Check the url below to learn abount Dual Thrust Strategy.
https://www.quantconnect.com/tutorials/strategy-library/dual-thrust-trading-algorithm
var ChartCfg = {
__isStock: true,
title: {
text: 'Dual Thrust Up-Down Track'
},
yAxis: {
plotLines: [{
value: 0,
color: 'red',
width: 2,
label: {
text: 'Up Track',
align: 'center'
},
}, {
value: 0,
color: 'green',
width: 2,
label: {
text: 'Down Track',
align: 'center'
},
}]
},
series: [{
type: 'candlestick',
name: 'current cycle',
id: 'primary',
data: []
}, {
type: 'flags',
onSeries: 'primary',
data: [],
}]
};
var STATE_IDLE = 0;
var STATE_LONG = 1;
var STATE_SHORT = 2;
var State = STATE_IDLE;
var LastBarTime = 0;
var UpTrack = 0;
var BottomTrack = 0;
var chart = null;
var InitAccount = null;
var LastAccount = null;
var Counter = {
w: 0,
l: 0
};
function _N(v) {
return Decimal(v).toSD(4, 1).toNumber();
}
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(Interval);
}
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(amount);
pfn(nextState === STATE_LONG ? _C(exchange.GetTicker).Sell * 1.001 : _C(exchange.GetTicker).Buy * 0.999, amount);
Sleep(Interval);
CancelPendingOrders();
}
var account = exchange.GetAccount();
if (account.Stocks > LastAccount.Stocks) {
Counter.w++;
} else {
Counter.l++;
}
LogProfit(_N(account.Stocks - InitAccount.Stocks), "Profit rate:", _N((account.Stocks - InitAccount.Stocks) * 100 / InitAccount.Stocks) + '%');
LastAccount = account;
}
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", pos[0], "amount:", pos[1]);
break;
}
// pfn(AmountOP-pos[1]);
pfn(nextState === STATE_LONG ? _C(exchange.GetTicker).Sell * 1.001 : _C(exchange.GetTicker).Buy * 0.999, AmountOP-pos[1]);
Sleep(Interval);
CancelPendingOrders();
}
}
function onTick(exchange) {
var records = exchange.GetRecords();
if (!records || records.length <= NPeriod) {
return;
}
var Bar = records[records.length - 1];
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));
DownTrack = _N(Bar.Open - (Kx * Range));
if (LastBarTime > 0) {
var PreBar = records[records.length - 2];
chart.add(0, [PreBar.Time, PreBar.Open, PreBar.High, PreBar.Low, PreBar.Close], -1);
} else {
for (var i = Math.min(records.length, NPeriod * 3); i > 1; i--) {
var b = records[records.length - i];
chart.add(0, [b.Time, b.Open, b.High, b.Low, b.Close]);
}
}
chart.add(0, [Bar.Time, Bar.Open, Bar.High, Bar.Low, Bar.Close]);
ChartCfg.yAxis.plotLines[0].value = UpTrack;
ChartCfg.yAxis.plotLines[1].value = DownTrack;
ChartCfg.subtitle = {
text: 'Up Track: ' + UpTrack + ' Down Track: ' + DownTrack
};
chart.update(ChartCfg);
chart.reset(PeriodShow);
LastBarTime = Bar.Time;
} else {
chart.add(0, [Bar.Time, Bar.Open, Bar.High, Bar.Low, Bar.Close], -1);
}
LogStatus("Price:", Bar.Close, "Up:", UpTrack, "Down:", DownTrack, "Wins: ", Counter.w, "Losses:", Counter.l, "Date:", new Date());
var msg;
if (State === STATE_IDLE || State === STATE_SHORT) {
if (Bar.Close >= UpTrack) {
msg = 'Long Price: ' + Bar.Close + ' Up Track:' + UpTrack;
Log(msg);
Trade(State, STATE_LONG);
State = STATE_LONG;
chart.add(1, {x:Bar.Time, color: 'red', shape: 'flag', title: 'Long', text: msg});
}
}
if (State === STATE_IDLE || State === STATE_LONG) {
if (Bar.Close <= DownTrack) {
msg = 'Short Price: ' + Bar.Close + ' Down Track:' + DownTrack;
Log(msg);
Trade(State, STATE_SHORT);
chart.add(1, {x:Bar.Time, color: 'green', shape: 'circlepin', title: 'Short', text: msg});
State = STATE_SHORT;
}
}
}
function onexit() {
var pos = exchange.GetPosition();
if (pos.length > 0) {
Log("Warning, has positions when exiting", pos);
}
}
function main() {
if (exchange.GetName() !== 'Futures_OKCoin') {
throw "Only support OKEX features";
}
exchange.SetRate(1);
exchange.SetContractType(["this_week", "next_week", "quarter"][ContractTypeIdx]);
exchange.SetMarginLevel([10, 20][MarginLevelIdx]);
if (exchange.GetPosition().length > 0) {
throw "Can't have Positions when start.";}
CancelPendingOrders();
InitAccount = LastAccount = exchange.GetAccount();
LoopInterval = Math.min(1, LoopInterval);
Log('Exchange Name:', exchange.GetName(), InitAccount);
LogStatus("Ready...");
LogProfitReset();
chart = Chart(ChartCfg);
chart.reset();
LoopInterval = Math.max(LoopInterval, 1);
while (true) {
onTick(exchange);
Sleep(LoopInterval * 1000);
}
}
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