AHR999 Mean Reversion Strategy AHR999, AHR999X, 调和平均数, 对数价格, 净值
####Overview This strategy is based on the AHR999 and AHR999X indicators. By comparing the current price with the harmonic mean price and logarithmic price, it determines whether Bitcoin is overbought or oversold, and accordingly conducts fixed investment and bottom-fishing operations. Meanwhile, the strategy also sets a take-profit condition to partially sell when the AHR999X indicator is below a certain threshold.
####Strategy Principle
####Advantage Analysis
####Risk Analysis
####Optimization Direction
####Summary The AHR999 Mean Reversion Strategy determines Bitcoin’s overbought and oversold status by comparing the current price with the historical equilibrium price and trend price, and conducts fixed investment, bottom-fishing, and take-profit operations. This strategy has a certain theoretical basis and interpretability. By combining two indicators, it can better capture the price fluctuation patterns of Bitcoin. However, the strategy also faces risks in terms of indicator failure, parameter selection, and fund management, requiring continuous optimization and improvement in practice. Overall, the AHR999 Mean Reversion Strategy provides a feasible idea for long-term value investment in Bitcoin.
/*backtest
start: 2018-04-14 00:00:00
end: 2021-07-18 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Binance","currency":"BTC_USDT","balance":1000000,"stocks":0}]
*/
/*
* @Project:
* @Version:
* @Author: RedSword <coo@fmz.com>
* @Description:
* @Date: 2021-07-19 11:02:43
* @LastEditors: RedSword
* @LastEditTime: 2021-07-19 15:55:16
* @Copyright:: Copyright © 2020 FMZ Quant
* 感谢ahr999大神,后续完善可以加入一些理财,币和钱都闲着,收益会低一点,也可以放到bitfinex放借贷,年化也有十几的收益,还可以放大资金,买了币以后,就去交割合约做多,暂时想到这么多,希望大家多多交流
* 参考:
* https://github.com/who3m1/ahr999-mixin
* https://btctom.com/ahr999
* https://btctom.com/ahr999x
*/
function harmonicMean(x) {
if (x.length === 0) {
return undefined;
}
var reciprocalSum = 0;
for (var i = 0; i < x.length; i++) {
if (x[i] <= 0) {
return undefined;
}
reciprocalSum += 1 / x[i];
}
return x.length / reciprocalSum;
}
function GetNowPrice() {
var ticker = exchange.GetTicker();
return ticker.Last;
}
function GetPrices() {
var records = exchange.GetRecords(PERIOD_D1);
var prices = [];
for (let i = 0; i < records.length; i++) {
const record = records[i];
// Log(record);
prices.push(record.Close);
}
return prices;
}
function CalcAHR999() {
var now = parseInt(Unix());
var prices = GetPrices();
var avgPrice = harmonicMean(prices);
var nowPrice = GetNowPrice();
var birthday = (now - 1230940800) / (24 * 60 * 60);
var logPrice = Math.pow(10, 5.84 * Math.log10(parseInt(birthday)) - 17.01);
//2020-4-16 13:16 以后使用新的指标
//https://weibo.com/5034063086/IDzPWyN8Z?from=page_1005055034063086_profile&wvr=6&mod=weibotime
if (now > 1587014160) {
logPrice = Math.pow(10, 5.8 * Math.log10(parseInt(birthday)) - 16.88);
}
var ahr999 = Math.round((nowPrice / avgPrice) * (nowPrice / logPrice) * 1000) / 1000;
var ahr999x = Math.round((avgPrice / nowPrice) * (logPrice / nowPrice) * 3 * 1000) / 1000;
return {
ahr999: ahr999,
ahr999x: ahr999x,
};
}
function init() {
exchange.SetMaxBarLen(200);
if (exchange.GetCurrency().indexOf("BTC_USD") == -1) {
throw "只支持BTC交易对";
}
}
function UpdateStatus(account, nowPrice) {
var table = {
type: "table",
title: "持仓信息",
cols: ["定投币种", "初始净值", "当前净值", "定投次数", "持仓数量", "持仓均价", "当前价格", "累计定投", "可用资金", "盈利率%"],
rows: [],
};
var netValue = account.Balance + account.Stocks * nowPrice;
table.rows.push([
exchange.GetCurrency(),
InitMoney,
_N(netValue, 2),
Global.number,
_N(account.Stocks, 6),
_N((InitMoney - account.Balance) / account.Stocks, 2),
nowPrice,
_N(Global.number * Money, 2),
_N(account.Balance, 2),
_N((netValue / InitMoney) * 100),
]);
LogStatus("`" + JSON.stringify(table) + "`");
}
var Global = {
upTime: 0, //循环间隔
number: 0, //定投次数
multipleNumber: 0, //抄底次数
};
function main() {
while (true) {
var now = parseInt(Unix());
if (now > Global.upTime) {
var price = GetNowPrice();
var account = exchange.GetAccount();
var ahr999 = CalcAHR999();
Global.upTime = now + 3600 * Interval;
if (ahr999.ahr999 >= Bottom && ahr999.ahr999 < Top) {
if (Money > account.Balance) continue;
Log("开始定投");
exchange.Buy(-1, Money);
Global.number++;
} else if (ahr999.ahr999 < Bottom) {
if (Money * Multiple > account.Balance) continue;
Log("开始抄底");
exchange.Buy(-1, Money * Multiple);
Global.number += Multiple;
}
if (TakeProfit & (ahr999.ahr999x < TakeProfitLine)) {
Log("开始顶逃");
var sell = Global.number * TakeProfitRate * Money;
var coinNumber = sell / price;
exchange.Sell(-1, coinNumber);
}
UpdateStatus(account, price);
}
Sleep(1000);
}
}