Estrategia de línea de promedio móvil de futuros simples de materias primas de múltiples variedades

Estrategia de línea de promedio móvil de futuros simples de materias primas de múltiples variedadeswww.fmz.com

La biblioteca de futuros de materias primas implementa el marco estratégico de la función $.CTA. Con este marco estratégico, se puede lograr una estrategia multi-variedad de estrategia de mercado estable y real simultánea en solo unas pocas docenas de líneas.

function main() {
    // using commodity futures library of the CTA strategy framework
    $.CTA(Symbols, function(st) {
        var r = st.records
        var mp = st.position.amount
        var symbol = st.symbol
        /*
        r is the K line, mp is the current variety position, positive number refers to long positions, negative number refers to short position, 0 means no position, 
        symbol refers to variety name       
        The return value is n: 
            n = 0 : Refers to close all position (regardless of the current holdings position)
            n > 0 : If there are currently holding long positions, adding n long positions, if the current position is short position, then close n short positions, 
                    if n is greater than the current holding position, then open long positions      
            n < 0 : If the current position is short position, adding n short positions. If the current position is long positions, then close n long positions.
                    If -n is greater than the current holding position, then open short position.   
            No return value means doing nothing
        */
        if (r.length < SlowPeriod) {
            return
        }
        var cross = _Cross(TA.EMA(r, FastPeriod), TA.EMA(r, SlowPeriod));
        if (mp <= 0 && cross > ConfirmPeriod) {
            Log(symbol, "up cross cycle", cross, "Current holding position", mp);
            return Lots * (mp < 0 ? 2 : 1)
        } else if (mp >= 0 && cross < -ConfirmPeriod) {
            Log(symbol, "down cross cycle", cross, "Current holding position", mp);
            return -Lots * (mp > 0 ? 2 : 1)
        }
    });
}