Strategi perdagangan Abrasiwww.fmz.com
Sistem perdagangan Aberration dicipta oleh Keith Fitschen pada tahun 1986. Pada tahun 1993, Keith Fitschen mengkomersialkan sistem ini dalam majalah Futures Truth. Sejak pelepasannya, sistem ini secara konsisten berada di antara yang terbaik pada tahun 1997, 2001 dan 2005. Sistem ini berada dalam sepuluh teratas dalam ranking prestasi sistem perdagangan yang diterbitkan. Sistem perdagangan ini dicirikan oleh perdagangan serentak pada lapan jenis yang berbeza, termasuk bijirin, daging, logam, tenaga, pertukaran asing, kewangan dan indeks niaga hadapan. Sistem perdagangan Aberration sering berdagang 3-4 kali setahun, dan memegang kedudukan 60% masa, dengan purata 60 hari setiap transaksi. Ia menangkap keuntungan besar melalui perdagangan jangka panjang untuk menangkap trend.
Bagaimana ia membuat kerugian? Kerana ia berdagang di beberapa pasaran yang tidak berkaitan pada masa yang sama, apabila satu spesies kehilangan, yang lain boleh membuat keuntungan. Dalam satu tahun, selalu ada satu atau lebih jenis yang boleh membuat keuntungan yang besar. Keuntungan besar ini membuat kerugian kecil di pasaran yang tidak mempunyai trend. Sistem perdagangan Aberration menguruskan dana dalam kombinasi, jadi ia boleh menerima sejumlah wang yang agak besar.
perbezaan garis optik juga berdasarkan sistem perdagangan garis Bollinger, tetapi sasaran dagangan lebih lama daripada sistem perompak Bollinger, kerana ia boleh menggunakan dua kali saluran penyimpangan standard, dan tiada stop loss digunakan, dan penunjuk saluran itu sendiri digunakan untuk menghentikan kerugian.
Kod berikut hanya rangka kerja idea di atas, anda perlu menyesuaikan perincian untuk pilihan perdagangan anda.
Rangka kerja pengekodan adalah jelas dan boleh digunakan semula. Debugging masa nyata apabila berjalan melalui fungsi interaktif. Operasi stabil, reka bentuk butiran yang sempurna. Sokongan pelbagai jenis dagangan pada masa yang sama, boleh mengawal jumlah kedudukan dagangan secara berasingan. Secara automatik meneruskan kemajuan berdasarkan kedudukan semasa memulakan semula. Dengan modul kawalan risiko, paparan masa nyata keadaan risiko, keadaan stop loss.
Jika anda tidak mahu menyewa pelayan, anda boleh menggunakan komputer anda sendiri atau Raspberry Pi yang mana-mana mesin menjalankan sistem Windows, Linux atau Mac.
function Aberration(q, e, symbol, period, upRatio, downRatio, opAmount) {
var self = {}
self.q = q
self.e = e
self.symbol = symbol
self.upTrack = 0
self.middleTrack = 0
self.downTrack = 0
self.nPeriod = period
self.upRatio = upRatio
self.downRatio = downRatio
self.opAmount = opAmount
self.marketPosition = 0
self.lastErrMsg = ''
self.lastErrTime = ''
self.lastBar = {
Time: 0,
Open: 0,
High: 0,
Low: 0,
Close: 0,
Volume: 0
}
self.symbolDetail = null
self.lastBarTime = 0
self.tradeCount = 0
self.isBusy = false
self.setLastError = function(errMsg) {
self.lastErrMsg = errMsg
self.lastErrTime = errMsg.length > 0 ? _D() : ''
}
self.getStatus = function() {
return [self.symbol, self.opAmount, self.upTrack, self.downTrack, self.middleTrack, _N(self.lastBar.Close), (self.marketPosition == 0 ? "--" : (self.marketPosition > 0 ?
"Long#ff0000" : "short#0000ff")), self.tradeCount, self.lastErrMsg, self.lastErrTime]
}
self.getMarket = function() {
return [self.symbol, _D(self.lastBarTime), _N(self.lastBar.Open), _N(self.lastBar.High), _N(self.lastBar.Low), _N(self.lastBar.Close), self.lastBar.Volume]
}
self.restore = function(positions) {
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType == self.symbol) {
self.marketPosition += positions[i].Amount * ((positions[i].Type == PD_LONG || positions[i].Type == PD_LONG_YD) ? 1 : -1)
}
}
if (self.marketPosition !== 0) {
self.tradeCount++
Log("restore", self.symbol, "Current position is", self.marketPosition)
}
}
self.poll = function() {
if (self.isBusy) {
return false
}
if (!$.IsTrading(self.symbol)) {
self.setLastError("Not in trading hours")
return false
}
if (!self.e.IO("status")) {
self.setLastError("Unconnected exchange")
return false
}
var detail = self.e.SetContractType(self.symbol)
if (!detail) {
self.setLastError("Switching contract failed")
return false
}
if (!self.symbolDetail) {
self.symbolDetail = detail
Log("contract", detail.InstrumentName.replace(/\s+/g, ""), ", Strategy first time to open a position:", self.opAmount, "hand, one hand", detail.VolumeMultiple, "unit, Maximum order quantity",
detail.MaxLimitOrderVolume, "Margin rate:", detail.LongMarginRatio.toFixed(4), detail.ShortMarginRatio.toFixed(4), "Delivery date", detail.StartDelivDate);
}
var records = self.e.GetRecords()
if (!records || records.length == 0) {
self.setLastError("Failed to get the bar line")
return false
}
var bar = records[records.length - 1]
self.lastBar = bar
if (records.length <= self.nPeriod) {
self.setLastError("The length of the bar line is not enough")
return false
}
if (self.lastBarTime < bar.Time) {
var sum = 0
var pos = records.length - self.nPeriod - 1
for (var i = pos; i < records.length - 1; i++) {
sum += records[i].Close
}
var avg = sum / self.nPeriod
var std = 0
for (i = pos; i < records.length - 1; i++) {
std += Math.pow(records[i].Close - avg, 2)
}
std = Math.sqrt(std / self.nPeriod)
self.upTrack = _N(avg + (self.upRatio * std))
self.downTrack = _N(avg - (self.downRatio * std))
self.middleTrack = _N(avg)
self.lastBarTime = bar.Time
}
var msg
var act = ""
if (self.marketPosition == 0) {
if (bar.Close > self.upTrack) {
msg = 'Buying Long trigger price: ' + bar.Close + ' Upper rail:' + self.upTrack;
act = "buy"
} else if (bar.Close < self.downTrack) {
msg = 'Selling short trigger price: ' + bar.Close + ' lower rail:' + self.downTrack;
act = "sell"
}
} else {
if (self.marketPosition < 0 && bar.Close > self.middleTrack) {
msg = 'close the short position trigger price: ' + bar.Close + ' close position line:' + self.middleTrack;
act = "closesell"
} else if (self.marketPosition > 0 && bar.Close < self.middleTrack) {
msg = 'close the long position trigger price: ' + bar.Close + ' close position line:' + self.middleTrack;
act = "closebuy"
}
}
if (act == "") {
return true
}
Log(self.symbol + ', ' + msg + (NotifyWX ? '@' : ''))
self.isBusy = true
self.tradeCount += 1
if (self.lastErrMsg != '') {
self.setLastError('')
}
self.q.pushTask(self.e, self.symbol, act, self.opAmount, function(task, ret) {
self.isBusy = false
if (!ret) {
return
}
if (task.action == "buy") {
self.marketPosition = 1
} else if (task.action == "sell") {
self.marketPosition = -1
} else {
self.marketPosition = 0
}
})
}
return self
}
function main() {
if (exchange.GetName() !== 'Futures_CTP') {
throw "Only support traditional commodity futures(CTP)"
}
SetErrorFilter("login|ready|initialization")
LogStatus("Ready...")
if (Reset) {
LogProfitReset()
LogReset()
}
// Ref: https://www.fmz.com/bbs-topic/362
if (typeof(exchange.IO("mode", 0)) == 'number') {
Log("Switching the market mode successfully")
}
LogStatus("Waiting to connect with the futures dealer server..")
while (!exchange.IO("status")) {
Sleep(500)
}
LogStatus("Get asset information")
var tblRuntime = {
type: 'table',
title: 'Trading Information',
cols: ['Variety', 'Each open position volume', 'upper rail', 'lower rail', 'middle rail', 'last transaction price', 'position', 'transaction count', 'last error', 'error time'],
rows: []
};
var tblMarket = {
type: 'table',
title: 'Quote information',
cols: ['Variety', 'current cycle', 'opening', 'highest', 'lowest', 'last transaction price', 'volume'],
rows: []
};
var tblPosition = {
type: 'table',
title: 'Position information',
cols: ['Variety', 'leverage', 'direction', 'average price', 'quantity', 'holding profit and loss'],
rows: []
};
var positions = _C(exchange.GetPosition)
if (positions.length > 0 && !AutoRestore) {
throw "There can be no positions when the program starts, but you can check the automatic recovery for automatic identification!"
}
var initAccount = _C(exchange.GetAccount)
var detail = JSON.parse(exchange.GetRawJSON())
if (positions.length > 0) {
initAccount.Balance += detail['CurrMargin']
}
var initNetAsset = detail['CurrMargin'] + detail['Available']
var initAccountTbl = $.AccountToTable(exchange.GetRawJSON(), "Initial funding")
if (initAccountTbl.rows.length == 0) {
initAccountTbl.rows = [
['Balance', 'Available margin', initAccount.Balance],
['FrozenBalance', 'Frozen funds', initAccount.FrozenBalance]
]
}
var nowAcccount = initAccount
var nowAcccountTbl = initAccountTbl
var symbols = Symbols.replace(/\s+/g, "").split(',')
var pollers = []
var prePosUpdate = 0
var suffix = ""
var needUpdate = false
var holdProfit = 0
function updateAccount(acc) {
nowAcccount = acc
nowAcccountTbl = $.AccountToTable(exchange.GetRawJSON(), "Current funds")
if (nowAcccountTbl.rows.length == 0) {
nowAcccountTbl.rows = [
['Balance', 'Available margin', nowAcccount.Balance],
['FrozenBalance', 'Frozen funds', nowAcccount.FrozenBalance]
]
}
}
var q = $.NewTaskQueue(function(task, ret) {
needUpdate = true
Log(task.desc, ret ? "success" : "fail")
var account = task.e.GetAccount()
if (account) {
updateAccount(account)
}
})
_.each(symbols, function(symbol) {
var pair = symbol.split(':')
pollers.push(Aberration(q, exchange, pair[0], NPeriod, Ks, Kx, (pair.length == 1 ? AmountOP : parseInt(pair[1]))))
})
if (positions.length > 0 && AutoRestore) {
_.each(pollers, function(poll) {
poll.restore(positions)
})
}
var isFirst = true
while (true) {
var cmd = GetCommand()
if (cmd) {
var js = cmd.split(':', 2)[1]
Log("Execution debug code:", js)
try {
eval(js)
} catch (e) {
Log("Exception", e)
}
}
tblRuntime.rows = []
tblMarket.rows = []
var marketAlive = false
_.each(pollers, function(poll) {
if (poll.poll()) {
marketAlive = true
}
tblRuntime.rows.push(poll.getStatus())
tblMarket.rows.push(poll.getMarket())
})
q.poll()
Sleep(LoopInterval * 1000)
if ((!exchange.IO("status")) || (!marketAlive)) {
if (isFirst) {
LogStatus("Waiting for the market open...", _D())
}
continue
}
isFirst = false
var now = new Date().getTime()
if (marketAlive && (now - prePosUpdate > 30000 || needUpdate)) {
var pos = exchange.GetPosition()
if (pos) {
holdProfit = 0
prePosUpdate = now
tblPosition.rows = []
for (var i = 0; i < pos.length; i++) {
tblPosition.rows.push([pos[i].ContractType, pos[i].MarginLevel, ((pos[i].Type == PD_LONG || pos[i].Type == PD_LONG_YD) ? 'long#ff0000' : 'short#0000ff'),
pos[i].Price, pos[i].Amount, _N(pos[i].Profit)])
holdProfit += pos[i].Profit
}
if (pos.length == 0 && needUpdate) {
LogProfit(_N(nowAcccount.Balance - initAccount.Balance, 4), nowAcccount)
}
}
needUpdate = false
if (RCMode) {
var account = exchange.GetAccount()
if (account) {
updateAccount(account)
var detail = JSON.parse(exchange.GetRawJSON())
var netAsset = detail['PositionProfit'] + detail['CurrMargin'] + detail['Available']
var risk = detail['CurrMargin'] / (detail['CurrMargin'] + detail['Available'] + detail['PositionProfit'])
suffix = ", Initial net worth of the account: " + _N(initNetAsset, 2) + " , risk control minimum net value requirement" + MinNetAsset + " , Current account equity: " + _N(netAsset, 2) +
", Profit and loss: " + _N(netAsset - initNetAsset, 3) + " yuan, risk: " + ((risk * 100).toFixed(3)) + "% #ff0000"
if (netAsset < MinNetAsset) {
Log("The risk control module triggers, stops running and closes all positions, the current net value is ", netAsset, ", Require less than the minimum net value:", MinNetAsset)
if (RCCoverAll) {
Log("Start to close all positions")
$.NewPositionManager().CoverAll()
}
throw "Stop running"
}
}
}
}
LogStatus('`' + JSON.stringify([tblRuntime, tblPosition, tblMarket, initAccountTbl, nowAcccountTbl]) + '`\nLast price update: ' + _D() +
', Last update of position: ' + _D(prePosUpdate) + '\nCurrent holding position total profit and loss: ' + _N(holdProfit, 3) + suffix)
}
}
Mimpi kecilKerja yang baik.