恒温器 -震荡修正为 最高价-最低价-添加增减仓选项-添加额外张数功能-修正cmi数据刷新日期问一天一次变为1小时一次-ok -准备修正一些功能
Author: 醉里挑灯看剑, Date: 2021-02-19 20:28:07Tags:
根据回测结果，同等参数下 貌似采用减仓模式比增仓模式，效果更好。。。
窘。。
)
这个版本为完善版把，自由度高点，随意，怎么用
微信:fzqtdkj，多少年前的老古董代码，研究那么多年头发都研究白了，屁也没研究出来，交易之难，难于上青天啊，tm的就差去修仙问道了。。。
/*backtest
start: 2021-01-01 00:00:00
end: 2021-02-13 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_OKCoin","currency":"ETH_USD"}]
args: [["ContractTypeIdx",2],["Shock_Reduce_N",2],["Shock_Departure",2],["Shock_ATR_Cycle",14],["Trend_Reduce_N",2],["Trend_UseLeverval",3]]
*/
var InitAccount =0;
var LastAccount =0;
var LastBarTime =0;
var STATE_IDLE = 0;
var STATE_LONG = 1;
var STATE_SHORT = 2;
var curModeState =0;
var curMarketTrendType ="无"; //当前行情走势类型
var Shock_ATR =0;
var Trend_ATR =0;
var CmiVal =0; //cmi值
//震荡交易信息
var ShockTreadInfo =
{
Direction:STATE_IDLE, //交易方向
Amount:1, //当前持仓数量
AdmissionBasePrice:0, //基础价格
LadderIndex:-1, //当前执行交易下标
LastDirection:STATE_IDLE,
ExtraAmount:0 //额外下单张数计数（若离场成功，则增加1，止损则归0）
}
//趋势交易信息
var TrendTreadInfo =
{
Direction:STATE_IDLE, //交易方向
Amount:1, //当前持仓数量
AdmissionBasePrice:0, //基础价格
LadderIndex:-1, //当前执行交易下标
LastDirection:STATE_IDLE,
ExtraAmount:0 //额外下单张数计数（若离场成功，则增加1，止损则归0）
}
//依据合约类型,获取合约面值
function GetContractFcaeValue() { //只有比特币是100美元,其余均是10美元
if (exchange.GetCurrency() == "BTC_USD") {
return 100;
} else {
return 10;
}
return 100;
}
//PD_LONG 多头仓位 PD_SHORT 空头仓位
function GetPosition(posType) {
var positions = exchange.GetPosition();
for (var i = 0; i < positions.length; i++) {
if (positions[i].Type === posType) {
return [positions[i].Price, positions[i].Amount];
}
}
return [0, 0];
}
var N_CMI =30; //求值 cmi周期
//获取CMI值
function GetCmiVal(records)
{
var Cmi =0;
if(records.length >N_CMI)
{
var HighPrice =TA.Highest(records, N_CMI, 'High');
var LowPrice =TA.Lowest(records, N_CMI, 'Low');
Cmi =Math.abs((records[records.length -1].Close - records[records.length -N_CMI-1].Close)/(HighPrice -LowPrice))*100;
// Log("Cmi：",Cmi,"最高价:",HighPrice,"最低价:",LowPrice,"最高价-最低价 价差:",HighPrice -LowPrice,"abs绝对值价差:",Math.abs((records[records.length -1].Close - records[records.length -29].Close)));
}
return Cmi;
}
function GetKLineCycle(Cycle)
{
if(Cycle =="PERIOD_H1") { return PERIOD_H1; }
else if(Cycle =="PERIOD_D1") { return PERIOD_D1; }
else if(Cycle =="PERIOD_M30") { return PERIOD_M30; }
else if(Cycle =="PERIOD_M15") { return PERIOD_M15; }
else if(Cycle =="PERIOD_M5") { return PERIOD_M5; }
else { return PERIOD_M1; }
}
//数量转换
function CoinToSheetsAmount(ticker,CoinAmount,ContractPrice)
{
var value =ticker.Last *CoinAmount / ContractPrice;
if(value <1) {
value =1;
}
return _N(value, 0);
}
//计算下单数量 参数:使用杠杆比例（不使用填写1）、账户、ATR_N、资金使用比例（使用一半则填写0.5全部使用，填写1）、风险比例（最大 亏损值,亏损百分之1就填1，亏损2%就填写2）
function CalculationAmount(UseLevel,ticker, account, ATR_N,Stop_N, AssestRetion,RiskRatio) {
var ContractFcaceValue = GetContractFcaeValue(); //计算出合约价值
var TotalAssest = account.Stocks * ticker.Last * AssestRetion * UseLevel; //计算出总资金(usd)
//计算出按当前资金所开仓的头寸
var PositionCoinAmount = (TotalAssest * (RiskRatio / 100)) / (ATR_N[ATR_N.length - 1]*Stop_N); //头寸资金
var Amount = CoinToSheetsAmount(ticker, PositionCoinAmount, ContractFcaceValue) / 4; //将币数量转换为张数
// Log("总资金:",TotalAssest,"计算出币数量:",PositionCoinAmount,"计算出下注币张数:",Amount, "ATR值:",ATR_N[ATR_N.length-1]," 合约面值:",ContractFcaceValue,"行情价格:",ticker.Last,"当前资金:",account.Stocks)
if (Amount < 1) { //最小张数为1张
Amount = 1;
}
return parseInt(Amount);
}
//计算开仓或平仓数量 参数 走势类型、下单类型（开仓or平仓） 、增仓是否启用
function CalcAmount(MarketTrendType,OperationType,WarehouseMode)
{
var relustAmount =0; //数量
var TempAmount =0;
if(MarketTrendType =="震荡")
{
if(ShockTreadInfo.ExtraAmount >=2)
{
ShockTreadInfo.ExtraAmount =2;
}
if(Shock_ExtraAmount_State ==true) //启用则增加值
{
TempAmount =ShockTreadInfo.Amount +ShockTreadInfo.ExtraAmount; //增加额外数量
}
else {
TempAmount =ShockTreadInfo.Amount; //若未启用，则直接赋予基础值
}
if(WarehouseMode ==true) //增仓模式
{
if(OperationType =="入场") {
relustAmount =TempAmount;
}
else if(OperationType =="增减仓") {
relustAmount =TempAmount;
}
else if(OperationType =="全部平仓") {
relustAmount =ShockTreadInfo.LadderIndex *TempAmount;
}
}
else //减仓模式
{
if(OperationType =="入场") {
relustAmount =TempAmount*Shock_MaxAddCountLimit;
}
else if(OperationType =="增减仓") {
relustAmount =TempAmount;
}
else if(OperationType =="全部平仓") {
relustAmount =(Shock_MaxAddCountLimit -(ShockTreadInfo.LadderIndex-1)) *TempAmount; //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
}
}
}
else if(MarketTrendType =="趋势")
{
if(TrendTreadInfo.ExtraAmount >=2)
{
TrendTreadInfo.ExtraAmount =2;
}
if(Trend_ExtraAmount_State ==true) {//启用则增加值
TempAmount =TrendTreadInfo.Amount +TrendTreadInfo.ExtraAmount; //增加额外数量
}
else {
TempAmount =TrendTreadInfo.Amount; //若未启用，则直接赋予基础值
}
if(WarehouseMode ==true) //增仓模式
{
if(OperationType =="入场") {
relustAmount =TempAmount;
}
else if(OperationType =="增减仓") {
relustAmount =TempAmount;
}
else if(OperationType =="全部平仓") {
relustAmount =TrendTreadInfo.LadderIndex *TempAmount;
}
}
else //减仓模式
{
if(OperationType =="入场") {
relustAmount =TempAmount*Trend_MaxAddCountLimit;
}
else if(OperationType =="增减仓") {
relustAmount =TempAmount;
}
else if(OperationType =="全部平仓") {
relustAmount =(Trend_MaxAddCountLimit -(TrendTreadInfo.LadderIndex-1)) *TempAmount; //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
}
}
}
return relustAmount;
}
//入场
function Sys_In(MarketTrendType,ticker,records)
{
if(MarketTrendType =="震荡")
{
var HighPrice = TA.Highest(records, 14, 'High');
var LowPrice = TA.Lowest(records, 14, 'Low');
if (HighPrice == 0 || LowPrice == 0) {
return;
}
if(ShockTreadInfo.LastDirection !=STATE_LONG && ticker.Last < LowPrice)
{//多头进场
Log("震荡入场 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1]);
exchange.SetDirection("buy"); //设置下单类型为做多
exchange.Buy(ticker.Sell, CalcAmount("震荡","入场",Shock_WarehouseMode)); //以1000的价格，合约数量为2下单
ShockTreadInfo.AdmissionBasePrice =ticker.Last;
ShockTreadInfo.Direction =STATE_LONG;
ShockTreadInfo.LadderIndex =1;
ShockTreadInfo.LastDirection =STATE_LONG;
return true;
}
else if(ShockTreadInfo.LastDirection !=STATE_SHORT && ticker.Last > HighPrice)
{//空头进场
Log("震荡入场 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1]);
exchange.SetDirection("sell"); //设置下单类型为做空
exchange.Sell(ticker.Buy, CalcAmount("震荡","入场",Shock_WarehouseMode)); //以1000的价格，合约数量为2下单
ShockTreadInfo.AdmissionBasePrice =ticker.Last;
ShockTreadInfo.Direction =STATE_SHORT;
ShockTreadInfo.LadderIndex =1;
ShockTreadInfo.LastDirection =STATE_SHORT;
return true;
}
}
else if(MarketTrendType =="趋势")
{
// var boll = TA.BOLL(records, 20, 2);
// var bollLength =boll[0].length;
// var upLine = boll[0];
// var midLine = boll[1];
// var downLine = boll[2];
var HighPrice = TA.Highest(records, 25, 'High');
var LowPrice = TA.Lowest(records, 25, 'Low');
// Log("上轨价:",upLine[bollLength -1],"中轨价:",midLine[bollLength -1],"下轨价:",downLine[bollLength -1]);
if(ticker.Buy >HighPrice)
{// 多头进场
// Log("趋势入场 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1],"上轨价:",upLine[bollLength -1],"中轨价:",midLine[bollLength -1],"下轨价:",downLine[bollLength -1],"行情价:",ticker.Last);
exchange.SetDirection("buy"); //设置下单类型为做多
exchange.Buy(ticker.Sell, CalcAmount("趋势","入场",Trend_WarehouseMode)); //以1000的价格，合约数量为2下单
TrendTreadInfo.AdmissionBasePrice =ticker.Last;
TrendTreadInfo.Direction =STATE_LONG;
TrendTreadInfo.LadderIndex =1;
}
else if(ticker.Sell < LowPrice)
{// 空头进场
// Log("趋势入场 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1],"上轨价:",upLine[bollLength -1],"中轨价:",midLine[bollLength -1],"下轨价:",downLine[bollLength -1],"行情价:",ticker.Last);
exchange.SetDirection("sell"); //设置下单类型为做空
exchange.Sell(ticker.Buy, CalcAmount("趋势","入场",Trend_WarehouseMode)); //以1000的价格，合约数量为2下单
TrendTreadInfo.AdmissionBasePrice =ticker.Last;
TrendTreadInfo.Direction =STATE_SHORT;
TrendTreadInfo.LadderIndex =1;
}
}
}
//减仓
function Sys_SubPosition(MarketTrendType,ticker,current_price,ATR_N)
{
if(MarketTrendType =="震荡")
{
if(ShockTreadInfo.LadderIndex >4 || ShockTreadInfo.LadderIndex ==-1)
{
ShockTreadInfo.AdmissionBasePrice =0;
ShockTreadInfo.LadderIndex =-1;
ShockTreadInfo.Direction =STATE_IDLE;
return false;
}
if(ShockTreadInfo.Direction ==STATE_LONG)
{ //平掉多仓 基础价 + ATR_N的1/2 * 阶梯(用于统计开仓位置)
if (current_price > (ShockTreadInfo.AdmissionBasePrice +Shock_Reduce_N*ATR_N[ATR_N.length -1] *ShockTreadInfo.LadderIndex))
{
if(GetPosition(PD_LONG)[1] >= ShockTreadInfo.Amount)
{
exchange.SetDirection("closebuy"); //平多仓
var relust =exchange.Sell(ticker.Buy, CalcAmount("震荡","增减仓",Shock_WarehouseMode)); //以1000的价格，合约数量为2下单
if(relust !=null )
{
ShockTreadInfo.LadderIndex++; //开仓成功,增加阶梯数量
return true;
}
}
}
}
else if(ShockTreadInfo.Direction ==STATE_SHORT)
{ //减少空仓
if (current_price < (ShockTreadInfo.AdmissionBasePrice -Shock_Reduce_N*ATR_N[ATR_N.length -1] *ShockTreadInfo.LadderIndex))
{
if(GetPosition(PD_SHORT)[1] >=ShockTreadInfo.Amount)
{
exchange.SetDirection("closesell");
var relust =exchange.Buy(ticker.Sell, CalcAmount("震荡","增减仓",Shock_WarehouseMode)); //买入平空仓
if(relust !=null )
{
ShockTreadInfo.LadderIndex++; //开仓成功,增加阶梯数量
return true;
}
}
}
}
return false;
}
else if(MarketTrendType =="趋势")
{
if(TrendTreadInfo.LadderIndex >4 || TrendTreadInfo.LadderIndex ==-1)
{
TrendTreadInfo.AdmissionBasePrice =0;
TrendTreadInfo.LadderIndex =-1;
TrendTreadInfo.Direction =STATE_IDLE;
return false;
}
if(TrendTreadInfo.Direction ==STATE_LONG)
{ //平掉多仓 基础价 + ATR_N的1/2 * 阶梯(用于统计开仓位置)
if (current_price > (TrendTreadInfo.AdmissionBasePrice +Trend_Reduce_N*ATR_N[ATR_N.length -1] *TrendTreadInfo.LadderIndex))
{
if(GetPosition(PD_LONG)[1] >= TrendTreadInfo.Amount)
{
exchange.SetDirection("closebuy"); //平多仓
var relust =exchange.Sell(ticker.Buy, CalcAmount("趋势","增减仓",Trend_WarehouseMode)); //以1000的价格，合约数量为2下单
if(relust !=null )
{
TrendTreadInfo.LadderIndex++; //开仓成功,增加阶梯数量
return true;
}
}
}
}
else if(TrendTreadInfo.Direction ==STATE_SHORT)
{ //减少空仓
if (current_price < (TrendTreadInfo.AdmissionBasePrice -Trend_Reduce_N*ATR_N[ATR_N.length -1] *TrendTreadInfo.LadderIndex))
{
if(GetPosition(PD_SHORT)[1] >=TrendTreadInfo.Amount)
{
exchange.SetDirection("closesell");
var relust =exchange.Buy(ticker.Sell, CalcAmount("趋势","增减仓",Trend_WarehouseMode)); //买入平空仓
if(relust !=null )
{
TrendTreadInfo.LadderIndex++; //开仓成功,增加阶梯数量
return true;
}
}
}
}
return false;
}
}
//增仓
function Sys_AddPosition(MarketTrendType,ticker,ATR_N)
{
if(MarketTrendType =="震荡")
{
if(ShockTreadInfo.LadderIndex >=Shock_MaxAddCountLimit)
{
return false;
}
if(ShockTreadInfo.Direction ==STATE_LONG)
{ //增加多仓 基础价 + ATR_N的1/2 * 阶梯(用于统计开仓位置)
if (ticker.Sell > (ShockTreadInfo.AdmissionBasePrice +Shock_Reduce_N*ATR_N[ATR_N.length -1] *ShockTreadInfo.LadderIndex))
{
exchange.SetDirection("buy"); //设置下单类型为做多
exchange.Buy(ticker.Sell, CalcAmount("震荡","增减仓",Shock_WarehouseMode)); //以1000的价格，合约数量为2下单
ShockTreadInfo.LadderIndex++; //开仓成功,增加阶梯数量
return true;
}
}
else if(ShockTreadInfo.Direction ==STATE_SHORT)
{ //增加空仓
if (ticker.Buy < (ShockTreadInfo.AdmissionBasePrice -Shock_Reduce_N*ATR_N[ATR_N.length -1] *ShockTreadInfo.LadderIndex))
{
exchange.SetDirection("sell"); //设置下单类型为做空
exchange.Sell(ticker.Buy, CalcAmount("震荡","增减仓",Shock_WarehouseMode)); //以1000的价格，合约数量为2下单
ShockTreadInfo.LadderIndex++; //开仓成功,增加阶梯数量
return true;
}
}
}
else if(MarketTrendType =="趋势")
{
if(TrendTreadInfo.LadderIndex >=Trend_MaxAddCountLimit)
{
return false;
}
if(TrendTreadInfo.Direction ==STATE_LONG)
{ //增加多仓 基础价 + ATR_N的1/2 * 阶梯(用于统计开仓位置)
if (ticker.Sell > (TrendTreadInfo.AdmissionBasePrice +Trend_Reduce_N*ATR_N[ATR_N.length -1] *TrendTreadInfo.LadderIndex))
{
exchange.SetDirection("buy"); //设置下单类型为做多
exchange.Buy(ticker.Sell, CalcAmount("趋势","增减仓",Trend_WarehouseMode)); //以1000的价格，合约数量为2下单
TrendTreadInfo.LadderIndex++; //开仓成功,增加阶梯数量
return true;
}
}
else if(TrendTreadInfo.Direction ==STATE_SHORT)
{ //增加空仓
if (ticker.Buy < (TrendTreadInfo.AdmissionBasePrice -Trend_Reduce_N*ATR_N[ATR_N.length -1] *TrendTreadInfo.LadderIndex))
{
exchange.SetDirection("sell"); //设置下单类型为做空
exchange.Sell(ticker.Buy, CalcAmount("趋势","增减仓",Trend_WarehouseMode)); //以1000的价格，合约数量为2下单
TrendTreadInfo.LadderIndex++; //开仓成功,增加阶梯数量
return true;
}
}
}
return false;
}
//止损 以atr值 为止损标的。。
function Stop_Loss(MarketTrendType,ticker,current_price,ATR_N)
{
if(MarketTrendType =="震荡")
{
if(ShockTreadInfo.Direction ==STATE_LONG)
{
//计算出最后一次成交价 LadderIndex[Index]-1 目的是因为 头寸建立后赋值是1，必须减少1次才能计算出最后一次开仓价。
var LastPrice =ShockTreadInfo.AdmissionBasePrice + Shock_Reduce_N *ATR_N[ATR_N.length -1] *(ShockTreadInfo.LadderIndex-1);
// Log("止损调用","current_price:",current_price,"ATR_N*2:",ATR_N[ATR_N.length -1]*2," 最后一次成交价:",LastPrice,"ATR_N值:",ATR_N[ATR_N.length -1],"阶梯次数:",LadderIndex[Index],"基础价:",AdmissionBasePrice[Index]);
//依旧海龟法则，最大止损就是价格波动2N
if(LastPrice -current_price >ATR_N[ATR_N.length -1]*Shock_Stop_N)
{ //下跌则平多
var OldPostionAmount = GetPosition(PD_LONG)[1];
for(var nCount =0;nCount <10;nCount++)
{
var PostionAmount = GetPosition(PD_LONG)[1];
var CloseAmount =CalcAmount("震荡","全部平仓",Shock_WarehouseMode); //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
if(OldPostionAmount -CloseAmount >=PostionAmount || PostionAmount ==0 ) {
break;
}
else if(CloseAmount >PostionAmount)
{
CloseAmount =PostionAmount;
}
exchange.SetDirection("closebuy");
exchange.Sell(ticker.Buy, CloseAmount); //卖出平多仓
Sleep(1000);
Log("震荡 多仓止损 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1],"平仓数量:",CloseAmount);
}
ShockTreadInfo.AdmissionBasePrice =0;
ShockTreadInfo.LadderIndex =-1;
ShockTreadInfo.Direction =STATE_IDLE;
ShockTreadInfo.ExtraAmount =0; // 额外数量
return true;
}
}
else if(ShockTreadInfo.Direction ==STATE_SHORT)
{
//计算出最后一次成交价
var LastPrice =ShockTreadInfo.AdmissionBasePrice - Shock_Reduce_N *ATR_N[ATR_N.length -1] *(ShockTreadInfo.LadderIndex-1);
//依旧海龟法则，最大止损就是价格波动2N
if(current_price -LastPrice >ATR_N[ATR_N.length -1]*Shock_Stop_N)
{//上涨则平空
var OldPostionAmount =GetPosition(PD_SHORT)[1];
for(var nCount =0;nCount <10;nCount++)
{
var PostionAmount =GetPosition(PD_SHORT)[1];
var CloseAmount =CalcAmount("震荡","全部平仓",Shock_WarehouseMode); //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
if(OldPostionAmount -CloseAmount >=PostionAmount || PostionAmount ==0 ) {
break;
}
else if(CloseAmount >PostionAmount)
{
CloseAmount =PostionAmount;
}
exchange.SetDirection("closesell");
exchange.Buy(ticker.Sell, CloseAmount); //买入平空仓
Sleep(1000);
Log("震荡 空仓止损 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1],"平仓数量:",CloseAmount);
}
ShockTreadInfo.AdmissionBasePrice =0;
ShockTreadInfo.LadderIndex =-1;
ShockTreadInfo.Direction =STATE_IDLE;
ShockTreadInfo.ExtraAmount =0; // 额外数量
return true;
}
}
}
else if(MarketTrendType =="趋势")
{
if(TrendTreadInfo.Direction ==STATE_LONG)
{
//计算出最后一次成交价 LadderIndex[Index]-1 目的是因为 头寸建立后赋值是1，必须减少1次才能计算出最后一次开仓价。
var LastPrice =TrendTreadInfo.AdmissionBasePrice + Trend_Reduce_N *ATR_N[ATR_N.length -1] *(TrendTreadInfo.LadderIndex-1);
// Log("止损调用","current_price:",current_price,"ATR_N*2:",ATR_N[ATR_N.length -1]*2," 最后一次成交价:",LastPrice,"ATR_N值:",ATR_N[ATR_N.length -1],"阶梯次数:",LadderIndex[Index],"基础价:",AdmissionBasePrice[Index]);
//依旧海龟法则，最大止损就是价格波动2N
if(LastPrice -current_price >ATR_N[ATR_N.length -1]*Trend_Stop_N)
{ //下跌则平多
var OldPostionAmount = GetPosition(PD_LONG)[1];
for(var nCount =0;nCount <10;nCount++)
{
var PostionAmount = GetPosition(PD_LONG)[1];
var CloseAmount =CalcAmount("趋势","全部平仓",Trend_WarehouseMode);//（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
if(OldPostionAmount -CloseAmount >=PostionAmount || PostionAmount ==0 ) {
break;
}
else if(CloseAmount >PostionAmount)
{
CloseAmount =PostionAmount;
}
exchange.SetDirection("closebuy");
exchange.Sell(ticker.Buy, CloseAmount); //卖出平多仓
Sleep(1000);
Log(" 趋势 多仓止损 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1],"平仓数量:",CloseAmount);
}
TrendTreadInfo.AdmissionBasePrice =0;
TrendTreadInfo.LadderIndex =-1;
TrendTreadInfo.Direction =STATE_IDLE;
TrendTreadInfo.ExtraAmount =0; // 额外数量
return true;
}
}
else if(TrendTreadInfo.Direction ==STATE_SHORT)
{
//计算出最后一次成交价
var LastPrice =TrendTreadInfo.AdmissionBasePrice - Trend_Reduce_N *ATR_N[ATR_N.length -1] *(TrendTreadInfo.LadderIndex-1);
//依旧海龟法则，最大止损就是价格波动2N
if(current_price -LastPrice >ATR_N[ATR_N.length -1]*Trend_Stop_N)
{//上涨则平空
var OldPostionAmount =GetPosition(PD_SHORT)[1];
for(var nCount =0;nCount <10;nCount++)
{
var PostionAmount =GetPosition(PD_SHORT)[1];
var CloseAmount =CalcAmount("趋势","全部平仓",Trend_WarehouseMode);//（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
if(OldPostionAmount -CloseAmount >=PostionAmount || PostionAmount ==0 ) {
break;
}
else if(CloseAmount >PostionAmount)
{
CloseAmount =PostionAmount;
}
exchange.SetDirection("closesell");
exchange.Buy(ticker.Sell, CloseAmount); //买入平空仓
Sleep(1000);
Log("趋势 空仓止损 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1],"平仓数量:",CloseAmount);
}
TrendTreadInfo.AdmissionBasePrice =0;
TrendTreadInfo.LadderIndex =-1;
TrendTreadInfo.Direction =STATE_IDLE;
TrendTreadInfo.ExtraAmount =0; // 额外数量
return true;
}
}
}
return false;
}
// 离场
function Sys_OutClosePosition(MarketTrendType,ticker,records,positions,ATR_N)
{
if(MarketTrendType =="震荡")
{
if(ShockTreadInfo.Direction ==STATE_LONG)
{
var HighPrice = TA.Highest(records, 14, 'High');
//计算出下一增仓价，若当前价大于则直接离场。。
var NextAddPrice =ShockTreadInfo.AdmissionBasePrice +Shock_Reduce_N*ATR_N[ATR_N.length -1] *ShockTreadInfo.LadderIndex;
if(ticker.Last > HighPrice || (ticker.Last > NextAddPrice && ShockTreadInfo.LadderIndex >=Shock_MaxAddCountLimit))
{//多头离场
var CloseAmount =CalcAmount("震荡","全部平仓",Shock_WarehouseMode); //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
if(CloseAmount !=0)
{
exchange.SetDirection("closebuy");
exchange.Sell(ticker.Buy, CloseAmount); //卖出平多仓
}
ShockTreadInfo.AdmissionBasePrice =0;
ShockTreadInfo.Direction =STATE_IDLE;
ShockTreadInfo.LadderIndex =-1;
ShockTreadInfo.ExtraAmount ++; // 额外数量
Log("震荡 多仓离场 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1],"平仓数量:",CloseAmount);
return true;
}
}
else if(ShockTreadInfo.Direction ==STATE_SHORT)
{//空头离场
var LowPrice = TA.Lowest(records, 14, 'Low');
var NextSbuPrice =ShockTreadInfo.AdmissionBasePrice - Shock_Reduce_N *ATR_N[ATR_N.length -1] *(ShockTreadInfo.LadderIndex);
if(ticker.Last < LowPrice || (ticker.Last < NextSbuPrice && ShockTreadInfo.LadderIndex >=Shock_MaxAddCountLimit))
{
var CloseAmount =CalcAmount("震荡","全部平仓",Shock_WarehouseMode); //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
if(CloseAmount !=0)
{
exchange.SetDirection("closesell");
exchange.Buy(ticker.Sell, CloseAmount); //买入平空仓
}
ShockTreadInfo.AdmissionBasePrice =0;
ShockTreadInfo.Direction =STATE_IDLE;
ShockTreadInfo.LadderIndex =-1;
ShockTreadInfo.ExtraAmount ++; // 额外数量
Log("震荡 空仓离场 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1],"平仓数量:",CloseAmount);
return true;
}
}
}
else if(MarketTrendType =="趋势")
{
// var boll = TA.BOLL(records, 14, 2); //这里值，原本是20，修正为14貌似效果更好?
// var bollLength =boll[0].length;
// var upLine = boll[0];
// var midLine = boll[1];
// var downLine = boll[2];
var HighPrice = TA.Highest(records, 14, 'High');
var LowPrice = TA.Lowest(records, 14, 'Low');
// Log("上轨价:",upLine[bollLength -1],"中轨价:",midLine[bollLength -1],"下轨价:",downLine[bollLength -1]);
if( TrendTreadInfo.Direction ==STATE_LONG )
{// 多头离场
if(ticker.Buy <LowPrice)
{
var CloseAmount =CalcAmount("趋势","全部平仓",Trend_WarehouseMode);//（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
exchange.SetDirection("closebuy");
exchange.Sell(ticker.Buy, CloseAmount); //卖出平多仓
TrendTreadInfo.AdmissionBasePrice =0;
TrendTreadInfo.Direction =STATE_IDLE;
TrendTreadInfo.LadderIndex =-1;
TrendTreadInfo.ExtraAmount ++; // 额外数量
Log("趋势 多仓离场 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1],"平仓数量:",CloseAmount);
return true;
}
}
else if(TrendTreadInfo.Direction ==STATE_SHORT )
{// 空头离场
if(ticker.Sell >HighPrice)
{
var CloseAmount =CalcAmount("趋势","全部平仓",Trend_WarehouseMode); //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
exchange.SetDirection("closesell");
exchange.Buy(ticker.Sell, CloseAmount); //买入平空仓
TrendTreadInfo.AdmissionBasePrice =0;
TrendTreadInfo.Direction =STATE_IDLE;
TrendTreadInfo.LadderIndex =-1;
TrendTreadInfo.ExtraAmount ++; // 额外数量
Log("趋势 空仓离场 当前持有 多头 仓位:",GetPosition(PD_LONG)[1],"持有空头仓位:",GetPosition(PD_SHORT)[1],"平仓数量:",CloseAmount);
return true;
}
}
}
}
//回调离场
function CallbackDeparture(MarketTrendType,ticker,current_price,ATR_N)
{
if(MarketTrendType =="震荡")
{
if(ShockTreadInfo.Direction ==STATE_LONG && ShockTreadInfo.LadderIndex >2)
{
//计算出最后一次成交价 ShockTreadInfo.LadderIndex-1 目的是因为 头寸建立后赋值是1，必须减少1次才能计算出最后一次开仓价。
var LastPrice =ShockTreadInfo.AdmissionBasePrice + 0.5 *ATR_N[ATR_N.length -1] *(ShockTreadInfo.LadderIndex-1);
var BackedPrice =ShockTreadInfo.AdmissionBasePrice + 0.5 *ATR_N[ATR_N.length -1] *(ShockTreadInfo.LadderIndex-2); //上一个价格，若回调到上一个价位，则直接止损
// Log("止损调用","current_price:",current_price,"ATR_N*2:",ATR_N[ATR_N.length -1]*2," 最后一次成交价:",LastPrice,"ATR_N值:",ATR_N[ATR_N.length -1],"阶梯次数:",ShockTreadInfo.LadderIndex,"基础价:",ShockTreadInfo.AdmissionBasePrice);
// 若当前价格小于 开仓档位-2个价格 则表明正在回调，直接离场，止损。。
if(current_price <BackedPrice)
{ //下跌则平多
var OldPostionAmount = GetPosition(PD_LONG)[1];
for(var nCount =0;nCount <10;nCount++)
{
var PostionAmount = GetPosition(PD_LONG)[1];
var CloseAmount =CalcAmount("震荡","全部平仓",Shock_WarehouseMode); //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
if(OldPostionAmount -CloseAmount >=PostionAmount || PostionAmount ==0 ) {
break;
}
else if(CloseAmount >PostionAmount)
{
CloseAmount =PostionAmount;
}
exchange.SetDirection("closebuy");
exchange.Sell(ticker.Buy, CloseAmount); //卖出平多仓
Sleep(1000);
}
ShockTreadInfo.AdmissionBasePrice =0;
ShockTreadInfo.LadderIndex =-1;
ShockTreadInfo.Direction =STATE_IDLE;
return true;
}
}
else if(ShockTreadInfo.Direction ==STATE_SHORT && ShockTreadInfo.LadderIndex >2)
{
//计算出最后一次成交价
var LastPrice =ShockTreadInfo.AdmissionBasePrice - 0.5 *ATR_N[ATR_N.length -1] *(ShockTreadInfo.LadderIndex-1);
var BackedPrice =ShockTreadInfo.AdmissionBasePrice - 0.5 *ATR_N[ATR_N.length -1] *(ShockTreadInfo.LadderIndex-2);
//当前价 》 回调价，表明正在回调，止损 离场
if(current_price >BackedPrice)
{//上涨则平空
var OldPostionAmount =GetPosition(PD_SHORT)[1];
for(var nCount =0;nCount <10;nCount++)
{
var PostionAmount =GetPosition(PD_SHORT)[1];
var CloseAmount =CalcAmount("震荡","全部平仓",Shock_WarehouseMode); //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
if(OldPostionAmount -CloseAmount >=PostionAmount || PostionAmount ==0 ) {
break;
}
else if(CloseAmount >PostionAmount)
{
CloseAmount =PostionAmount;
}
exchange.SetDirection("closesell");
exchange.Buy(ticker.Sell, CloseAmount); //买入平空仓
Sleep(1000);
}
ShockTreadInfo.AdmissionBasePrice =0;
ShockTreadInfo.LadderIndex =-1;
ShockTreadInfo.Direction =STATE_IDLE;
return true;
}
}
}
else if(MarketTrendType =="趋势")
{
if(TrendTreadInfo.Direction ==STATE_LONG && TrendTreadInfo.LadderIndex >2)
{
//计算出最后一次成交价 TrendTreadInfo.LadderIndex-1 目的是因为 头寸建立后赋值是1，必须减少1次才能计算出最后一次开仓价。
var LastPrice =TrendTreadInfo.AdmissionBasePrice + 0.5 *ATR_N[ATR_N.length -1] *(TrendTreadInfo.LadderIndex-1);
var BackedPrice =TrendTreadInfo.AdmissionBasePrice + 0.5 *ATR_N[ATR_N.length -1] *(TrendTreadInfo.LadderIndex-2); //上一个价格，若回调到上一个价位，则直接止损
// Log("止损调用","current_price:",current_price,"ATR_N*2:",ATR_N[ATR_N.length -1]*2," 最后一次成交价:",LastPrice,"ATR_N值:",ATR_N[ATR_N.length -1],"阶梯次数:",TrendTreadInfo.LadderIndex,"基础价:",TrendTreadInfo.AdmissionBasePrice);
// 若当前价格小于 开仓档位-2个价格 则表明正在回调，直接离场，止损。。
if(current_price <BackedPrice)
{ //下跌则平多
var OldPostionAmount = GetPosition(PD_LONG)[1];
for(var nCount =0;nCount <10;nCount++)
{
var PostionAmount = GetPosition(PD_LONG)[1];
var CloseAmount =CalcAmount("趋势","全部平仓",Trend_WarehouseMode); //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
if(OldPostionAmount -CloseAmount >=PostionAmount || PostionAmount ==0 ) {
break;
}
else if(CloseAmount >PostionAmount)
{
CloseAmount =PostionAmount;
}
exchange.SetDirection("closebuy");
exchange.Sell(ticker.Buy, CloseAmount); //卖出平多仓
Sleep(1000);
}
TrendTreadInfo.AdmissionBasePrice =0;
TrendTreadInfo.LadderIndex =-1;
TrendTreadInfo.Direction =STATE_IDLE;
return true;
}
}
else if(TrendTreadInfo.Direction ==STATE_SHORT && TrendTreadInfo.LadderIndex >2)
{
//计算出最后一次成交价
var LastPrice =TrendTreadInfo.AdmissionBasePrice - 0.5 *ATR_N[ATR_N.length -1] *(TrendTreadInfo.LadderIndex-1);
var BackedPrice =TrendTreadInfo.AdmissionBasePrice - 0.5 *ATR_N[ATR_N.length -1] *(TrendTreadInfo.LadderIndex-2);
//当前价 》 回调价，表明正在回调，止损 离场
if(current_price >BackedPrice)
{//上涨则平空
var OldPostionAmount =GetPosition(PD_SHORT)[1];
for(var nCount =0;nCount <10;nCount++)
{
var PostionAmount =GetPosition(PD_SHORT)[1];
var CloseAmount =CalcAmount("趋势","全部平仓",Trend_WarehouseMode); //（最大开仓数量 -(开仓阶梯下标-1)）* 数量==当前持有仓位
if(OldPostionAmount -CloseAmount >=PostionAmount || PostionAmount ==0 ) {
break;
}
else if(CloseAmount >PostionAmount)
{
CloseAmount =PostionAmount;
}
exchange.SetDirection("closesell");
exchange.Buy(ticker.Sell, CloseAmount); //买入平空仓
Sleep(1000);
}
TrendTreadInfo.AdmissionBasePrice =0;
TrendTreadInfo.LadderIndex =-1;
TrendTreadInfo.Direction =STATE_IDLE;
return true;
}
}
}
return false;
}
//处理流程
function MarketTrendProc(MarketTrendType,records,IsOpeningAllowed)
{
var positions = _C(exchange.GetPosition); //获取持仓信息
var ticker = _C(exchange.GetTicker); //行情价格
var account = _C(exchange.GetAccount); //获取账户信息
var curTotalAccount =account.Stocks +account.FrozenStocks
if (account.Stocks < 0.01) //保证金不足
{
return;
}
if(MarketTrendType =="震荡")
{
if(ShockTreadInfo.LadderIndex ==-1 && IsOpeningAllowed ==true)
{//头寸建立检测
Shock_ATR = TA.ATR(records,Shock_ATR_Cycle);
ShockTreadInfo.Amount =CalculationAmount(Shock_UseLeverval,ticker, account, Shock_ATR,Shock_Stop_N, 1,1);
if(Sys_In("震荡",ticker,records)==true)
{
Log("入市 - 下标:","震荡","current_price",ticker.Last,"对比价:",ShockTreadInfo.AdmissionBasePrice -Shock_Reduce_N*Shock_ATR[Shock_ATR.length -1] *ShockTreadInfo.LadderIndex,"最近一根ATR:",Shock_ATR[Shock_ATR.length -1]);
}
}
else
{ //减仓
if(Shock_WarehouseMode ==true)
{
if(Sys_AddPosition("震荡",ticker,Shock_ATR) ==true)
{
Log("增仓 - 下标:","震荡","current_price",ticker.Last,"多仓 对比价:",ShockTreadInfo.AdmissionBasePrice +Shock_Reduce_N*Shock_ATR[Shock_ATR.length -1] *ShockTreadInfo.LadderIndex,"空仓对比价:",ShockTreadInfo.AdmissionBasePrice -Shock_Reduce_N*Shock_ATR[Shock_ATR.length -1] *ShockTreadInfo.LadderIndex,"最近一根ATR:",Shock_ATR[Shock_ATR.length -1]);
}
}
else
{
if(Sys_SubPosition("震荡",ticker,ticker.Last,Shock_ATR) ==true)
{
Log("减仓 - 下标:","震荡","current_price",ticker.Last,"多仓 对比价:",ShockTreadInfo.AdmissionBasePrice +Shock_Reduce_N*Shock_ATR[Shock_ATR.length -1] *ShockTreadInfo.LadderIndex,"空仓对比价:",ShockTreadInfo.AdmissionBasePrice -Shock_Reduce_N*Shock_ATR[Shock_ATR.length -1] *ShockTreadInfo.LadderIndex,"最近一根ATR:",Shock_ATR[Shock_ATR.length -1]);
}
}
}
if(ShockTreadInfo.LadderIndex !=-1)
{
//止损
if(Stop_Loss("震荡",ticker,ticker.Last,Shock_ATR) ==true)
{
Log("下标:","震荡","止损成功!!","ATR值:",Shock_ATR[Shock_ATR.length -1] ,"ticker.Last:",ticker.Last,"账户收益:",curTotalAccount -InitAccount.Stocks);
}
else if(Sys_OutClosePosition("震荡",ticker,records,positions,Shock_ATR) ==true)
{
Log("下标:","震荡","离场成功!!","ATR值:",Shock_ATR[Shock_ATR.length -1] ,"ticker.Last",ticker.Last,"账户收益:",curTotalAccount -InitAccount.Stocks);
}
else if(CallbackDeparture("震荡",ticker,ticker.Last,Shock_ATR) ==true)
{
Log("下标:","震荡 回调 止损成功!!","ATR值:",Shock_ATR[Shock_ATR.length -1],"ticker.Last:",ticker.Last,"账户收益:",curTotalAccount -InitAccount.Stocks);
}
}
}
else if(MarketTrendType =="趋势")
{
if(TrendTreadInfo.LadderIndex ==-1 && IsOpeningAllowed ==true)
{//头寸建立检测
Trend_ATR = TA.ATR(records,Trend_ATR_Cycle);
TrendTreadInfo.Amount =CalculationAmount(Trend_UseLeverval,ticker, account, Trend_ATR,Trend_Stop_N,1,1);
if(Sys_In("趋势",ticker,records)==true)
{
Log("入市 - 下标:","趋势","current_price",ticker.Last,"对比价:",TrendTreadInfo.AdmissionBasePrice -Trend_Reduce_N*Trend_ATR[Trend_ATR.length -1] *TrendTreadInfo.LadderIndex,"最近一根ATR:",Trend_ATR[Trend_ATR.length -1]);
}
}
else
{ //减仓or增仓
if(Trend_WarehouseMode ==true)
{
if(Sys_AddPosition("趋势",ticker,Trend_ATR) ==true)
{
Log("增仓 - 下标:","趋势","current_price",ticker.Last,"多仓 对比价:",TrendTreadInfo.AdmissionBasePrice +Trend_Reduce_N*Trend_ATR[Trend_ATR.length -1] *TrendTreadInfo.LadderIndex,"空仓对比价:",TrendTreadInfo.AdmissionBasePrice -Trend_Reduce_N*Trend_ATR[Trend_ATR.length -1] *TrendTreadInfo.LadderIndex,"最近一根ATR:",Trend_ATR[Trend_ATR.length -1]);
}
}
else
{
if(Sys_SubPosition("趋势",ticker,ticker.Last,Trend_ATR) ==true)
{
Log("减仓 - 下标:","趋势","current_price",ticker.Last,"多仓 对比价:",TrendTreadInfo.AdmissionBasePrice +Trend_Reduce_N*Trend_ATR[Trend_ATR.length -1] *TrendTreadInfo.LadderIndex,"空仓对比价:",TrendTreadInfo.AdmissionBasePrice -Trend_Reduce_N*Trend_ATR[Trend_ATR.length -1] *TrendTreadInfo.LadderIndex,"最近一根ATR:",Trend_ATR[Trend_ATR.length -1]);
}
}
}
if(TrendTreadInfo.LadderIndex !=-1)
{ //止损
if(Stop_Loss("趋势",ticker,ticker.Last,Trend_ATR) ==true)
{
Log("下标:","趋势","止损成功!!","ATR值:",Trend_ATR[Trend_ATR.length -1] ,"ticker.Last:",ticker.Last,"账户收益:",curTotalAccount -InitAccount.Stocks);
}
else if(Sys_OutClosePosition("趋势",ticker,records,positions,Trend_ATR) ==true)
{
Log("下标:","趋势","离场成功!!","ATR值:",Trend_ATR[Trend_ATR.length -1] ,"ticker.Last",ticker.Last,"账户收益:",curTotalAccount -InitAccount.Stocks);
}
else if(CallbackDeparture("趋势",ticker,ticker.Last,Trend_ATR) ==true)
{
Log("下标:","趋势 回调 止损成功!!","ATR值:",Trend_ATR[Trend_ATR.length -1],"ticker.Last:",ticker.Last,"账户收益:",curTotalAccount -InitAccount.Stocks);
}
}
}
}
function onTick(exchange) {
var recordsCMI = _C(exchange.GetRecords,GetKLineCycle(Cmi_kLine_Cycle)); //Cmi计算
var Shock_records = _C(exchange.GetRecords,GetKLineCycle(Shock_kLine_Cycle)); //震荡k线
var Trend_records = _C(exchange.GetRecords,GetKLineCycle(Trend_kLine_Cycle)); //趋势k线
var Bar = Shock_records[Shock_records.length - 1];
if (LastBarTime !== Bar.Time) {
CmiVal = GetCmiVal(recordsCMI);
if(CmiVal <20) { Log("生命不息！！"); }
else if(CmiVal >=20) { Log("作死不止！！"); }
LastBarTime = Bar.Time;
}
if(CmiVal <20)
{
MarketTrendProc("震荡",Shock_records,true);
MarketTrendProc("趋势",Trend_records,false); //不允许开仓
}
else if(CmiVal >=20)
{
MarketTrendProc("趋势",Trend_records,true);
MarketTrendProc("震荡",Shock_records,false); //不允许开仓
}
}
function main() {
Log(exchange.GetAccount());
Log(exchange.GetCurrency(), "合约面值:", GetContractFcaeValue(), "测试转换为整数:", _N(3.143454515, 0));
if (exchange.GetName() !== 'Futures_OKCoin') {
// throw "Only support OKEX features";
}
exchange.SetRate(1);
exchange.SetContractType(["this_week", "next_week", "quarter"][ContractTypeIdx]);
exchange.SetMarginLevel([10, 20][MarginLevelIdx]);
InitAccount = LastAccount = exchange.GetAccount();
Log(exchange.GetAccount());
while (true) {
onTick(exchange);
Sleep(LoopInterval * 1000);
}
}
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