Versi baru dari Dual Thrust Trading strategi

Versi baru dari Dual Thrust Trading strategiwww.fmz.comSekali lagi, anggota teknis kami telah menulis ulang strategi DT yang terkenal.

Garis kode yang lebih pendek, kinerja yang lebih baik.

Lebih mudah dimengerti, lebih mudah untuk mempelajari logika strategi.

Yang asli ada di:https://fmzquant.quora.com/Dual-Thrust-Trading-strategy

Berikut versi baru:

var STATE_IDLE = 0
var STATE_LONG = 1
var STATE_SHORT = 2
var State = STATE_IDLE
var LastBarTime = 0
var UpTrack = 0
var DownTrack = 0
var InitAccount = null

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]
}

function CancelPendingOrders() {
    while (true) {
        var orders = exchange.GetOrders()
        for (var i = 0; i < orders.length; i++) {
            exchange.CancelOrder(orders[i].Id)
            Sleep(500)
        }
        if (orders.length === 0) {
            break
        }
    }
}

function Trade(currentState, nextState) {
    var pfn = nextState === STATE_LONG ? exchange.Buy : exchange.Sell
    if (currentState !== STATE_IDLE) {
        exchange.SetDirection(currentState === STATE_LONG ? "closebuy" : "closesell")
        while (true) {
            var amount = GetPosition(currentState === STATE_LONG ? PD_LONG : PD_SHORT)[1]
            if (amount === 0) {
                break
            }
            pfn(nextState === STATE_LONG ? _C(exchange.GetTicker).Sell * 1.001 : _C(exchange.GetTicker).Buy * 0.999, amount)
            Sleep(500)
            CancelPendingOrders()
        }
        var account = exchange.GetAccount()
        LogProfit(_N(account.Stocks - InitAccount.Stocks, 3), "rate of return:", _N((account.Stocks - InitAccount.Stocks) * 100 / InitAccount.Stocks, 3) + '%')
    }
    exchange.SetDirection(nextState === STATE_LONG ? "buy" : "sell")
    while (true) {
        var pos = GetPosition(nextState === STATE_LONG ? PD_LONG : PD_SHORT)
        if (pos[1] >= AmountOP) {
            Log("Average price of position", pos[0], "Quantity:", pos[1])
            break
        }
        pfn(nextState === STATE_LONG ? _C(exchange.GetTicker).Sell * 1.001 : _C(exchange.GetTicker).Buy * 0.999, AmountOP-pos[1])
        Sleep(500)
        CancelPendingOrders()
    }
}

function onTick() {
    var records = exchange.GetRecords()
    if (!records || records.length <= NPeriod) {
        return
    }
    var Bar = records[records.length - 1]
    $.PlotRecords(records, 'K line')
    if (LastBarTime !== Bar.Time) {
        var HH = TA.Highest(records, NPeriod, 'High')
        var HC = TA.Highest(records, NPeriod, 'Close')
        var LL = TA.Lowest(records, NPeriod, 'Low')
        var LC = TA.Lowest(records, NPeriod, 'Close')
        var Range = Math.max(HH - LC, HC - LL)
        UpTrack = _N(Bar.Open + (Ks * Range), 3)
        DownTrack = _N(Bar.Open - (Kx * Range), 3)
        $.PlotHLine(UpTrack, 'UpTrack')
        $.PlotHLine(DownTrack, 'DownTrack')
        LastBarTime = Bar.Time
    }

    LogStatus("Price:", Bar.Close, "Up:", UpTrack, "Down:", DownTrack, "Date:", new Date())
    var msg
    if (State === STATE_IDLE || State === STATE_SHORT) {
        if (Bar.Close >= UpTrack) {
            msg  = 'Buying long trigger price: ' + Bar.Close + ' Upper rail:' + UpTrack
            Log(msg)
            Trade(State, STATE_LONG)
            State = STATE_LONG
            $.PlotFlag(Bar.Time, msg, 'long', 'flag', 'red') 
        }
    }

    if (State === STATE_IDLE || State === STATE_LONG) {
        if (Bar.Close <= DownTrack) {
            msg = 'Selling short trigger price: ' + Bar.Close + ' lower rail:' + DownTrack
            Log(msg)
            Trade(State, STATE_SHORT)
            $.PlotFlag(Bar.Time, msg, 'short', 'circlepin', 'green')
            State = STATE_SHORT
        }
    }
}

function main() {
    exchange.SetContractType("quarter")
    exchange.SetMarginLevel(10)
    if (exchange.GetPosition().length > 0) {
        throw "There can be no positions before the strategy is started."
    }
    CancelPendingOrders()
    InitAccount = exchange.GetAccount()
    while (true) {
        onTick()
        Sleep(500)
    }
}