- スクエア
- ランダムな数字で推測する
ランダムな数字で推測する
作者: リン・ハーン
ゼロ3192開催日:2022年12月16日 14:54:14
タグ:
/*backtest
start: 2021-12-09 00:00:00
end: 2022-12-15 00:00:00
period: 1d
basePeriod: 1h
*/
var openPrice = 0
var ratio = 1
var totalEq = null
var nowEq = null
function cancelAll() {
while (1) {
var orders = _C(exchange.GetOrders)
if (orders.length == 0) {
break
}
for (var i = 0 ; i < orders.length ; i++) {
exchange.CancelOrder(orders[i].Id, orders[i])
Sleep(500)
}
Sleep(500)
}
}
function main() {
if (isReset) {
_G(null)
LogReset(1)
LogProfitReset()
LogVacuum()
Log("重置所有数据", "#FF0000")
}
exchange.SetContractType(ct)
var initPos = _C(exchange.GetPosition)
if (initPos.length != 0) {
throw "策略启动时有持仓！"
}
exchange.SetPrecision(pricePrecision, amountPrecision)
Log("设置精度", pricePrecision, amountPrecision)
if (!IsVirtual()) {
var recoverTotalEq = _G("totalEq")
if (!recoverTotalEq) {
var currTotalEq = _C(exchange.GetAccount).Balance // equity
if (currTotalEq) {
totalEq = currTotalEq
_G("totalEq", currTotalEq)
} else {
throw "获取初始权益失败"
}
} else {
totalEq = recoverTotalEq
}
} else {
totalEq = _C(exchange.GetAccount).Balance
}
while (1) {
if (openPrice == 0) {
// 更新账户信息，计算收益
var nowAcc = _C(exchange.GetAccount)
nowEq = IsVirtual() ? nowAcc.Balance : nowAcc.Balance // equity
LogProfit(nowEq - totalEq, nowAcc)
var direction = Math.floor((Math.random()*100)+1) // 1~50 , 51~100
var depth = _C(exchange.GetDepth)
if (depth.Asks.length <= 2 || depth.Bids.length <= 2) {
Sleep(1000)
continue
}
if (direction > 50) {
// long
openPrice = depth.Bids[1].Price
exchange.SetDirection("buy")
exchange.Buy(Math.abs(openPrice) + slidePrice, amount * ratio)
} else {
// short
openPrice = -depth.Asks[1].Price
exchange.SetDirection("sell")
exchange.Sell(Math.abs(openPrice) - slidePrice, amount * ratio)
}
Log("下", direction > 50 ? "买单" : "卖单", "，价格：", Math.abs(openPrice))
continue
}
var orders = _C(exchange.GetOrders)
if (orders.length == 0) {
var pos = _C(exchange.GetPosition)
if (pos.length == 0) {
openPrice = 0
continue
}
// 平仓检测
while (1) {
var depth = _C(exchange.GetDepth)
if (depth.Asks.length <= 2 || depth.Bids.length <= 2) {
Sleep(1000)
continue
}
var stopLossPrice = openPrice > 0 ? Math.abs(openPrice) - stopLoss : Math.abs(openPrice) + stopLoss
var stopProfitPrice = openPrice > 0 ? Math.abs(openPrice) + stopProfit : Math.abs(openPrice) - stopProfit
var winOrLoss = 0 // 1 win , -1 loss
// 画线
//$.PlotLine("bid", depth.Bids[0].Price)
//$.PlotLine("ask", depth.Asks[0].Price)
// 止损
if (openPrice > 0 && depth.Bids[0].Price < stopLossPrice) {
exchange.SetDirection("closebuy")
exchange.Sell(depth.Bids[0].Price - slidePrice, pos[0].Amount)
winOrLoss = -1
} else if (openPrice < 0 && depth.Asks[0].Price > stopLossPrice) {
exchange.SetDirection("closesell")
exchange.Buy(depth.Asks[0].Price + slidePrice, pos[0].Amount)
winOrLoss = -1
}
// 止盈
if (openPrice > 0 && depth.Bids[0].Price > stopProfitPrice) {
exchange.SetDirection("closebuy")
exchange.Sell(depth.Bids[0].Price - slidePrice, pos[0].Amount)
winOrLoss = 1
} else if (openPrice < 0 && depth.Asks[0].Price < stopProfitPrice) {
exchange.SetDirection("closesell")
exchange.Buy(depth.Asks[0].Price + slidePrice, pos[0].Amount)
winOrLoss = 1
}
Sleep(2000)
var orders = _C(exchange.GetOrders)
if (orders.length == 0) {
pos = _C(exchange.GetPosition)
if (pos.length == 0) {
if (winOrLoss == -1) {
ratio++
} else if (winOrLoss == 1) {
ratio = 1
}
break
}
} else {
// 撤销挂单
cancelAll()
Sleep(2000)
pos = _C(exchange.GetPosition)
// 撤销后更新持仓，需要再次检查
if (pos.length == 0) {
if (winOrLoss == -1) {
ratio++
} else if (winOrLoss == 1) {
ratio = 1
}
break
}
}
var tbl = {
"type" : "table",
"title" : "info",
"cols" : ["totalEq", "nowEq", "openPrice", "bid1Price", "ask1Price", "ratio", "pos.length"],
"rows" : [],
}
tbl.rows.push([totalEq, nowEq, Math.abs(openPrice), depth.Bids[0].Price, depth.Asks[0].Price, ratio, pos.length])
tbl.rows.push(["pos", "type", "amount", "price", "--", "--", "--"])
for (var j = 0 ; j < pos.length ; j++) {
tbl.rows.push([j, pos[j].Type, pos[j].Amount, pos[j].Price, "--", "--", "--"])
}
LogStatus(_D(), "\n", "`" + JSON.stringify(tbl) + "`")
}
} else {
// 撤销挂单
// 重置openPrice
cancelAll()
openPrice = 0
}
Sleep(1000)
}
}
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