デジタル通貨スポット多種性ダブルEMA戦略 (チュートリアル)

デザイン参照のためにマルチ多様性ダブルEMA戦略を持つことを希望するコミュニティユーザーの要請により. この記事では,マルチ多様性ダブルEMA戦略を実装します. 戦略コードについてコメントは,便利な理解と学習のために書かれます. プログラミングと定量取引の新規参加者が早くスタートできるようにします.

戦略のアイデア

双 EMA 戦略の論理は非常に単純である.つまり,二つの EMA.小さなパラメータ期間を持つ EMA (速いライン) と大きなパラメータ期間を持つ EMA (スローライン).二つのラインが金色のクロス (速いラインがスローラインを下から上へと通る) を有すると,我々は買い,ロングに行く.そして2つのラインがデッドクロス (速いラインが上から下へとスローラインを通る) を有すると,我々は売り,ショートに行く.ここで EMA を使用する.

しかし,戦略は複数品種として設計されるべきで,各品種のパラメータは異なる可能性があります (異なる品種は異なるEMAパラメータを使用します).したがって,パラメータを設計するために"パラメータグループ"方法を使用する必要があります.

パラメータは文字列形式で設計され,各パラメータはコンマで分離されています. 戦略が実行開始時にこれらの文字列を解析します.実行論理は各種類 (取引ペア) にマッチします. ストラテジーローテーションは,各種類の市場,取引条件のトリガー,チャート印刷などを検出します. すべての種類が一度ローテーションされた後に,データを要約し,ステータスバーにテーブル情報を表示します.

この戦略は非常にシンプルで 新人学習に適しています 合計で200行以上のコードを使います

戦略コード

// Function: cancel all takers of the current trading pair
function cancelAll(e) {
    while (true) {
        var orders = _C(e.GetOrders)
        if (orders.length == 0) {
            break
        } else {
            for (var i = 0 ; i < orders.length ; i++) {
                e.CancelOrder(orders[i].Id, orders[i])
                Sleep(500)
            }
        }
        Sleep(500)
    }
}

// Functionn: calculate the profit/loss in real-time
function getProfit(account, initAccount, lastPrices) {
    // account is the current account information, initAccount is the initial account information, lastPrices is the latest price of all varieties
    var sum = 0
    _.each(account, function(val, key) {
        // Iterate through all current assets, calculate the currency difference of assets other than USDT, and the amount difference
        if (key != "USDT" && typeof(initAccount[key]) == "number" && lastPrices[key + "_USDT"]) {
            sum += (account[key] - initAccount[key]) * lastPrices[key + "_USDT"]
        }        
    })
    // Return to the profit and loss of the asset based on the current prices
    return account["USDT"] - initAccount["USDT"] + sum
}

// Function: generate chart configuration
function createChartConfig(symbol, ema1Period, ema2Period) {
    // symbol is the trading pair, ema1Period is the first EMA period, ema2Period is the second EMA period
    var chart = {                                        
        __isStock: true,    
        extension: {
                layout: 'single', 
                height: 600, 
        },
        title : { text : symbol},                       
        xAxis: { type: 'datetime'},           
        series : [                                          
            {                                      
                type: 'candlestick',    // K-line data series                         
                name: symbol,   
                id: symbol,
                data: []                                           
            }, {                                      
                type: 'line',           // EMA data series
                name: symbol + ',EMA1:' + ema1Period,          
                data: [],               
            }, {
                type: 'line',           // EMA data series
                name: symbol + ',EMA2:' + ema2Period,
                data: []
            }
        ]
    }
    return chart    
}

function main() {
    // Reset all data
    if (isReset) {
        _G(null)            // Clear data of all persistent records
        LogReset(1)         // Clear all logs
        LogProfitReset()    // Clear all return logs
        LogVacuum()         //Release the resources occupied by the real bot database
        Log("Reset all data", "#FF0000")   // Print messages
    }
    
    // Parameter analysis
    var arrSymbols = symbols.split(",")             // Comma-separated string of trading varieties
    var arrEma1Periods = ema1Periods.split(",")     // Parameter string for splitting the first EMA
    var arrEma2Periods = ema2Periods.split(",")     // Parameter string for splitting the second EMA
    var arrAmounts = orderAmounts.split(",")        // Splitting the amount of orders placed for each variety
    var account = {}                                // Variables used for recording current asset messages
    var initAccount = {}                            // Variables used for recording initial asset messages
    var currTradeMsg = {}                           // Variables used for recording whether current BAR trades
    var lastPrices = {}                             // Variables used for recording the latest price of monitored varieties
    var lastBarTime = {}                            // Variable used for recording the time of the last BAR, used to judge the update of BAR when drawing
    var arrChartConfig = []                         // Used for recording chart configuration message and draw

    if (_G("currTradeMsg")) {                       // For example, restore currTradeMsg data when restarting
        currTradeMsg = _G("currTradeMsg")
        Log("Restore records", currTradeMsg)
    }

    // Initialize account
    _.each(arrSymbols, function(symbol, index) {
        exchange.SetCurrency(symbol)
        var arrCurrencyName = symbol.split("_")
        var baseCurrency = arrCurrencyName[0]
        var quoteCurrency = arrCurrencyName[1]
        if (quoteCurrency != "USDT") {
            throw "only support quoteCurrency: USDT"
        }
        if (!account[baseCurrency] || !account[quoteCurrency]) {
            cancelAll(exchange)
            var acc = _C(exchange.GetAccount)
            account[baseCurrency] = acc.Stocks
            account[quoteCurrency] = acc.Balance
        }
        
        // Initialize chart-related data
        lastBarTime[symbol] = 0
        arrChartConfig.push(createChartConfig(symbol, arrEma1Periods[index], arrEma2Periods[index]))
    })
    if (_G("initAccount")) {
        initAccount = _G("initAccount")
        Log("Restore initial account records", initAccount)
    } else {
        // Initialize the initAccount variable with the current asset information
        _.each(account, function(val, key) {
            initAccount[key] = val
        })
    }
    Log("account:", account, "initAccount:", initAccount)   // Print asset information

    // Initialize the chart object
    var chart = Chart(arrChartConfig)
    // Chart reset
    chart.reset()
        
    // Strategy main loop logic
    while (true) {
        // Iterate through all varieties and execute the double-EMA logic one by one
        _.each(arrSymbols, function(symbol, index) {
            exchange.SetCurrency(symbol)               // Switch the trading pair to the trading pair of symbol string record
            var arrCurrencyName = symbol.split("_")    // Split the trading pairs with the "_" symbol
            var baseCurrency = arrCurrencyName[0]      // String for trading currencies
            var quoteCurrency = arrCurrencyName[1]     // String for denominated currency

            // Obtain the EMA parameters of the current trading pair according to the index
            var ema1Period = parseFloat(arrEma1Periods[index])
            var ema2Period = parseFloat(arrEma2Periods[index])
            var amount = parseFloat(arrAmounts[index])
            
            // Obtain the K-line data of the current trading pair
            var r = exchange.GetRecords()
            if (!r || r.length < Math.max(ema1Period, ema2Period)) {  // Return directly if K-line length is insufficient
                Sleep(1000)
                return 
            }
            var currBarTime = r[r.length - 1].Time         // Record the current BAR timestamp
            lastPrices[symbol] = r[r.length - 1].Close     // Record the latest current price

            var ema1 = TA.EMA(r, ema1Period)    // Calculate EMA indicators
            var ema2 = TA.EMA(r, ema2Period)    // Calculate EMA indicators
            if (ema1.length < 3 || ema2.length < 3) {    // The length of EMA indicator array is too short, return directly
                Sleep(1000)
                return 
            }
            var ema1Last2 = ema1[ema1.length - 2]   // EMA on the penultimate BAR
            var ema1Last3 = ema1[ema1.length - 3]   // EMA on the third from the last BAR
            var ema2Last2 = ema2[ema2.length - 2]
            var ema2Last3 = ema2[ema2.length - 3]

            // Write data to the chart
            var klineIndex = index + 2 * index
            // Iterate through the K-line data
            for (var i = 0 ; i < r.length ; i++) {
                if (r[i].Time == lastBarTime[symbol]) {         // Draw the chart, update the current BAR and indicators
                    // update
                    chart.add(klineIndex, [r[i].Time, r[i].Open, r[i].High, r[i].Low, r[i].Close], -1)  
                    chart.add(klineIndex + 1, [r[i].Time, ema1[i]], -1)
                    chart.add(klineIndex + 2, [r[i].Time, ema2[i]], -1)
                } else if (r[i].Time > lastBarTime[symbol]) {   // Draw the charts, add BARs and indicators
                    // add
                    lastBarTime[symbol] = r[i].Time             // Update timestamp
                    chart.add(klineIndex, [r[i].Time, r[i].Open, r[i].High, r[i].Low, r[i].Close])  
                    chart.add(klineIndex + 1, [r[i].Time, ema1[i]])   
                    chart.add(klineIndex + 2, [r[i].Time, ema2[i]])   
                }
            }
            
            if (ema1Last3 < ema2Last3 && ema1Last2 > ema2Last2 && currTradeMsg[symbol] != currBarTime) {
                // Golden cross
                var depth = exchange.GetDepth()   // Obtain the depth data of current order book
                var price = depth.Asks[Math.min(takeLevel, depth.Asks.length)].Price   // Take the 10th grade price, taker
                if (depth && price * amount <= account[quoteCurrency]) {   // Obtain deep data normally with enough assets to place an order
                    exchange.Buy(price, amount, ema1Last3, ema2Last3, ema1Last2, ema2Last2)   // Place a buy order
                    cancelAll(exchange)     // Cancel all makers
                    var acc = _C(exchange.GetAccount)   // Obtain account asset information
                    if (acc.Stocks != account[baseCurrency]) {  // Detect changes in account assets
                        account[baseCurrency] = acc.Stocks      // Update assets
                        account[quoteCurrency] = acc.Balance    // Update assets
                        currTradeMsg[symbol] = currBarTime      // Record that the current BAR has been traded
                        _G("currTradeMsg", currTradeMsg)        // Persistent records
                        var profit = getProfit(account, initAccount, lastPrices)  // Calculate profits
                        if (profit) {
                            LogProfit(profit, account, initAccount)    // Print profits
                        }
                    }
                }
            } else if (ema1Last3 > ema2Last3 && ema1Last2 < ema2Last2 && currTradeMsg[symbol] != currBarTime) {
                // dead cross
                var depth = exchange.GetDepth()
                var price = depth.Bids[Math.min(takeLevel, depth.Bids.length)].Price
                if (depth && amount <= account[baseCurrency]) {
                    exchange.Sell(price, amount, ema1Last3, ema2Last3, ema1Last2, ema2Last2)
                    cancelAll(exchange)
                    var acc = _C(exchange.GetAccount)
                    if (acc.Stocks != account[baseCurrency]) {
                        account[baseCurrency] = acc.Stocks
                        account[quoteCurrency] = acc.Balance
                        currTradeMsg[symbol] = currBarTime
                        _G("currTradeMsg", currTradeMsg)
                        var profit = getProfit(account, initAccount, lastPrices)
                        if (profit) {
                            LogProfit(profit, account, initAccount)
                        }
                    }
                }
            }            
            Sleep(1000)
        })

        // Table variables in the status bar
        var tbl = {
            type : "table", 
            title : "Account Information",
            cols : [], 
            rows : []
        }
        // Write data into the status bar table structure
        tbl.cols.push("--")
        tbl.rows.push(["initial"])
        tbl.rows.push(["current"])
        _.each(account, function(val, key) {
            if (typeof(initAccount[key]) == "number") {
                tbl.cols.push(key)
                tbl.rows[0].push(initAccount[key])   // initial
                tbl.rows[1].push(val)                // current
            }            
        })
        // Show status bar table
        LogStatus(_D(), "\n", "profit:", getProfit(account, initAccount, lastPrices), "\n", "`" + JSON.stringify(tbl) + "`")
    }
}

戦略のバックテスト

ETH,LTC,ETCは EMAのゴールデンクロスとデッドクロスによって起動され 取引が行われています

テスト用のシミュレーションボットも

戦略のソースコード:https://www.fmz.com/strategy/333783

戦略はバックテスト,学習戦略設計のみに使用され,実際のボットでは慎重に使用する必要があります.