig float64
 	if ok1 && ok2 && ok3 {

pkg/strategy/mean_reversion_v1.go

@@ -0,0 +1,63 @@
+package strategy
+
+import (
+	"math"
+	"sig-pub/pkg/types"
+	"sig-pub/pkg/zlog"
+)
+
+// MeanReversionV1
+type MeanReversionV1 struct {
+	IIntervalSigStrategy
+	rate  float64
+	rate2 float64
+}
+
+func (s *MeanReversionV1) New() ISigStrategy {
+	return &MeanReversionV1{}
+}
+
+func (s *MeanReversionV1) Meta() StrategyMeta {
+	return StrategyMeta{
+		Name: "MeanReversionV1",
+		Desc: "均值回归策略v1",
+		Input: []types.InputArg{
+			{Name: "rate", Type: types.InputTypeUFloat, Desc: "上线影线与基线比例"},
+			{Name: "rate2", Type: types.InputTypeUFloat, Desc: "上线影线之间比例"},
+		},
+	}
+}
+
+func (s *MeanReversionV1) Init(input types.Input) (err error) { // 校验参数, 并根据参数初始化策略
+	s.rate = input.Float("rate")
+	s.rate2 = input.Float("rate2")
+	return
+}
+
+func (s *MeanReversionV1) CandlePeriods(ctx IIntervalSigStrategyContext) (iss *types.IntervalState[int16]) {
+	iss = types.NewIntervalState[int16]()
+	iss.Set(types.Interval5m, 1)
+	iss.Set(types.Interval15m, 2)
+	iss.Set(types.Interval30m, 2)
+	return
+}
+
+func (s *MeanReversionV1) Update(ctx IIntervalSigStrategyContext) (side types.Side) {
+	// O 109744.8 H 110600 L 109507.5 C 109686.8
+	k0 := ctx.Get("5m", 0)
+	open, close, high, low := k0.OpenF64(), k0.CloseF64(), k0.HighF64(), k0.LowF64()
+	base := math.Abs(open - close)
+	rup := (high - max(open, close)) / base
+	rdown := (min(open, close) - low) / base
+
+	if k0.Ts == 1761833700000 {
+		zlog.Debugf("base=%.4f, rup=%.4f, rdown=%.4f", base, rup, rdown)
+	}
+	if rup > s.rate && rup/rdown > s.rate2 {
+		return types.SideLong
+	}
+	if rdown > s.rate && rdown/rup > s.rate2 {
+		return types.SideShort
+	}
+	return
+}

pkg/strategy/sig_strategy_registry.go

@@ -28,6 +28,7 @@ func (r *SigStrategyRegistry) Init() (err error) {
 	r.MustRegistStrategy(&SuperTrendRSI{})
 	r.MustRegistStrategy(&SuperTrend2Macd{})
 	r.MustRegistStrategy(&SuperTrendMacdRSI{})
+	r.MustRegistStrategy(&TrendTrackV1{})
 	return
 }
 

pkg/strategy/trend_track_v1.go

@@ -0,0 +1,83 @@
+package strategy
+
+import (
+	"math"
+	"sig-pub/pkg/types"
+)
+
+// TrendTrackV1 趋势追踪策略v1
+type TrendTrackV1 struct {
+}
+
+func (s *TrendTrackV1) New() ISigStrategy {
+	return &TrendTrackV1{}
+}
+
+func (s *TrendTrackV1) Meta() StrategyMeta {
+	return StrategyMeta{
+		Name:  "TrendTrackV1",
+		Desc:  "趋势追踪策略v1",
+		Input: []types.InputArg{
+			// {Name: "trend1Window", Type: types.InputTypeUInt, Desc: "SuperTrend ATR周期"},
+		},
+	}
+}
+
+// Init 校验参数, 并根据参数初始化策略
+func (s *TrendTrackV1) Init(input types.Input) (err error) {
+	return
+}
+
+func (s *TrendTrackV1) CandlePeriods(ctx ISingleSigStrategyContext) int16 {
+	return max(
+		ctx.Indicator("RSI", types.Input{"window": 14}).CandlePeriods(),
+		ctx.Indicator("ADX", types.Input{"window": 14}).CandlePeriods(),
+		ctx.Indicator("SuperTrend", types.Input{"window": 14, "mul": 2}).CandlePeriods(),
+	)
+}
+
+func (s *TrendTrackV1) Update(ctx ISingleSigStrategyContext) (side types.Side) {
+	// RSI向上强度衰减后，RSI转向下且强度增加，考虑趋势反转，发出卖出信号
+	rsi := ctx.Indicator("RSI", types.Input{"window": 14})
+	r0 := rsi.Get(0)
+	r1 := rsi.Get(1)
+	r2 := rsi.Get(2)
+	r3 := rsi.Get(3)
+
+	d1 := r0 - r1
+	d2 := r1 - r2
+	d3 := r2 - r3
+
+	upWeakening := d3 > d2 && d2 > 0
+	turnDown := d1 < 0
+	downStrengthUp := math.Abs(d1) > d2
+
+	if upWeakening && turnDown && downStrengthUp {
+		return types.SideShort
+	}
+	return
+
+	// adx := ctx.Indicator("ADX", types.Input{"window": 14})
+	// superTrend := ctx.Indicator("SuperTrend", types.Input{"window": 14, "mul": 2})
+
+	// rsi
+	// adxValue := adx.Get(0)                        // 趋势强度
+	// direction := superTrend.State("direction", 0) // 趋势方向
+
+	// if direction == 1 && adxValue > 25 {
+	// 	return types.SideLong
+	// }
+
+	// if direction == -1 && adxValue > 25 {
+	// 	return types.SideShort
+	// }
+
+	// macd := ctx.Indicator("MACD", types.Input{"fast": 12, "slow": 26, "singal": 9})
+	// macdDea := macd.StateSeries("dea", 0, 2)
+	// macdDif := macd.StateSeries("dif", 0, 2)
+	// crossover := macdDif[0] > macdDea[0] && macdDif[1] < macdDea[1]  // 金叉
+	// crossunder := macdDif[0] < macdDea[0] && macdDif[1] > macdDea[1] // 死叉
+
+	// volAvg := ctx.Series(1, 20).Vol().Avg()
+	// vol := ctx.Get(0).VolF64()
+}

pkg/trade/itrade_analyzer.go

@@ -8,6 +8,7 @@ import (
 )
 
 // ITradeAnalyzer 建仓到平仓分析器
+// todo stateful 状态管理,停机和恢复
 type ITradeAnalyzer interface {
 	IEntryAnalyzer
 	IExitAnalyzer