Termostato - corrección de la oscilación para el precio más alto - precio más bajo - añadir una opción de reducción de almacenamiento - añadir una función de número de tiradas adicional - corrección de la fecha de actualización de datos de cmi para preguntar una vez al día a una vez por hora - ok - listo para corregir algunas funciones
El autor:Envié una lámpara para ver la espada., Fecha: 2021-02-19 20:28:07Las etiquetas:
De acuerdo con los resultados de la retrospección, bajo los mismos parámetros, parece que el uso de un modo de reducción de posicionamiento es mejor que el modo de aumento de posicionamiento.
¿Qué es lo que está sucediendo?)
Esta versión es la versión completa, con mayor libertad, aleatoria, cómo usarla.
Wechat: fzqtdkj, hace muchos años, el código antiguo, el estudio de tantos años de pelo blanco, el estudio de la madre no, el negocio es difícil, difícil en el cielo azul, TM es casi ir a la religión de la pregunta...
/*backtest
start: 2021-01-01 00:00:00
end: 2021-02-13 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_OKCoin","currency":"ETH_USD"}]
args: [["ContractTypeIdx",2],["Shock_Reduce_N",2],["Shock_Departure",2],["Shock_ATR_Cycle",14],["Trend_Reduce_N",2],["Trend_UseLeverval",3]]
*/
var InitAccount =0;
var LastAccount =0;
var LastBarTime =0;
var STATE_IDLE = 0;
var STATE_LONG = 1;
var STATE_SHORT = 2;
var curModeState =0;
var curMarketTrendType ="无"; //当前行情走势类型
var Shock_ATR =0;
var Trend_ATR =0;
var CmiVal =0; //cmi值
//震荡交易信息
var ShockTreadInfo =
{
Direction:STATE_IDLE, //交易方向
Amount:1, //当前持仓数量
AdmissionBasePrice:0, //基础价格
LadderIndex:-1, //当前执行交易下标
LastDirection:STATE_IDLE,
ExtraAmount:0 //额外下单张数计数（若离场成功，则增加1，止损则归0）
}
//趋势交易信息
var TrendTreadInfo =
{
Direction:STATE_IDLE, //交易方向
Amount:1, //当前持仓数量
AdmissionBasePrice:0, //基础价格
LadderIndex:-1, //当前执行交易下标
LastDirection:STATE_IDLE,
ExtraAmount:0 //额外下单张数计数（若离场成功，则增加1，止损则归0）
}
//依据合约类型,获取合约面值
function GetContractFcaeValue() { //只有比特币是100美元,其余均是10美元
if (exchange.GetCurrency() == "BTC_USD") {
return 100;
} else {
return 10;
}
return 100;
}
//PD_LONG 多头仓位 PD_SHORT 空头仓位
function GetPosition(posType) {
var positions = exchange.GetPosition();
for (var i = 0; i < positions.length; i++) {
if (positions[i].Type === posType) {
return [positions[i].Price, positions[i].Amount];
}
}
return [0, 0];
}
var N_CMI =30; //求值 cmi周期
//获取CMI值
function GetCmiVal(records)
{
var Cmi =0;
if(records.length >N_CMI)
{
var HighPrice =TA.Highest(records, N_CMI, 'High');
var LowPrice =TA.Lowest(records, N_CMI, 'Low');
Cmi =Math.abs((records[records.length -1].Close - records[records.length -N_CMI-1].Close)/(HighPrice -LowPrice))*100;
// Log("Cmi：",Cmi,"最高价:",HighPrice,"最低价:",LowPrice,"最高价-最低价 价差:",HighPrice -LowPrice,"abs绝对值价差:",Math.abs((records[records.length -1].Close - records[records.length -29].Close)));
}
return Cmi;
}
function GetKLineCycle(Cycle)
{
if(Cycle =="PERIOD_H1") { return PERIOD_H1; }
else if(Cycle =="PERIOD_D1") { return PERIOD_D1; }
else if(Cycle =="PERIOD_M30") { return PERIOD_M30; }
else if(Cycle =="PERIOD_M15") { return PERIOD_M15; }
else if(Cycle =="PERIOD_M5") { return PERIOD_M5; }
else { return PERIOD_M1; }
}
//数量转换
function CoinToSheetsAmount(ticker,CoinAmount,ContractPrice)
{
var value =ticker.Last *CoinAmount / ContractPrice;
if(value <1) {
value =1;
}
return _N(value, 0);
}
//计算下单数量 参数:使用杠杆比例（不使用填写1）、账户、ATR_N、资金使用比例（使用一半则填写0.5全部使用，填写1）、风险比例（最大 亏损值,亏损百分之1就填1，亏损2%就填写2）
function CalculationAmount(UseLevel,ticker, account, ATR_N,Stop_N, AssestRetion,RiskRatio) {
var ContractFcaceValue = GetContractFcaeValue(); //计算出合约价值
var TotalAssest = account.Stocks * ticker.Last * AssestRetion * UseLevel; //计算出总资金(usd)
//计算出按当前资金所开仓的头寸
var PositionCoinAmount = (TotalAssest * (RiskRatio / 100)) / (ATR_N[ATR_N.length - 1]*Stop_N); //头寸资金
var Amount = CoinToSheetsAmount(ticker, PositionCoinAmount, ContractFcaceValue) / 4; //将币数量转换为张数
// Log("总资金:",TotalAssest,"计算出币数量:",PositionCoinAmount,"计算出下注币张数:",Amount, "ATR值:",ATR_N[ATR_N.length-1]," 合约面值:",ContractFcaceValue,"行情价格:",ticker.Last,"当前资金:",account.Stocks)
if (Amount < 1) { //最小张数为1张
Amount = 1;
}
return parseInt(Amount);
}
//计算开仓或平仓数量 参数 走势类型、下单类型（开仓or平仓） 、增仓是否启用
function CalcAmount(MarketTrendType,OperationType,WarehouseMode)
{
var relustAmount =0; //数量
var TempAmount =0;
if(MarketTrendType =="震荡")
{
if(ShockTreadInfo.ExtraAmount >=2)
{
ShockTreadInfo.ExtraAmount =2;
}
if(Shock_ExtraAmount_State ==true) //启用则增加值
{
TempAmount =ShockTreadInfo.Amount +ShockTreadInfo.ExtraAmount; //增加额外数量
}
else {
TempAmount =ShockTreadInfo.Amount; //若未启用，则直接赋予基础值
}
if(WarehouseMode ==true) //增仓模式
{
if(OperationType =="入场") {
relustAmount =TempAmount;
}
else if(OperationType =="增减仓") {
relustAmount =TempAmount;
}
else if(OperationType =="全部平仓") {
relustAmount =ShockTreadInfo.LadderIndex *TempAmount;
}
}
else //减仓模式
{
if(OperationType =="入场") {
relustAmount =TempAmount*Shock_MaxAddCountLimit;
}
else if(OperationType =="增减仓") {
relustAmount =TempAmount;
}
else if(OperationType =="全部平仓") {
relustAmount =(Shock_MaxAddCountLimit -(ShockTreadInfo.LadderIndex-1)) *TempAmount; //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
}
}
}
else if(MarketTrendType =="趋势")
{
if(TrendTreadInfo.ExtraAmount >=2)
{
TrendTreadInfo.ExtraAmount =2;
}
if(Trend_ExtraAmount_State ==true) {//启用则增加值
TempAmount =TrendTreadInfo.Amount +TrendTreadInfo.ExtraAmount; //增加额外数量
}
else {
TempAmount =TrendTreadInfo.Amount; //若未启用，则直接赋予基础值
}
if(WarehouseMode ==true) //增仓模式
{
if(OperationType =="入场") {
relustAmount =TempAmount;
}
else if(OperationType =="增减仓") {
relustAmount =TempAmount;
}
else if(OperationType =="全部平仓") {
relustAmount =TrendTreadInfo.LadderIndex *TempAmount;
}
}
else //减仓模式
{
if(OperationType =="入场") {
relustAmount =TempAmount*Trend_MaxAddCountLimit;
}
else if(OperationType =="增减仓") {
relustAmount =TempAmount;
}
else if(OperationType =="全部平仓") {
relustAmount =(Trend_MaxAddCountLimit -(TrendTreadInfo.LadderIndex-1)) *TempAmount; //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
}
}
}
return relustAmount;
}
//入场
function Sys_In(MarketTrendType,ticker,records)
{
if(MarketTrendType =="震荡")
{
var HighPrice = TA.Highest(records, 14, 'High');
var LowPrice = TA.Lowest(records, 14, 'Low');
if (HighPrice == 0 || LowPrice == 0) {
return;
}
if(ShockTreadInfo.LastDirection !=STATE_LONG && ticker.Last < LowPrice)
{//多头进场
Log("震荡入场 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1]);
exchange.SetDirection("buy"); //设置下单类型为做多
exchange.Buy(ticker.Sell, CalcAmount("震荡","入场",Shock_WarehouseMode)); //以1000的价格，合约数量为2下单
ShockTreadInfo.AdmissionBasePrice =ticker.Last;
ShockTreadInfo.Direction =STATE_LONG;
ShockTreadInfo.LadderIndex =1;
ShockTreadInfo.LastDirection =STATE_LONG;
return true;
}
else if(ShockTreadInfo.LastDirection !=STATE_SHORT && ticker.Last > HighPrice)
{//空头进场
Log("震荡入场 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1]);
exchange.SetDirection("sell"); //设置下单类型为做空
exchange.Sell(ticker.Buy, CalcAmount("震荡","入场",Shock_WarehouseMode)); //以1000的价格，合约数量为2下单
ShockTreadInfo.AdmissionBasePrice =ticker.Last;
ShockTreadInfo.Direction =STATE_SHORT;
ShockTreadInfo.LadderIndex =1;
ShockTreadInfo.LastDirection =STATE_SHORT;
return true;
}
}
else if(MarketTrendType =="趋势")
{
// var boll = TA.BOLL(records, 20, 2);
// var bollLength =boll[0].length;
// var upLine = boll[0];
// var midLine = boll[1];
// var downLine = boll[2];
var HighPrice = TA.Highest(records, 25, 'High');
var LowPrice = TA.Lowest(records, 25, 'Low');
// Log("上轨价:",upLine[bollLength -1],"中轨价:",midLine[bollLength -1],"下轨价:",downLine[bollLength -1]);
if(ticker.Buy >HighPrice)
{// 多头进场
// Log("趋势入场 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1],"上轨价:",upLine[bollLength -1],"中轨价:",midLine[bollLength -1],"下轨价:",downLine[bollLength -1],"行情价:",ticker.Last);
exchange.SetDirection("buy"); //设置下单类型为做多
exchange.Buy(ticker.Sell, CalcAmount("趋势","入场",Trend_WarehouseMode)); //以1000的价格，合约数量为2下单
TrendTreadInfo.AdmissionBasePrice =ticker.Last;
TrendTreadInfo.Direction =STATE_LONG;
TrendTreadInfo.LadderIndex =1;
}
else if(ticker.Sell < LowPrice)
{// 空头进场
// Log("趋势入场 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1],"上轨价:",upLine[bollLength -1],"中轨价:",midLine[bollLength -1],"下轨价:",downLine[bollLength -1],"行情价:",ticker.Last);
exchange.SetDirection("sell"); //设置下单类型为做空
exchange.Sell(ticker.Buy, CalcAmount("趋势","入场",Trend_WarehouseMode)); //以1000的价格，合约数量为2下单
TrendTreadInfo.AdmissionBasePrice =ticker.Last;
TrendTreadInfo.Direction =STATE_SHORT;
TrendTreadInfo.LadderIndex =1;
}
}
}
//减仓
function Sys_SubPosition(MarketTrendType,ticker,current_price,ATR_N)
{
if(MarketTrendType =="震荡")
{
if(ShockTreadInfo.LadderIndex >4 || ShockTreadInfo.LadderIndex ==-1)
{
ShockTreadInfo.AdmissionBasePrice =0;
ShockTreadInfo.LadderIndex =-1;
ShockTreadInfo.Direction =STATE_IDLE;
return false;
}
if(ShockTreadInfo.Direction ==STATE_LONG)
{ //平掉多仓 基础价 + ATR_N的1/2 * 阶梯(用于统计开仓位置)
if (current_price > (ShockTreadInfo.AdmissionBasePrice +Shock_Reduce_N*ATR_N[ATR_N.length -1] *ShockTreadInfo.LadderIndex))
{
if(GetPosition(PD_LONG)[1] >= ShockTreadInfo.Amount)
{
exchange.SetDirection("closebuy"); //平多仓
var relust =exchange.Sell(ticker.Buy, CalcAmount("震荡","增减仓",Shock_WarehouseMode)); //以1000的价格，合约数量为2下单
if(relust !=null )
{
ShockTreadInfo.LadderIndex++; //开仓成功,增加阶梯数量
return true;
}
}
}
}
else if(ShockTreadInfo.Direction ==STATE_SHORT)
{ //减少空仓
if (current_price < (ShockTreadInfo.AdmissionBasePrice -Shock_Reduce_N*ATR_N[ATR_N.length -1] *ShockTreadInfo.LadderIndex))
{
if(GetPosition(PD_SHORT)[1] >=ShockTreadInfo.Amount)
{
exchange.SetDirection("closesell");
var relust =exchange.Buy(ticker.Sell, CalcAmount("震荡","增减仓",Shock_WarehouseMode)); //买入平空仓
if(relust !=null )
{
ShockTreadInfo.LadderIndex++; //开仓成功,增加阶梯数量
return true;
}
}
}
}
return false;
}
else if(MarketTrendType =="趋势")
{
if(TrendTreadInfo.LadderIndex >4 || TrendTreadInfo.LadderIndex ==-1)
{
TrendTreadInfo.AdmissionBasePrice =0;
TrendTreadInfo.LadderIndex =-1;
TrendTreadInfo.Direction =STATE_IDLE;
return false;
}
if(TrendTreadInfo.Direction ==STATE_LONG)
{ //平掉多仓 基础价 + ATR_N的1/2 * 阶梯(用于统计开仓位置)
if (current_price > (TrendTreadInfo.AdmissionBasePrice +Trend_Reduce_N*ATR_N[ATR_N.length -1] *TrendTreadInfo.LadderIndex))
{
if(GetPosition(PD_LONG)[1] >= TrendTreadInfo.Amount)
{
exchange.SetDirection("closebuy"); //平多仓
var relust =exchange.Sell(ticker.Buy, CalcAmount("趋势","增减仓",Trend_WarehouseMode)); //以1000的价格，合约数量为2下单
if(relust !=null )
{
TrendTreadInfo.LadderIndex++; //开仓成功,增加阶梯数量
return true;
}
}
}
}
else if(TrendTreadInfo.Direction ==STATE_SHORT)
{ //减少空仓
if (current_price < (TrendTreadInfo.AdmissionBasePrice -Trend_Reduce_N*ATR_N[ATR_N.length -1] *TrendTreadInfo.LadderIndex))
{
if(GetPosition(PD_SHORT)[1] >=TrendTreadInfo.Amount)
{
exchange.SetDirection("closesell");
var relust =exchange.Buy(ticker.Sell, CalcAmount("趋势","增减仓",Trend_WarehouseMode)); //买入平空仓
if(relust !=null )
{
TrendTreadInfo.LadderIndex++; //开仓成功,增加阶梯数量
return true;
}
}
}
}
return false;
}
}
//增仓
function Sys_AddPosition(MarketTrendType,ticker,ATR_N)
{
if(MarketTrendType =="震荡")
{
if(ShockTreadInfo.LadderIndex >=Shock_MaxAddCountLimit)
{
return false;
}
if(ShockTreadInfo.Direction ==STATE_LONG)
{ //增加多仓 基础价 + ATR_N的1/2 * 阶梯(用于统计开仓位置)
if (ticker.Sell > (ShockTreadInfo.AdmissionBasePrice +Shock_Reduce_N*ATR_N[ATR_N.length -1] *ShockTreadInfo.LadderIndex))
{
exchange.SetDirection("buy"); //设置下单类型为做多
exchange.Buy(ticker.Sell, CalcAmount("震荡","增减仓",Shock_WarehouseMode)); //以1000的价格，合约数量为2下单
ShockTreadInfo.LadderIndex++; //开仓成功,增加阶梯数量
return true;
}
}
else if(ShockTreadInfo.Direction ==STATE_SHORT)
{ //增加空仓
if (ticker.Buy < (ShockTreadInfo.AdmissionBasePrice -Shock_Reduce_N*ATR_N[ATR_N.length -1] *ShockTreadInfo.LadderIndex))
{
exchange.SetDirection("sell"); //设置下单类型为做空
exchange.Sell(ticker.Buy, CalcAmount("震荡","增减仓",Shock_WarehouseMode)); //以1000的价格，合约数量为2下单
ShockTreadInfo.LadderIndex++; //开仓成功,增加阶梯数量
return true;
}
}
}
else if(MarketTrendType =="趋势")
{
if(TrendTreadInfo.LadderIndex >=Trend_MaxAddCountLimit)
{
return false;
}
if(TrendTreadInfo.Direction ==STATE_LONG)
{ //增加多仓 基础价 + ATR_N的1/2 * 阶梯(用于统计开仓位置)
if (ticker.Sell > (TrendTreadInfo.AdmissionBasePrice +Trend_Reduce_N*ATR_N[ATR_N.length -1] *TrendTreadInfo.LadderIndex))
{
exchange.SetDirection("buy"); //设置下单类型为做多
exchange.Buy(ticker.Sell, CalcAmount("趋势","增减仓",Trend_WarehouseMode)); //以1000的价格，合约数量为2下单
TrendTreadInfo.LadderIndex++; //开仓成功,增加阶梯数量
return true;
}
}
else if(TrendTreadInfo.Direction ==STATE_SHORT)
{ //增加空仓
if (ticker.Buy < (TrendTreadInfo.AdmissionBasePrice -Trend_Reduce_N*ATR_N[ATR_N.length -1] *TrendTreadInfo.LadderIndex))
{
exchange.SetDirection("sell"); //设置下单类型为做空
exchange.Sell(ticker.Buy, CalcAmount("趋势","增减仓",Trend_WarehouseMode)); //以1000的价格，合约数量为2下单
TrendTreadInfo.LadderIndex++; //开仓成功,增加阶梯数量
return true;
}
}
}
return false;
}
//止损 以atr值 为止损标的。。
function Stop_Loss(MarketTrendType,ticker,current_price,ATR_N)
{
if(MarketTrendType =="震荡")
{
if(ShockTreadInfo.Direction ==STATE_LONG)
{
//计算出最后一次成交价 LadderIndex[Index]-1 目的是因为 头寸建立后赋值是1，必须减少1次才能计算出最后一次开仓价。
var LastPrice =ShockTreadInfo.AdmissionBasePrice + Shock_Reduce_N *ATR_N[ATR_N.length -1] *(ShockTreadInfo.LadderIndex-1);
// Log("止损调用","current_price:",current_price,"ATR_N*2:",ATR_N[ATR_N.length -1]*2," 最后一次成交价:",LastPrice,"ATR_N值:",ATR_N[ATR_N.length -1],"阶梯次数:",LadderIndex[Index],"基础价:",AdmissionBasePrice[Index]);
//依旧海龟法则，最大止损就是价格波动2N
if(LastPrice -current_price >ATR_N[ATR_N.length -1]*Shock_Stop_N)
{ //下跌则平多
var OldPostionAmount = GetPosition(PD_LONG)[1];
for(var nCount =0;nCount <10;nCount++)
{
var PostionAmount = GetPosition(PD_LONG)[1];
var CloseAmount =CalcAmount("震荡","全部平仓",Shock_WarehouseMode); //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
if(OldPostionAmount -CloseAmount >=PostionAmount || PostionAmount ==0 ) {
break;
}
else if(CloseAmount >PostionAmount)
{
CloseAmount =PostionAmount;
}
exchange.SetDirection("closebuy");
exchange.Sell(ticker.Buy, CloseAmount); //卖出平多仓
Sleep(1000);
Log("震荡 多仓止损 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1],"平仓数量:",CloseAmount);
}
ShockTreadInfo.AdmissionBasePrice =0;
ShockTreadInfo.LadderIndex =-1;
ShockTreadInfo.Direction =STATE_IDLE;
ShockTreadInfo.ExtraAmount =0; // 额外数量
return true;
}
}
else if(ShockTreadInfo.Direction ==STATE_SHORT)
{
//计算出最后一次成交价
var LastPrice =ShockTreadInfo.AdmissionBasePrice - Shock_Reduce_N *ATR_N[ATR_N.length -1] *(ShockTreadInfo.LadderIndex-1);
//依旧海龟法则，最大止损就是价格波动2N
if(current_price -LastPrice >ATR_N[ATR_N.length -1]*Shock_Stop_N)
{//上涨则平空
var OldPostionAmount =GetPosition(PD_SHORT)[1];
for(var nCount =0;nCount <10;nCount++)
{
var PostionAmount =GetPosition(PD_SHORT)[1];
var CloseAmount =CalcAmount("震荡","全部平仓",Shock_WarehouseMode); //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
if(OldPostionAmount -CloseAmount >=PostionAmount || PostionAmount ==0 ) {
break;
}
else if(CloseAmount >PostionAmount)
{
CloseAmount =PostionAmount;
}
exchange.SetDirection("closesell");
exchange.Buy(ticker.Sell, CloseAmount); //买入平空仓
Sleep(1000);
Log("震荡 空仓止损 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1],"平仓数量:",CloseAmount);
}
ShockTreadInfo.AdmissionBasePrice =0;
ShockTreadInfo.LadderIndex =-1;
ShockTreadInfo.Direction =STATE_IDLE;
ShockTreadInfo.ExtraAmount =0; // 额外数量
return true;
}
}
}
else if(MarketTrendType =="趋势")
{
if(TrendTreadInfo.Direction ==STATE_LONG)
{
//计算出最后一次成交价 LadderIndex[Index]-1 目的是因为 头寸建立后赋值是1，必须减少1次才能计算出最后一次开仓价。
var LastPrice =TrendTreadInfo.AdmissionBasePrice + Trend_Reduce_N *ATR_N[ATR_N.length -1] *(TrendTreadInfo.LadderIndex-1);
// Log("止损调用","current_price:",current_price,"ATR_N*2:",ATR_N[ATR_N.length -1]*2," 最后一次成交价:",LastPrice,"ATR_N值:",ATR_N[ATR_N.length -1],"阶梯次数:",LadderIndex[Index],"基础价:",AdmissionBasePrice[Index]);
//依旧海龟法则，最大止损就是价格波动2N
if(LastPrice -current_price >ATR_N[ATR_N.length -1]*Trend_Stop_N)
{ //下跌则平多
var OldPostionAmount = GetPosition(PD_LONG)[1];
for(var nCount =0;nCount <10;nCount++)
{
var PostionAmount = GetPosition(PD_LONG)[1];
var CloseAmount =CalcAmount("趋势","全部平仓",Trend_WarehouseMode);//（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
if(OldPostionAmount -CloseAmount >=PostionAmount || PostionAmount ==0 ) {
break;
}
else if(CloseAmount >PostionAmount)
{
CloseAmount =PostionAmount;
}
exchange.SetDirection("closebuy");
exchange.Sell(ticker.Buy, CloseAmount); //卖出平多仓
Sleep(1000);
Log(" 趋势 多仓止损 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1],"平仓数量:",CloseAmount);
}
TrendTreadInfo.AdmissionBasePrice =0;
TrendTreadInfo.LadderIndex =-1;
TrendTreadInfo.Direction =STATE_IDLE;
TrendTreadInfo.ExtraAmount =0; // 额外数量
return true;
}
}
else if(TrendTreadInfo.Direction ==STATE_SHORT)
{
//计算出最后一次成交价
var LastPrice =TrendTreadInfo.AdmissionBasePrice - Trend_Reduce_N *ATR_N[ATR_N.length -1] *(TrendTreadInfo.LadderIndex-1);
//依旧海龟法则，最大止损就是价格波动2N
if(current_price -LastPrice >ATR_N[ATR_N.length -1]*Trend_Stop_N)
{//上涨则平空
var OldPostionAmount =GetPosition(PD_SHORT)[1];
for(var nCount =0;nCount <10;nCount++)
{
var PostionAmount =GetPosition(PD_SHORT)[1];
var CloseAmount =CalcAmount("趋势","全部平仓",Trend_WarehouseMode);//（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
if(OldPostionAmount -CloseAmount >=PostionAmount || PostionAmount ==0 ) {
break;
}
else if(CloseAmount >PostionAmount)
{
CloseAmount =PostionAmount;
}
exchange.SetDirection("closesell");
exchange.Buy(ticker.Sell, CloseAmount); //买入平空仓
Sleep(1000);
Log("趋势 空仓止损 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1],"平仓数量:",CloseAmount);
}
TrendTreadInfo.AdmissionBasePrice =0;
TrendTreadInfo.LadderIndex =-1;
TrendTreadInfo.Direction =STATE_IDLE;
TrendTreadInfo.ExtraAmount =0; // 额外数量
return true;
}
}
}
return false;
}
// 离场
function Sys_OutClosePosition(MarketTrendType,ticker,records,positions,ATR_N)
{
if(MarketTrendType =="震荡")
{
if(ShockTreadInfo.Direction ==STATE_LONG)
{
var HighPrice = TA.Highest(records, 14, 'High');
//计算出下一增仓价，若当前价大于则直接离场。。
var NextAddPrice =ShockTreadInfo.AdmissionBasePrice +Shock_Reduce_N*ATR_N[ATR_N.length -1] *ShockTreadInfo.LadderIndex;
if(ticker.Last > HighPrice || (ticker.Last > NextAddPrice && ShockTreadInfo.LadderIndex >=Shock_MaxAddCountLimit))
{//多头离场
var CloseAmount =CalcAmount("震荡","全部平仓",Shock_WarehouseMode); //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
if(CloseAmount !=0)
{
exchange.SetDirection("closebuy");
exchange.Sell(ticker.Buy, CloseAmount); //卖出平多仓
}
ShockTreadInfo.AdmissionBasePrice =0;
ShockTreadInfo.Direction =STATE_IDLE;
ShockTreadInfo.LadderIndex =-1;
ShockTreadInfo.ExtraAmount ++; // 额外数量
Log("震荡 多仓离场 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1],"平仓数量:",CloseAmount);
return true;
}
}
else if(ShockTreadInfo.Direction ==STATE_SHORT)
{//空头离场
var LowPrice = TA.Lowest(records, 14, 'Low');
var NextSbuPrice =ShockTreadInfo.AdmissionBasePrice - Shock_Reduce_N *ATR_N[ATR_N.length -1] *(ShockTreadInfo.LadderIndex);
if(ticker.Last < LowPrice || (ticker.Last < NextSbuPrice && ShockTreadInfo.LadderIndex >=Shock_MaxAddCountLimit))
{
var CloseAmount =CalcAmount("震荡","全部平仓",Shock_WarehouseMode); //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
if(CloseAmount !=0)
{
exchange.SetDirection("closesell");
exchange.Buy(ticker.Sell, CloseAmount); //买入平空仓
}
ShockTreadInfo.AdmissionBasePrice =0;
ShockTreadInfo.Direction =STATE_IDLE;
ShockTreadInfo.LadderIndex =-1;
ShockTreadInfo.ExtraAmount ++; // 额外数量
Log("震荡 空仓离场 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1],"平仓数量:",CloseAmount);
return true;
}
}
}
else if(MarketTrendType =="趋势")
{
// var boll = TA.BOLL(records, 14, 2); //这里值，原本是20，修正为14貌似效果更好?
// var bollLength =boll[0].length;
// var upLine = boll[0];
// var midLine = boll[1];
// var downLine = boll[2];
var HighPrice = TA.Highest(records, 14, 'High');
var LowPrice = TA.Lowest(records, 14, 'Low');
// Log("上轨价:",upLine[bollLength -1],"中轨价:",midLine[bollLength -1],"下轨价:",downLine[bollLength -1]);
if( TrendTreadInfo.Direction ==STATE_LONG )
{// 多头离场
if(ticker.Buy <LowPrice)
{
var CloseAmount =CalcAmount("趋势","全部平仓",Trend_WarehouseMode);//（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
exchange.SetDirection("closebuy");
exchange.Sell(ticker.Buy, CloseAmount); //卖出平多仓
TrendTreadInfo.AdmissionBasePrice =0;
TrendTreadInfo.Direction =STATE_IDLE;
TrendTreadInfo.LadderIndex =-1;
TrendTreadInfo.ExtraAmount ++; // 额外数量
Log("趋势 多仓离场 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1],"平仓数量:",CloseAmount);
return true;
}
}
else if(TrendTreadInfo.Direction ==STATE_SHORT )
{// 空头离场
if(ticker.Sell >HighPrice)
{
var CloseAmount =CalcAmount("趋势","全部平仓",Trend_WarehouseMode); //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
exchange.SetDirection("closesell");
exchange.Buy(ticker.Sell, CloseAmount); //买入平空仓
TrendTreadInfo.AdmissionBasePrice =0;
TrendTreadInfo.Direction =STATE_IDLE;
TrendTreadInfo.LadderIndex =-1;
TrendTreadInfo.ExtraAmount ++; // 额外数量
Log("趋势 空仓离场 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1],"平仓数量:",CloseAmount);
return true;
}
}
}
}
//回调离场
function CallbackDeparture(MarketTrendType,ticker,current_price,ATR_N)
{
if(MarketTrendType =="震荡")
{
if(ShockTreadInfo.Direction ==STATE_LONG && ShockTreadInfo.LadderIndex >2)
{
//计算出最后一次成交价 ShockTreadInfo.LadderIndex-1 目的是因为 头寸建立后赋值是1，必须减少1次才能计算出最后一次开仓价。
var LastPrice =ShockTreadInfo.AdmissionBasePrice + 0.5 *ATR_N[ATR_N.length -1] *(ShockTreadInfo.LadderIndex-1);
var BackedPrice =ShockTreadInfo.AdmissionBasePrice + 0.5 *ATR_N[ATR_N.length -1] *(ShockTreadInfo.LadderIndex-2); //上一个价格，若回调到上一个价位，则直接止损
// Log("止损调用","current_price:",current_price,"ATR_N*2:",ATR_N[ATR_N.length -1]*2," 最后一次成交价:",LastPrice,"ATR_N值:",ATR_N[ATR_N.length -1],"阶梯次数:",ShockTreadInfo.LadderIndex,"基础价:",ShockTreadInfo.AdmissionBasePrice);
// 若当前价格小于 开仓档位-2个价格 则表明正在回调，直接离场，止损。。
if(current_price <BackedPrice)
{ //下跌则平多
var OldPostionAmount = GetPosition(PD_LONG)[1];
for(var nCount =0;nCount <10;nCount++)
{
var PostionAmount = GetPosition(PD_LONG)[1];
var CloseAmount =CalcAmount("震荡","全部平仓",Shock_WarehouseMode); //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
if(OldPostionAmount -CloseAmount >=PostionAmount || PostionAmount ==0 ) {
break;
}
else if(CloseAmount >PostionAmount)
{
CloseAmount =PostionAmount;
}
exchange.SetDirection("closebuy");
exchange.Sell(ticker.Buy, CloseAmount); //卖出平多仓
Sleep(1000);
}
ShockTreadInfo.AdmissionBasePrice =0;
ShockTreadInfo.LadderIndex =-1;
ShockTreadInfo.Direction =STATE_IDLE;
return true;
}
}
else if(ShockTreadInfo.Direction ==STATE_SHORT && ShockTreadInfo.LadderIndex >2)
{
//计算出最后一次成交价
var LastPrice =ShockTreadInfo.AdmissionBasePrice - 0.5 *ATR_N[ATR_N.length -1] *(ShockTreadInfo.LadderIndex-1);
var BackedPrice =ShockTreadInfo.AdmissionBasePrice - 0.5 *ATR_N[ATR_N.length -1] *(ShockTreadInfo.LadderIndex-2);
//当前价 》 回调价，表明正在回调，止损 离场
if(current_price >BackedPrice)
{//上涨则平空
var OldPostionAmount =GetPosition(PD_SHORT)[1];
for(var nCount =0;nCount <10;nCount++)
{
var PostionAmount =GetPosition(PD_SHORT)[1];
var CloseAmount =CalcAmount("震荡","全部平仓",Shock_WarehouseMode); //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
if(OldPostionAmount -CloseAmount >=PostionAmount || PostionAmount ==0 ) {
break;
}
else if(CloseAmount >PostionAmount)
{
CloseAmount =PostionAmount;
}
exchange.SetDirection("closesell");
exchange.Buy(ticker.Sell, CloseAmount); //买入平空仓
Sleep(1000);
}
ShockTreadInfo.AdmissionBasePrice =0;
ShockTreadInfo.LadderIndex =-1;
ShockTreadInfo.Direction =STATE_IDLE;
return true;
}
}
}
else if(MarketTrendType =="趋势")
{
if(TrendTreadInfo.Direction ==STATE_LONG && TrendTreadInfo.LadderIndex >2)
{
//计算出最后一次成交价 TrendTreadInfo.LadderIndex-1 目的是因为 头寸建立后赋值是1，必须减少1次才能计算出最后一次开仓价。
var LastPrice =TrendTreadInfo.AdmissionBasePrice + 0.5 *ATR_N[ATR_N.length -1] *(TrendTreadInfo.LadderIndex-1);
var BackedPrice =TrendTreadInfo.AdmissionBasePrice + 0.5 *ATR_N[ATR_N.length -1] *(TrendTreadInfo.LadderIndex-2); //上一个价格，若回调到上一个价位，则直接止损
// Log("止损调用","current_price:",current_price,"ATR_N*2:",ATR_N[ATR_N.length -1]*2," 最后一次成交价:",LastPrice,"ATR_N值:",ATR_N[ATR_N.length -1],"阶梯次数:",TrendTreadInfo.LadderIndex,"基础价:",TrendTreadInfo.AdmissionBasePrice);
// 若当前价格小于 开仓档位-2个价格 则表明正在回调，直接离场，止损。。
if(current_price <BackedPrice)
{ //下跌则平多
var OldPostionAmount = GetPosition(PD_LONG)[1];
for(var nCount =0;nCount <10;nCount++)
{
var PostionAmount = GetPosition(PD_LONG)[1];
var CloseAmount =CalcAmount("趋势","全部平仓",Trend_WarehouseMode); //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
if(OldPostionAmount -CloseAmount >=PostionAmount || PostionAmount ==0 ) {
break;
}
else if(CloseAmount >PostionAmount)
{
CloseAmount =PostionAmount;
}
exchange.SetDirection("closebuy");
exchange.Sell(ticker.Buy, CloseAmount); //卖出平多仓
Sleep(1000);
}
TrendTreadInfo.AdmissionBasePrice =0;
TrendTreadInfo.LadderIndex =-1;
TrendTreadInfo.Direction =STATE_IDLE;
return true;
}
}
else if(TrendTreadInfo.Direction ==STATE_SHORT && TrendTreadInfo.LadderIndex >2)
{
//计算出最后一次成交价
var LastPrice =TrendTreadInfo.AdmissionBasePrice - 0.5 *ATR_N[ATR_N.length -1] *(TrendTreadInfo.LadderIndex-1);
var BackedPrice =TrendTreadInfo.AdmissionBasePrice - 0.5 *ATR_N[ATR_N.length -1] *(TrendTreadInfo.LadderIndex-2);
//当前价 》 回调价，表明正在回调，止损 离场
if(current_price >BackedPrice)
{//上涨则平空
var OldPostionAmount =GetPosition(PD_SHORT)[1];
for(var nCount =0;nCount <10;nCount++)
{
var PostionAmount =GetPosition(PD_SHORT)[1];
var CloseAmount =CalcAmount("趋势","全部平仓",Trend_WarehouseMode); //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
if(OldPostionAmount -CloseAmount >=PostionAmount || PostionAmount ==0 ) {
break;
}
else if(CloseAmount >PostionAmount)
{
CloseAmount =PostionAmount;
}
exchange.SetDirection("closesell");
exchange.Buy(ticker.Sell, CloseAmount); //买入平空仓
Sleep(1000);
}
TrendTreadInfo.AdmissionBasePrice =0;
TrendTreadInfo.LadderIndex =-1;
TrendTreadInfo.Direction =STATE_IDLE;
return true;
}
}
}
return false;
}
//处理流程
function MarketTrendProc(MarketTrendType,records,IsOpeningAllowed)
{
var positions = _C(exchange.GetPosition); //获取持仓信息
var ticker = _C(exchange.GetTicker); //行情价格
var account = _C(exchange.GetAccount); //获取账户信息
var curTotalAccount =account.Stocks +account.FrozenStocks
if (account.Stocks < 0.01) //保证金不足
{
return;
}
if(MarketTrendType =="震荡")
{
if(ShockTreadInfo.LadderIndex ==-1 && IsOpeningAllowed ==true)
{//头寸建立检测
Shock_ATR = TA.ATR(records,Shock_ATR_Cycle);
ShockTreadInfo.Amount =CalculationAmount(Shock_UseLeverval,ticker, account, Shock_ATR,Shock_Stop_N, 1,1);
if(Sys_In("震荡",ticker,records)==true)
{
Log("入市 - 下标:","震荡","current_price",ticker.Last,"对比价:",ShockTreadInfo.AdmissionBasePrice -Shock_Reduce_N*Shock_ATR[Shock_ATR.length -1] *ShockTreadInfo.LadderIndex,"最近一根ATR:",Shock_ATR[Shock_ATR.length -1]);
}
}
else
{ //减仓
if(Shock_WarehouseMode ==true)
{
if(Sys_AddPosition("震荡",ticker,Shock_ATR) ==true)
{
Log("增仓 - 下标:","震荡","current_price",ticker.Last,"多仓 对比价:",ShockTreadInfo.AdmissionBasePrice +Shock_Reduce_N*Shock_ATR[Shock_ATR.length -1] *ShockTreadInfo.LadderIndex,"空仓对比价:",ShockTreadInfo.AdmissionBasePrice -Shock_Reduce_N*Shock_ATR[Shock_ATR.length -1] *ShockTreadInfo.LadderIndex,"最近一根ATR:",Shock_ATR[Shock_ATR.length -1]);
}
}
else
{
if(Sys_SubPosition("震荡",ticker,ticker.Last,Shock_ATR) ==true)
{
Log("减仓 - 下标:","震荡","current_price",ticker.Last,"多仓 对比价:",ShockTreadInfo.AdmissionBasePrice +Shock_Reduce_N*Shock_ATR[Shock_ATR.length -1] *ShockTreadInfo.LadderIndex,"空仓对比价:",ShockTreadInfo.AdmissionBasePrice -Shock_Reduce_N*Shock_ATR[Shock_ATR.length -1] *ShockTreadInfo.LadderIndex,"最近一根ATR:",Shock_ATR[Shock_ATR.length -1]);
}
}
}
if(ShockTreadInfo.LadderIndex !=-1)
{
//止损
if(Stop_Loss("震荡",ticker,ticker.Last,Shock_ATR) ==true)
{
Log("下标:","震荡","止损成功!!","ATR值:",Shock_ATR[Shock_ATR.length -1] ,"ticker.Last:",ticker.Last,"账户收益:",curTotalAccount -InitAccount.Stocks);
}
else if(Sys_OutClosePosition("震荡",ticker,records,positions,Shock_ATR) ==true)
{
Log("下标:","震荡","离场成功!!","ATR值:",Shock_ATR[Shock_ATR.length -1] ,"ticker.Last",ticker.Last,"账户收益:",curTotalAccount -InitAccount.Stocks);
}
else if(CallbackDeparture("震荡",ticker,ticker.Last,Shock_ATR) ==true)
{
Log("下标:","震荡 回调 止损成功!!","ATR值:",Shock_ATR[Shock_ATR.length -1],"ticker.Last:",ticker.Last,"账户收益:",curTotalAccount -InitAccount.Stocks);
}
}
}
else if(MarketTrendType =="趋势")
{
if(TrendTreadInfo.LadderIndex ==-1 && IsOpeningAllowed ==true)
{//头寸建立检测
Trend_ATR = TA.ATR(records,Trend_ATR_Cycle);
TrendTreadInfo.Amount =CalculationAmount(Trend_UseLeverval,ticker, account, Trend_ATR,Trend_Stop_N,1,1);
if(Sys_In("趋势",ticker,records)==true)
{
Log("入市 - 下标:","趋势","current_price",ticker.Last,"对比价:",TrendTreadInfo.AdmissionBasePrice -Trend_Reduce_N*Trend_ATR[Trend_ATR.length -1] *TrendTreadInfo.LadderIndex,"最近一根ATR:",Trend_ATR[Trend_ATR.length -1]);
}
}
else
{ //减仓or增仓
if(Trend_WarehouseMode ==true)
{
if(Sys_AddPosition("趋势",ticker,Trend_ATR) ==true)
{
Log("增仓 - 下标:","趋势","current_price",ticker.Last,"多仓 对比价:",TrendTreadInfo.AdmissionBasePrice +Trend_Reduce_N*Trend_ATR[Trend_ATR.length -1] *TrendTreadInfo.LadderIndex,"空仓对比价:",TrendTreadInfo.AdmissionBasePrice -Trend_Reduce_N*Trend_ATR[Trend_ATR.length -1] *TrendTreadInfo.LadderIndex,"最近一根ATR:",Trend_ATR[Trend_ATR.length -1]);
}
}
else
{
if(Sys_SubPosition("趋势",ticker,ticker.Last,Trend_ATR) ==true)
{
Log("减仓 - 下标:","趋势","current_price",ticker.Last,"多仓 对比价:",TrendTreadInfo.AdmissionBasePrice +Trend_Reduce_N*Trend_ATR[Trend_ATR.length -1] *TrendTreadInfo.LadderIndex,"空仓对比价:",TrendTreadInfo.AdmissionBasePrice -Trend_Reduce_N*Trend_ATR[Trend_ATR.length -1] *TrendTreadInfo.LadderIndex,"最近一根ATR:",Trend_ATR[Trend_ATR.length -1]);
}
}
}
if(TrendTreadInfo.LadderIndex !=-1)
{ //止损
if(Stop_Loss("趋势",ticker,ticker.Last,Trend_ATR) ==true)
{
Log("下标:","趋势","止损成功!!","ATR值:",Trend_ATR[Trend_ATR.length -1] ,"ticker.Last:",ticker.Last,"账户收益:",curTotalAccount -InitAccount.Stocks);
}
else if(Sys_OutClosePosition("趋势",ticker,records,positions,Trend_ATR) ==true)
{
Log("下标:","趋势","离场成功!!","ATR值:",Trend_ATR[Trend_ATR.length -1] ,"ticker.Last",ticker.Last,"账户收益:",curTotalAccount -InitAccount.Stocks);
}
else if(CallbackDeparture("趋势",ticker,ticker.Last,Trend_ATR) ==true)
{
Log("下标:","趋势 回调 止损成功!!","ATR值:",Trend_ATR[Trend_ATR.length -1],"ticker.Last:",ticker.Last,"账户收益:",curTotalAccount -InitAccount.Stocks);
}
}
}
}
function onTick(exchange) {
var recordsCMI = _C(exchange.GetRecords,GetKLineCycle(Cmi_kLine_Cycle)); //Cmi计算
var Shock_records = _C(exchange.GetRecords,GetKLineCycle(Shock_kLine_Cycle)); //震荡k线
var Trend_records = _C(exchange.GetRecords,GetKLineCycle(Trend_kLine_Cycle)); //趋势k线
var Bar = Shock_records[Shock_records.length - 1];
if (LastBarTime !== Bar.Time) {
CmiVal = GetCmiVal(recordsCMI);
if(CmiVal <20) { Log("生命不息！！"); }
else if(CmiVal >=20) { Log("作死不止！！"); }
LastBarTime = Bar.Time;
}
if(CmiVal <20)
{
MarketTrendProc("震荡",Shock_records,true);
MarketTrendProc("趋势",Trend_records,false); //不允许开仓
}
else if(CmiVal >=20)
{
MarketTrendProc("趋势",Trend_records,true);
MarketTrendProc("震荡",Shock_records,false); //不允许开仓
}
}
function main() {
Log(exchange.GetAccount());
Log(exchange.GetCurrency(), "合约面值:", GetContractFcaeValue(), "测试转换为整数:", _N(3.143454515, 0));
if (exchange.GetName() !== 'Futures_OKCoin') {
// throw "Only support OKEX features";
}
exchange.SetRate(1);
exchange.SetContractType(["this_week", "next_week", "quarter"][ContractTypeIdx]);
exchange.SetMarginLevel([10, 20][MarginLevelIdx]);
InitAccount = LastAccount = exchange.GetAccount();
Log(exchange.GetAccount());
while (true) {
onTick(exchange);
Sleep(LoopInterval * 1000);
}
}
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