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- 跨时间周期策略
跨时间周期策略
Author:
一刀, Date: 2022-02-15 09:37:09
Tags:
/*backtest
start: 2021-02-14 00:00:00
end: 2022-02-13 23:59:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Bitfinex","currency":"BTC_USD","stocks":0}]
args: [["rsi_period",10]]
*/
/*
* fast_ma: 快均线，短周期
* slow_ma: 慢均线，长周期
* rsi_period: rsi周期
* tick_interval: 循环间隔
* splide_price: 滑点
*/
// RSI指示操作状态
var RSI_NONE = 0;
var RSI_BUY = 1;
var RSI_SELL = 2;
// 取消未成交下单
function canelPendingOrders() {
while (true) {
let orders = _C(exchange.GetOrders);
if (orders.length == 0) {
break;
}
for (let i = 0; i < orders.length; i++) {
exchange.CancelOrder(orders[i].Id);
}
}
}
// 获取RSI操作状态
function getRsiStatus(records) {
let rsi = TA.RSI(records, rsi_period)[records.length - 1];
if (rsi < 30) {
return RSI_BUY;
}
else if (rsi > 70) {
return RSI_SELL;
}
else {
return RSI_NONE;
}
}
function onTick() {
let records = _C(exchange.GetRecords, PERIOD_M15);
let ticker = _C(exchange.GetTicker);
let account = _C(exchange.GetAccount);
let fast = TA.MA(records, fast_ma);
let slow = TA.MA(records, slow_ma);
let n = _Cross(fast, slow);
if (n > 0 && getRsiStatus(records) == RSI_BUY) {
canelPendingOrders();
let price = ticker.Last + splide_price;
let amount = account.Balance / price - 0.1;
if (amount > 0.1) {
exchange.Buy(price, amount);
}
}
else if (n < 0 && getRsiStatus(records) == RSI_SELL) {
canelPendingOrders();
let price = ticker.Last - splide_price;
let amount = account.Stocks;
if (amount > 0.1) {
exchange.Sell(price, amount);
}
}
}
function main() {
while (true) {
onTick();
Sleep(tick_interval * 1000);
}
}
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