引用自JavaScript版单平台均衡策略
这个需要建仓,比如账户有5000块钱,跟1个币,如果币的价值大于账户的余额5000了并且差价超过阀值,比如币现在值6000块钱,就卖掉(6000-5000)/6000/2个币,说明币升值了,把钱兑换回来,如果币贬值了,比如4000块钱了,就买入(5000-4000)/4000/2个币, 币跌的时候买一些回来,如果再涨了,就再卖掉,好像天平一样,两边不同的对冲,所以我命名为均衡策略
'''backtest start: 2019-12-01 00:00:00 end: 2020-02-01 11:00:00 period: 1m exchanges: [{"eid":"OKEX","currency":"BTC_USDT","stocks":1}] ''' InitAccount = None def CancelPendingOrders(): ret = False while True: orders = _C(exchange.GetOrders) if len(orders) == 0 : return ret for j in range(len(orders)): exchange.CancelOrder(orders[j].Id) ret = True if j < len(orders) - 1: Sleep(Interval) return ret def onTick(): acc = _C(exchange.GetAccount) ticker = _C(exchange.GetTicker) spread = ticker.Sell - ticker.Buy diffAsset = (acc.Balance - (acc.Stocks * ticker.Sell)) / 2 ratio = diffAsset / acc.Balance LogStatus("ratio:", ratio, _D()) if abs(ratio) < threshold: return False if ratio > 0 : buyPrice = _N(ticker.Sell + spread, ZPrecision) buyAmount = _N(diffAsset / buyPrice, XPrecision) if buyAmount < MinStock: return False exchange.Buy(buyPrice, buyAmount, diffAsset, ratio) else : sellPrice = _N(ticker.Buy - spread, ZPrecision) sellAmount = _N(-diffAsset / sellPrice, XPrecision) if sellAmount < MinStock: return False exchange.Sell(sellPrice, sellAmount, diffAsset, ratio) return True def main(): global InitAccount, LoopInterval InitAccount = _C(exchange.GetAccount) LoopInterval = max(LoopInterval, 1) while True: if onTick(): Sleep(1000) CancelPendingOrders() Log(_C(exchange.GetAccount)) Sleep(LoopInterval * 1000)template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6