सबसे क्लासिक एकल मुद्रा संतुलन रणनीति, बेचने के लिए तेजी से, खरीदने के लिए गिरावट, हमेशा एक निश्चित अनुपात बनाए रखने के लिए रखरखाव रखने के लिए; तुलना में मध्यम मुद्रा संतुलन रणनीति, लंबे समय तक चलाने की जरूरत है।
/*backtest
start: 2019-07-24 00:00:00
end: 2020-07-23 23:59:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Binance","currency":"BTC_USDT","stocks":1.2,"fee":[0.1,0.1]}]
*/
var order = {buy_price:0,buy_amount:0,buy_id:0,sell_price:0,sell_amount:0,sell_id:0}
var account = null
var last = 0
var symbol = ''
var log_profit_time = 0
var update_status_time = 0
var update_alpha_time = Date.now()
var total_trade_volume = 0
if(exchange.GetName().slice(0,7) == 'Futures'){
throw '此策略只支持现货'
}
if(Ratio < 0.0005){
throw '网格密度勿小于万分之5'
}
if(_G('symbol')){
symbol = _G('symbol')
}else{
symbol = exchange.GetCurrency()
_G('symbol', symbol)
}
if(exchange.GetCurrency() != symbol){
throw '不可更换币种,需要重新建立新机器人'
}
function GetPrecision(){
if(IsVirtual()){
return {price:6, amount:6}
}
var precision = {price:0, amount:0}
var depth = exchange.GetDepth()
if(!depth){
throw '无法连接交易所行情,需要海外托管者'
}
for(var i=0;i<depth.Asks.length;i++){
var amountPrecision = depth.Asks[i].Amount.toString().indexOf('.') > -1 ? depth.Asks[i].Amount.toString().split('.')[1].length : 0
precision.amount = Math.max(precision.amount,amountPrecision)
var pricePrecision = depth.Asks[i].Price.toString().indexOf('.') > -1 ? depth.Asks[i].Price.toString().split('.')[1].length : 0
precision.price = Math.max(precision.price,pricePrecision)
}
return precision
}
function updateAccount() {
var acc = exchange.GetAccount()
if(acc){
if(account && _N(acc.Stocks + acc.FrozenStocks,6) != _N(account.Stocks + account.FrozenStocks,6)){
if(acc.Stocks + acc.FrozenStocks > account.Stocks + account.FrozenStocks){
Log('买单成交：',_N(acc.Stocks + acc.FrozenStocks-account.Stocks - account.FrozenStocks,6), ' 数量变动：', _N(account.Stocks + account.FrozenStocks,6), ' -> ', _N(acc.Stocks + acc.FrozenStocks,6))
}
if(acc.Stocks + acc.FrozenStocks < account.Stocks + account.FrozenStocks){
Log('卖单成交：',_N(account.Stocks + account.FrozenStocks - acc.Stocks - acc.FrozenStocks,6),' 数量变动：', _N(account.Stocks + account.FrozenStocks,6), ' -> ', _N(acc.Stocks + acc.FrozenStocks,6))
}
total_trade_volume += _N(Math.abs(acc.Stocks + acc.FrozenStocks - (account.Stocks + account.FrozenStocks)),6)
}
account = acc
}else{
Log('获取账户信息出错')
}
}
function updateTicker(){
var ticker = exchange.GetTicker()
if(ticker){
last = ticker.Last
}else{
Log('获取行情出错')
}
}
function cancelAll(){
Log('撤销所有订单')
var orders = exchange.GetOrders()
if(!orders){
Log('获取订单失败')
}
for(var j=0; j<orders.length; j++){
exchange.CancelOrder(orders[j].Id)
Sleep(10)
}
}
cancelAll()
last = exchange.GetTicker().Last
updateAccount()
var precision = GetPrecision()
var init_value = 0
var init_account = {balance:0, amount:0}
if(_G('init_value')){
init_value = _G('init_value')
init_account = _G('init_account')
}else{
init_value = _N(account.Balance+account.FrozenBalance+(account.Stocks+account.FrozenStocks)*last, 6)
init_account = {balance:account.Balance+account.FrozenBalance, amount:account.Stocks+account.FrozenStocks}
Log('第一次启动策略, 始总价值为: ', init_value)
_G('init_value', init_value)
_G('init_account', init_account)
}
function trade(direction, price, value, msg){
if(price <= 0){return}
var amount = _N(value/price, precision.amount)
var new_order = false
if(!order[direction+'_id']){
new_order = true
}
if(order[direction+'_price'] > 0 && Math.abs(price-order[direction+'_price'])/order[direction+'_price'] > Grid_Ratio/10.0){
new_order = true
}
if((direction == 'buy' && account.FrozenBalance == 0 && account.Balance > 1.5*value) || (direction == 'sell' && account.FrozenStocks == 0 && account.Stocks > 1.5*amount)){
new_order = true
}
order[direction+'_price'] = price
if(new_order){
if(order[direction+'_id']){
exchange.CancelOrder(order[direction+'_id'])
order[direction+'_price'] = 0
order[direction+'_id'] = 0
}
var id =null
if(direction == 'buy'){
if(account.Balance < 1.5*value){
Log('资金不足, 无法挂买单')
}else{
id = exchange.Buy(price, amount, msg)
}
}
if(direction == 'sell'){
if(account.Stocks < 1.5*amount){
Log('余币不足, 无法挂卖单')
}else{
id = exchange.Sell(price, amount, msg)
}
}
order[direction+'_id'] = id
order[direction+'_price'] = price
}
}
function updateStatus(){
if(Date.now()-update_status_time < 4000){
return
}
update_status_time = Date.now()
var now_value = (account.Stocks+account.FrozenStocks)*last + account.Balance+account.FrozenBalance
var profit = _N( now_value - init_account.amount*last - init_account.balance, 6)
var table = {
type: 'table', title: '账户信息',
cols: ['初始币', '初始资金', '当前币', '当前资金', '当前比例', '现价', '初始市值', '当前市值', '总成交', '收益'],
rows: [[_N(init_account.amount,6), _N(init_account.balance,6), _N(account.Stocks+account.FrozenStocks,6),
_N(account.Balance+account.FrozenBalance,6), _N((account.Stocks+account.FrozenStocks)*last/now_value,6), _N(last,6),
_N(init_value,6), _N(now_value,6),_N(total_trade_volume,4), _N(profit,6)]]
}
var logString = _D()+' 策略代码最后更新时间6月10日 14:00\n'
LogStatus(logString + '`' + JSON.stringify(table) + '`'+'\n')
var log_profit_intervel = IsVirtual() ? 24*60*60*1000 : Log_profit
if(Date.now()-log_profit_time > log_profit_intervel){
LogProfit(_N((account.Stocks+account.FrozenStocks)*last + account.Balance+account.FrozenBalance - init_account.amount*last - init_account.balance, 6))
log_profit_time = Date.now()
}
}
function onTick(){
if(last == 0){return}
var m = account.Stocks+account.FrozenStocks
var b = account.Balance+account.FrozenBalance
var r = m*last/(m*last+b)
if(Math.abs(r-Ratio)>0.3*Ratio){
throw '为避免冲击市场，需要手动交易到持仓比例附近，再由策略进行交易'
}
var buy_r = Ratio-Grid_Ratio
var sell_r = Ratio+Grid_Ratio
var buy_price = _N(b*buy_r/(m-m*buy_r), precision.price)
var sell_price = _N(b*sell_r/(m-m*sell_r), precision.price)
var buy_value = (m*buy_price + b)*Grid_Ratio
var sell_value = (m*sell_price + b)*Grid_Ratio
trade('buy', buy_price, buy_value, '买入平衡')
trade('sell', sell_price, sell_value , '卖出平衡')
}
function onexit(){
cancelAll()
}
function main() {
while(true){
updateTicker()
updateAccount()
onTick()
updateStatus()
if(!IsVirtual()){
Sleep(Intervel)
}
}
}
परिमाणात्मक लेनदेनक्या यह एसेट बैलेंसिंग रणनीति फायदेमंद है?
घासलंबे समय तक दौड़ना ठीक है, इसे फिर से आज़माएं।