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83 lines
2.2 KiB
83 lines
2.2 KiB
package strategy |
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import ( |
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"math" |
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"sig-pub/pkg/types" |
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) |
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// TrendTrackV1 趋势追踪策略v1 |
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type TrendTrackV1 struct { |
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} |
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func (s *TrendTrackV1) New() ISigStrategy { |
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return &TrendTrackV1{} |
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} |
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func (s *TrendTrackV1) Meta() StrategyMeta { |
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return StrategyMeta{ |
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Name: "TrendTrackV1", |
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Desc: "趋势追踪策略v1", |
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Input: []types.InputArg{ |
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// {Name: "trend1Window", Type: types.InputTypeUInt, Desc: "SuperTrend ATR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 *TrendTrackV1) Init(input types.Input) (err error) { |
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return |
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} |
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func (s *TrendTrackV1) CandlePeriods(ctx ISingleSigStrategyContext) int16 { |
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return max( |
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ctx.Indicator("RSI", types.Input{"window": 14}).CandlePeriods(), |
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ctx.Indicator("ADX", types.Input{"window": 14}).CandlePeriods(), |
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ctx.Indicator("SuperTrend", types.Input{"window": 14, "mul": 2}).CandlePeriods(), |
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) |
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} |
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func (s *TrendTrackV1) Update(ctx ISingleSigStrategyContext) (side types.Side) { |
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// 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 |
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rsi := ctx.Indicator("RSI", types.Input{"window": 14}) |
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r0 := rsi.Get(0) |
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r1 := rsi.Get(1) |
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r2 := rsi.Get(2) |
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r3 := rsi.Get(3) |
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d1 := r0 - r1 |
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d2 := r1 - r2 |
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d3 := r2 - r3 |
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upWeakening := d3 > d2 && d2 > 0 |
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turnDown := d1 < 0 |
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downStrengthUp := math.Abs(d1) > d2 |
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if upWeakening && turnDown && downStrengthUp { |
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return types.SideShort |
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} |
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return |
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// adx := ctx.Indicator("ADX", types.Input{"window": 14}) |
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// superTrend := ctx.Indicator("SuperTrend", types.Input{"window": 14, "mul": 2}) |
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// rsi |
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// adxValue := adx.Get(0) // 趋势强度 |
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// direction := superTrend.State("direction", 0) // 趋势方向 |
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// if direction == 1 && adxValue > 25 { |
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// return types.SideLong |
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// } |
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// if direction == -1 && adxValue > 25 { |
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// return types.SideShort |
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// } |
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// macd := ctx.Indicator("MACD", types.Input{"fast": 12, "slow": 26, "singal": 9}) |
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// macdDea := macd.StateSeries("dea", 0, 2) |
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// macdDif := macd.StateSeries("dif", 0, 2) |
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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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// volAvg := ctx.Series(1, 20).Vol().Avg() |
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// vol := ctx.Get(0).VolF64() |
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}
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