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股票均线策略

Author: 小小梦, Created: 2020-12-14 13:51:41, Updated: 2020-12-23 10:30:15

股票均线策略

趋势策略中最简单的策略就是均线策略了,通过上一篇文章中我们探讨一个股票策略的几点特殊之处,并实现了一个经典策略。再来实现一个双均线策略就十分简单了。我们把之前的「股票DualThrust策略」中的策略逻辑等相关内容剔除,就拿到了一个股票策略的基本结构。这个程序结构可以复用于我们的双均线策略。其实就是把双均线的交易逻辑、数据处理等写进去就可以了,趋势策略基本都可以这样复用代码。

程序结构框架

剔除了之前策略交易逻辑后剩下的程序结构,这个程序还不能直接使用。

var Ids = []            // ["600519.SH"]    
var _Symbols = [] 
var STATE_IDLE = 0
var STATE_LONG = 1
var SlideTick = 2
var StatusMsg = ""
var _Chart = null 
var _ArrChart = []
var Interval = 1000
var ArrStateStr = ["空闲", "多仓"]

function newDate() {
    var timezone = 8                                
    var offset_GMT = new Date().getTimezoneOffset() 
    var nowDate = new Date().getTime()              
    var targetDate = new Date(nowDate + offset_GMT * 60 * 1000 + timezone * 60 * 60 * 1000)
    return targetDate
}


function GetPosition(e, contractTypeName) {
    var allAmount = 0
    var allProfit = 0
    var allFrozen = 0
    var posMargin = 0
    var price = 0
    var direction = null
    positions = _C(e.GetPosition)
    for (var i = 0; i < positions.length; i++) {
        if (positions[i].ContractType != contractTypeName) {
            continue
        }
        if (positions[i].Type == PD_LONG) {
            posMargin = positions[i].MarginLevel
            allAmount += positions[i].Amount
            allProfit += positions[i].Profit
            allFrozen += positions[i].FrozenAmount
            price = positions[i].Price
            direction = positions[i].Type
        }
    }
    if (allAmount === 0) {
        return null
    }
    return {
        MarginLevel: posMargin,
        FrozenAmount: allFrozen,
        Price: price,
        Amount: allAmount,
        Profit: allProfit,
        Type: direction,
        ContractType: contractTypeName,
        CanCoverAmount: allAmount - allFrozen
    }
}

function Buy(e, contractType, opAmount, insDetail) {
    var initPosition = GetPosition(e, contractType)
    var isFirst = true
    var initAmount = initPosition ? initPosition.Amount : 0
    var positionNow = initPosition
    if(opAmount % insDetail.LotSize != 0) {
        throw "每手数量不匹配"
    }
    while (true) {
        var needOpen = opAmount
        if (isFirst) {
            isFirst = false
        } else {
        	Sleep(Interval*20)
            positionNow = GetPosition(e, contractType)
            if (positionNow) {
                needOpen = opAmount - (positionNow.Amount - initAmount)
            }
            Log("positionNow:", positionNow, "needOpen:", needOpen)// 测试
        }
        if (needOpen < insDetail.LotSize || needOpen % insDetail.LotSize != 0) {
            break
        }
        var depth = _C(e.GetDepth)
        // 需要检测是否涨跌停
        var amount = needOpen
        e.SetDirection("buy")
        var orderId = e.Buy(depth.Asks[0].Price + (insDetail.PriceSpread * SlideTick), amount, contractType, 'Ask', depth.Asks[0])
        // CancelPendingOrders
        while (true) {
            Sleep(Interval*20)
            var orders = _C(e.GetOrders)
            if (orders.length === 0) {
                break
            }
            for (var j = 0; j < orders.length; j++) {
                e.CancelOrder(orders[j].Id)
                if (j < (orders.length - 1)) {
                    Sleep(Interval*20)
                }
            }
        }
    }
    var ret = null
    if (!positionNow) {
        return ret
    }
    ret = positionNow
    return ret
}

function Sell(e, contractType, lots, insDetail) {
    var initAmount = 0
    var firstLoop = true
    if(lots % insDetail.LotSize != 0) {
        throw "每手数量不匹配"
    }
    while (true) {
        var n = 0
        var total = 0
        var positions = _C(e.GetPosition)
        var nowAmount = 0
        for (var i = 0; i < positions.length; i++) {
            if (positions[i].ContractType != contractType) {
                continue
            }
            nowAmount += positions[i].Amount
        }
        if (firstLoop) {
            initAmount = nowAmount
            firstLoop = false
        }
        var amountChange = initAmount - nowAmount
        if (typeof(lots) == 'number' && amountChange >= lots) {
            break
        }

        for (var i = 0; i < positions.length; i++) {
            if (positions[i].ContractType != contractType) {
                continue
            }
            var amount = positions[i].Amount
            var depth
            var opAmount = 0
            var opPrice = 0
            if (positions[i].Type == PD_LONG) {
                depth = _C(e.GetDepth)
                // 需要检测是否涨跌停
                opAmount = amount
                opPrice = depth.Bids[0].Price - (insDetail.PriceSpread * SlideTick)
            }
            if (typeof(lots) === 'number') {
                opAmount = Math.min(opAmount, lots - (initAmount - nowAmount))
            }
            if (opAmount > 0) {
                if (positions[i].Type == PD_LONG) {
                    e.SetDirection("closebuy")
                    e.Sell(opPrice, opAmount, contractType, "平仓", 'Bid', depth.Bids[0])
                }
                n++
            }
            // break to check always
            if (typeof(lots) === 'number') {
                break
            }
        }
        if (n === 0) {
            break
        }
        while (true) {
            Sleep(Interval*20)
            var orders = _C(e.GetOrders)
            if (orders.length === 0) {
                break
            }
            for (var j = 0; j < orders.length; j++) {
                e.CancelOrder(orders[j].Id)
                if (j < (orders.length - 1)) {
                    Sleep(Interval*20)
                }
            }
        }
    }
}

function IsTrading() {
    // 使用 newDate() 代替 new Date() 因为服务器时区问题
    var now = newDate()
    var day = now.getDay()
    var hour = now.getHours()
    var minute = now.getMinutes()
    StatusMsg = "非交易时段"

    if (day === 0 || day === 6) {
        return false
    }

    if((hour == 9 && minute >= 30) || (hour == 11 && minute < 30) || (hour > 9 && hour < 11)) {
    	// 9:30-11:30
        StatusMsg = "交易时段"
        return true 
    } else if (hour >= 13 && hour < 15) {
    	// 13:00-15:00
        StatusMsg = "交易时段"
        return true 
    }
    
    return false 
}

function init () {
    Ids = JSON.parse(StrIds)
    for (var i = 0 ; i < Ids.length ; i++) {
        _Symbols[i] = {}
        _Symbols[i].ContractTypeName = Ids[i]
        
        _Symbols[i].State = STATE_IDLE
        _Symbols[i].ChartIndex = i 
        _Symbols[i].Status = ""
        _Symbols[i].Pos = null 
        _Symbols[i].ChartCfg = {
            // 图表对象
        }
        _ArrChart.push(_Symbols[i].ChartCfg)
    }
    _Chart = Chart(_ArrChart)
    _Chart.reset()
}

function Process (symbols) {
    for (var i = 0 ; i < symbols.length ; i++) {
        var contractTypeName = symbols[i].ContractTypeName
        var insDetail = _C(exchange.SetContractType, contractTypeName)
        symbols[i].InstrumentName = insDetail.InstrumentName
        // 判断是不是交易状态
        if (!insDetail.IsTrading || !IsTrading()) {
            continue
        }

        var depth = exchange.GetDepth()
        if (!depth || depth.Bids[0].Amount == 0 || depth.Asks[0].Amount == 0) {
            // 标记涨跌停
            symbols[i].Status = "涨跌停"
            continue
        }
        symbols[i].Status = "正常交易"

        // 检测持仓
        var pos = GetPosition(exchange, contractTypeName)
        symbols[i].Pos = pos
        var posAmount = pos ? pos.Amount : 0

        // 同步持仓状态
        if (symbols[i].State == STATE_IDLE && posAmount > 0) {
            symbols[i].State = STATE_LONG
        } else if (symbols[i].State == STATE_LONG && posAmount == 0) {
            symbols[i].State = STATE_IDLE
        }

        // 执行交易
        // Buy(exchange, contractTypeName, AmountOP, ticker.Info)
        // Sell(exchange, contractTypeName, AmountOP, ticker.Info)

    }
}

function main(){
    if(IsReset) {
        LogReset(1)
    }
	
	SetErrorFilter("market not ready")
	exchange.SetPrecision(3, 0)
    if((!IsVirtual() && exchange.GetCurrency() != "STOCK" && exchange.GetName() != "Futures_Futu") || 
       (IsVirtual() && exchange.GetCurrency() != "STOCK_CNY" && exchange.GetName() != "Futures_LTS")) {
        Log("currency:", exchange.GetCurrency(), "name:", exchange.GetName())
        throw "不支持"
    }

    while(true){
    	var tbl = {
    		"type" : "table",
    		"title": "信息",
    		"cols": [],
    		"rows": [], 
    	}
    	for(var i = 0 ; i < _Symbols.length; i++) {
            tbl.rows.push([])
    	}
    	var tblPos = {
    		"type" : "table", 
    		"title" : "持仓", 
    		"cols" : ["名称", "价格", "数量", "盈亏", "类型", "冻结数量", "可平量"], 
    		"rows" : [],
    	}
    	for (var j = 0 ; j < _Symbols.length; j++) {
    		if(_Symbols[j].Pos) {
                tblPos.rows.push([_Symbols[j].Pos.ContractType, _Symbols[j].Pos.Price, _Symbols[j].Pos.Amount, _Symbols[j].Pos.Profit, _Symbols[j].Pos.Type, _Symbols[j].Pos.FrozenAmount, _Symbols[j].Pos.CanCoverAmount])
    		}
    	}
        LogStatus(_D(), StatusMsg, "\n`" + JSON.stringify([tbl, tblPos]) + "`")
        Process(_Symbols)
        Sleep(1000)
    }
}

双均线策略

  • 首先调整一下界面参数 img

    添加上双均线需要的策略参数。

  • 添加策略交易逻辑

        // 计算指标数据
        var ma = TA.EMA(r, MAPeriod)            // 周期小的均线指标数据(快线)
        var slowMa = TA.EMA(r, SlowMAPeriod)    // 周期大的均线指标数据(慢线)
        
        ...
        
        // 交易信号检测
        if(symbols[i].State == STATE_IDLE && ma[ma.length - 2] > slowMa[slowMa.length - 2] && ma[ma.length - 3] < slowMa[slowMa.length - 3]) {
            Log("快线上穿慢线", "#FF0000")
            Buy(exchange, contractTypeName, Amount, ticker.Info)
            symbols[i].State = STATE_LONG
        } else if (symbols[i].State == STATE_LONG && ma[ma.length - 2] < slowMa[slowMa.length - 2] && ma[ma.length - 3] > slowMa[slowMa.length - 3]) {
            Log("快线下穿慢线", "#FF0000")
            Sell(exchange, contractTypeName, Amount, ticker.Info)
            symbols[i].State = STATE_IDLE
        }
    

    交易信号检测其实就是判断快线上穿、下穿慢线,这里使用的是倒数第二、第三根K线柱上对应的指标判断,因为最后一个指标数据是实时的,所以会有反复交叉分开的情况。

  • 其它细节 因为这次策略用到了2根均线指标,我们需要在K线图表上把均线画出来,所以对画图部分的代码做了小小的调整。 对于策略状态栏显示的信息也需要略微调整,显示当前策略的均线指标、当前价格等数据。 最近FMZ平台支持了股票回测,所以我们也要针对回测系统做一些兼容,策略中一些用到IsVirtual()函数的地方就是为了回测系统做的兼容。

回测测试

回测仅仅是策略初步测试,所以不必太在意回测结果。所以我们随便选择几只股票,随便设置一些参数回测一下。

img

img

img

img

策略地址

富途模拟盘

同样也可以挂一个富途模拟盘测试,FMZ平台后续也会支持更多券商。

结尾

策略仅仅用于学习交流,交流策略设计思路,互相学习。 感谢阅读,感谢提出建议及意见。


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