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网格(波段)香农版

Author: 小码哥, Date: 2018-01-06 17:56:23
Tags: Grid



/*backtest
  start: 2017-10-01
  end: 2018-01-01
  period: 60
  mode: 2
*/
function dateFormat(date, format) {
   var o = {
       "M+": date.getMonth() + 1, //月份
       "d+": date.getDate(), //日
       "h+": date.getHours(), //小时
       "m+": date.getMinutes(), //分
       "s+": date.getSeconds(), //秒
       "q+": Math.floor((date.getMonth() + 3) / 3), //季度
       "S": date.getMilliseconds() //毫秒
   };
   if (/(y+)/.test(format)) {
       format = format.replace(RegExp.$1, (date.getFullYear() + "").substr(4 - RegExp.$1.length));
   }

   for (var k in o) {
       if (new RegExp("(" + k + ")").test(format)) {
           format = format.replace(RegExp.$1, (RegExp.$1.length == 1) ?
                             (o[k]) : (("00" + o[k]).substr(("" + o[k]).length)));
       }
   }

   return format;
}

function main() {
   // {"Balance":10,"Stocks":0,"FrozenBalance":0,"FrozenStocks":0}
   var initAccount = exchange.GetAccount();
   Log(initAccount);
    
   var initBalance = initAccount.Balance;
   Log("初始净值: " + initBalance);

   //最近一次投资的日期
   var lastInvestDate = '';
    
   //初始买1和卖1的价格
   var depth = exchange.GetDepth();
   var initPrice = depth.Bids[0].Price;
    
   while (true) {
       //每次轮询,间隔时间为60秒
       Sleep(60 * 1000);

       var account = exchange.GetAccount();
       
       var date = dateFormat(new Date(), "yyyy-MM-dd");
       if (date != lastInvestDate) {
           lastInvestDate = date;
           
           //净值
           var value = account.Balance + account.FrozenBalance + buy1price * (account.Stocks + account.FrozenStocks);
           Log("净值: " + (Math.round(100 * value) / 100));

           //是否跑赢持币不动
           var r = 100 * ((value / initBalance) - (buy1price / initPrice));
           Log("r: " + (Math.round(100 * r) / 100) + "%");
       } else {
           //continue;
       }
       
       //当前买1和卖1的价格
       depth = exchange.GetDepth();
       var buy1price = depth.Bids[0].Price;
       var sell1price = depth.Asks[0].Price;
       
       var T1 = (account.Stocks * buy1price + account.Balance) * targetBaseRatio / buy1price;
       var T2 = (account.Stocks * sell1price + account.Balance) * targetBaseRatio / sell1price;

       if (account.Stocks - T2 > minTradeLimit) {//涨了,要卖掉一些
           exchange.Sell(buy1price, account.Stocks - T2);
       } else if (T1 - account.Stocks > minTradeLimit) {//跌了,要买入,补仓
           exchange.Buy(sell1price, T1 - account.Stocks);
       }
   }
}


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