strategy super_trend

README.md

@@ -87,8 +87,16 @@ strategy0: 趋势追踪，增长趋势，
 
 回测信号可视化, /trading/strategySeries 一样从postgres拉信号/订单数据
 
-go plugin插件化(指标/策略), 调度docker容器运行回测, grpc资源访问
+用户方向(操作体验优化):
+  - 账户净值曲线、总收益曲线
+  - 月份收益分布柱状图
+  - 动态策略脚本: 
+    - python, pine script
+    - Wasm(WebAssembly), 接口类型WIT
+    - go plugin插件化(指标/策略, 安全问题?), 调度docker容器运行回测, grpc资源访问
+收益方向: 
+  - trade strategy
+  - 自动测试(因子挖掘): 
+    1. 指标分类
+    2. 指标参数组合迭代 (确定潜在的可调参数)
 
-确定潜在的可调参数
-
-Wasm(WebAssembly), 接口类型WIT

config/exchange.toml

@@ -18,8 +18,9 @@ receiveBuffer = 4096
 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://10.255.183.209:7890"
+# httpProxy = "http://10.255.183.209:7890"
 
 # 模拟盘API交易地址如下：
 # REST：https://www.okx.com

pkg/strategy/sig_strategy_registry.go

@@ -25,6 +25,9 @@ func (r *SigStrategyRegistry) Init() (err error) {
 	r.MustRegistStrategy(&GoldX{})
 	r.MustRegistStrategy(&SupertrendBOSWaves{})
 	r.MustRegistStrategy(&CrossStar{})
+	r.MustRegistStrategy(&SuperTrendRSI{})
+	r.MustRegistStrategy(&SuperTrend2Macd{})
+	r.MustRegistStrategy(&SuperTrendMacdRSI{})
 	return
 }
 

pkg/strategy/super_trend2_macd.go

@@ -0,0 +1,79 @@
+package strategy
+
+import "sig-pub/pkg/types"
+
+// SuperTrend2Macd 结合super trend和rsi指标策略
+type SuperTrend2Macd struct {
+}
+
+func (s *SuperTrend2Macd) New() ISigStrategy {
+	return &SuperTrend2Macd{}
+}
+
+func (s *SuperTrend2Macd) Meta() StrategyMeta {
+	return StrategyMeta{
+		Name:  "SuperTrend2Macd",
+		Desc:  "双 SuperTrend + MACD + 成交量",
+		Input: []types.InputArg{
+			// {Name: "trend1Window", Type: types.InputTypeUInt, Desc: "SuperTrend ATR周期"},
+			// {Name: "trend1Mul", Type: types.InputTypeUInt, Desc: "SuperTrend multipiler"},
+			// {Name: "trend2Window", Type: types.InputTypeUInt, Desc: "SuperTrend ATR周期"},
+			// {Name: "trend2Mul", Type: types.InputTypeUInt, Desc: "SuperTrend multipiler"},
+			// {Name: "rsiWindow", Type: types.InputTypeUInt, Desc: "rsi周期"},
+		},
+	}
+}
+
+// Init 校验参数, 并根据参数初始化策略
+func (s *SuperTrend2Macd) Init(input types.Input) (err error) {
+	return
+}
+
+func (s *SuperTrend2Macd) CandlePeriods(ctx ISingleSigStrategyContext) int16 {
+	return max(
+		ctx.Indicator("SuperTrend", types.Input{"window": 10, "mul": 3}).CandlePeriods(),
+		ctx.Indicator("SuperTrend", types.Input{"window": 14, "mul": 2}).CandlePeriods(),
+		ctx.Indicator("MacdDEA", types.Input{"fast": 12, "slow": 26, "singal": 9}).CandlePeriods(),
+		ctx.Indicator("MacdDIF", types.Input{"fast": 12, "slow": 26, "singal": 9}).CandlePeriods(),
+		21,
+	)
+}
+
+func (s *SuperTrend2Macd) Update(ctx ISingleSigStrategyContext) (side types.Side) {
+	superTrend1 := ctx.Indicator("SuperTrend", types.Input{"window": 10, "mul": 3})
+	superTrend2 := ctx.Indicator("SuperTrend", types.Input{"window": 14, "mul": 2})
+
+	// 買入：SuperTrend 轉綠（綠線在價格下方）且 RSI > 50（確認動能向上）
+	// 賣出：SuperTrend 轉紅，或 RSI < 30（超賣退出）
+	// 風險控制：止損 3%（SuperTrend 線為參考），無固定止盈（讓利潤奔跑）
+	trend1Directions := superTrend1.StateSeries("direction", 0, 2)
+	trend2Directions := superTrend2.StateSeries("direction", 0, 2)
+
+	macdDea := ctx.Indicator("MacdDEA", types.Input{"fast": 12, "slow": 26, "singal": 9}).Series(0, 2) // macd_dea信号线
+	macdDif := ctx.Indicator("MacdDIF", types.Input{"fast": 12, "slow": 26, "singal": 9}).Series(0, 2) // macd_dif线
+
+	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()
+
+	if trend1Directions[0] == 1 && trend1Directions[1] == -1 &&
+		trend2Directions[0] == 1 && trend2Directions[1] == -1 {
+		if crossover {
+			if vol > volAvg*1.5 {
+				return types.SideLong
+			}
+		}
+	}
+
+	if trend1Directions[0] == -1 && trend1Directions[1] == 1 &&
+		trend2Directions[0] == -1 && trend2Directions[1] == 1 {
+		if crossunder {
+			if vol > volAvg*1.5 {
+				return types.SideShort
+			}
+		}
+	}
+	return
+}

pkg/strategy/super_trend_macd_rsi.go

@@ -0,0 +1,72 @@
+package strategy
+
+import "sig-pub/pkg/types"
+
+// SuperTrendMacdRSI 结合super trend和rsi指标策略
+type SuperTrendMacdRSI struct {
+}
+
+func (s *SuperTrendMacdRSI) New() ISigStrategy {
+	return &SuperTrendMacdRSI{}
+}
+
+func (s *SuperTrendMacdRSI) Meta() StrategyMeta {
+	return StrategyMeta{
+		Name:  "SuperTrendMacdRSI",
+		Desc:  "SuperTrend + MACD + RSI 量化策略",
+		Input: []types.InputArg{
+			// {Name: "trendWindow", Type: types.InputTypeUInt, Desc: "SuperTrend ATR周期"},
+			// {Name: "trendMultipiler", Type: types.InputTypeUInt, Desc: "SuperTrend multipiler"},
+			// {Name: "rsiWindow", Type: types.InputTypeUInt, Desc: "rsi周期"},
+		},
+	}
+}
+
+// Init 校验参数, 并根据参数初始化策略
+func (s *SuperTrendMacdRSI) Init(input types.Input) (err error) {
+	return
+}
+
+func (s *SuperTrendMacdRSI) CandlePeriods(ctx ISingleSigStrategyContext) int16 {
+	return max(
+		ctx.Indicator("SuperTrend", types.Input{"window": 10, "mul": 3}).CandlePeriods(),
+		ctx.Indicator("RSI", 14).CandlePeriods(),
+		ctx.Indicator("MacdDEA", types.Input{"fast": 12, "slow": 26, "singal": 9}).CandlePeriods(),
+		ctx.Indicator("MacdDEA", types.Input{"fast": 12, "slow": 26, "singal": 9}).CandlePeriods(),
+		ctx.Indicator("MacdDIF", types.Input{"fast": 12, "slow": 26, "singal": 9}).CandlePeriods(),
+		21,
+	)
+}
+
+func (s *SuperTrendMacdRSI) Update(ctx ISingleSigStrategyContext) (side types.Side) {
+	superTrend := ctx.Indicator("SuperTrend", types.Input{"window": 10, "mul": 3})
+	rsi := ctx.Indicator("RSI", 14).Get(0)
+	macdHist := ctx.Indicator("Macd", types.Input{"fast": 12, "slow": 26, "singal": 9}).Get(0)         // macd柱
+	macdDea := ctx.Indicator("MacdDEA", types.Input{"fast": 12, "slow": 26, "singal": 9}).Series(0, 2) // macd_dea信号线
+	macdDif := ctx.Indicator("MacdDIF", types.Input{"fast": 12, "slow": 26, "singal": 9}).Series(0, 2) // macd_dif线
+
+	crossover := macdDif[0] > macdDea[0] && macdDif[1] < macdDea[1] // 金叉
+	// crossunder := macdDif[0] < macdDea[0] && macdDif[1] > macdDea[1] // 死叉
+
+	closeP := ctx.Get(0).CloseF64()
+	volAvg := ctx.Series(1, 20).Vol().Avg()
+	vol := ctx.Get(0).VolF64()
+
+	trend := superTrend.Get(0)
+	trendDirection := superTrend.State("direction", 0)
+
+	// 金叉状态且正向扩张
+	if crossover && macdHist > 0 {
+		// RSI 强度过滤
+		if rsi > 50 {
+			// SuperTrend 趋势确认
+			if closeP > trend && trendDirection == 1 {
+				// 成交量过滤
+				if vol > volAvg*1.5 {
+					return types.SideLong
+				}
+			}
+		}
+	}
+	return
+}

pkg/strategy/super_trend_rsi.go

@@ -13,7 +13,7 @@ func (s *SuperTrendRSI) New() ISigStrategy {
 func (s *SuperTrendRSI) Meta() StrategyMeta {
 	return StrategyMeta{
 		Name: "SuperTrendRSI",
-		Desc: "金叉策略",
+		Desc: "超级趋势结合RSI(动能过滤)策略",
 		Input: []types.InputArg{
 			{Name: "trendWindow", Type: types.InputTypeUInt, Desc: "SuperTrend ATR周期"},
 			{Name: "trendMultipiler", Type: types.InputTypeUInt, Desc: "SuperTrend multipiler"},
@@ -30,7 +30,7 @@ func (s *SuperTrendRSI) Init(input types.Input) (err error) {
 func (s *SuperTrendRSI) CandlePeriods(ctx ISingleSigStrategyContext) int16 {
 	return max(
 		ctx.Indicator("SuperTrend", types.Input{
-			"window": ctx.Input().Int16("trendPeriod"),
+			"window": ctx.Input().Int16("trendWindow"),
 			"mul":    ctx.Input().Int16("trendMultipiler"),
 		}).CandlePeriods(),
 		ctx.Indicator("RSI", types.Input{"window": ctx.Input().Int16("rsiWindow")}).CandlePeriods(),
@@ -39,12 +39,24 @@ func (s *SuperTrendRSI) CandlePeriods(ctx ISingleSigStrategyContext) int16 {
 
 func (s *SuperTrendRSI) Update(ctx ISingleSigStrategyContext) (side types.Side) {
 	superTrend := ctx.Indicator("SuperTrend", types.Input{
-		"window": ctx.Input().Int16("trendPeriod"),
+		"window": ctx.Input().Int16("trendWindow"),
 		"mul":    ctx.Input().Int16("trendMultipiler"),
 	})
 	rsi := ctx.Indicator("RSI", types.Input{"window": ctx.Input().Int16("rsiWindow")})
 
-	_, _ = superTrend, rsi
+	// 買入：SuperTrend 轉綠（綠線在價格下方）且 RSI > 50（確認動能向上）
-
+	// 賣出：SuperTrend 轉紅，或 RSI < 30（超賣退出）
+	// 風險控制：止損 3%（SuperTrend 線為參考），無固定止盈（讓利潤奔跑）
+	trendDirections := superTrend.StateSeries("direction", 0, 2)
+	if trendDirections[0] == 1 && trendDirections[1] == -1 {
+		if rsi.Get(0) > 50 {
+			return types.SideLong
+		}
+	}
+	if trendDirections[0] == -1 && trendDirections[1] == 1 {
+		if rsi.Get(0) < 30 {
+			return types.SideShort
+		}
+	}
 	return
 }

pkg/trade/trade_strategy.go

@@ -46,7 +46,7 @@ func (s *TradeStrategy) SigTrade(side types.Side, k types.Kline) (ta TradeArg, e
 		Side:      side,
 		Price:     price,
 		Leverage:  1,
-		Qty:       0.01,
+		Qty:       0.02,
 		KInterval: string(k.Interval),
 		KTime:     k.Ts,
 		Time:      time,