趋势跟踪震荡策略.md

Name

趋势跟踪震荡策略

Author

Zero

Strategy Description

趋势跟踪震荡策略, 跟踪止盈(盈利后如果出现指定幅度的缩损就止盈）

Strategy Arguments

Argument	Default	Description
Interval	2000	出错重试间隔(毫秒)
SlidePrice	0.3	滑动价(元)
StopLoss	0.8	止损点
RatioUp	0.8	上涨卖出参考点数(做空)
RatioDown	0.8	下跌买入参考点数(做多)
UpWeightingVal	50	上涨建仓做多点数(相对最高跌幅)
DownWeightingVal	50	下跌建仓做空点数(相对最高涨幅)
StopProfitThreshold	0.9	止盈系数(0-1)
EMA_Slow	30	EMA慢线周期
EMA_Fast	7	EMA快线周期
EnableGoingShort	true	允许做空
MinStock	0.001	最小交易量
LoopInterval	60	轮询间隔(秒)

Source (javascript)

function CancelPendingOrders() {
    while (true) {
        var orders = null;
        while (!(orders = exchange.GetOrders())) {
            Sleep(Interval);
        }

        if (orders.length == 0) {
            return;
        }

        for (var j = 0; j < orders.length; j++) {
            exchange.CancelOrder(orders[j].Id, orders[j]);
            if (j < (orders.length-1)) {
                Sleep(Interval);
            }
        }
    }
}

var STATE_WAIT_IDLE     = 0;
var STATE_WAIT_BUY      = 1;
var STATE_WAIT_SELL     = 2;
var STATE_BUY           = 3;
var STATE_SELL          = 4;

var State = STATE_WAIT_IDLE;
var InitAccount = null;
var LastBuyPrice = 0;
var LastSellPrice = 0;
var LastHighPrice = 0;
var LastLowPrice = 0;
var LastRecord = null;
var Goingshort = false;

function onTick(exchange) {
    var oldState = State;

    if (State == STATE_WAIT_IDLE) {
        var records = exchange.GetRecords();
        if (!records || records.length < (EMA_Slow + 3)) {
            return;
        }
        // Price not change
        var newLast = records[records.length-1];
        if ((!LastRecord) || (LastRecord.Time == newLast.Time && LastRecord.Close == newLast.Close)) {
            LastRecord = newLast;
            return;
        }
        LastRecord = newLast;

        var emaFast = TA.EMA(records, EMA_Fast);
        var emaSlow = TA.EMA(records, EMA_Slow);
        if (emaFast[emaFast.length-1] > emaSlow[emaSlow.length-1]) {
            Goingshort = false;
            State = STATE_WAIT_BUY;
        } else if (EnableGoingShort && (emaFast[emaFast.length-1] < emaSlow[emaSlow.length-1])) {
            Goingshort = true;
            State = STATE_WAIT_SELL;
        } else {
            return;
        }
    }

    var ticker = _C(exchange.GetTicker);
    // 重新设置这两个参数
    if (oldState == STATE_WAIT_IDLE && State != STATE_WAIT_IDLE) {
        LastLowPrice = ticker.Last;
        LastHighPrice = ticker.Last;
    }

    // 做多
    if (!Goingshort) {
        if (State == STATE_WAIT_BUY) {
            var lastDownRatio = Math.abs((LastHighPrice - LastLowPrice) / LastHighPrice) * 100;
            var currentUpRatio = Math.abs((ticker.Last - LastLowPrice) / ticker.Last) * 100;
            if (lastDownRatio > RatioDown && currentUpRatio > (RatioDown*(UpWeightingVal/100))) {
                State = STATE_BUY;
            } else {
                LastHighPrice = Math.max(LastHighPrice, ticker.Last);
                LastLowPrice = Math.min(LastLowPrice, ticker.Last);
            }
        } else if (State == STATE_WAIT_SELL) {
            var ratioStopLoss = Math.abs((LastHighPrice - ticker.Last) / LastHighPrice) * 100;
            var ratioStopProfit = Math.abs((ticker.Last - LastBuyPrice) / LastBuyPrice) * 100;
            var ratioMaxUp = Math.abs((LastHighPrice - LastBuyPrice) / LastBuyPrice) * 100;
            if (ticker.Last < LastBuyPrice && ratioStopLoss >= StopLoss) {
                State = STATE_SELL;
                Log("开始止损, 当前下跌点数:", _N(ratioStopLoss), "当前价格", ticker.Last, "对比价格", _N(LastHighPrice));
            } else if (ticker.Last > LastBuyPrice && ticker.Last < LastHighPrice && ratioStopProfit <= (ratioMaxUp*StopProfitThreshold)) {
                State = STATE_SELL;
                Log("开始止赢, 当前上涨点数:", _N(ratioStopProfit), "当前价格", ticker.Last, "对比价格", _N(LastBuyPrice));
            }
            LastHighPrice = Math.max(LastHighPrice, ticker.Last);
        }
    } else {
        if (State == STATE_WAIT_SELL) {
            var lastUpRatio = Math.abs((LastHighPrice - LastLowPrice) / LastHighPrice) * 100;
            var currentDownRatio = Math.abs((LastHighPrice - ticker.Last) / LastHighPrice) * 100;
            if (lastUpRatio > RatioUp && currentDownRatio > (RatioUp*(DownWeightingVal/100))) {
                State = STATE_SELL;
            } else {
                LastHighPrice = Math.max(LastHighPrice, ticker.Last);
                LastLowPrice = Math.min(LastLowPrice, ticker.Last);
            }
        } else if (State == STATE_WAIT_BUY) {
            var ratioStopLoss = Math.abs((ticker.Last - LastLowPrice) / LastLowPrice) * 100;
            var ratioStopProfit = Math.abs((LastSellPrice - ticker.Last) / LastSellPrice) * 100;
            var ratioMaxDown = Math.abs((LastSellPrice - LastLowPrice) / LastSellPrice) * 100;
            if (ticker.Last > LastSellPrice && ratioStopLoss >= StopLoss) {
                State = STATE_BUY;
                Log("开始止损, 当前上涨点数:", _N(ratioStopLoss), "当前价格", ticker.Last, "对比价格", _N(LastSellPrice));
            } else if (ticker.Last < LastSellPrice && ticker.Last > LastLowPrice && ratioStopProfit <= (ratioMaxDown*StopProfitThreshold)) {
                State = STATE_BUY;
                Log("开始止盈, 当前下跌点数:", _N(ratioStopProfit), "当前价格", ticker.Last, "对比价格", _N(LastLowPrice));
            }
            LastHighPrice = Math.max(LastHighPrice, ticker.Last);
            LastLowPrice = Math.min(LastLowPrice, ticker.Last);
        }

    }

    if (State != STATE_BUY && State != STATE_SELL) {
        return;
    }

    // Buy or Sell, Cancel pending orders first
    CancelPendingOrders();

    var account = _C(exchange.GetAccount);

    // 做多
    if (!Goingshort) {
        if (State == STATE_BUY) {
            var price = ticker.Sell + SlidePrice;
            var amount = _N(account.Balance*0.99 / price);
            if (amount >= MinStock) {
                if (exchange.Buy(price, amount, "做多")) {
                    LastBuyPrice = LastHighPrice = price;
                } else {
                    Log("开多仓失败", price, amount, account);
                }
            } else {
                State = STATE_WAIT_SELL;
            }
        } else {
            var sellAmount = account.Stocks - InitAccount.Stocks;
            if (sellAmount > MinStock) {
                exchange.Sell(ticker.Buy - SlidePrice, sellAmount);
            } else {
                // No stocks, wait buy and log profit
                LogProfit(account.Balance - InitAccount.Balance, account);
                State = STATE_WAIT_IDLE;
            }
        }
    } else {
        if (State == STATE_BUY) {
            var price = ticker.Sell + SlidePrice;
            var amount = Math.min(_N(account.Balance*0.99 / price), InitAccount.Stocks - account.Stocks);
            if (amount >= MinStock) {
                exchange.Buy(price, amount);
            } else {
                LogProfit(account.Balance - InitAccount.Balance, account);
                State = STATE_WAIT_IDLE;
            }
        } else {
            var price = ticker.Buy - SlidePrice;
            var sellAmount = account.Stocks;
            if (sellAmount > MinStock) {
                exchange.Sell(ticker.Last - SlidePrice, sellAmount, "做空");
                LastSellPrice = LastLowPrice = price;
            } else {
                // No stocks, wait buy and log profit
                State = STATE_WAIT_BUY;
            }
        }
    }
}

function main() {
    InitAccount = _C(exchange.GetAccount);
    Log(exchange.GetName(), exchange.GetCurrency(), InitAccount);
    EnableGoingShort = EnableGoingShort && (InitAccount.Stocks > MinStock);
    LoopInterval = Math.max(LoopInterval, 1);
    while (true) {
        onTick(exchange);
        Sleep(LoopInterval*1000);
    }
}

Detail

https://www.fmz.com/strategy/179

Last Modified

2018-03-27 16:16:09