先开仓,指定一个盈利点平仓,如果平不了,超过止损点,就再加仓拉低成本价, 一直加到盈利出场,如果加仓加到没钱或者币再加了,就开始反手做,原来是做空的,就反手做多,这样一直反复. 也可以不让自动反手,让程序一直等着解套.
比如现在10元均价开的多仓,目标盈利是5毛钱,程序挂一个10.5元卖出的单,如果价格跌了,就加仓到当前价格的附近,调整均价,再挂一个目标盈利单, 如果还不行,继续加仓拉低均价,实在不行,被套了,就反手开始做空单.
策略的自动反手机制
如果当前做多仓, 盈利出局,会自动再做多仓,如果被套,反手拿币做空仓, 空仓盈利后,继续做空仓,一直到加仓加不动了,反手开始做多仓,这样一直循环. 只要上次是盈利的就一直保持着上次的开仓方向 策略会自动计算需要加仓的量的大小跟目标盈利点的新值 需要注意的
此策略有完整的恢复机制,可以实际操作或者学习使用 此策略100%赚钱的前提是: 你得准备好足够的资金加仓 如果没有足够的资金,就让自动反手做, 会产生浮动盈亏 如果你有足够的资金,就不需要自动反手了,一直让程序加仓就可以 策略可以通过调整参数,实现高频的盘口型策略 不适合期货,期货这样搞容易爆仓, 所以只能现货来操作 开源的目的
吸引更多的人加入到量化交易这个交流圈子里来,而不是整天的闭门造车
V1.1 解决了OKCoin冻结0.0001个币导致程序卡住的bug
更详细的说明, 移步: https://www.fmz.com/#!/bbs-topic/38
var TradeType = OpType == 0 ? ORDER_TYPE_BUY : ORDER_TYPE_SELL; var OrgAccount = null; var Counter = {s : 0, f: 0}; var LastProfit = 0; var AllProfit = 0; var LastTicker = null; function _N(v, precision) { if (typeof(precision) != 'number') { precision = 4; } var d = parseFloat(v.toFixed(Math.max(10, precision+5))); s = d.toString().split("."); if (s.length < 2 || s[1].length <= precision) { return d; } var b = Math.pow(10, precision); return Math.floor(d*b)/b; } function EnsureCall(e, method) { var r; while (!(r = e[method].apply(this, Array.prototype.slice.call(arguments).slice(2)))) { Sleep(Interval); } return r; } function StripOrders(e, orderId) { var order = null; if (typeof(orderId) == 'undefined') { orderId = null; } while (true) { var dropped = 0; var orders = EnsureCall(e, 'GetOrders'); for (var i = 0; i < orders.length; i++) { if (orders[i].Id == orderId) { order = orders[i]; } else { var extra = ""; if (orders[i].DealAmount > 0) { extra = "成交: " + orders[i].DealAmount; } else { extra = "未成交"; } e.CancelOrder(orders[i].Id, orders[i].Type == ORDER_TYPE_BUY ? "买单" : "卖单", extra); dropped++; } } if (dropped == 0) { break; } Sleep(300); } return order; } function updateProfit(e, account, ticker) { if (typeof(account) == 'undefined') { account = GetAccount(e); } if (typeof(ticker) == 'undefined') { ticker = EnsureCall(e, "GetTicker"); } var profit = (((account.Stocks + account.FrozenStocks) - (OrgAccount.Stocks + OrgAccount.FrozenStocks)) * ticker.Last) + ((account.Balance + account.FrozenBalance) - (OrgAccount.Balance + OrgAccount.FrozenBalance)); LogProfit(_N(profit + LastProfit, 4), "币数:", _N(account.Stocks + account.FrozenStocks, 4), "钱数:", _N(account.Balance + account.FrozenBalance, 4)); } var preMsg = ""; function GetAccount(e, waitFrozen) { if (typeof(waitFrozen) == 'undefined') { waitFrozen = false; } var account = null; var alreadyAlert = false; while (true) { account = EnsureCall(e, "GetAccount"); if (!waitFrozen || (account.FrozenStocks < MinStock && account.FrozenBalance < 0.01)) { break; } if (!alreadyAlert) { alreadyAlert = true; Log("发现账户有冻结的钱或币", account); } Sleep(Interval); } msg = "成功: " + Counter.s + " 次, " + (AutoReverse ? "被":"解") + "套: " + Counter.f + " 次, 当前账户 钱: " + account.Balance + " 币: " + account.Stocks; if (account.FrozenStocks > 0) { msg += " 冻结的币: " + account.FrozenStocks; } if (account.FrozenBalance > 0) { msg += " 冻结的钱: " + account.FrozenBalance; } if (LastTicker != null && OrgAccount != null && OrgAccount != null) { var profit = (((account.Stocks + account.FrozenStocks) - (OrgAccount.Stocks + OrgAccount.FrozenStocks)) * LastTicker.Last) + ((account.Balance + account.FrozenBalance) - (OrgAccount.Balance + OrgAccount.FrozenBalance)); msg += " 平仓盈亏: " + AllProfit + ", 浮动盈亏: " + _N(profit, 4); msg += " (初始账户 钱: " + OrgAccount.Balance + " 币 : " + OrgAccount.Stocks + ")"; } if (msg != preMsg) { preMsg = msg; LogStatus(msg, "#ff0000"); } return account; } // mode = 0 : direct buy, 1 : buy as buy1 function Trade(e, tradeType, tradeAmount, mode, slidePrice, maxAmount, maxSpace, retryDelay) { var initAccount = GetAccount(e, true); var nowAccount = initAccount; var orderId = null; var prePrice = 0; var dealAmount = 0; var diffMoney = 0; var isFirst = true; var tradeFunc = tradeType == ORDER_TYPE_BUY ? e.Buy : e.Sell; var isBuy = tradeType == ORDER_TYPE_BUY; while (true) { var ticker = EnsureCall(e, 'GetTicker'); LastTicker = ticker; var tradePrice = 0; if (isBuy) { tradePrice = _N((mode == 0 ? ticker.Sell : ticker.Buy) + slidePrice, 4); } else { tradePrice = _N((mode == 0 ? ticker.Buy : ticker.Sell) - slidePrice, 4); } if (orderId == null) { if (isFirst) { isFirst = false; } else { nowAccount = GetAccount(e, true); } var doAmount = 0; if (isBuy) { diffMoney = _N(initAccount.Balance - nowAccount.Balance, 4); dealAmount = _N(nowAccount.Stocks - initAccount.Stocks, 4); doAmount = Math.min(maxAmount, tradeAmount - dealAmount, _N((nowAccount.Balance-10) / tradePrice, 4)); } else { diffMoney = _N(nowAccount.Balance - initAccount.Balance, 4); dealAmount = _N(initAccount.Stocks - nowAccount.Stocks, 4); doAmount = Math.min(maxAmount, tradeAmount - dealAmount, nowAccount.Stocks); } if (doAmount < MinStock) { break; } prePrice = tradePrice; orderId = tradeFunc(tradePrice, doAmount); } else { if (Math.abs(tradePrice - prePrice) > maxSpace) { orderId = null; } var order = StripOrders(exchange, orderId); if (order == null) { orderId = null; } } Sleep(retryDelay); } if (dealAmount <= 0) { return null; } return {price: _N(diffMoney / dealAmount, 4), amount: dealAmount}; } function loop(isFirst) { var minStock = MinStock; var initAccount = GetAccount(exchange, true); Log(initAccount); var holdPrice = 0; var holdAmount = 0; if (RestoreIt && isFirst) { LastProfit = RestoreProfit; TradeType = RestoreType == 0 ? ORDER_TYPE_BUY : ORDER_TYPE_SELL; holdPrice = RestorePrice; holdAmount = RestoreAmount; if (holdAmount != 0) { initAccount = { Stocks: initAccount.Stocks, FrozenStocks: initAccount.FrozenStocks, Balance: initAccount.Balance, FrozenBalance: initAccount.FrozenBalance, }; if (RestoreType == 0) { initAccount.Stocks -= holdAmount; initAccount.Balance += (holdPrice * holdAmount); } else { initAccount.Stocks += holdAmount; initAccount.Balance -= (holdPrice * holdAmount); } OrgAccount = initAccount; Log("恢复持仓状态为:", RestoreType == 0 ? "做多" : "做空", "均价:", holdPrice, "数量:", holdAmount); if (RestoreType == 0) { holdAmount = Math.min(initAccount.Stocks, holdAmount); } } if (LastProfit != 0) { AllProfit = LastProfit; LogProfit(LastProfit, "恢复上次盈利"); } } if (holdAmount == 0) { var obj = Trade(exchange, TradeType, OpAmount, OpMode, SlidePrice, MaxAmount, MaxSpace, Interval); if (!obj) { throw "出师不利, 开仓失败"; } else { Log(TradeType == ORDER_TYPE_BUY ? "开多仓完成" : "开空仓完成", "均价:", obj.price, "数量:", obj.amount); } Log(GetAccount(exchange, true)); holdPrice = obj.price; holdAmount = obj.amount; } var openFunc = TradeType == ORDER_TYPE_BUY ? exchange.Buy : exchange.Sell; var coverFunc = TradeType == ORDER_TYPE_BUY ? exchange.Sell : exchange.Buy; var isFinished = false; while (!isFinished) { var account = GetAccount(exchange, true); var openAmount = 0; var openPrice = 0; var coverPrice = 0; var canOpen = true; if (TradeType == ORDER_TYPE_BUY) { var upLine = AddLine; openPrice = _N(holdPrice - AddGoal, 4); openAmount = _N((holdAmount * (holdPrice - openPrice - upLine)) / upLine, 4); coverPrice = _N(holdPrice + ProfitGoal, 4); if (_N(account.Balance / openPrice, 4) < openAmount) { Log("没有钱加多仓, 需要加仓: ", openAmount, "个"); if (AutoReverse) { return holdAmount; } else { canOpen = false; } } } else { var upLine = -AddLine; openPrice = _N(holdPrice + AddGoal, 4); coverPrice = _N(holdPrice - ProfitGoal, 4); openAmount = _N((holdAmount * (holdPrice - openPrice - upLine) / upLine), 4); if (account.Stocks < openAmount) { Log("没有币加空仓, 需要币:", openAmount); if (AutoReverse) { return holdAmount; } else { canOpen = false; } } } if (holdAmount < minStock) { Log("剩余币数过小, 放弃操作", holdAmount); return 0; } openAmount = Math.max(minStock, openAmount); var order_count = 0; var openId = null; var coverId = null; if (!canOpen) { openId = -1; Log("进入等待解套模式"); } for (var i = 0; i < 10; i++) { if (!openId) { openId = openFunc(openPrice, openAmount); } if (!coverId) { coverId = coverFunc(coverPrice, holdAmount); } if (openId && coverId) { break; } Sleep(Interval); } if (!openId || !coverId) { StripOrders(exchange); throw "下单失败"; } if (openId > 0) { order_count++; } if (coverId > 0) { order_count++; } var preAccount = account; while (true) { Sleep(Interval); var ticker = EnsureCall(exchange, "GetTicker"); var orders = EnsureCall(exchange, "GetOrders"); LastTicker = ticker; var nowAccount = GetAccount(exchange); var diff = nowAccount.Stocks + nowAccount.FrozenStocks - preAccount.Stocks; if (orders.length != order_count || Math.abs(diff) >= minStock) { StripOrders(exchange); nowAccount = GetAccount(exchange, true); //Log(nowAccount); var diffAmount = nowAccount.Stocks - initAccount.Stocks; var diffMoney = nowAccount.Balance - initAccount.Balance; if (Math.abs(diffAmount) < minStock) { AllProfit= _N(AllProfit + (holdAmount * ProfitGoal), 4); LogProfit(AllProfit, "平仓完成, 达到目标盈利点, 单次盈利", _N(holdAmount * ProfitGoal, 4)); initAccount = nowAccount; isFinished = true; if (!canOpen) { Counter.f++; } break; } var newHoldPrice = 0; var newHoldAmount = 0; if (TradeType == ORDER_TYPE_BUY) { newHoldAmount = _N(diffAmount, 4); newHoldPrice = _N((-diffMoney) / diffAmount, 4); } else { newHoldAmount = _N(-diffAmount, 4); newHoldPrice = _N(diffMoney / (-diffAmount), 4); } // if open again, we need adjust hold positions's price var isAdd = false; if (newHoldAmount > holdAmount) { holdPrice = newHoldPrice; isAdd = true; } holdAmount = newHoldAmount; if (!isAdd) { // reset initAccount initAccount = { Stocks : nowAccount.Stocks, Balance : nowAccount.Balance, FrozenBalance : nowAccount.FrozenBalance, FrozenStocks : nowAccount.FrozenStocks, }; if (TradeType == ORDER_TYPE_BUY) { initAccount.Stocks -= holdAmount; initAccount.Balance += holdAmount * holdPrice; } else { initAccount.Stocks += holdAmount; initAccount.Balance -= holdAmount * holdPrice; } initAccount.Stocks = _N(initAccount.Stocks, 4); initAccount.Balance = _N(initAccount.Balance, 4); Log("持仓前账户调整为: ", initAccount); } Log((TradeType == ORDER_TYPE_BUY ? "多仓" : "空仓"), (isAdd ? "加仓后" : "平仓后"), "重新调整持仓, 均价: ", holdPrice, "数量", holdAmount); Log("买一:", ticker.Buy, "卖一:", ticker.Sell, "上次成交价:", ticker.Last); Log(nowAccount); break; } } } return 0; } function onexit() { StripOrders(exchange); Log("Exit"); } function main() { if (AddLine > AddGoal || AddLine <= 0) { throw "加仓均价目标错误"; } if (exchange.GetName().indexOf("Future") != -1) { throw "只支持现货, 期货容易爆仓, 暂不支持"; } if (exchange.GetRate() != 1) { Log("已禁用汇率转换"); exchange.SetRate(1); } EnableLogLocal(SaveLocal); Interval *= 1000; SetErrorFilter("502:|503:|unexpected|network|timeout|WSARecv|Connect|GetAddr|no such|reset|http|received|EOF"); StripOrders(exchange); OrgAccount = GetAccount(exchange); var isFirst = true; LogStatus("启动成功"); while (true) { var ret = loop(isFirst); isFirst = false; if (ret != 0) { Counter.f++; if (TradeType == ORDER_TYPE_BUY) { TradeType = ORDER_TYPE_SELL; Log("开始反手做空"); } else { TradeType = ORDER_TYPE_BUY; Log("开始反手做多"); } } else { Counter.s++; } Sleep(Interval); } }template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6