相关文章：https://www.fmz.com/digest-topic/8726
策略移植自一个简单的麦语言策略：
TR:=MAX(MAX((H-L),ABS(REF(C,1)-H)),ABS(REF(C,1)-L));
ATR:=EMA(TR,LENGTH2);
MIDLINE^^EMA((H + L + C)/3,LENGTH1);
UPBAND^^MIDLINE + N*ATR;
DOWNBAND^^MIDLINE - N*ATR;
BKVOL=0 AND C>=UPBAND AND REF(C,1)<REF(UPBAND,1),BPK;
SKVOL=0 AND C<=DOWNBAND AND REF(C,1)>REF(DOWNBAND,1),SPK;
BKVOL>0 AND C<=MIDLINE,SP(BKVOL);
SKVOL>0 AND C>=MIDLINE,BP(SKVOL);
// 止损
// stop loss
C>=SKPRICE*(1+SLOSS*0.01),BP;
C<=BKPRICE*(1-SLOSS*0.01),SP;
AUTOFILTER;
为了多品种设计，将参数设计为一个JSON字符串：
var params = '[{
"symbol" : "swap",
"period" : 86400,
"stopLoss" : 0.07,
"atrPeriod" : 10,
"emaPeriod" : 10,
"trackRatio" : 1,
"openRatio" : 0.1
}, {
"symbol" : "swap",
"period" : 86400,
"stopLoss" : 0.07,
"atrPeriod" : 10,
"emaPeriod" : 10,
"trackRatio" : 1,
"openRatio" : 0.1
}]'
策略用到了一个模版类库：数字货币期货交易类库（测试版）
/*backtest
start: 2021-09-01 00:00:00
end: 2022-01-06 00:00:00
period: 1d
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT","balance":1000000},{"eid":"Futures_Binance","currency":"LTC_USDT"}]
args: [["params","[{ \"symbol\" : \"swap\", \"period\" : 86400, \"stopLoss\" : 0.07, \"atrPeriod\" : 10, \"emaPeriod\" : 20, \"trackRatio\" : 2, \"openRatio\" : 0.1 }, { \"symbol\" : \"swap\", \"period\" : 86400, \"stopLoss\" : 0.07, \"atrPeriod\" : 10, \"emaPeriod\" : 20, \"trackRatio\" : 2, \"openRatio\" : 0.1 }]"]]
*/
var arrParam = onlyOne ? [{"symbol": symbol, "period": period, "stopLoss": stopLoss, "atrPeriod": atrPeriod, "emaPeriod": emaPeriod, "trackRatio": trackRatio, "openRatio": openRatio}] : JSON.parse(params)
function createChartConfig(symbol, atrPeriod, emaPeriod, index) {
var chart = {
__isStock: true,
extension: {
layout: 'single',
height: 600,
},
title : { text : symbol},
xAxis: { type: 'datetime'},
series : [
{
type: 'candlestick', // K线数据系列
name: symbol,
id: symbol + "-" + index,
data: []
}, {
type: 'line', // EMA
name: symbol + ',EMA:' + emaPeriod,
data: [],
}, {
type: 'line', // upBand
name: symbol + ',upBand' + atrPeriod,
data: []
}, {
type: 'line', // downBand
name: symbol + ',downBand' + atrPeriod,
data: []
}, {
type: 'flags',
onSeries: symbol + "-" + index,
data: [],
}
]
}
return chart
}
function process(e, kIndex, c) {
var r = e.GetRecords(e.param.period)
if (!r || r.length < e.param.atrPeriod + 2 || r.length < e.param.emaPeriod + 2) {
return
}
var atr = TA.ATR(r, e.param.atrPeriod)
var arrAvgPrice = []
_.each(r, function(bar) {
arrAvgPrice.push((bar.High + bar.Low + bar.Close) / 3)
})
var midLine = TA.EMA(arrAvgPrice, e.param.emaPeriod)
var upBand = []
var downBand = []
_.each(midLine, function(mid, index) {
if (index < e.param.emaPeriod - 1 || index < e.param.atrPeriod - 1) {
upBand.push(NaN)
downBand.push(NaN)
return
}
upBand.push(mid + e.param.trackRatio * atr[index])
downBand.push(mid - e.param.trackRatio * atr[index])
})
// 画图
for (var i = 0 ; i < r.length ; i++) {
if (r[i].Time == e.state.lastBarTime) {
// 更新
c.add(kIndex, [r[i].Time, r[i].Open, r[i].High, r[i].Low, r[i].Close], -1)
c.add(kIndex + 1, [r[i].Time, midLine[i]], -1)
c.add(kIndex + 2, [r[i].Time, upBand[i]], -1)
c.add(kIndex + 3, [r[i].Time, downBand[i]], -1)
} else if (r[i].Time > e.state.lastBarTime) {
// 添加
e.state.lastBarTime = r[i].Time
c.add(kIndex, [r[i].Time, r[i].Open, r[i].High, r[i].Low, r[i].Close])
c.add(kIndex + 1, [r[i].Time, midLine[i]])
c.add(kIndex + 2, [r[i].Time, upBand[i]])
c.add(kIndex + 3, [r[i].Time, downBand[i]])
}
}
// 检测持仓
var pos = e.GetPosition()
if (!pos) {
return
}
var holdAmount = 0
var holdPrice = 0
if (pos.length > 1) {
throw "同时检测到多空持仓！"
} else if (pos.length != 0) {
holdAmount = pos[0].Type == PD_LONG ? pos[0].Amount : -pos[0].Amount
holdPrice = pos[0].Price
}
if (e.state.preBar == -1) {
e.state.preBar = r[r.length - 1].Time
}
// 检测信号
if (e.state.preBar != r[r.length - 1].Time) { // 收盘价模型
if (holdAmount <= 0 && r[r.length - 3].Close < upBand[upBand.length - 3] && r[r.length - 2].Close > upBand[upBand.length - 2]) { // 收盘价上穿上轨
if (holdAmount < 0) { // 持有空仓，平仓
Log(e.GetCurrency(), "平空仓", "#FF0000")
$.CoverShort(e, e.param.symbol, Math.abs(holdAmount))
c.add(kIndex + 4, {x: r[r.length - 2].Time, color: 'red', shape: 'flag', title: '平', text: "平空仓"})
}
// 开多
Log(e.GetCurrency(), "开多仓", "#FF0000")
$.OpenLong(e, e.param.symbol, 10)
c.add(kIndex + 4, {x: r[r.length - 2].Time, color: 'red', shape: 'flag', title: '多', text: "开多仓"})
} else if (holdAmount >= 0 && r[r.length - 3].Close > downBand[downBand.length - 3] && r[r.length - 2].Close < downBand[downBand.length - 2]) { // 收盘价下穿下轨
if (holdAmount > 0) { // 持有多仓，平仓
Log(e.GetCurrency(), "平多仓", "#FF0000")
$.CoverLong(e, e.param.symbol, Math.abs(holdAmount))
c.add(kIndex + 4, {x: r[r.length - 2].Time, color: 'green', shape: 'flag', title: '平', text: "平多仓"})
}
// 开空
Log(e.GetCurrency(), "开空仓", "#FF0000")
$.OpenShort(e, e.param.symbol, 10)
c.add(kIndex + 4, {x: r[r.length - 2].Time, color: 'green', shape: 'flag', title: '空', text: "开空仓"})
} else {
// 平仓
if (holdAmount > 0 && (r[r.length - 2].Close <= holdPrice * (1 - e.param.stopLoss) || r[r.length - 2].Close <= midLine[midLine.length - 2])) { // 持多仓，收盘价小于等于中线，按开仓价格止损
Log(e.GetCurrency(), "触发中线或止损，平多仓", "#FF0000")
$.CoverLong(e, e.param.symbol, Math.abs(holdAmount))
c.add(kIndex + 4, {x: r[r.length - 2].Time, color: 'green', shape: 'flag', title: '平', text: "平多仓"})
} else if (holdAmount < 0 && (r[r.length - 2].Close >= holdPrice * (1 + e.param.stopLoss) || r[r.length - 2].Close >= midLine[midLine.length - 2])) { // 持空仓，收盘价大于等于中线，按开仓价格止损
Log(e.GetCurrency(), "触发中线或止损，平空仓", "#FF0000")
$.CoverShort(e, e.param.symbol, Math.abs(holdAmount))
c.add(kIndex + 4, {x: r[r.length - 2].Time, color: 'red', shape: 'flag', title: '平', text: "平空仓"})
}
}
e.state.preBar = r[r.length - 1].Time
}
}
function main() {
var arrChartConfig = []
if (arrParam.length != exchanges.length) {
throw "参数和交易所对象不匹配！"
}
var arrState = _G("arrState")
_.each(exchanges, function(e, index) {
if (e.GetName() != "Futures_Binance") {
throw "不支持该交易所！"
}
e.param = arrParam[index]
e.state = {lastBarTime: 0, symbol: e.param.symbol, currency: e.GetCurrency()}
if (arrState) {
if (arrState[index].symbol == e.param.symbol && arrState[index].currency == e.GetCurrency()) {
Log("恢复：", e.state)
e.state = arrState[index]
} else {
throw "恢复的数据和当前设置不匹配！"
}
}
e.state.preBar = -1 // 初始设置-1
e.SetContractType(e.param.symbol)
Log(e.GetName(), e.GetLabel(), "设置合约：", e.param.symbol)
arrChartConfig.push(createChartConfig(e.GetCurrency(), e.param.atrPeriod, e.param.emaPeriod, index))
})
var chart = Chart(arrChartConfig)
chart.reset()
while (true) {
_.each(exchanges, function(e, index) {
process(e, index + index * 4, chart)
Sleep(500)
})
}
}
function onexit() {
// 记录 e.state
var arrState = []
_.each(exchanges, function(e) {
arrState.push(e.state)
})
Log("记录：", arrState)
_G("arrState", arrState)
}
天机趋势量化 大神就是牛啊