stochRSI指标策略
/*参数
stochRSI 指标参数 数组 [14,14,3,3]
使用现货数字货币交易类库
*/
var stochRSI_P_arr = "[14,14,3,3]";
var Interval = 500;
var long = 1;
var free = 0;
var state = free; //每次开仓 平仓 重置
var buyInfo = null; //每次平仓重置
var sellInfo = null; //每次开仓重置
var initAccount = null; //每次平仓重置
var beginAccount = null; //不重置
var Profit = 0; //已实现盈亏
var prefloatProfit = 0;//上次的浮动盈亏，滑动止盈 更新
var openBalance = 0;//开仓量
var isCover = false;
var NowPositionInfo = {//持仓信息， 每次平仓更新
avgPrice: 0,
amount: 0 ,
floatProfit: 0
};
function openUpdate(){//开仓后的更新
state = long;
sellInfo = null;
}
function closeUpdate(){//平仓后的更新
state = free;
addLevel = 0;
buyInfo = null;
initAccount = _C(exchange.GetAccount);
NowPositionInfo.avgPrice = 0;
NowPositionInfo.amount = 0;
NowPositionInfo.floatProfit = 0;
isCover = true;
}
function Calculate(nowAccount,nowDepth){//计算并更新收益 、 浮动收益 、计算 持仓均价 、持仓量
if(typeof(nowAccount) === 'undefined' ){
nowAccount = _C(exchange.GetAccount);
nowDepth = _C(exchange.GetDepth);
}
var diff_stocks = nowAccount.Stocks - initAccount.Stocks;//币之差
var diff_balance = nowAccount.Balance - initAccount.Balance;//钱之差
NowPositionInfo.avgPrice = Math.abs(diff_balance) / Math.abs(diff_stocks);
NowPositionInfo.amount = Math.abs(diff_stocks);
NowPositionInfo.floatProfit = diff_balance + diff_stocks * nowDepth.Bids[0].Price; //此次交易的浮动盈亏
Profit = (initAccount.Stocks - beginAccount.Stocks) * nowDepth.Bids[0].Price + (initAccount.Balance - beginAccount.Balance); //实现盈亏
//更新入界面
}
function LLV(array,period){
if(!array || array.length - period < 0){
throw "error:" + array;
}
var min = array[array.length - period];
for(var i = array.length - period; i < array.length; i++){
if( array[i] < min ){
min = array[i];
}
}
return min;
}
function HHV(array,period){
if(!array || array.length - period < 0){
throw "error:" + array;
}
var max = array[array.length - period];
for(var i = array.length - period; i < array.length; i++){
if( array[i] > max){
max = array[i];
}
}
return max;
}
function DeleteNullEle(initArr){
var dealArr = [];
var initArrLen = initArr.length;
for(var i = 0,j = 0 ; i < initArrLen ; i++,j++){
if(initArr[i] === null || isNaN(initArr[i]) ){
j--;
continue;
}
dealArr[j] = initArr[i];
}
return dealArr;
}
/*
LC := REF(CLOSE,1); //REF(C,1) 上一周期的收盘价
RSI:=SMA(MAX(CLOSE-LC,0),N,1)/SMA(ABS(CLOSE-LC),N,1) *100;
％K: MA(RSI-LLV(RSI,M),P1)/MA(HHV(RSI,M)-LLV(RSI,M),P1)*100; LLV（l,60）表示：检索60天内的最低价，可适应于检索任何股票
％D:MA(％K,P2);
LC := REF(CLOSE,1);
RSI:=SMA(MAX(CLOSE-LC,0),N,1)/SMA(ABS(CLOSE-LC),N,1) *100;
STOCHRSI:MA(RSI-LLV(RSI,M),P1)/MA(HHV(RSI,M)-LLV(RSI,M),P1)*100;
*/
function FstochRSI(records,n,m,p1,p2){
var len = records.length;
//var LC = records[len-2];//上一周期收盘价
//var rsi = TA.RSI(records,n);// RSI 数组 ，talib
var rsi = talib.RSI(records,n);
rsi = DeleteNullEle(rsi);//ceshi
//Log("rsi:",rsi) //测试
//Log("rsi:",rsi);//ceshi
//throw "stop";//ceshi
table.e5 = "rsi :" + rsi[rsi.length-1] + "rsi[-1]:" + rsi[rsi.length-2];//ceshi
var arr1 = [];
var arr2 = [];
var arr3 = [];
var arr4 = [];
var rsi_a = [];
var rsi_b = [];
var k = [];
var d = null;
/*不包含当前柱
for(var a = 0 ;a < rsi.length ; a++ ){//改造 不用 LLV
for(var aa = 0 ; aa <= a; aa++ ){
rsi_a.push(rsi[aa]);
}
arr1.push(rsi[a] - TA.Lowest(rsi_a,m));
}
for(var b = 0 ;b < rsi.length ; b++ ){//改造 不用 HHV
for(var bb = 0 ; bb <= b; bb++ ){
rsi_b.push(rsi[bb]);
}
arr2.push(TA.Highest(rsi_b,m) - TA.Lowest(rsi_b,m));
}
*/
for(var a = 0 ;a < rsi.length ; a++ ){//改造 不用 LLV
if(a < m){
continue;
}
for(var aa = 0 ; aa <= a; aa++ ){
rsi_a.push(rsi[aa]);
}
arr1.push(rsi[a] - LLV(rsi_a,m));
}
for(var b = 0 ;b < rsi.length ; b++ ){//改造 不用 HHV
if(b < m){
continue;
}
for(var bb = 0 ; bb <= b; bb++ ){
rsi_b.push(rsi[bb]);
}
arr2.push(HHV(rsi_b,m) - LLV(rsi_b,m));
}
arr1 = DeleteNullEle(arr1);
arr2 = DeleteNullEle(arr2);
//Log("arr1:",arr1.length,"-",arr1);//ceshi
//Log("arr2:",arr2.length,"-",arr2);//ceshi
arr3 = talib.MA(arr1,p1);
arr4 = talib.MA(arr2,p1);
arr3 = DeleteNullEle(arr3);
arr4 = DeleteNullEle(arr4);
//Log("ceshi");//ceshi
var c = 0;
var diff = 0;
if(arr3.length !== arr4.length){//实测 长度不相等
throw "error: ！=" + arr3.length + "----" + arr4.length;
diff = arr4.length - arr3.length; //example diff = 10 - 6
}else{
//throw "error:" + arr3.length + "----" + arr4.length;
}
for( ;c < arr3.length ; c++ ){
k.push(arr3[c] / arr4[c + diff] * 100);
}
d = talib.MA(k,p2);
return [k,d,rsi];
}
function Loop(){//循环主体
/*
var go_account = exchange.Go("GetAccount");
var go_records = exchange.Go("GetRecords");
var go_depth = exchange.Go("GetDepth");
var account = go_account.wait(1000);
var records = go_records.wait(1000);
var depth = go_depth.wait(1000);
if(account === null || records === null || depth === null){
//显示异常
return;
}
*/
//
var account = _C(exchange.GetAccount);
var records = _C(exchange.GetRecords);
var depth = _C(exchange.GetDepth);
//测试
var len = records.length - 1;
if(records.length < array_P[0] || records.length < array_P[1] || records.length < array_P[2] || records.length < array_P[3] ){
//输出到状态栏表格，显示K线长度不足
msg = "K线长度不足，获取中...";
return;
}
//*
var records_close = [];
for(var i = 0; i <= len; i++){
records_close.push(records[i].Close);
}
//*/
msg = "K line `s length:" + (len + 1);
//var ma = TA.MA(records,3);//测试 使用 MA3
//var stochRSI = talib.STOCHRSI(records,array_P[0],array_P[1],array_P[2],array_P[3]);
//var stochRSI = talib.STOCHRSI(records_close,14,3,3,3);
var stochRSI = FstochRSI(records,14,14,3,3);
var fastLine = stochRSI[0]; //stochrsi
var slowLine = stochRSI[1]; // ma(k,3)
//Log("fastLine:",fastLine);//ceshi
//Log("slowLine:",slowLine);//ceshi
//var slowLine = ma;
//var rsi = stochRSI[2];
$.Draw(records);
$.AddZhiBiao(fastLine,records,1);
$.AddZhiBiao(slowLine,records,2);
if(isFirst === true){
$.SignOP((new Date()).getTime(),null,null,3,"图表显示启动！");// 测试标记 自定义信息 到图表上
Log(array_P[0],array_P[1],array_P[2],array_P[3],typeof(array_P[3]));//ceshi
isFirst = false;
}
table.a4 = "fastLine[len]:" + _N(fastLine[fastLine.length-1],2);
table.b4 = "slowLine[len]:" + _N(slowLine[slowLine.length-1],2);
table.a5 = "fastLine[len-1]" + _N(fastLine[fastLine.length-2],2);
table.b5 = "slowLine[len-1]" + _N(slowLine[slowLine.length-2],2);
table.c5 = "fastLine[len-2]" + _N(fastLine[fastLine.length-3],2);
table.d5 = "slowLine[len-2]" + _N(slowLine[slowLine.length-3],2);
//table.e5 = "rsi:" + rsi[rsi.length - 1] + "rsi[-2]:" + rsi[rsi.length - 2] + "rsi[-3]:" + rsi[rsi.length - 3];
table.b1 = "stock:" + account.Stocks + "#ff00ff";
table.c1 = "Fstock:" + account.FrozenStocks + "#ff00ff";
table.d1 = "balance:" + account.Balance + "#ff00ff";
table.e1 = "Fbalance:" + account.FrozenBalance + "#ff00ff";
table.b2 = "open:" + records[len].Open;
table.c2 = "high:" + records[len].High;
table.d2 = "low:" + records[len].Low;
table.e2 = "close:" + records[len].Close;
table.b3 = "bids[0].price:" + depth.Bids[0].Price;
table.c3 = "bids[0].amount:" + depth.Bids[0].Amount;
table.d3 = "asks[0].price:" + depth.Asks[0].Price;
table.e3 = "asks[0].amount:" + depth.Asks[0].Amount;
table.c4 = "avgPrice:" + NowPositionInfo.avgPrice;
table.d4 = "amount:" + NowPositionInfo.amount;
table.e4 = "floatProfit:" + NowPositionInfo.floatProfit;
if(isCover === true){
LogProfit(Profit);
isCover = false;
}
Calculate();//
//Log("ceshi2");//ceshi2
$.UpDateChart(records);
//Log("ceshi2");//ceshi2
}
var table = null;
var array_P = null;
var msg = "";//显示在状态栏表格头部的 消息
var isFirst = true;
function main(){
//初始化
beginAccount = _C(exchange.GetAccount);//程序开始运行时的初始账户信息
initAccount = beginAccount;//每次开仓前的账户信息
table = $.TableInit(5,6);
table.a1 = "account:" + "#ff00ff";
table.a2 = "records[length-1]:";
table.a3 = "depth.Bids[0]/Asks[0]:";
table.a0 = "beginAccount:";
table.b0 = "stock:" + beginAccount.Stocks;
table.c0 = "Fstock:" + beginAccount.FrozenStocks;
table.d0 = "balance:" + beginAccount.Balance;
table.e0 = "Fbalance:" + beginAccount.FrozenBalance;
array_P = JSON.parse(stochRSI_P_arr);// 解析 stochRSI 参数
while(true){
Loop();
$.UpDateLogStatus(msg);
msg = "";
Sleep(Interval);
}
}
/*任务
1、UI界面显示完善
2、交互模块写好
3、交易逻辑
4、参数设置
5、可视图表
*/
makelei 楼主能否帮忙给我写个，不胜感激 ，就是读取OKEX 合约里面的 stochrsi 指标数据。1分钟或者5分钟 STOCHRRSI大于90或者小于1. 就发送报警提示到微信，其他功能都不要，我只要提示。多谢
fangj LLV和HHV用underscore可以搞定 records_high=records.map(r=>r.High); records_low=records.map(r=>r.Low); LLV=_.min(records_low); HHV=_.max(records_high); DeleteNullEle应该不需要。不管是RSI还是KD，用50表示默认值就可以了。把空值替换为50比较好。不删除空值就不会发生长度不等的情况，所以长度不等的判断也不需要了。 速度不是很重要。只是看曲线的话，时间长点不要紧。 实盘的话每个循环只要取最后14个点算一个值就够了。
makelei 多谢
发明者量化-小小梦 上面这个 例子改改 就可以，STOCHRSI 指标 我和OKEX 核对过算出来的 一样。你只用改写判断他条件 就可以了。