前面文章讨论过,小卖部策略在特定情况下,可以做到130%的年化收益。不过这是在特定情况下,就是该商品的月度均线,从长期看是上升的,且经过了很长一段时间。如果在进入市场的短期3个月里,都处于下跌市里,那可能遭到重大打击。 究其原因,最重要的是,该策略没引入做空机制。犹如在A股市场里,只能做多,那下跌来时,只能空仓或者被动挨揍。还好数字货币是提供做空机制的,通过合约交易,我们就可以把下跌风险规避掉。 今天区班主做的策略是牛熊小卖部策略。主要思想是牛市来了,就做多,同时抬高公允价格的预期;熊市来了,就做空,同时降低公允价格的预期。猴市来了则高抛低吸。牛熊猴的判断参考之前的文章,就是以短期高低点和长期高低点的关系,决定当前市场状态。 本策略应用于ETH,这里需要指出两个坑:1、本策略基于ETH,ETH在OKex期货里,是10刀一张的;需要BTC的朋友请自己修改一下除数;2、合约下单后,如果是相同多单,会合并成一个Position,所以Position的长度最多为2,这也是导致区班主当时反复调试的地方,还好最后解决了。 注册币乎后https://m.bihu.com/signup?i=1ewtKO&s=4&c=4 搜索 物联网区块链 可以联系到作者区班主
/*backtest start: 2019-01-01 00:00:00 end: 2019-10-10 00:00:00 period: 1d exchanges: [{"eid":"OKEX","currency":"ETH_USDT","stocks":0}] args: [["OpMode",1,10989],["MaxAmount",1,10989],["TradeFee",0.001,10989]] */ //注册币乎后https://m.bihu.com/signup?i=1ewtKO&s=4&c=4 //搜索 物联网区块链 可以联系到作者区班主 var status = 10; //10表示猴市初始化,11表示猴市继续;20表示牛市初始化,21表示牛市继续;30表示熊市初始化,31表示熊市继续 var dhigh; var dlow; var mlow; var mhigh; var operPrice; function monkeyOper(){ var i; var position; var account = _C(exchange.GetAccount); var ticker = _C(exchange.GetTicker); var nowPrice=ticker.Sell; var pAmount; /* if(status==10){ //进入猴市初始化,设定公允价格 operPrice=mlow+mhigh; }else{ if(nowPrice<operPrice*0.97){ //值得买 //买平所有空单 position = _C(exchange.GetPosition); for (i = 0; i < position.length; i++) { if(position[i].Type==PD_SHORT){ //买平空单 exchange.SetDirection("closesell"); exchange.Buy(nowPrice,position[i].Amount); }else{ pAmount=position[i].Amount; } } if(pAmount*10<account.Stocks*nowPrice){ //最多持半仓 exchange.Buy(nowPrice,Math.floor(nowPrice*account.Stocks*0.1/10)); //尝试做多 Log("猴市买入",account.Stocks*0.1); operPrice=nowPrice; } }else if(nowPrice>operPrice*1.03){ //值得卖 //卖平所有多单 position = _C(exchange.GetPosition); for (i = 0; i < position.length; i++) { if(position[i].Type==PD_LONG){ //卖平多单 exchange.SetDirection("closebuy"); exchange.Sell(nowPrice,position[i].Amount); }else{ pAmount=position[i].Amount; } } if(pAmount*10<account.Stocks*nowPrice){ //最多持半仓 exchange.Sell(nowPrice,Math.floor(nowPrice*account.Stocks*0.1/10)); //尝试做多 Log("猴市卖出",account.Stocks*0.1); operPrice=nowPrice; } } }*/ } function bullOper(){ //去掉所有挂的空仓 var orders = _C(exchange.GetOrders); var account = _C(exchange.GetAccount); for (var i = 0; i < orders.length; i++) { var order=orders[i]; if(order.type==1){ //空单 exchange.CancelOrder(order.Id); Log("清空单"); } } var ticker = _C(exchange.GetTicker); var nowPrice=ticker.Sell; //买平所有空单 var position = _C(exchange.GetPosition); var pAmount=0; for (i = 0; i < position.length; i++) { if(position[i].Type==PD_SHORT){ //买平空单,注意成交方向相反 exchange.SetDirection("closesell"); exchange.Buy(nowPrice,position[i].Amount); }else{ pAmount=position[i].Amount; } } if(status==20){ //当前价格做多 exchange.SetDirection("buy"); if(pAmount*10<account.Stocks*nowPrice){ //最多持半仓 exchange.Buy(nowPrice,Math.floor(nowPrice*account.Stocks*0.2/10)); //尝试做多 Log("初始买入",account.Stocks*0.1); } operPrice=nowPrice; }else if(nowPrice<operPrice*0.97){ //最多挂两单,大力做多 exchange.SetDirection("buy"); if(pAmount*10<account.Stocks*nowPrice){ //最多持半仓 exchange.Buy(nowPrice,Math.floor(nowPrice*account.Stocks*0.3/10)); Log("加大买入",account.Stocks*0.3); } operPrice=nowPrice; } } function bearOper(){ //去掉所有挂的多仓 var orders = _C(exchange.GetOrders); var account = _C(exchange.GetAccount); for (var i = 0; i < orders.length; i++) { var order=orders[i]; if(order.type==0){ //多单 exchange.CancelOrder(order.Id); Log("清多单"); } } var ticker = _C(exchange.GetTicker); var nowPrice=ticker.Sell; //买平所有多单 var position = _C(exchange.GetPosition); var pAmount=0; for (i = 0; i < position.length; i++) { if(position[i].Type==PD_LONG){ //卖平多单 exchange.SetDirection("closebuy"); exchange.Sell(nowPrice,position[i].Amount); }else{ pAmount=position[i].Amount; } } if(status==30){ //当前价格做空 exchange.SetDirection("sell"); if(pAmount*10<account.Stocks*nowPrice){ //最多持半仓 exchange.Sell(nowPrice,Math.floor(nowPrice*account.Stocks*0.2/10)); //尝试做空 Log("初始卖出",account.Stocks*0.1); } operPrice=nowPrice; }else if(nowPrice>operPrice*1.03){ //最多挂两单,大力做多 exchange.SetDirection("sell"); if(pAmount*10<account.Stocks*nowPrice){ //最多持半仓 exchange.Sell(nowPrice,Math.floor(nowPrice*account.Stocks*0.3/10)); Log("加大卖出",account.Stocks*0.3); } operPrice=nowPrice; } } function oper(){ var ticker = _C(exchange.GetTicker); var nowPrice=ticker.Sell; var drecords = exchange.GetRecords(PERIOD_D1); var mrecords = exchange.GetRecords(PERIOD_M30); //日线5天内的高低点(不包含当前Bar) dhigh=TA.Highest(drecords, dnum, 'High'); dlow=TA.Lowest(drecords, dnum, 'Low'); //30分钟线10个周期内的高低点(不包含当前Bar) mhigh=TA.Highest(mrecords, mnum, 'High'); mlow=TA.Lowest(mrecords, mnum, 'Low'); if(mhigh>dhigh&&mlow<dlow){ //如果分钟高低点都突破了日线高低点,看重心在哪,决定是什么市 if((mhigh+mlow)<(dhigh+dlow)*0.97){ if(status==30){ status=31; }else{ status=30; } bearOper(); }else if((mhigh+mlow)>(dhigh+dlow)*1.03){ if(status==20){ status=21; }else{ status=20; } bullOper(); }else{ if(status==10){ status=11; }else{ status=10; } monkeyOper(); } }else if(mhigh>dhigh){ //分钟低点突破日高点,牛开始 if(status==20){ status=21; }else{ status=20; } bullOper(); }else if(mlow<dlow){ //分钟低点跌破日低点,熊开始 if(status==30){ status=31; }else{ status=30; } bearOper(); }else{ //没有方向,猴市 if(status==10){ status=11; }else{ status=10; } monkeyOper(); } } function main() { var initAccount = _C(exchange.GetAccount); Log(initAccount); exchange.SetContractType("quarter") // 举例设置为OKEX期货当周合约 exchange.SetMarginLevel(5); // 设置杠杆为5倍 while (true) { oper(); Sleep(Interval*1000); } }template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6