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2. The coin-throwing strategy (●''●)

The coin-throwing strategy (●''●)

Author: Peanut butter and jelly, Date: 2020-04-21 17:39:52
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/*backtest
start: 2020-01-20 00:00:00
end: 2021-01-19 23:59:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_BitMEX","currency":"XBT_USD","fee":[0.008,0.1]}]
args: [["st",0.1]]
*/

// 初始化
exchange.SetContractType('XBTUSD')
_CDelay(100)
// 止盈止损
var TP_status = false // 是否触发追踪止盈 
var TP_HH = 0
var TP_LL = 0
var B = 1

// 获取交易所信息
function UpdateInfo() {
    account = exchange.GetAccount()
    pos = exchange.GetPosition()
    records = exchange.GetRecords()
    ticker = exchange.GetTicker()
}

// 定制本次盈亏
function Onept() {
    // 更新用户信息
    UpdateInfo()
    // 如果现在余额 大于 之前的余额, 那么 盈利次数+1, 且pt_1设为现在余额
    if (account.Stocks - pt_1 > 0) {
        pt_times = pt_times + 1
        Log('这回赚钱啦~~~~ (＾Ｕ＾)ノ~ＹＯ', account.Stocks - pt_1)
        B = 1
        pt_1 = account.Stocks
    }
    // 如果现在余额 小于 之前的余额, 那么 亏损次数+1, 且pt_1设为现在余额
    if (account.Stocks - pt_1 < 0) {
        st_times = st_times + 1
        Log('这回亏掉了.... /(ㄒoㄒ)/~~', account.Stocks - pt_1)
        B = B * 1.618
        pt_1 = account.Stocks
    }
}

// 画线
function PlotMA_Kline(records) {
    $.PlotRecords(records, "K")
}

// 追踪止盈 初始%, 追踪U
function TP() {
    var TP_first_long = pos[0].Price + tp_first * ticker.Last
    var TP_trailing_long = TP_HH - trailing_tp * ticker.Last
    var TP_first_short = pos[0].Price - tp_first * ticker.Last
    var TP_trailing_short = TP_LL + trailing_tp * ticker.Last
    // 当多仓时, 现价大于开仓+初始止赢价 -> 触发追踪止盈 
    if ((pos[0].Type == 0) && (ticker.Last > TP_first_long)) {
        // Log('当多仓时, 现价大于开仓+初始止赢价 -> 触发追踪止盈', TP_HH)
        TP_status = true
        // 触发追踪止盈, 未初始化开仓最大价格 -> 开仓后最大价格更新为现价
        if (TP_status === true && TP_HH == 0) {
            Log('触发追踪止盈, 未初始化开仓最大价格 -> 开仓后最大价格更新为现价', TP_HH)
            TP_HH = ticker.Last
        }
        // 触发追踪止盈, 已有开仓后最大价格, 现价大于开仓后最大价格 -> 开仓后最大价格更新为现价
        else if (TP_status === true && TP_HH != 0 && ticker.Last > TP_HH) {
            Log('触发追踪止盈, 已有开仓后最大价格, 现价大于开仓后最大价格 -> 开仓后最大价格更新为现价', TP_HH)
            TP_HH = ticker.Last
        }
        // 触发追踪止盈, 已有开仓后最大价格, 现价小于 (开仓后最大价格减 - 回撤USD) -> 开空平仓止盈
        else if (TP_status === true && TP_HH != 0 && ticker.Last < TP_trailing_long) {
            Log('触发追踪止盈, 已有开仓后最大价格, 现价小于 (开仓后最大价格减 - 回撤USD) -> 开空平仓止盈', TP_HH)
            exchange.SetDirection("closebuy")
            exchange.Sell(ticker.Buy, pos[0].Amount, "在" + ticker.Last + "止赢平多仓!! 开仓价格: " + pos[0].Price + "数量: " + pos[0].Amount)
            $.PlotFlag(new Date().getTime(), 'Sell', 'PT_BK' + ticker.Sell)
            Onept()
            TP_status = false
            TP_HH = 0
        }
    }
    // 当空仓时, 现价小于开仓-初始止赢价 -> 触发追踪止盈
    else if ((pos[0].Type == 1) && (ticker.Last < TP_first_short)) {
        // Log('当空仓时, 现价小于开仓-初始止赢价 -> 触发追踪止盈', TP_LL)
        TP_status = true
        // 触发追踪止盈, 未初始化开仓最大价格 -> 开仓后最小价格更新为现价
        if (TP_status === true && TP_LL == 0) {
            Log('触发追踪止盈, 未初始化开仓最大价格 -> 开仓后最小价格更新为现价', TP_LL)
            TP_LL = ticker.Last
        }
        // 触发追踪止盈, 已有开仓后最小价格, 现价小于开仓后最小价格 -> 开仓后最小价格更新为现价
        else if (TP_status === true && TP_LL != 0 && ticker.Last < TP_LL) {
            Log('触发追踪止盈, 已有开仓后最小价格, 现价小于开仓后最小价格 -> 开仓后最小价格更新为现价', TP_LL)
            TP_LL = ticker.Last
        }
        // 触发追踪止盈, 已有开仓后最小价格, 现价大于 (开仓后最小价格减 + 回撤USD) -> 开多平仓止盈
        else if (TP_status === true && TP_LL != 0 && ticker.Last > TP_trailing_short) {
            Log('触发追踪止盈, 已有开仓后最小价格, 现价大于 (开仓后最小价格减 + 回撤USD) -> 开多平仓止盈', TP_LL)
            exchange.SetDirection("closesell")
            exchange.Buy(ticker.Sell, pos[0].Amount, "在" + ticker.Last + "止赢平空仓!! 开仓价格: " + pos[0].Price + "数量: " + pos[0].Amount)
            $.PlotFlag(new Date().getTime(), 'Buy', 'PT_SK' + ticker.Sell)
            Onept()
            TP_status = false
            TP_LL = 0
        }
    }
}

// 止损 %
function Stoploss() {
    // 当多仓时, 现价小于开仓-止损价, 做空平多
    if ((pos[0].Type == 0) && (ticker.Last < pos[0].Price - st * ticker.Last)) {
        Log('当多仓时, 现价小于开仓-止损价, 做空平多')
        exchange.SetDirection("closebuy")
        exchange.Sell(ticker.Buy, pos[0].Amount, "在" + ticker.Last + "止损平多仓!! 开仓价格: " + pos[0].Price + "数量: " + pos[0].Amount)
        $.PlotFlag(new Date().getTime(), 'Sell', 'ST_BK' + ticker.Buy)
        Onept()
    }
    // 当空仓时, 现价大于开仓+止损价, 做多平空
    else if ((pos[0].Type == 1) && (ticker.Last > pos[0].Price + st * ticker.Last)) {
        Log('当空仓时, 现价大于开仓+止损价, 做多平空')
        exchange.SetDirection("closesell")
        exchange.Buy(ticker.Sell, pos[0].Amount, "在" + ticker.Last + "止损平空仓!! 开仓价格: " + pos[0].Price + "数量: " + pos[0].Amount)
        $.PlotFlag(new Date().getTime(), 'Buy', 'ST_SK' + ticker.Sell)
        Onept()
    }
}

// 计算凯利公式 仓位
function PriceAmount() {
    // 赢可以赢多少 
    y = tp_first
    // 输会输多少 
    s = st
    //赔率
    b = y / s
    // 赢的概率
    if (total_times < 10) {
        p = 0.382
    } else {
        p = pt_times / total_times
    }
    // 输的概率
    q = 1 - p
    // 凯莉公式
    f = (b * p - q) / b
    // 限制B最大值
    if (B > 16.18) {
        B = 16.18
    }
    //Amount = _N(Math.abs(f) * account.Stocks * ticker.Last * B, 0)
    Amount = _N(0.618 * account.Stocks * ticker.Last, 0)
    //Log(Amount)
}

// 交易逻辑
function onTick() {
    // 获取均匀分布 0-9 随机数
    ToTheMoon = Math.floor(Math.random() * 10)
    // 无仓位时
    if (pos.length == 0) {
        // Long 
        if (ToTheMoon > 5) {
            exchange.SetDirection("buy")
            exchange.Buy(ticker.Sell, Amount)
            $.PlotFlag(new Date().getTime(), 'Buy', 'BK' + ticker.Sell)
            total_times = total_times + 1
        }
        // Short 
        if (ToTheMoon < 4) {
            exchange.SetDirection("sell")
            exchange.Sell(ticker.Buy, Amount)
            $.PlotFlag(new Date().getTime(), 'Sell', 'SK' + ticker.Buy)
            total_times = total_times + 1
        }
    }
        // 多仓时
    if (pos.length > 0 && pos[0].Type == 0) {
        // 平多 
        if (ToTheMoon < 1) {
            exchange.SetDirection("closebuy")
            exchange.Sell(ticker.Buy, pos[0].Amount)
            $.PlotFlag(new Date().getTime(), 'Sell', 'PBK')
            Onept()
        }
    }
    // 空仓时
    if (pos.length > 0 && pos[0].Type == 1) {
        // 平空 
        if (ToTheMoon > 8) {
            exchange.SetDirection("closesell")
            exchange.Buy(ticker.Sell, pos[0].Amount)
            $.PlotFlag(new Date().getTime(), 'Buy', 'PSK')
            Onept()
        }
    }
}


function main() {
    UpdateInfo()
    // 统计
    pt_1 = account.Stocks
    total_times = 0
    pt_times = 0
    st_times = 0
    while (1) {
        UpdateInfo()
        PriceAmount()
        onTick()
        PlotMA_Kline(records)
        if (pos.length > 0) {
            TP()
        }
        if (pos.length > 0) {
            Stoploss()
        }
        LogStatus("总余额: " + _N(ticker.Last * account.Stocks, 2), " 下单量: " + Amount, " 下单倍数: " + B, " ToTheMoon: " + ToTheMoon, " 下单量比: " + _N(Amount * 100 / _N(ticker.Last * account.Stocks, 2), 2), "% 胜率: " + _N(p * 100, 2), "%", total_times, pos)
    }
}

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AllyCan it be converted to a beta version?