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88 lines
2.9 KiB
88 lines
2.9 KiB
package strategy |
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import "sig-pub/pkg/types" |
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// SuperTrendMacdRSI 结合super trend和rsi指标策略 |
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type SuperTrendMacdRSI struct { |
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} |
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func (s *SuperTrendMacdRSI) New() ISigStrategy { |
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return &SuperTrendMacdRSI{} |
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} |
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func (s *SuperTrendMacdRSI) Meta() StrategyMeta { |
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return StrategyMeta{ |
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Name: "SuperTrendMacdRSI", |
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Desc: "SuperTrend + MACD + RSI 量化策略", |
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Input: []types.InputArg{ |
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// {Name: "trendWindow", Type: types.InputTypeUInt, Desc: "SuperTrend ATR周期"}, |
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// {Name: "trendMultipiler", Type: types.InputTypeUInt, Desc: "SuperTrend multipiler"}, |
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// {Name: "rsiWindow", Type: types.InputTypeUInt, Desc: "rsi周期"}, |
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}, |
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} |
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} |
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// Init 校验参数, 并根据参数初始化策略 |
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func (s *SuperTrendMacdRSI) Init(input types.Input) (err error) { |
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return |
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} |
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func (s *SuperTrendMacdRSI) CandlePeriods(ctx ISingleSigStrategyContext) int16 { |
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return max( |
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ctx.Indicator("SuperTrend", types.Input{"window": 10, "mul": 3}).CandlePeriods(), |
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ctx.Indicator("RSI", 14).CandlePeriods(), |
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ctx.Indicator("MacdDEA", types.Input{"fast": 12, "slow": 26, "singal": 9}).CandlePeriods(), |
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ctx.Indicator("MacdDEA", types.Input{"fast": 12, "slow": 26, "singal": 9}).CandlePeriods(), |
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ctx.Indicator("MacdDIF", types.Input{"fast": 12, "slow": 26, "singal": 9}).CandlePeriods(), |
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21, |
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) |
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} |
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func (s *SuperTrendMacdRSI) Update(ctx ISingleSigStrategyContext) (side types.Side) { |
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superTrend := ctx.Indicator("SuperTrend", types.Input{"window": 10, "mul": 3}) |
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rsi := ctx.Indicator("RSI", 14).Get(0) |
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macd := ctx.Indicator("MACD", types.Input{"fast": 12, "slow": 26, "singal": 9}) |
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macdHist := macd.Get(0) |
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macdDea := macd.StateSeries("dea", 0, 2) // macd_dea信号线 |
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macdDif := macd.StateSeries("dif", 0, 2) // macd_dif线 |
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// macdHist := ctx.Indicator("Macd", types.Input{"fast": 12, "slow": 26, "singal": 9}).Get(0) // macd柱 |
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// macdDea := ctx.Indicator("MacdDEA", types.Input{"fast": 12, "slow": 26, "singal": 9}).Series(0, 2) // macd_dea信号线 |
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// macdDif := ctx.Indicator("MacdDIF", types.Input{"fast": 12, "slow": 26, "singal": 9}).Series(0, 2) // macd_dif线 |
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crossover := macdDif[0] > macdDea[0] && macdDif[1] < macdDea[1] // 金叉 |
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// crossunder := macdDif[0] < macdDea[0] && macdDif[1] > macdDea[1] // 死叉 |
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closeP := ctx.Get(0).CloseF64() |
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volAvg := ctx.Series(1, 20).Vol().Avg() |
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vol := ctx.Get(0).VolF64() |
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trend := superTrend.Get(0) |
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trendDirection := superTrend.State("direction", 0) |
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// 金叉状态且正向扩张 |
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if crossover && macdHist > 0 { |
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// RSI 强度过滤 |
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if rsi > 50 { |
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// SuperTrend 趋势确认 |
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if closeP > trend && trendDirection == 1 { |
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// 成交量过滤 |
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if vol > volAvg*1.5 { |
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return types.SideLong |
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} |
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} |
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} |
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} |
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_ = ` |
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// 策略算子脚本DST, 优化golang底层不影响策略语法 |
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st1 = sig.SuperTrend(window=10, mul=3) |
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rsi = sig.RSI(window=14) |
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closeAvg = close[1:10].avg() |
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st1[0] |
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st1[0:10] |
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st1.direction[0] |
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if rsi[0] > 50 |
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... |
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` |
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return |
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}
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