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SAR抛物线转向指标

Author: 韬奋量化, Date: 2020-08-25 14:01:00
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本策略基于扁豆子的《一根均线 趋势 Demo》进行修改(https://www.fmz.com/strategy/193609), 使用抛物线转向指标SAR的信号作为买卖点,属于数字货币期货趋势策略。

画图代码使用了Zero的《画线类库》(https://www.fmz.com/strategy/27293), 参考了小小梦的《使用画线类库画K线以及均线图表范例》(https://www.fmz.com/strategy/125770)。

———— 韬奋量化(微信:himandy)


/*backtest
start: 2017-11-01 00:00:00
end: 2018-09-01 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_BitMEX","currency":"XBT_USD"}]
args: [["Amount",10000],["time_interval",86400]]
*/

/*
本策略基于扁豆子的《一根均线 趋势 Demo》(https://www.fmz.com/strategy/193609)进行修改,使用抛物线转向指标SAR的信号作为买卖点,属于数字货币期货趋势策略。

画图代码使用了Zero的《画线类库》(https://www.fmz.com/strategy/27293),参考了小小梦的《使用画线类库画K线以及均线图表范例》(https://www.fmz.com/strategy/125770)。

———— 韬奋量化(微信:himandy)
*/

// 定义对象

//用于回测
if (exchange.GetCurrency() == "BTC_USD") {
    exchange.SetContractType("quarter"); //选择合约
} else if (exchange.GetCurrency() == "XBT_USD") {
    exchange.SetContractType("XBTUSD"); //便于策略选择BitMEX回测
}

exchange.SetMarginLevel(1)

var LastBarTime = 0,
    Idle = -1,
    status = Idle;

var preAccount, account, records, ticker, balance, Bar;
var sar, isFirst, PreBarTime, preTime;

// 链接交易所, 获取相关信息
function UpdateInfo() {
    account = exchange.GetAccount()
    records = exchange.GetRecords(time_interval)
    ticker = exchange.GetTicker()
    //balance = account.Stocks
    //Bar = records[records.length - 1]
}

// 指标计算获取
function Get_SAR() {
    sar = talib.SAR(records, 0.02, 0.2);
}

// 开平仓规则
function onTick() {

    ticker = exchange.GetTicker()
    if (status === Idle) {
        if (ticker.Last > sar[sar.length - 1]) {
            exchange.SetDirection("buy")
            exchange.Buy(ticker.Sell, Amount)
            status = PD_LONG
            $.PlotFlag(new Date().getTime(), 'Buy', 'BK');
        } else if (ticker.Last < sar[sar.length - 1]) {
            exchange.SetDirection("sell")
            exchange.Sell(ticker.Buy, Amount)
            status = PD_SHORT
            $.PlotFlag(new Date().getTime(), 'Sell', 'SK');
        }
    } else if (status === PD_LONG) {
        if (ticker.Last < sar[sar.length - 1]) {
            exchange.SetDirection("closebuy")
            exchange.Sell(ticker.Buy, Amount)
            account = exchange.GetAccount()
            status = Idle
            $.PlotFlag(new Date().getTime(), 'CloseBuy', 'SP');
        }
    } else if (status === PD_SHORT) {
        if (ticker.Last > sar[sar.length - 1]) {
            exchange.SetDirection("closesell")
            exchange.Buy(ticker.Sell, Amount)
            account = exchange.GetAccount()
            status = Idle
            $.PlotFlag(new Date().getTime(), 'CloseSell', 'BP');
        }
    }

}

function PlotMA_Kline(records, isFirst) {

    $.PlotRecords(records, "BTC")
    if (isFirst) {
        for (var i = records.length - 1; i >= 0; i--) {
            if (sar[i] !== null) {
                $.PlotLine("SAR", sar[i], records[i].Time);
            }
        }
        PreBarTime = records[records.length - 1].Time;
    } else {
        if (PreBarTime !== records[records.length - 1].Time) {
            $.PlotLine('SAR', sar[sar.length - 2], records[records.length - 2].Time);
            PreBarTime = records[records.length - 1].Time;
        }
        $.PlotLine('SAR', sar[sar.length - 1], records[records.length - 1].Time);
    }
}

function main() {
    preAccount = exchange.GetAccount()
    // 链接交易所, 获取相关信息
    UpdateInfo()

    // 主函数, 不停循环
    while (1) {
        records = exchange.GetRecords(time_interval)
        preTime = records[records.length - 1].Time
        //机器人延时等待,直至下一个K线周期,单位是毫秒
        while (new Date().getTime() < (preTime + time_interval * 1000)) { //把K线周期转换为毫秒
            records = exchange.GetRecords(time_interval)
            // 指标计算获取
            Get_SAR()
            // 开平仓规则
            onTick()
            // 轮询sleep时间
            Sleep(5 * 1000)
        }

        //画线
        if (records) {
            PlotMA_Kline(records, isFirst);
            isFirst = false;
        }

        // 打印balance
        LogProfit(account.Stocks - preAccount.Stocks, "&")

    }
}

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