124 lines
3.5 KiB
Go
124 lines
3.5 KiB
Go
package trade
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import (
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"fmt"
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"math"
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"git.apinb.com/quant/strategy/types"
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"github.com/markcheno/go-talib"
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"github.com/shopspring/decimal"
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)
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// 计算合约的利润：多头
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func CalculateProfit_Long(openPrice decimal.Decimal, currentPrice decimal.Decimal, quantity decimal.Decimal) decimal.Decimal {
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// 多头头寸：利润 = (当前价 - 开仓价) * 数量
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return (currentPrice.Sub(openPrice)).Mul(quantity)
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}
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// 计算合约的利润：空头
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func CalculateProfit_Short(openPrice decimal.Decimal, currentPrice decimal.Decimal, quantity decimal.Decimal) decimal.Decimal {
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// 空头头寸：利润 = (开仓价 - 当前价) * 数量
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return (openPrice.Sub(currentPrice)).Mul(quantity)
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}
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// 这个方法的逻辑是合理的：它对输入的 value 进行“降噪”处理，只有当绝对值大于等于 threshold 时才认为有意义，否则视为 0。
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// 然后根据降噪后的值判断正负性。
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// threshold 由调用方传入，灵活性较高。
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// 但注释有误，应该是“输入值绝对值小于 threshold 时视为0”，而不是 0.03。
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// 返回值语义清晰：1 表示正，-1 表示负，0 表示零。
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func DenoiseAndJudge(value, threshold float64) int {
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if math.Abs(value) < threshold {
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return 0
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}
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if value > 0 {
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return 1
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}
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if value < 0 {
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return -1
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}
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return 0
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}
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// isOutOfRange 判断传入的 float64 是否大于 0.001 或小于 -0.001
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func IsOutOfRange(f float64) int {
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if f >= 0.001 {
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return 1
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}
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if f <= -0.001 {
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return -1
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}
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return 0
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}
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func EMA(inReal []float64, inTimePeriod int, round int) []float64 {
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var newResult []float64
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emaResult := talib.Ema(inReal, inTimePeriod)
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for _, val := range emaResult {
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if val == 0 {
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continue
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}
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newResult = append(newResult, FloatRound(val, round))
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}
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return newResult
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}
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func ATR(k []*types.KLine, period int) float64 {
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high := make([]float64, len(k))
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low := make([]float64, len(k))
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closes := make([]float64, len(k))
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for _, line := range k {
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high = append(high, line.High)
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low = append(low, line.Low)
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closes = append(closes, line.Close)
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}
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atr := talib.Atr(high, low, closes, period)
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return atr[len(atr)-1]
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}
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func CheckCross(emaFast, emaSlow []float64, MinCrossStrength float64) (bool, string, string) {
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if len(emaFast) != 2 || len(emaSlow) != 2 {
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return false, "", "参数错误,emaFast或emaSlow长度必须为2"
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}
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// 检查是否有交叉
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prevDiff := emaFast[0] - emaSlow[0] // 前一个点的差值
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currentDiff := emaFast[1] - emaSlow[1] // 当前点的差值
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// 检查是否有交叉（从负到正或从正到负）
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if prevDiff*currentDiff >= 0 {
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return false, "", "无交叉：" + fmt.Sprintf("prevDiff: %f, currentDiff: %f", prevDiff, currentDiff)
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}
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// 降噪：检查交叉强度是否足够大
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diffChange := currentDiff - prevDiff
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if abs(diffChange) < MinCrossStrength {
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return false, "", "交叉强度太小，可能是噪音：" + fmt.Sprintf("diffChange: %f, MinCrossStrength: %f", diffChange, MinCrossStrength)
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}
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// 简化的趋势判断 - 放宽过于严格的条件
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var trend string
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if currentDiff > 0 {
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// 快线上穿慢线，判断为上升趋势
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// 不再要求快线和慢线都必须同时上升，因为EMA交叉本身就表明趋势变化
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trend = "UP"
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} else {
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// 快线下穿慢线，判断为下降趋势
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// 不再要求快线和慢线都必须同时下降，因为EMA交叉本身就表明趋势变化
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trend = "DOWN"
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}
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return true, trend, ""
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}
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// 辅助函数：计算绝对值
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func abs(x float64) float64 {
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if x < 0 {
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return -x
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}
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return x
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}
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