Versión de JavaScript de la estrategia SuperTrend

Versión de JavaScript de la estrategia SuperTrend

Hay muchas versiones del indicador de SuperTrend en el televisor. Encontré un algoritmo relativamente fácil de entender y lo trasplanté. Comparado con el indicador de SuperTrend cargado en el gráfico de TV del sistema de prueba de retroceso de la plataforma de comercio FMZ, encontré una ligera diferencia y no entendí la razón de las causas, estoy esperando la orientación de nuestros lectores. Primero mostraré mi comprensión como sigue.

Indicador de SuperTendencia Algoritmo de versión JavaScript

// VIA: https://github.com/freqtrade/freqtrade-strategies/issues/30

function SuperTrend(r, period, multiplier) {
    // atr
    var atr = talib.ATR(r, period)

    // baseUp , baseDown
    var baseUp = []
    var baseDown = []
    for (var i = 0; i < r.length; i++) {
        if (isNaN(atr[i])) {
            baseUp.push(NaN)
            baseDown.push(NaN)
            continue
        }
        baseUp.push((r[i].High + r[i].Low) / 2 + multiplier * atr[i])
        baseDown.push((r[i].High + r[i].Low) / 2 - multiplier * atr[i])
    }

    // fiUp , fiDown
    var fiUp = []
    var fiDown = []
    var prevFiUp = 0
    var prevFiDown = 0
    for (var i = 0; i < r.length; i++) {
        if (isNaN(baseUp[i])) {
            fiUp.push(NaN)
        } else {
            fiUp.push(baseUp[i] < prevFiUp || r[i - 1].Close > prevFiUp ? baseUp[i] : prevFiUp)
            prevFiUp = fiUp[i]
        }

        if (isNaN(baseDown[i])) {
            fiDown.push(NaN)
        } else {
            fiDown.push(baseDown[i] > prevFiDown || r[i - 1].Close < prevFiDown ? baseDown[i] : prevFiDown)
            prevFiDown = fiDown[i]
        }
    }

    var st = []
    var prevSt = NaN
    for (var i = 0; i < r.length; i++) {
        if (i < period) {
            st.push(NaN)
            continue
        }

        var nowSt = 0
        if (((isNaN(prevSt) && isNaN(fiUp[i - 1])) || prevSt == fiUp[i - 1]) && r[i].Close <= fiUp[i]) {
            nowSt = fiUp[i]
        } else if (((isNaN(prevSt) && isNaN(fiUp[i - 1])) || prevSt == fiUp[i - 1]) && r[i].Close > fiUp[i]) {
            nowSt = fiDown[i]
        } else if (((isNaN(prevSt) && isNaN(fiDown[i - 1])) || prevSt == fiDown[i - 1]) && r[i].Close >= fiDown[i]) {
            nowSt = fiDown[i]
        } else if (((isNaN(prevSt) && isNaN(fiDown[i - 1])) || prevSt == fiDown[i - 1]) && r[i].Close < fiDown[i]) {
            nowSt = fiUp[i]
        }

        st.push(nowSt)
        prevSt = st[i]
    }

    var up = []
    var down = []
    for (var i = 0; i < r.length; i++) {
        if (isNaN(st[i])) {
            up.push(st[i])
            down.push(st[i])
        }

        if (r[i].Close < st[i]) {
            down.push(st[i])
            up.push(NaN)
        } else {
            down.push(NaN)
            up.push(st[i])
        }
    }

    return [up, down]
}

// The main function for testing indicators is not a trading strategy
function main() {
    while (1) {
        var r = _C(exchange.GetRecords)
        var st = SuperTrend(r, 10, 3)

        $.PlotRecords(r, "K")
        $.PlotLine("L", st[0][st[0].length - 2], r[r.length - 2].Time)
        $.PlotLine("S", st[1][st[1].length - 2], r[r.length - 2].Time)

        Sleep(2000)
    }
}

Comparación del código de prueba con el backtest:

Una estrategia sencilla utilizando el indicador SuperTrend

La parte de la lógica de negociación es relativamente simple, es decir, cuando la tendencia corta se convierte en una tendencia larga, se abren posiciones largas. Abre una posición corta cuando la tendencia larga se convierta en una tendencia corta.

Parámetros de la estrategia:

Estrategia de negociación de SuperTrend

/*backtest
start: 2019-08-01 00:00:00
end: 2020-03-11 00:00:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_OKCoin","currency":"BTC_USD"}]
*/

// Global variables
var OpenAmount = 0                                                  // The number of open positions after opening
var KeepAmount = 0                                                  // Reserved position
var IDLE = 0
var LONG = 1
var SHORT = 2
var COVERLONG = 3
var COVERSHORT = 4
var COVERLONG_PART = 5
var COVERSHORT_PART = 6
var OPENLONG = 7
var OPENSHORT = 8

var State = IDLE

// Trading logic part
function GetPosition(posType) {
    var positions = _C(exchange.GetPosition)
    /*
    if(positions.length > 1){
        throw "positions error:" + JSON.stringify(positions)
    }
    */
    var count = 0
    for(var j = 0; j < positions.length; j++){
        if(positions[j].ContractType == Symbol){
            count++
        }
    }

    if(count > 1){
        throw "positions error:" + JSON.stringify(positions)
    }

    for (var i = 0; i < positions.length; i++) {
        if (positions[i].ContractType == Symbol && positions[i].Type === posType) {
            return [positions[i].Price, positions[i].Amount];
        }
    }
    
    Sleep(TradeInterval);
    return [0, 0]
}

function CancelPendingOrders() {
    while (true) {
        var orders = _C(exchange.GetOrders)
        for (var i = 0; i < orders.length; i++) {
            exchange.CancelOrder(orders[i].Id);
            Sleep(TradeInterval);
        }
        if (orders.length === 0) {
            break;
        }
    }
}

function Trade(Type, Price, Amount, CurrPos, OnePriceTick){    // Processing transactions
    if(Type == OPENLONG || Type == OPENSHORT){              // Handling open positions
        exchange.SetDirection(Type == OPENLONG ? "buy" : "sell")
        var pfnOpen = Type == OPENLONG ? exchange.Buy : exchange.Sell
        var idOpen = pfnOpen(Price, Amount, CurrPos, OnePriceTick, Type)
        Sleep(TradeInterval)
        if(idOpen) {
            exchange.CancelOrder(idOpen)
        } else {
            CancelPendingOrders()
        }
    } else if(Type == COVERLONG || Type == COVERSHORT){     // Deal with closing positions
        exchange.SetDirection(Type == COVERLONG ? "closebuy" : "closesell")
        var pfnCover = Type == COVERLONG ? exchange.Sell : exchange.Buy
        var idCover = pfnCover(Price, Amount, CurrPos, OnePriceTick, Type)
        Sleep(TradeInterval)
        if(idCover){
            exchange.CancelOrder(idCover)
        } else {
            CancelPendingOrders()
        }
    } else {
        throw "Type error:" + Type
    }
}

function SuperTrend(r, period, multiplier) {
    // atr
    var atr = talib.ATR(r, period)

    // baseUp , baseDown
    var baseUp = []
    var baseDown = []
    for (var i = 0; i < r.length; i++) {
        if (isNaN(atr[i])) {
            baseUp.push(NaN)
            baseDown.push(NaN)
            continue
        }
        baseUp.push((r[i].High + r[i].Low) / 2 + multiplier * atr[i])
        baseDown.push((r[i].High + r[i].Low) / 2 - multiplier * atr[i])
    }

    // fiUp , fiDown
    var fiUp = []
    var fiDown = []
    var prevFiUp = 0
    var prevFiDown = 0
    for (var i = 0; i < r.length; i++) {
        if (isNaN(baseUp[i])) {
            fiUp.push(NaN)
        } else {
            fiUp.push(baseUp[i] < prevFiUp || r[i - 1].Close > prevFiUp ? baseUp[i] : prevFiUp)
            prevFiUp = fiUp[i]
        }

        if (isNaN(baseDown[i])) {
            fiDown.push(NaN)
        } else {
            fiDown.push(baseDown[i] > prevFiDown || r[i - 1].Close < prevFiDown ? baseDown[i] : prevFiDown)
            prevFiDown = fiDown[i]
        }
    }

    var st = []
    var prevSt = NaN
    for (var i = 0; i < r.length; i++) {
        if (i < period) {
            st.push(NaN)
            continue
        }

        var nowSt = 0
        if (((isNaN(prevSt) && isNaN(fiUp[i - 1])) || prevSt == fiUp[i - 1]) && r[i].Close <= fiUp[i]) {
            nowSt = fiUp[i]
        } else if (((isNaN(prevSt) && isNaN(fiUp[i - 1])) || prevSt == fiUp[i - 1]) && r[i].Close > fiUp[i]) {
            nowSt = fiDown[i]
        } else if (((isNaN(prevSt) && isNaN(fiDown[i - 1])) || prevSt == fiDown[i - 1]) && r[i].Close >= fiDown[i]) {
            nowSt = fiDown[i]
        } else if (((isNaN(prevSt) && isNaN(fiDown[i - 1])) || prevSt == fiDown[i - 1]) && r[i].Close < fiDown[i]) {
            nowSt = fiUp[i]
        }

        st.push(nowSt)
        prevSt = st[i]
    }

    var up = []
    var down = []
    for (var i = 0; i < r.length; i++) {
        if (isNaN(st[i])) {
            up.push(st[i])
            down.push(st[i])
        }

        if (r[i].Close < st[i]) {
            down.push(st[i])
            up.push(NaN)
        } else {
            down.push(NaN)
            up.push(st[i])
        }
    }

    return [up, down]
}

var preTime = 0
function main() {
    exchange.SetContractType(Symbol)
    
    while (1) {
        var r = _C(exchange.GetRecords)
        var currBar = r[r.length - 1]
        if (r.length < pd) {
            Sleep(5000)
            continue    
        }
        
        var st = SuperTrend(r, pd, factor)
             
        $.PlotRecords(r, "K")
        $.PlotLine("L", st[0][st[0].length - 2], r[r.length - 2].Time)
        $.PlotLine("S", st[1][st[1].length - 2], r[r.length - 2].Time)
        
        if(!isNaN(st[0][st[0].length - 2]) && isNaN(st[0][st[0].length - 3])){  
            if (State == SHORT) {
                State = COVERSHORT
            } else if(State == IDLE) {
                State = OPENLONG
            }
        }

        if(!isNaN(st[1][st[1].length - 2]) && isNaN(st[1][st[1].length - 3])){  
            if (State == LONG) {
                State = COVERLONG 
            } else if (State == IDLE) {
                State = OPENSHORT
            }
        }

        // 执行信号
        var pos = null
        var price = null
        if(State == OPENLONG){                          // Open long positions
            pos = GetPosition(PD_LONG)                  // Check positions
                                                        // Determine whether the status is satisfied, if it is satisfied, modify the status
            if(pos[1] >= Amount){                       // Open positions exceed or equal to the open positions set by the parameters
                Sleep(1000)
                $.PlotFlag(currBar.Time, "Open long positions", 'OL') // mark
                
                OpenAmount = pos[1]                     // Record the number of open positions
                State = LONG                            // Mark as long
                continue
            }
            price = currBar.Close - (currBar.Close % PriceTick) + PriceTick * 2     // Calculate the price
            Trade(OPENLONG, price, Amount - pos[1], pos, PriceTick)                 // Placing Order function (Type, Price, Amount, CurrPos, PriceTick)
        }

        if(State == OPENSHORT){                         // Open short position
            pos = GetPosition(PD_SHORT)                 // Check positions
            if(pos[1] >= Amount){
                Sleep(1000)
                $.PlotFlag(currBar.Time, "Open short position", 'OS')
                
                OpenAmount = pos[1]
                State = SHORT
                continue
            }
            price = currBar.Close - (currBar.Close % PriceTick) - PriceTick * 2
            Trade(OPENSHORT, price, Amount - pos[1], pos, PriceTick)
        }

        if(State == COVERLONG){                                         // Handling long positions
            pos = GetPosition(PD_LONG)                                  // Get position information
            if(pos[1] == 0){                                            // Determine if the position is 0
                $.PlotFlag(currBar.Time, "Close long position", '----CL')             // mark
                State = IDLE
                continue
            }
            price = currBar.Close - (currBar.Close % PriceTick) - PriceTick * 2
            Trade(COVERLONG, price, pos[1], pos, PriceTick)
        }
    
        if(State == COVERSHORT){                                        // Deal with long positions
            pos = GetPosition(PD_SHORT)
            if(pos[1] == 0){
                $.PlotFlag(currBar.Time, "Close short position", '----CS')
                State = IDLE
                continue
            }
            price = currBar.Close - (currBar.Close % PriceTick) + PriceTick * 2
            Trade(COVERSHORT, price, pos[1], pos, PriceTick)
        }

        if(State == COVERLONG_PART) {                                   // Partially close long positions
            pos = GetPosition(PD_LONG)                                  // Get positions
            if(pos[1] <= KeepAmount){                                   // The position is less than or equal to the holding amount, this time the closing action is completed
                $.PlotFlag(currBar.Time, "Close long positions, keep：" + KeepAmount, '----CL')     // mark
                State = pos[1] == 0 ? IDLE : LONG                                  // update status
                continue
            }
            price = currBar.Close - (currBar.Close % PriceTick) - PriceTick * 2
            Trade(COVERLONG, price, pos[1] - KeepAmount, pos, PriceTick)
        }

        if(State == COVERSHORT_PART){
            pos = GetPosition(PD_SHORT)
            if(pos[1] <= KeepAmount){
                $.PlotFlag(currBar.Time, "Close short positions, keep：" + KeepAmount, '----CS')
                State = pos[1] == 0 ? IDLE : SHORT
                continue
            }
            price = currBar.Close - (currBar.Close % PriceTick) + PriceTick * 2
            Trade(COVERSHORT, price, pos[1] - KeepAmount, pos, PriceTick)
        }

        LogStatus(_D())
        Sleep(1000)
    }
}

Dirección estratégica:https://www.fmz.com/strategy/201837

Desempeño de las pruebas de retroceso

Configuración de parámetros, período de la línea K, referencia: homilía SuperTrend V.1Super sistema de línea de tendencia

El período de la línea K se establece en 15 minutos, y el parámetro SuperTrend se establece en 45, 3. Pruebe el contrato trimestral de futuros de OKEX para el año más reciente y establezca un contrato para operar a la vez. Debido al ajuste para operar solo un contrato a la vez, la tasa de utilización de los fondos es muy baja y no necesita preocuparse por el valor Sharpe.