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107 lines
2.9 KiB
107 lines
2.9 KiB
package strategy |
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import ( |
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"sig-pub/pkg/types" |
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"sig-pub/pkg/zlog" |
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) |
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// BollGrid 布林带网格策略 |
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// 基于布林带中轨(SMA)和标准差(StdDev)构建动态网格 |
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// 利用布林带指标计算出的中轨和上轨反推标准差 |
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// 当价格下穿下方网格线时做多 |
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// 当价格上穿上方网格线时做空 |
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type BollGrid struct { |
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period int16 // 布林带周期 |
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gridStep float64 // 网格间距(标准差倍数) |
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gridSize int16 // 单侧网格数量 |
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} |
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func (s *BollGrid) New() ISigStrategy { |
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return &BollGrid{} |
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} |
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func (s *BollGrid) Meta() StrategyMeta { |
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return StrategyMeta{ |
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Name: "BollGrid", |
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Desc: "基于布林带标准差的动态网格策略", |
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Input: []types.InputArg{ |
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{Name: "period", Type: types.InputTypeUInt, Desc: "布林带周期", Default: 20}, |
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{Name: "gridStep", Type: types.InputTypeUFloat, Desc: "网格间距(标准差倍数)", Default: 1.0}, |
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{Name: "gridSize", Type: types.InputTypeUInt, Desc: "单侧网格数量", Default: 3}, |
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}, |
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} |
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} |
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func (s *BollGrid) Init(input types.Input) (err error) { |
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s.period = input.Int16("period") |
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s.gridStep = input.Float("gridStep") |
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s.gridSize = input.Int16("gridSize") |
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return |
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} |
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func (s *BollGrid) CandlePeriods(ctx ISingleSigStrategyContext) int16 { |
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return max( |
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ctx.Indicator("BOLL", s.period).CandlePeriods(), |
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2, // 需要前一根K线判断交叉 |
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128, |
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) |
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} |
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func (s *BollGrid) Update(ctx ISingleSigStrategyContext) (side types.Side) { |
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// 128 根k线的成交量分布图 |
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summary, ok := ctx.SummaryIndicator("VRVP", types.Input{"buckets": 48}).Summary(0, 128) |
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_, _ = summary, ok |
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ts := ctx.Get(0).Ts |
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if ts == 1763685000000 { |
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zlog.Infof("last summary: %#v", summary) |
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} |
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// 获取指标数据 |
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// BOLL指标 Calculate 返回值为 mb (中轨) |
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bollInd := ctx.Indicator("BOLL", s.period) |
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mb := bollInd.Get(0) |
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ub := bollInd.State("ub", 0) // 上轨 (mb + 2*sigma) |
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// 计算标准差 sigma |
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// 默认 BOLL 实现中，ub = mb + 2 * sigma |
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sigma := (ub - mb) / 2.0 |
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if sigma == 0 { |
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return types.SideNone |
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} |
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// 获取前一根指标数据用于判断交叉 |
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mbPrev := bollInd.Get(1) |
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ubPrev := bollInd.State("ub", 1) |
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sigmaPrev := (ubPrev - mbPrev) / 2.0 |
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// 获取K线收盘价 |
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closeP := ctx.Get(0).CloseF64() |
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closePrev := ctx.Get(1).CloseF64() |
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// 遍历网格层级 |
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for i := int16(1); i <= s.gridSize; i++ { |
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stepMul := float64(i) * s.gridStep |
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// 下方网格线: MB - i * step * sigma |
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lower := mb - sigma*stepMul |
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lowerPrev := mbPrev - sigmaPrev*stepMul |
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// 价格下穿下方网格线 -> 买入信号 |
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// Close[1] >= Lower[1] && Close[0] < Lower[0] |
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if closePrev >= lowerPrev && closeP < lower { |
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return types.SideLong |
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} |
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// 上方网格线: MB + i * step * sigma |
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upper := mb + sigma*stepMul |
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upperPrev := mbPrev + sigmaPrev*stepMul |
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// 价格上穿上方网格线 -> 卖出信号 |
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// Close[1] <= Upper[1] && Close[0] > Upper[0] |
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if closePrev <= upperPrev && closeP > upper { |
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return types.SideShort |
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} |
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} |
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return |
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}
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