Trend tracking shock strategy, tracking stops (after profit, stops if there is a contraction of the specified magnitude)
function CancelPendingOrders() {
while (true) {
var orders = null;
while (!(orders = exchange.GetOrders())) {
Sleep(Interval);
}
if (orders.length == 0) {
return;
}
for (var j = 0; j < orders.length; j++) {
exchange.CancelOrder(orders[j].Id, orders[j]);
if (j < (orders.length-1)) {
Sleep(Interval);
}
}
}
}
var STATE_WAIT_IDLE = 0;
var STATE_WAIT_BUY = 1;
var STATE_WAIT_SELL = 2;
var STATE_BUY = 3;
var STATE_SELL = 4;
var State = STATE_WAIT_IDLE;
var InitAccount = null;
var LastBuyPrice = 0;
var LastSellPrice = 0;
var LastHighPrice = 0;
var LastLowPrice = 0;
var LastRecord = null;
var Goingshort = false;
function onTick(exchange) {
var oldState = State;
if (State == STATE_WAIT_IDLE) {
var records = exchange.GetRecords();
if (!records || records.length < (EMA_Slow + 3)) {
return;
}
// Price not change
var newLast = records[records.length-1];
if ((!LastRecord) || (LastRecord.Time == newLast.Time && LastRecord.Close == newLast.Close)) {
LastRecord = newLast;
return;
}
LastRecord = newLast;
var emaFast = TA.EMA(records, EMA_Fast);
var emaSlow = TA.EMA(records, EMA_Slow);
if (emaFast[emaFast.length-1] > emaSlow[emaSlow.length-1]) {
Goingshort = false;
State = STATE_WAIT_BUY;
} else if (EnableGoingShort && (emaFast[emaFast.length-1] < emaSlow[emaSlow.length-1])) {
Goingshort = true;
State = STATE_WAIT_SELL;
} else {
return;
}
}
var ticker = _C(exchange.GetTicker);
// 重新设置这两个参数
if (oldState == STATE_WAIT_IDLE && State != STATE_WAIT_IDLE) {
LastLowPrice = ticker.Last;
LastHighPrice = ticker.Last;
}
// 做多
if (!Goingshort) {
if (State == STATE_WAIT_BUY) {
var lastDownRatio = Math.abs((LastHighPrice - LastLowPrice) / LastHighPrice) * 100;
var currentUpRatio = Math.abs((ticker.Last - LastLowPrice) / ticker.Last) * 100;
if (lastDownRatio > RatioDown && currentUpRatio > (RatioDown*(UpWeightingVal/100))) {
State = STATE_BUY;
} else {
LastHighPrice = Math.max(LastHighPrice, ticker.Last);
LastLowPrice = Math.min(LastLowPrice, ticker.Last);
}
} else if (State == STATE_WAIT_SELL) {
var ratioStopLoss = Math.abs((LastHighPrice - ticker.Last) / LastHighPrice) * 100;
var ratioStopProfit = Math.abs((ticker.Last - LastBuyPrice) / LastBuyPrice) * 100;
var ratioMaxUp = Math.abs((LastHighPrice - LastBuyPrice) / LastBuyPrice) * 100;
if (ticker.Last < LastBuyPrice && ratioStopLoss >= StopLoss) {
State = STATE_SELL;
Log("开始止损, 当前下跌点数:", _N(ratioStopLoss), "当前价格", ticker.Last, "对比价格", _N(LastHighPrice));
} else if (ticker.Last > LastBuyPrice && ticker.Last < LastHighPrice && ratioStopProfit <= (ratioMaxUp*StopProfitThreshold)) {
State = STATE_SELL;
Log("开始止赢, 当前上涨点数:", _N(ratioStopProfit), "当前价格", ticker.Last, "对比价格", _N(LastBuyPrice));
}
LastHighPrice = Math.max(LastHighPrice, ticker.Last);
}
} else {
if (State == STATE_WAIT_SELL) {
var lastUpRatio = Math.abs((LastHighPrice - LastLowPrice) / LastHighPrice) * 100;
var currentDownRatio = Math.abs((LastHighPrice - ticker.Last) / LastHighPrice) * 100;
if (lastUpRatio > RatioUp && currentDownRatio > (RatioUp*(DownWeightingVal/100))) {
State = STATE_SELL;
} else {
LastHighPrice = Math.max(LastHighPrice, ticker.Last);
LastLowPrice = Math.min(LastLowPrice, ticker.Last);
}
} else if (State == STATE_WAIT_BUY) {
var ratioStopLoss = Math.abs((ticker.Last - LastLowPrice) / LastLowPrice) * 100;
var ratioStopProfit = Math.abs((LastSellPrice - ticker.Last) / LastSellPrice) * 100;
var ratioMaxDown = Math.abs((LastSellPrice - LastLowPrice) / LastSellPrice) * 100;
if (ticker.Last > LastSellPrice && ratioStopLoss >= StopLoss) {
State = STATE_BUY;
Log("开始止损, 当前上涨点数:", _N(ratioStopLoss), "当前价格", ticker.Last, "对比价格", _N(LastSellPrice));
} else if (ticker.Last < LastSellPrice && ticker.Last > LastLowPrice && ratioStopProfit <= (ratioMaxDown*StopProfitThreshold)) {
State = STATE_BUY;
Log("开始止盈, 当前下跌点数:", _N(ratioStopProfit), "当前价格", ticker.Last, "对比价格", _N(LastLowPrice));
}
LastHighPrice = Math.max(LastHighPrice, ticker.Last);
LastLowPrice = Math.min(LastLowPrice, ticker.Last);
}
}
if (State != STATE_BUY && State != STATE_SELL) {
return;
}
// Buy or Sell, Cancel pending orders first
CancelPendingOrders();
var account = _C(exchange.GetAccount);
// 做多
if (!Goingshort) {
if (State == STATE_BUY) {
var price = ticker.Sell + SlidePrice;
var amount = _N(account.Balance*0.99 / price);
if (amount >= MinStock) {
if (exchange.Buy(price, amount, "做多")) {
LastBuyPrice = LastHighPrice = price;
} else {
Log("开多仓失败", price, amount, account);
}
} else {
State = STATE_WAIT_SELL;
}
} else {
var sellAmount = account.Stocks - InitAccount.Stocks;
if (sellAmount > MinStock) {
exchange.Sell(ticker.Buy - SlidePrice, sellAmount);
} else {
// No stocks, wait buy and log profit
LogProfit(account.Balance - InitAccount.Balance, account);
State = STATE_WAIT_IDLE;
}
}
} else {
if (State == STATE_BUY) {
var price = ticker.Sell + SlidePrice;
var amount = Math.min(_N(account.Balance*0.99 / price), InitAccount.Stocks - account.Stocks);
if (amount >= MinStock) {
exchange.Buy(price, amount);
} else {
LogProfit(account.Balance - InitAccount.Balance, account);
State = STATE_WAIT_IDLE;
}
} else {
var price = ticker.Buy - SlidePrice;
var sellAmount = account.Stocks;
if (sellAmount > MinStock) {
exchange.Sell(ticker.Last - SlidePrice, sellAmount, "做空");
LastSellPrice = LastLowPrice = price;
} else {
// No stocks, wait buy and log profit
State = STATE_WAIT_BUY;
}
}
}
}
function main() {
InitAccount = _C(exchange.GetAccount);
Log(exchange.GetName(), exchange.GetCurrency(), InitAccount);
EnableGoingShort = EnableGoingShort && (InitAccount.Stocks > MinStock);
LoopInterval = Math.max(LoopInterval, 1);
while (true) {
onTick(exchange);
Sleep(LoopInterval*1000);
}
}