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f9814ac788
49
define.go
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49
define.go
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package strategy
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import (
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"git.qtrade.icu/coin-quant/base/common"
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"git.qtrade.icu/coin-quant/base/engine"
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. "git.qtrade.icu/coin-quant/trademodel"
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)
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type CandleFn func(candle *Candle)
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type Engine = engine.Engine
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type Param = common.Param
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type ParamData = common.ParamData
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var StringParam = common.StringParam
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var IntParam = common.IntParam
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var FloatParam = common.FloatParam
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var BoolParam = common.BoolParam
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func min(a, b float64) float64 {
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return 0
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}
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func max(a, b float64) float64 {
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return 0
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}
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func formatFloat(n float64, precision int) float64 {
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return 0
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}
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// FloatMul return a*b
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func FloatMul(a, b float64) float64 {
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return 0
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}
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// FloatAdd return a*b
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func FloatAdd(a, b float64) float64 {
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return 0
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}
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// FloatSub return a-b
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func FloatSub(a, b float64) float64 {
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return 0
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}
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// FloatDiv return a/b
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func FloatDiv(a, b float64) float64 {
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return 0
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}
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15
go.mod
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15
go.mod
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module git.qtrade.icu/coin-quant/strategy
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go 1.22.0
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require (
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git.qtrade.icu/coin-quant/base v0.0.0-20240625154116-db5c83a1dd97
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git.qtrade.icu/coin-quant/indicator v0.0.0-20240625151736-c23020eee562
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git.qtrade.icu/coin-quant/trademodel v0.0.0-20240625151548-cef4b6fc28b9
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)
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require (
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github.com/shopspring/decimal v1.4.0 // indirect
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github.com/sirupsen/logrus v1.9.3 // indirect
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golang.org/x/sys v0.0.0-20220715151400-c0bba94af5f8 // indirect
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)
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25
go.sum
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25
go.sum
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git.qtrade.icu/coin-quant/base v0.0.0-20240625154116-db5c83a1dd97 h1:3Mx0bvsodQg0XgQbFZEUTJ8KFOW2yXMBM25qjHDXNf0=
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git.qtrade.icu/coin-quant/base v0.0.0-20240625154116-db5c83a1dd97/go.mod h1:UGO6cehLrOO0xEgEzVosvlakoTyxPz1rpvUtT7WDN8M=
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git.qtrade.icu/coin-quant/indicator v0.0.0-20240625151736-c23020eee562 h1:oA06Mq/hJtzJ6k7ZW6kd3RY9EBDLVCEPDFADiP9JwIk=
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git.qtrade.icu/coin-quant/indicator v0.0.0-20240625151736-c23020eee562/go.mod h1:x1+rqPrwJqPLETFdMQGhzp71Z3ZxAlNFExGVOhk+IT0=
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git.qtrade.icu/coin-quant/trademodel v0.0.0-20240625151548-cef4b6fc28b9 h1:9T1u+MzfbG9jZU1wzDtmBoOwN1m/fRX0iX7NbLwAHgU=
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git.qtrade.icu/coin-quant/trademodel v0.0.0-20240625151548-cef4b6fc28b9/go.mod h1:SZnI+IqcRlKVcDSS++NIgthZX4GG1OU4UG+RDrSOD34=
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github.com/davecgh/go-spew v1.1.0/go.mod h1:J7Y8YcW2NihsgmVo/mv3lAwl/skON4iLHjSsI+c5H38=
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github.com/davecgh/go-spew v1.1.1 h1:vj9j/u1bqnvCEfJOwUhtlOARqs3+rkHYY13jYWTU97c=
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github.com/davecgh/go-spew v1.1.1/go.mod h1:J7Y8YcW2NihsgmVo/mv3lAwl/skON4iLHjSsI+c5H38=
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github.com/pmezard/go-difflib v1.0.0 h1:4DBwDE0NGyQoBHbLQYPwSUPoCMWR5BEzIk/f1lZbAQM=
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github.com/pmezard/go-difflib v1.0.0/go.mod h1:iKH77koFhYxTK1pcRnkKkqfTogsbg7gZNVY4sRDYZ/4=
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github.com/shopspring/decimal v1.4.0 h1:bxl37RwXBklmTi0C79JfXCEBD1cqqHt0bbgBAGFp81k=
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github.com/shopspring/decimal v1.4.0/go.mod h1:gawqmDU56v4yIKSwfBSFip1HdCCXN8/+DMd9qYNcwME=
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github.com/sirupsen/logrus v1.9.3 h1:dueUQJ1C2q9oE3F7wvmSGAaVtTmUizReu6fjN8uqzbQ=
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github.com/sirupsen/logrus v1.9.3/go.mod h1:naHLuLoDiP4jHNo9R0sCBMtWGeIprob74mVsIT4qYEQ=
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github.com/stretchr/objx v0.1.0/go.mod h1:HFkY916IF+rwdDfMAkV7OtwuqBVzrE8GR6GFx+wExME=
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github.com/stretchr/testify v1.7.0/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/h/Wwjteg=
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github.com/stretchr/testify v1.9.0 h1:HtqpIVDClZ4nwg75+f6Lvsy/wHu+3BoSGCbBAcpTsTg=
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github.com/stretchr/testify v1.9.0/go.mod h1:r2ic/lqez/lEtzL7wO/rwa5dbSLXVDPFyf8C91i36aY=
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golang.org/x/sys v0.0.0-20220715151400-c0bba94af5f8 h1:0A+M6Uqn+Eje4kHMK80dtF3JCXC4ykBgQG4Fe06QRhQ=
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golang.org/x/sys v0.0.0-20220715151400-c0bba94af5f8/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
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gopkg.in/check.v1 v0.0.0-20161208181325-20d25e280405/go.mod h1:Co6ibVJAznAaIkqp8huTwlJQCZ016jof/cbN4VW5Yz0=
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gopkg.in/yaml.v3 v3.0.0-20200313102051-9f266ea9e77c/go.mod h1:K4uyk7z7BCEPqu6E+C64Yfv1cQ7kz7rIZviUmN+EgEM=
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gopkg.in/yaml.v3 v3.0.1 h1:fxVm/GzAzEWqLHuvctI91KS9hhNmmWOoWu0XTYJS7CA=
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gopkg.in/yaml.v3 v3.0.1/go.mod h1:K4uyk7z7BCEPqu6E+C64Yfv1cQ7kz7rIZviUmN+EgEM=
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100
macd.go
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100
macd.go
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package strategy
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import (
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"fmt"
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"git.qtrade.icu/coin-quant/indicator"
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)
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/*
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./trade backtest --fee 0.0002 --balance 5000 --start "2022-01-01 00:00:00" --end "2022-06-01 00:00:00"
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--exchange binance --symbol ETHUSDT --script macd.go
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--param '{"bin": "30m", "fast": 7, "slow": 20, "dea": 9, "amount": 2}'
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*/
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type MACD struct {
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engine Engine
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macd indicator.CommonIndicator
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position float64
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binSize string
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fast int
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slow int
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dea int
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amount float64
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}
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func NewMACD() *MACD {
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s := new(MACD)
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return s
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}
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func (s *MACD) Param() (paramInfo []Param) {
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paramInfo = []Param{
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StringParam("bin", "Kline binsize", "kline binsize", "15m", &s.binSize),
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IntParam("fast", "macd fast", "macs fast", 12, &s.fast),
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IntParam("slow", "macd slow", "macs slow", 26, &s.slow),
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IntParam("dea", "macd dea", "macs dea", 9, &s.dea),
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FloatParam("amount", "amount", "amount", 1, &s.amount),
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}
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return
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}
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// OnCandleLarge call when binSize candle
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func (s *MACD) OnCandleLarge(candle *Candle) {
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// update macd indicator
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s.macd.Update(candle.Close)
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// get macd indicator: crossDown,crossUp,fast,slow,result
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inds := s.macd.Indicator()
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down := inds["crossDown"]
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up := inds["crossUp"]
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if up == 1 {
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// macd cross up
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if s.position < 0 {
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s.engine.CloseShort(candle.Close, s.amount)
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} else if s.position > 0 {
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return
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}
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s.engine.OpenLong(candle.Close, s.amount)
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} else if down == 1 {
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// macd cross down
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if s.position > 0 {
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s.engine.CloseLong(candle.Close, s.amount)
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} else if s.position < 0 {
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return
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}
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s.engine.OpenShort(candle.Close, s.amount)
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}
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}
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func (s *MACD) Init(engine Engine, params ParamData) error {
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s.engine = engine
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s.macd = engine.AddIndicator("macd", s.fast, s.slow, s.dea)
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engine.Merge("1m", s.binSize, s.OnCandleLarge)
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fmt.Printf("fast: %d, slow: %d, dea: %d, binsize: %s, amount: %f\n", s.fast, s.slow, s.dea, s.binSize, s.amount)
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return nil
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}
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// OnCandle call every 1m candle
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func (s *MACD) OnCandle(candle *Candle) {
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// fmt.Println(candle)
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}
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func (s *MACD) OnPosition(pos, price float64) {
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s.position = pos
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}
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// OnTrade call when own order filled
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func (s *MACD) OnTrade(trade *Trade) {
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// fmt.Println("trade:", trade)
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}
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// OnTradeMarket call when market has new trade
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// only called in real trading
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func (s *MACD) OnTradeMarket(trade *Trade) {
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// fmt.Println("tradeHistory:", trade)
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}
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// OnDepth call when order book update
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// only called in real trading
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func (s *MACD) OnDepth(depth *Depth) {
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// fmt.Println("depth:", depth)
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}
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