The strategy is a statistical strategy based on the RSI indicator, which has been proven to have a high winning rate in bear markets. The strategy analyzes the market's RSI data and short-sells once it captures a predefined K-line shape.
The RSI indicator shows: The RSI was first used in futures trading, and later it was found to be very useful for guiding the investment performance of the stock market, and the characteristics of this indicator are constantly being summarized and summarized. Today, the RSI has become one of the most widely used technical indicators by investors. The general principle of investing is that the buying and selling behavior of investors is a reflection of the combined results of various factors, and the changes in the market ultimately depend on the supply and demand relationship.
The strategy features: Supports trend tracking at any level (minutes K, hours K, days K, weeks K, etc.) Supports arbitrary trading pairs (ETH/BTC, BSV/BTC etc.) Support for any exchange Detailed strategy reports (including strategy status, transaction history, etc.) Supports up to 10 customization parameters
The policy parameters are:https://www.pcclean.io/8cut
/*
RSI策略:仅用于学习用途,用于实盘后果自负
*/
var ExchangProcessor={
createNew: function(exc_obj){
//策略参数
var manage_assets=1;//bch
var max_positions=4;//max=4N
var price_n={BTC_BCH:8,ETH_BCH:8,XRP_BCH:8,EOS_BCH:8,LTC_BCH:8,DASH_BCH:8,CET_BCH:8}; //价格精度
var num_n={BTC_BCH:8,ETH_BCH:8,XRP_BCH:8,EOS_BCH:8,LTC_BCH:8,DASH_BCH:8,CET_BCH:8}; //数量精度
var minest_buy={BTC_BCH:0.001,ETH_BCH:0.01,XRP_BCH:1,EOS_BCH:1,LTC_BCH:0.1,DASH_BCH:0.01,CET_BCH:1};//最小买入量
var minest_sell={BTC_BCH:0.001,ETH_BCH:0.01,XRP_BCH:1,EOS_BCH:1,LTC_BCH:0.1,DASH_BCH:0.01,CET_BCH:1};//最小卖出量
var order_wait_secs=120000; //订单的最长等待时间 毫秒
var wait_ms=1000;//默认等待毫秒
var sxf=0.0005;//用来计算手续费消耗
//全局状态变量
var positions=[];//记录仓位
var init_asset=0; //初始资产
var trades=[];//所有交易
var trades_recorder=true;//记录所有交易
var pre_time=null; //记录轮询间隔时间
var approximate_profit=0;//盈亏近似值
var add_already=0;//已经加仓次数
var processor={};
//重试购买，直到成功返回
processor.retryBuy=function(ex,price,num)
{
var currency=ex.GetCurrency();
var r=ex.Buy(_N(price,price_n[currency]), _N(num,num_n[currency]));
while (!r){
Log("Buy失败，正在retry。");
Sleep(wait_ms);
var account=_C(ex.GetAccount);
var ticker=_C(ex.GetTicker);
var last=ticker.Last;
var fixedAmount=(price===-1?Math.min(account.Balance*0.95,num):Math.min(account.Balance/last*0.95,num));
r=ex.Buy(_N(price,price_n[currency]), _N(fixedAmount,num_n[currency]));
}
return r;
}
//重试卖出，直到成功返回
processor.retrySell=function(ex,price,num){
var currency=ex.GetCurrency();
var r=ex.Sell(_N(price,price_n[currency]), _N(num,num_n[currency]));
while (!r){
Log("Sell失败，正在retry。");
Sleep(wait_ms);
var account=_C(ex.GetAccount);
var fixedAmount=Math.min(account.Stocks,num);
r=ex.Sell(_N(price,price_n[currency]), _N(fixedAmount,num_n[currency]));
}
return r;
}
processor.get_ChinaTimeString=function(){
var date = new Date();
var now_utc = Date.UTC(date.getUTCFullYear(), date.getUTCMonth(), date.getUTCDate(),
date.getUTCHours(), date.getUTCMinutes(), date.getUTCSeconds());
var cdate=new Date(now_utc);
cdate.setHours(cdate.getHours()+8);
var localstring=cdate.getFullYear()+'/'+(cdate.getMonth()+1)+'/'+cdate.getDate()+' '+cdate.getHours()+':'+cdate.getMinutes()+':'+cdate.getSeconds();
return localstring;
}
processor.init_obj=function(){
_CDelay(wait_ms);
pre_time = new Date();
//init
{
var account=_C(exc_obj.GetAccount);
var ticker=_C(exc_obj.GetTicker);
var last=ticker.Last;
init_asset=(account.Balance+account.FrozenBalance)+(account.Stocks+account.FrozenStocks)*last;
Sleep(wait_ms);
}
}
processor.work=function(){
var cur_time = new Date();
var passedtime=cur_time-pre_time;
pre_time=cur_time;
//计算n,头寸
var exname=exc_obj.GetName();
var currency=exc_obj.GetCurrency();
var account=_C(exc_obj.GetAccount);
var ticker=_C(exc_obj.GetTicker);
var depth = _C(exc_obj.GetDepth);
var last=ticker.Last;
var ask1=depth.Asks[0].Price;
var bid1=depth.Bids[0].Price;
var bestprice=bid1+(Math.abs(ask1-bid1)/2);
var records = _C(exc_obj.GetRecords);
if (records.length<=50){
Log("records.length is not valid.");
Sleep(wait_ms);
return;
}
var atr = TA.ATR(records, 20);
if (atr.length<=1){
Log("atr.length is not valid.");
Sleep(wait_ms);
return;
}
var N=atr[atr.length-1];
var position_unit=Math.min(manage_assets*0.01/N,account.Balance/last*0.95);//cet
//Log("N="+N+", 头寸单位="+position_unit+"CET");
var highest=TA.Highest(records, 20, 'High');
var Lowest=TA.Lowest(records, 10, 'Low');
var cur_asset=(account.Balance+account.FrozenBalance)+(account.Stocks+account.FrozenStocks)*last;
var rsi6 = TA.RSI(records, 6);
var rsi12 = TA.RSI(records, 12);
if (rsi6.length<=5 || rsi12.length<=5){
Log("rsi is not valid.");
Sleep(wait_ms);
return;
}
var rsi_in=false;
if (rsi6[rsi6.length-1]-rsi6[rsi6.length-2]>1 && rsi6[rsi6.length-2]<=65){
//Log("rsi_in=true");
rsi_in=true;
}
var rsi_out=false;
if (rsi6[rsi6.length-1]>=60){
//Log("rsi_out=true");
rsi_out=true;
}
//建仓
if (positions.length==0 && position_unit>minest_buy[currency]){
if (rsi_in)
{
var buyID = processor.retryBuy(exc_obj,last,position_unit);
Sleep(order_wait_secs);
var buyOrder=_C(exc_obj.GetOrder,buyID);
if (buyOrder.Status!=ORDER_STATE_CLOSED){
exc_obj.CancelOrder(buyID);
}
if (buyOrder.DealAmount>0){
var postion = {
amount:buyOrder.DealAmount,
buy_price:buyOrder.AvgPrice,
stoploss_price:buyOrder.AvgPrice-N};
positions.push(postion);
var details={
type:"建仓",
time:processor.get_ChinaTimeString(),
RealAmount:buyOrder.DealAmount,
WantAmount:position_unit,
RealPrice:buyOrder.AvgPrice,
WantPrice:buyOrder.Price,
Memo:""
};
if (trades_recorder){
trades.push(details);
}
add_already=1;
}
}
}
//加仓
if (positions.length>0 && position_unit>minest_buy[currency]){
var last_buy_price=positions[positions.length-1].buy_price;
if (add_already<max_positions){
if (last-last_buy_price>=0.5*N){
var buyID = processor.retryBuy(exc_obj,last,position_unit);
Sleep(order_wait_secs);
var buyOrder=_C(exc_obj.GetOrder,buyID);
if (buyOrder.Status!=ORDER_STATE_CLOSED){
exc_obj.CancelOrder(buyID);
}
if (buyOrder.DealAmount>0){
var postion = {
amount:buyOrder.DealAmount,
buy_price:buyOrder.AvgPrice,
stoploss_price:buyOrder.AvgPrice-N};
positions.push(postion);
var details={
type:"加仓",
time:processor.get_ChinaTimeString(),
RealAmount:buyOrder.DealAmount,
WantAmount:position_unit,
RealPrice:buyOrder.AvgPrice,
WantPrice:last,
Memo:""
};
if (trades_recorder){
trades.push(details);
}
add_already=add_already+1;
}
}
}
}
//止损
if (positions.length>0){
var positions_new=[];
for (var i=0; i < positions.length; i++){
if (last<=positions[i].stoploss_price){
account=_C(exc_obj.GetAccount);
var fixedAmount=Math.min(account.Stocks,positions[i].amount);
if (fixedAmount>minest_sell[currency]){
var sellID = processor.retrySell(exc_obj, last, fixedAmount);
Sleep(order_wait_secs);
var sellOrder=_C(exc_obj.GetOrder,sellID);
approximate_profit+=(sellOrder.AvgPrice*sellOrder.DealAmount*(1-sxf)-positions[i].buy_price*sellOrder.DealAmount*(1+sxf));
Log("定价卖出: 数量-"+sellOrder.DealAmount+",approximate_profit="+approximate_profit);
if (sellOrder.Status!=ORDER_STATE_CLOSED){
exc_obj.CancelOrder(sellID);
if (Math.min(account.Stocks,fixedAmount-sellOrder.DealAmount)>minest_sell[currency]){
var marketsellOrderID=processor.retrySell(exc_obj, -1, fixedAmount-sellOrder.DealAmount);
Sleep(order_wait_secs);
var marketsellOrderData=_C(exc_obj.GetOrder,marketsellOrderID);
approximate_profit+=(marketsellOrderData.AvgPrice*marketsellOrderData.DealAmount*(1-sxf)-positions[i].buy_price*marketsellOrderData.DealAmount*(1+sxf));
Log("市价卖出: 数量-"+marketsellOrderData.DealAmount+",approximate_profit="+approximate_profit);
}
}
var details={
type:"止损",
time:processor.get_ChinaTimeString(),
RealAmount:-1,
WantAmount:fixedAmount,
RealPrice:-1,
WantPrice:last,
Memo:(last>positions[i].buy_price?"盈利":"亏损")
};
if (trades_recorder){
trades.push(details);
}
}
}else{
positions_new.push(positions[i]);
}
}
positions=positions_new;
}
//清仓
if (positions.length>0){
if (rsi_out){
var positions_new=[];
for (var i=0; i < positions.length; i++){
account=_C(exc_obj.GetAccount);
var fixedAmount=Math.min(account.Stocks,positions[i].amount);
if (fixedAmount>minest_sell[currency]){
var sellID = processor.retrySell(exc_obj, last, fixedAmount);
Sleep(order_wait_secs);
var sellOrder=_C(exc_obj.GetOrder,sellID);
approximate_profit+=(sellOrder.AvgPrice*sellOrder.DealAmount*(1-sxf)-positions[i].buy_price*sellOrder.DealAmount*(1+sxf));
Log("定价卖出: 数量-"+sellOrder.DealAmount+",approximate_profit="+approximate_profit);
if (sellOrder.Status!=ORDER_STATE_CLOSED){
exc_obj.CancelOrder(sellID);
if (Math.min(account.Stocks,fixedAmount-sellOrder.DealAmount)>minest_sell[currency]){
var marketsellOrderID=processor.retrySell(exc_obj, -1, fixedAmount-sellOrder.DealAmount);
Sleep(order_wait_secs);
var marketsellOrderData=_C(exc_obj.GetOrder,marketsellOrderID);
approximate_profit+=(marketsellOrderData.AvgPrice*marketsellOrderData.DealAmount*(1-sxf)-positions[i].buy_price*marketsellOrderData.DealAmount*(1+sxf));
Log("市价卖出: 数量-"+marketsellOrderData.DealAmount+",approximate_profit="+approximate_profit);
}
}
var details={
type:"清仓",
time:processor.get_ChinaTimeString(),
RealAmount:-1,
WantAmount:fixedAmount,
RealPrice:-1,
WantPrice:last,
Memo:(last>positions[i].buy_price?"盈利":"亏损")
};
if (trades_recorder){
trades.push(details);
}
}
}
positions=positions_new;
}
}
//显示状态
var table1 = {type: 'table', title: '仓位-'+exname+'('+currency+')', cols: ['数量', '成交价','止损价'], rows: []};
var table2 = {type: 'table', title: '状态-'+exname+'('+currency+')', cols: ['平均真实波幅(N)','头寸单位','初始资产','当前资产','轮询时间','最新价','Highest','Lowest','加仓次数','【近似盈亏】'], rows: []};
var table3 = {type: 'table', title: '交易历史-'+exname+'('+currency+')', cols: ['日期','类型', '成交数量','发单数量','成交价','发单价','备注'], rows: []};
for (var i=0; i < positions.length; i++){
table1.rows.push([positions[i].amount,positions[i].buy_price,positions[i].stoploss_price]);
}
table2.rows.push([N,position_unit,init_asset,cur_asset,passedtime+'ms',last,highest,Lowest,add_already,approximate_profit]);
for (i=0; i < trades.length; i++){
table3.rows.push([trades[i].time,trades[i].type,trades[i].RealAmount,trades[i].WantAmount,trades[i].RealPrice,trades[i].WantPrice,trades[i].Memo]);
}
processor.logstatus=('`' + JSON.stringify([table1, table2, table3])+'`'+'\n');
//记录盈利
processor.logprofit=approximate_profit;
//rest
Sleep(wait_ms);
}
return processor;
}
};
//主函数
function main(){
var exchange_num=exchanges.length;
var processors=[];
for (var i=0; i<exchange_num; ++i){
var p=ExchangProcessor.createNew(exchanges[i]);
processors.push(p);
}
for (i=0; i<exchange_num; ++i){
processors[i].init_obj();
}
var pre_profit=Number(_G("pre_profit"));
Log('之前收入累计：'+pre_profit);
var lastprofit=0;
while(true){
var allstatus='定制策略请联系微信: alinwo (验证消息:botvs量化)#0000ff'+'\n';
var allprofit=0;
for (i=0; i<exchange_num; ++i){
processors[i].work();
allstatus+=processors[i].logstatus;
allprofit+=processors[i].logprofit;
}
allstatus+=('定制策略请联系微信: alinwo (验证消息:botvs量化)#0000ff'+'\n');
LogStatus(allstatus);
if (lastprofit!==allprofit){
LogProfit(pre_profit+allprofit);
_G("pre_profit", pre_profit+allprofit);
lastprofit=allprofit;
}
}
}