This strategy is based on a smooth line of cooking the soybeans.https://www.fmz.com/strategy/193609I am not sure. Using a parabolic shift signal to the SAR indicator as a buying and selling point is part of the digital currency futures trend strategy.
The graphics code uses the ZERO's ZERO class library.https://www.fmz.com/strategy/27293I'm not sure. This is a reference to the K-line drawing library using a line drawing and a line graph example.https://www.fmz.com/strategy/125770）。
I've been trying to quantify it.
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/*backtest
start: 2017-11-01 00:00:00
end: 2020-09-01 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_BitMEX","currency":"XBT_USD"}]
args: [["Amount",10000],["time_interval",86400]]
*/
/*
本策略基于扁豆子的《一根均线 趋势 Demo》（https://www.fmz.com/strategy/193609）进行修改，使用抛物线转向指标SAR的信号作为买卖点，属于数字货币期货趋势策略。
画图代码使用了Zero的《画线类库》（https://www.fmz.com/strategy/27293），参考了小小梦的《使用画线类库画K线以及均线图表范例》（https://www.fmz.com/strategy/125770）。
———— 韬奋量化（微信：himandy）
*/
// 定义对象
//用于回测
if (IsVirtual) {
if (exchange.GetCurrency() == "BTC_USD") {
exchange.SetContractType("quarter"); //选择合约
} else if (exchange.GetCurrency() == "XBT_USD") {
exchange.SetContractType("XBTUSD"); //便于策略选择BitMEX回测
}
}
exchange.SetMarginLevel(1)
var LastBarTime = 0,
Idle = -1,
status = Idle;
var preAccount, account, records, ticker, balance, Bar;
var sar, isFirst, PreBarTime, preTime;
// 链接交易所, 获取相关信息
function UpdateInfo() {
account = exchange.GetAccount()
records = exchange.GetRecords(time_interval)
ticker = exchange.GetTicker()
//balance = account.Stocks
//Bar = records[records.length - 1]
}
// 指标计算获取
function Get_SAR() {
sar = talib.SAR(records, 0.02, 0.2);
}
// 开平仓规则
function onTick() {
ticker = exchange.GetTicker()
if (status === Idle) {
if (ticker.Last > sar[sar.length - 1]) {
exchange.SetDirection("buy")
exchange.Buy(ticker.Sell, Amount)
status = PD_LONG
$.PlotFlag(new Date().getTime(), 'Buy', 'BK');
} else if (ticker.Last < sar[sar.length - 1]) {
exchange.SetDirection("sell")
exchange.Sell(ticker.Buy, Amount)
status = PD_SHORT
$.PlotFlag(new Date().getTime(), 'Sell', 'SK');
}
} else if (status === PD_LONG) {
if (ticker.Last < sar[sar.length - 1]) {
exchange.SetDirection("closebuy")
exchange.Sell(ticker.Buy, Amount)
account = exchange.GetAccount()
status = Idle
$.PlotFlag(new Date().getTime(), 'CloseBuy', 'SP');
}
} else if (status === PD_SHORT) {
if (ticker.Last > sar[sar.length - 1]) {
exchange.SetDirection("closesell")
exchange.Buy(ticker.Sell, Amount)
account = exchange.GetAccount()
status = Idle
$.PlotFlag(new Date().getTime(), 'CloseSell', 'BP');
}
}
}
function PlotMA_Kline(records, isFirst) {
$.PlotRecords(records, "BTC")
if (isFirst) {
for (var i = records.length - 1; i >= 0; i--) {
if (sar[i] !== null) {
$.PlotLine("SAR", sar[i], records[i].Time);
}
}
PreBarTime = records[records.length - 1].Time;
} else {
if (PreBarTime !== records[records.length - 1].Time) {
$.PlotLine('SAR', sar[sar.length - 2], records[records.length - 2].Time);
PreBarTime = records[records.length - 1].Time;
}
$.PlotLine('SAR', sar[sar.length - 1], records[records.length - 1].Time);
}
}
function main() {
preAccount = exchange.GetAccount()
// 链接交易所, 获取相关信息
UpdateInfo()
// 主函数, 不停循环
while (1) {
records = exchange.GetRecords(time_interval)
preTime = records[records.length - 1].Time
//机器人延时等待，直至下一个K线周期，单位是毫秒
while (new Date().getTime() < (preTime + time_interval * 1000)) { //把K线周期转换为毫秒
records = exchange.GetRecords(time_interval)
// 指标计算获取
Get_SAR()
// 开平仓规则
onTick()
// 轮询sleep时间
Sleep(5 * 1000)
}
//画线
if (records) {
PlotMA_Kline(records, isFirst);
isFirst = false;
}
// 打印balance
LogProfit(account.Stocks - preAccount.Stocks, "&")
}
}