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)
=====我是低调的分界线=====
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/*backtest start: 2017-11-01 00:00:00 end: 2020-09-01 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 (IsVirtual) { 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, "&") } }template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6