Versi baru Imbangan Dinamik

Versi baru Imbangan Dinamikwww.fmz.comminggu lalu saya memperkenalkan strategi perdagangan yang sangat berkesan dan tinggi pulangan, yang dipanggil dynamic strategi keseimbangan. ini adalah strategi perdagangan yang sangat klasik datang dari mentor Warren Buffett yang hebat, Benjamin Graham, pernah disebut dalam buku <> model perdagangan di mana saham dan bon seimbang secara dinamik.

Strategi asal boleh dilihat di:https://fmzquant.quora.com/Blockchain-Quantitative-Investment-Series-Dynamic-Balance-Strategy

Hari ini, pengaturcara berpengalaman pasukan kami telah membuat bahagian pengekodan strategi ini lebih pendek dan lebih mudah difahami.

var Coin = ''
var Fiat = ''
var RefreshLoop = 0
var Account = ''
var Depth = ''
var Orders = ''
var BuyWeighted = 0
var SellWeighted = 0
var MidPrice = 0
var InitialBalance = exchange.GetAccount().Balance + exchange.GetAccount().Stocks * exchange.GetDepth().Bids[0].Price

function CancelPendingOrders() {
    for (var j = 0; j < Orders.length; j++) {
          exchange.CancelOrder(Orders[j].Id, Orders[j])}
}

function UpdateAll() {
    Account = exchange.GetAccount()
    Depth = exchange.GetDepth()
    Orders = exchange.GetOrders()
    //Log("UpdateAll")
}

function UpdatePrice() {
    //MidPrice = (Depth.Asks[0].Price+Depth.Bids[0].Price)/2
    BuyWeighted = Depth.Asks[0].Price * (1+SPREAD/100)
    SellWeighted = Depth.Bids[0].Price * (1-SPREAD/100)
    //Log("UpdatePrice")
}

function onTick(){
    // Refresh account balance and market data
    //Log("UpdateAll")
    UpdateAll()
    var Buy = Depth.Asks[0].Price
    var Sell = Depth.Bids[0].Price
    
    // Calculate the weighted price
    //Log("UpdatePrice")
    UpdatePrice()
    
    // Check current order that exist
    if (Orders.length==2){
        return
    }
    if (Orders.length>2){
        CancelPendingOrders()
    }
    // Processing a single order
    if (Orders.length==1){
        Order = Orders[0]
        Price=Order.Price
        if (Order.Type==0){
            if (Price/(1-SPREAD/100) > Sell){
                return
            }else{
                CancelPendingOrders()
                UpdateAll()
            }
        }else{
            if (Price/(1+SPREAD/100) < Buy){
                return
            }else{
                CancelPendingOrders()
                UpdateAll()
            }
        }
    }
    
    // Calculate the value of the position held
    var ValueByBuy = Account.Stocks * BuyWeighted
    var ValueBySell = Account.Stocks * SellWeighted
    Log(Coin + " Value By Weighted Ask - " + Fiat +" Balance : " + (ValueByBuy-Account.Balance))
    Log(Fiat + " Balance - " + Coin +" Value By Weighted Bid : " +(Account.Balance-ValueBySell))
    //Log(ValueByBuy)
    //Log(ValueBySell)
    
    // The value of the currency is higher than the price of coin. sell the coin.
    if (ValueByBuy > Account.Balance){
        ToBeSold = (ValueByBuy - Account.Balance)/2/BuyWeighted
        if (ToBeSold > AMOUNT_MINIMUM){
            ToBeSold = _N(Math.floor(ToBeSold / AMOUNT_INCREMENT) * AMOUNT_INCREMENT)
            Log("Will be sold " + Coin + " Quantity：" + ToBeSold)
            exchange.Sell(BuyWeighted,ToBeSold)
        }
    }
    // The value of the currency is smaller than the coin. buy the coin.
    if (ValueBySell < Account.Balance){
        ToBeBought = (Account.Balance - ValueBySell)/2/SellWeighted
        if (ToBeBought > AMOUNT_MINIMUM){
            ToBeBought = _N(Math.floor(ToBeBought / AMOUNT_INCREMENT) * AMOUNT_INCREMENT)
            Log("Will be brought " + Coin + " Quantity：" + ToBeBought)
            exchange.Buy(SellWeighted,ToBeBought)
        }
    }
    Log(Fiat + " Quantity：" + Account.Balance)
    Log(Coin + " Quantity：" + Account.Stocks)
    
    RefreshLoop = RefreshLoop+1
    if (RefreshLoop>60) {
        var Profit = _N(Account.Stocks*Sell) + _N(Account.Balance) - _N(InitialBalance)
        LogProfit(Profit)
        RefreshLoop = 0
    }
}
function main(){
    var Pair = exchange.GetCurrency()
    LogReset()
    LogProfitReset()
    LogProfit(0)
    UpdateAll()
    CancelPendingOrders()
    Coin = Pair.split("_")[0]
    Fiat = Pair.split("_")[1]
    while (true){
        try {
            onTick()
        } catch (err) {
            Log(err)
        }
        Sleep(DELAY*1000)
    }
}