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- शिक्षण रणनीति टीसीआई रणनीति (मई भाषा प्रत्यारोपण)
शिक्षण रणनीति टीसीआई रणनीति (मई भाषा प्रत्यारोपण)
लेखक:
आविष्कारक मात्रा - छोटे सपने, दिनांकः 2019-11-13 09:17:45
टैगः
/*backtest
start: 2019-05-01 00:00:00
end: 2019-11-12 00:00:00
period: 1d
exchanges: [{"eid":"Futures_OKCoin","currency":"BTC_USD"}]
*/
/* 原版麦语言策略
N1:=10;
N2:=21;
AP:=(HIGH+LOW+CLOSE)/3;
ESA:=EMA(AP,N1);
D:=EMA(ABS(AP-ESA),N1);
CI:=(AP-ESA)/(0.015*D);
TCI:=EMA(CI,N2);
WT1:TCI;
WT2:SMA(WT1,4,1);
AA:=CROSS(WT1,WT2);
BB:=CROSSDOWN(WT1,WT2);
REF(AA,1),BPK;
REF(BB,1),SPK;
*/
// 全局变量
var IDLE = 0
var LONG = 1
var SHORT = 2
var OPENLONG = 3
var OPENSHORT = 4
var COVERLONG = 5
var COVERSHORT = 6
var BREAK = 9
var SHOCK = 10
var _State = IDLE
var Amount = 1 // 记录持仓数量
var TradeInterval = 500 // 轮询间隔
var PriceTick = 1 // 价格一跳
var Point = 5 // 滑价点数
var Symbol = "quarter"
// 临时参数
var N1 = 10
var N2 = 21
function CalcAP (r) { // AP:=(HIGH+LOW+CLOSE)/3;
var arrAP = []
for (var i = 0; i < r.length; i++) {
v = (r[i].High + r[i].Low + r[i].Close) / 3
arrAP.push(v)
}
return arrAP
}
function CalcESA (ap, n1) { // ESA:=EMA(AP,N1);
if (ap.length <= n1) {
return false
}
return TA.EMA(ap, n1)
}
function CalcD (ap, esa, n1) { // D:=EMA(ABS(AP-ESA),N1);
var arrABS_APminusESA = []
if (ap.length != esa.length) {
throw "ap.length != esa.length"
}
for (var i = 0; i < ap.length; i++) {
if (ap[i] && esa[i] && !isNaN(ap[i]) && !isNaN(esa[i])) {
v = Math.abs(ap[i] - esa[i])
arrABS_APminusESA.push(v)
} else {
arrABS_APminusESA.push(NaN)
}
}
if (arrABS_APminusESA.length <= n1) {
return false
}
return TA.EMA(arrABS_APminusESA, n1)
}
function CalcCI (ap, esa, d) { // CI:=(AP-ESA)/(0.015*D);
var arrCI = []
if (ap.length != esa.length || ap.length != d.length) {
throw "ap.length != esa.length || ap.length != d.length"
}
for (var i = 0; i < ap.length; i++) {
if (ap[i] && esa[i] && d[i] && !isNaN(ap[i]) && !isNaN(esa[i]) && !isNaN(d[i])) {
v = (ap[i] - esa[i]) / (0.015 * d[i])
arrCI.push(v)
} else {
arrCI.push(NaN)
}
}
if (arrCI.length == 0) {
return false
}
return arrCI
}
function CalcTCI (ci, n2) { // TCI:=EMA(CI,N2);
if (ci.length <= n2) {
return false
}
return TA.EMA(ci, n2)
}
function SMA (arr, n, m) {
var sma = []
var currSMA = null
for (var i = 0; i < arr.length; i++) {
if (arr[i] && !isNaN(arr[i])) {
if (!currSMA) {
currSMA = arr[i]
sma.push(currSMA)
continue
}
// [M*C2+(N-M)*S1]/N
currSMA = (m * arr[i] + (n - m) * currSMA) / n
sma.push(currSMA)
} else {
sma.push(NaN)
}
}
return sma
}
function CalcWT2 (wt1) { // WT2:SMA(WT1,4,1);
if (wt1.length <= 4) {
return false
}
return SMA(wt1, 4, 1)
}
var isOK = true
var preTime = 0
function OnTick(){
// 驱动策略的行情处理部分
var records = _C(exchange.GetRecords)
if (records[records.length - 1].Time == preTime) {
if (isOK) {
Sleep(500)
return
}
} else {
preTime = records[records.length - 1].Time
}
// 计算指标
// AP
var ap = CalcAP(records)
// ESA
var esa = CalcESA(ap, N1)
if (!esa) {
return
}
// D
var d = CalcD(ap, esa, N1)
if (!d) {
return
}
// CI
var ci = CalcCI(ap, esa, d)
if (!ci) {
return
}
// TCI
var tci = CalcTCI(ci, N2)
if (!tci) {
return
}
// WT1
var wt1 = tci
// WT2
var wt2 = CalcWT2(wt1)
if (!wt2) {
return
}
// 交易信号触发处理部分
/*
AA:=CROSS(WT1,WT2);
BB:=CROSSDOWN(WT1,WT2);
REF(AA,1),BPK;
REF(BB,1),SPK;
*/
if (wt1.length < 3 || wt2.length < 3) {
return
}
$.PlotLine("wt1", wt1[wt1.length - 2], records[records.length - 2].Time)
$.PlotLine("wt2", wt2[wt2.length - 2], records[records.length - 2].Time)
if ((_State == IDLE || _State == SHORT) && wt1[wt1.length - 4] < wt2[wt2.length - 4] && wt1[wt1.length - 3] > wt2[wt2.length - 3]) {
if (_State == IDLE) {
_State = OPENLONG
Log("OPENLONG") // 测试
}
if (_State == SHORT) {
_State = COVERSHORT
Log("COVERSHORT") // 测试
}
isOK = false
}
if ((_State == IDLE || _State == LONG) && wt1[wt1.length - 4] > wt2[wt2.length - 4] && wt1[wt1.length - 3] < wt2[wt2.length - 3]) {
if (_State == IDLE) {
_State = OPENSHORT
Log("OPENSHORT") // 测试
}
if (_State == LONG) {
_State = COVERLONG
Log("COVERLONG") // 测试
}
isOK = false
}
// 执行交易逻辑
var pos = null
var price = null
var currBar = records[records.length - 1]
if(_State == OPENLONG){
pos = GetPosition(PD_LONG)
// 判断是不是 满足状态，如果满足 修改状态
if(pos[1] >= Amount){
_State = LONG
Amount = pos[1] // 更新实际量
isOK = true
return
}
price = currBar.Close - (currBar.Close % PriceTick) + PriceTick * Point
Trade(OPENLONG, price, Amount - pos[1], pos, PriceTick) // (Type, Price, Amount, CurrPos, PriceTick)
}
if(_State == OPENSHORT){
pos = GetPosition(PD_SHORT)
if(pos[1] >= Amount){
_State = SHORT
Amount = pos[1] // 更新实际量
isOK = true
return
}
price = currBar.Close - (currBar.Close % PriceTick) - PriceTick * Point
Trade(OPENSHORT, price, Amount - pos[1], pos, PriceTick)
}
if(_State == COVERLONG){
pos = GetPosition(PD_LONG)
if(pos[1] == 0){
_State = IDLE
return
}
price = currBar.Close - (currBar.Close % PriceTick) - PriceTick * Point
Trade(COVERLONG, price, pos[1], pos, PriceTick)
}
if(_State == COVERSHORT){
pos = GetPosition(PD_SHORT)
if(pos[1] == 0){
_State = IDLE
return
}
price = currBar.Close - (currBar.Close % PriceTick) + PriceTick * Point
Trade(COVERSHORT, price, pos[1], pos, PriceTick)
}
}
// 交易逻辑部分
function GetPosition(posType) {
var positions = _C(exchange.GetPosition)
var count = 0
for(var j = 0; j < positions.length; j++){
if(positions[j].ContractType == Symbol){
count++
}
}
if(count > 1){
throw "positions error:" + JSON.stringify(positions)
}
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType == Symbol && positions[i].Type === posType) {
return [positions[i].Price, positions[i].Amount];
}
}
Sleep(TradeInterval);
return [0, 0];
}
function CancelPendingOrders() {
while (true) {
var orders = _C(exchange.GetOrders)
for (var i = 0; i < orders.length; i++) {
exchange.CancelOrder(orders[i].Id);
Sleep(TradeInterval);
}
if (orders.length === 0) {
break;
}
}
}
function Trade(Type, Price, Amount, CurrPos, OnePriceTick){ // 处理交易
if(Type == OPENLONG || Type == OPENSHORT){ // 处理开仓
exchange.SetDirection(Type == OPENLONG ? "buy" : "sell")
var pfnOpen = Type == OPENLONG ? exchange.Buy : exchange.Sell
var idOpen = pfnOpen(Price, Amount, CurrPos, OnePriceTick, Type)
Sleep(TradeInterval)
if(idOpen) {
exchange.CancelOrder(idOpen)
} else {
CancelPendingOrders()
}
} else if(Type == COVERLONG || Type == COVERSHORT){ // 处理平仓
exchange.SetDirection(Type == COVERLONG ? "closebuy" : "closesell")
var pfnCover = Type == COVERLONG ? exchange.Sell : exchange.Buy
var idCover = pfnCover(Price, Amount, CurrPos, OnePriceTick, Type)
Sleep(TradeInterval)
if(idCover){
exchange.CancelOrder(idCover)
} else {
CancelPendingOrders()
}
} else {
throw "Type error:" + Type
}
}
function main() {
// 设置合约
exchange.SetContractType(Symbol)
while(1){
OnTick()
Sleep(1000)
}
}
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