数字货币期货多品种ATR策略（教学）

Cryptocurrency

Created: 2022-01-06 17:55:43

Last modified: 4 years ago

Copy: 62

发明者量化-小小梦

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策略移植自一个简单的麦语言策略：


            
            
            
TR:=MAX(MAX((H-L),ABS(REF(C,1)-H)),ABS(REF(C,1)-L));
ATR:=EMA(TR,LENGTH2);

MIDLINE^^EMA((H + L + C)/3,LENGTH1);
UPBAND^^MIDLINE + N*ATR;
DOWNBAND^^MIDLINE - N*ATR;


BKVOL=0 AND C>=UPBAND AND REF(C,1)<REF(UPBAND,1),BPK;
SKVOL=0 AND C<=DOWNBAND AND REF(C,1)>REF(DOWNBAND,1),SPK;

BKVOL>0 AND C<=MIDLINE,SP(BKVOL);
SKVOL>0 AND C>=MIDLINE,BP(SKVOL);
// 止损
// stop loss
C>=SKPRICE*(1+SLOSS*0.01),BP;
C<=BKPRICE*(1-SLOSS*0.01),SP;
AUTOFILTER;

为了多品种设计，将参数设计为一个JSON字符串：


            
            
            
var params = '[{
        "symbol" : "swap",
        "period" : 86400,
        "stopLoss" : 0.07,
        "atrPeriod" : 10,
        "emaPeriod" : 10,
        "trackRatio" : 1,
        "openRatio" : 0.1
    }, {
        "symbol" : "swap",
        "period" : 86400,
        "stopLoss" : 0.07,
        "atrPeriod" : 10,
        "emaPeriod" : 10,
        "trackRatio" : 1,
        "openRatio" : 0.1
    }]'

策略用到了一个模版类库：数字货币期货交易类库（测试版）

Source

JavaScript

/*backtest
start: 2021-09-01 00:00:00
end: 2022-01-06 00:00:00
period: 1d
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT","balance":1000000},{"eid":"Futures_Binance","currency":"LTC_USDT"}]
args: [["params","[{         \"symbol\" : \"swap\",         \"period\" : 86400,         \"stopLoss\" : 0.07,         \"atrPeriod\" : 10,         \"emaPeriod\" : 20,         \"trackRatio\" : 2,         \"openRatio\" : 0.1     }, {         \"symbol\" : \"swap\",         \"period\" : 86400,         \"stopLoss\" : 0.07,         \"atrPeriod\" : 10,         \"emaPeriod\" : 20,         \"trackRatio\" : 2,         \"openRatio\" : 0.1     }]"]]
*/

var arrParam = onlyOne ? [{"symbol": symbol, "period": period, "stopLoss": stopLoss, "atrPeriod": atrPeriod, "emaPeriod": emaPeriod, "trackRatio": trackRatio, "openRatio": openRatio}] : JSON.parse(params)

function createChartConfig(symbol, atrPeriod, emaPeriod, index) {

Strategy parameters