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2. 海の戦略は逆のトレンド取引戦略

海の戦略は逆のトレンド取引戦略

作者: リン・ハーンコイン989, 日時: 2019-07-16 14:57:23
タグ:カメ取引

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var strategy_version="1.0.0.0(new release 仅供学习研究使用，实盘后果自负。实盘策略访问http://pcclean.io/quant  )";

var price_n={Futures_OKCoin_BSV_USD:2};
var num_n={Futures_OKCoin_BSV_USD:0};
var minestbuy={Futures_OKCoin_BSV_USD:1};
var price_step={Futures_OKCoin_BSV_USD:0.05};
var contract_min={Futures_OKCoin_BSV_USD:10};
var wait_ms=3000;
var max_wait_order=15000;
var max_positions=4;

//gloabl variables
var positions_duo=[];
var positions_kong=[];
var total_loop=0;
var bet_duo=0;
var bet_kong=0;

function main(){
	Log("strategy_version="+strategy_version);
	$.set_params(price_n,num_n,minestbuy,price_step,wait_ms,max_wait_order);
	while(true){
		var exname=exchange.GetName();
		var currency=exchange.GetCurrency();
		var account=_C(exchange.GetAccount);
		var ticker=_C(exchange.GetTicker);
		var depth=_C(exchange.GetDepth);		
		var sell1=depth.Asks[0].Price;
		var buy1=depth.Bids[0].Price;
		var records=_C(exchange.GetRecords);
		if (records.length<=50){
			Log("records.length无效,跳过此次执行...");
			Sleep(wait_ms);
			continue;
		}
		var atr = TA.ATR(records, 20);
		if (atr.length<=1){
			Log("atr.length无效,跳过此次执行...");
			Sleep(wait_ms);
			continue;
		}
		var N=atr[atr.length-1];
		var position_unit=account.Stocks/(max_positions*2);
		var highest20=TA.Highest(records, 20, 'High');
		var lowest20=TA.Lowest(records, 20, 'Low');
		var highest10=TA.Highest(records, 10, 'High');		
		var lowest10=TA.Lowest(records, 10, 'Low');
		
		//建仓
		if (positions_duo.length===0){
			if (sell1<=lowest20){
				var heyuefenshu=_N(position_unit*sell1/contract_min[$.get_exchange_id(exchange)],0);
				exchange.SetDirection("buy");
				var dealamount=$.perform_limited_order("buy",exchange,sell1,heyuefenshu,false,"futures","buy");
				if (dealamount>0){
					var postion = {
						amount:dealamount, 
						price:sell1,
						stoploss_price:sell1-2.5*N,
						stopwin_price:sell1+2.5*N,
						};
					positions_duo.push(postion);
					bet_duo=1;
				}
			}
		}
		if (positions_kong.length===0){
			if (buy1>=highest20){
				var heyuefenshu=_N(position_unit*buy1/contract_min[$.get_exchange_id(exchange)],0);
				exchange.SetDirection("sell");
				var dealamount=$.perform_limited_order("buy",exchange,buy1,heyuefenshu,false,"futures","sell");
				if (dealamount>0){
					var postion = {
						amount:dealamount, 
						price:buy1,
						stoploss_price:buy1+2.5*N,
						stopwin_price:buy1-2.5*N,
						};
					positions_kong.push(postion);
					bet_kong=1;
				}
			}
		}
		//加仓
		if (positions_duo.length>0){
			var last_price=positions_duo[positions_duo.length-1].price;
			if (bet_duo<max_positions){
				if (last_price-sell1>=0.5*N){
					var heyuefenshu=_N(position_unit*sell1/contract_min[$.get_exchange_id(exchange)],0);
					exchange.SetDirection("buy");
					var dealamount=$.perform_limited_order("buy",exchange,sell1,heyuefenshu,false,"futures","buy");
					if (dealamount>0){
						var postion = {
							amount:dealamount, 
							price:sell1,
							stoploss_price:sell1-2.5*N,
							stopwin_price:sell1+2.5*N,
							};
						positions_duo.push(postion);
						bet_duo+=1;
					}
				}
			}
		}
		if (positions_kong.length>0){
			var last_price=positions_kong[positions_kong.length-1].price;
			if (bet_kong<max_positions){
				if (buy1-last_price>=0.5*N){
					var heyuefenshu=_N(position_unit*buy1/contract_min[$.get_exchange_id(exchange)],0);
					exchange.SetDirection("sell");
					var dealamount=$.perform_limited_order("buy",exchange,buy1,heyuefenshu,false,"futures","sell");
					if (dealamount>0){
						var postion = {
							amount:dealamount, 
							price:buy1,
							stoploss_price:buy1+2.5*N,
							stopwin_price:buy1-2.5*N,
							};
						positions_kong.push(postion);
						bet_kong+=1;
					}
				}
			}
		}
		//止损
		if (positions_duo.length>0){
			var positions_duo_new=[];
			for (var i=0; i < positions_duo.length; i++){
				if (buy1<=positions_duo[i].stoploss_price){
					exchange.SetDirection("closebuy");
					$.perform_limited_order("sell",exchange,buy1,positions_duo[i].amount,true,"futures","closebuy");
				}else{
					positions_duo_new.push(positions_duo[i]);
				}
			}
			positions_duo=positions_duo_new;
		}
		if (positions_kong.length>0){
			var positions_kong_new=[];
			for (var i=0; i < positions_kong.length; i++){
				if (sell1>=positions_kong[i].stoploss_price){
					exchange.SetDirection("closesell");
					$.perform_limited_order("sell",exchange,sell1,positions_kong[i].amount,true,"futures","closesell");
				}else{
					positions_kong_new.push(positions_kong[i]);
				}
			}
			positions_kong=positions_kong_new;
		}
		//止盈
		if (positions_duo.length>0){
			var positions_duo_new=[];
			for (var i=0; i < positions_duo.length; i++){
				if (buy1>=positions_duo[i].stopwin_price){
					exchange.SetDirection("closebuy");
					$.perform_limited_order("sell",exchange,buy1,positions_duo[i].amount,true,"futures","closebuy");
				}else{
					positions_duo_new.push(positions_duo[i]);
				}
			}
			positions_duo=positions_duo_new;
		}
		if (positions_kong.length>0){
			var positions_kong_new=[];
			for (var i=0; i < positions_kong.length; i++){
				if (sell1<=positions_kong[i].stopwin_price){
					exchange.SetDirection("closesell");
					$.perform_limited_order("sell",exchange,sell1,positions_kong[i].amount,true,"futures","closesell");
				}else{
					positions_kong_new.push(positions_kong[i]);
				}
			}
			positions_kong=positions_kong_new;
		}
		//清仓
		if (positions_duo.length>0){
			if (buy1>=highest10){
				for (var i=0; i < positions_duo.length; i++){
					exchange.SetDirection("closebuy");
					$.perform_limited_order("sell",exchange,buy1,positions_duo[i].amount,true,"futures","closebuy");
				}
				positions_duo=[];
			}
		}
		if (positions_kong.length>0){
			if (sell1<=lowest10){
				for (var i=0; i < positions_kong.length; i++){
					exchange.SetDirection("closesell");
					$.perform_limited_order("sell",exchange,sell1,positions_kong[i].amount,true,"futures","closesell");
				}
				positions_kong=[];
			}
		}
		//交易所强平
		var current_ok_position=_C(exchange.GetPosition);//must update here
		if (current_ok_position.length===0){
			positions_duo=[];
			positions_kong=[];
		}
		
		//chart
		var table1={type: 'table', title: '期货仓位', cols: ['交易所','持仓量','冻结量','持仓均价','实现盈余','类型','合约代码'], rows: []};
		var table2={type: 'table', title: '跟踪仓位', cols: ['交易所','类型','数量','价格','止损价','止盈价'], rows: []};
		for (var i=0; i < current_ok_position.length; i++){
				table1.rows.push([exname,
				current_ok_position[i].Amount,
				current_ok_position[i].FrozenAmount,
				current_ok_position[i].Price,
				current_ok_position[i].Profit,
				current_ok_position[i].Type,
				current_ok_position[i].ContractType]);
			}
		for (i=0; i<positions_duo.length; ++i){
			table2.rows.push([exname,'做多',positions_duo[i].amount,positions_duo[i].price,
			positions_duo[i].stoploss_price,positions_duo[i].stopwin_price]);
		}
		for (i=0; i<positions_kong.length; ++i){
			table2.rows.push([exname,'做空',positions_kong[i].amount,positions_kong[i].price,
			positions_kong[i].stoploss_price,positions_kong[i].stopwin_price]);
		}
		LogStatus(
					'`' + JSON.stringify([table1,table2])+'`'+'\n'+
					'买多仓位：'+positions_duo.length+'\n'+
					'买空仓位：'+positions_kong.length+'\n'+
					'交易单位: '+position_unit+'\n'+
					'highest20: '+highest20+'\n'+
					'highest10: '+highest10+'\n'+
					'lowest20: '+lowest20+'\n'+
					'lowest10: '+lowest10+'\n'+
					'♜轮询次数: '+total_loop+'\n'+
					'♜更新时间: '+$.get_ChinaTimeString()+'\n'+
					'♜定制策略联系微信: alinwo(验证消息:botvs)。实盘策略访问: http://pcclean.io/quant'+'\n'
				  );
		if (total_loop%300===0){
			LogProfit(account.Stocks);
		}
		
		Sleep(wait_ms);
		total_loop++;
	}
}

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