sig-pub/pkg/strategy/grid.go

package strategy

import (
	"sig-pub/pkg/types"
)

// Grid 网格策略
// 基于均线和ATR构建动态网格
// 当价格下穿下方网格线时做多
// 当价格上穿上方网格线时做空
type Grid struct {
	period   int16   // 均线和ATR周期
	gridStep float64 // 网格间距(ATR倍数)
	gridSize int16   // 单侧网格数量
}

func (s *Grid) New() ISigStrategy {
	return &Grid{}
}

func (s *Grid) Meta() StrategyMeta {
	return StrategyMeta{
		Name: "Grid",
		Desc: "基于ATR的动态网格策略",
		Input: []types.InputArg{
			{Name: "period", Type: types.InputTypeUInt, Desc: "EMA和ATR周期", Default: 20},
			{Name: "gridStep", Type: types.InputTypeUFloat, Desc: "网格间距(ATR倍数)", Default: 1.0},
			{Name: "gridSize", Type: types.InputTypeUInt, Desc: "单侧网格数量", Default: 5},
		},
	}
}

func (s *Grid) Init(input types.Input) (err error) {
	s.period = input.Int16("period")
	s.gridStep = input.Float("gridStep")
	s.gridSize = input.Int16("gridSize")
	return
}

func (s *Grid) CandlePeriods(ctx ISingleSigStrategyContext) int16 {
	return max(
		ctx.Indicator("EMA", s.period).CandlePeriods(),
		ctx.Indicator("ATR", s.period).CandlePeriods(),
		2, // 需要前一根K线判断交叉
	)
}

func (s *Grid) Update(ctx ISingleSigStrategyContext) (side types.Side) {
	// 获取指标数据
	ema := ctx.Indicator("EMA", s.period).Get(0)
	atr := ctx.Indicator("ATR", s.period).Get(0)

	// 获取前一根指标数据用于判断交叉
	emaPrev := ctx.Indicator("EMA", s.period).Get(1)
	atrPrev := ctx.Indicator("ATR", s.period).Get(1)

	// 获取K线收盘价
	closeP := ctx.Get(0).CloseF64()
	closePrev := ctx.Get(1).CloseF64()

	// 遍历网格层级
	for i := int16(1); i <= s.gridSize; i++ {
		step := float64(i) * s.gridStep

		// 下方网格线
		lower := ema - atr*step
		lowerPrev := emaPrev - atrPrev*step

		// 价格下穿下方网格线 -> 买入信号
		// Close[1] >= Lower[1] && Close[0] < Lower[0]
		if closePrev >= lowerPrev && closeP < lower {
			return types.SideLong
		}

		// 上方网格线
		upper := ema + atr*step
		upperPrev := emaPrev + atrPrev*step

		// 价格上穿上方网格线 -> 卖出信号
		// Close[1] <= Upper[1] && Close[0] > Upper[0]
		if closePrev <= upperPrev && closeP > upper {
			return types.SideShort
		}
	}

	return
}