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Copy pathDual Thrust 商品期货.js
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200 lines (177 loc) · 6.36 KB
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/*
策略出处: https://www.botvs.com/strategy/13011
策略名称: Dual Thrust 商品期货
策略作者: Zero
策略描述:
> 基本原理
- 在当天收盘，计算两个值： 最高价－收盘价，和收盘价－最低价。然后取这两个值较大的那个，乘以k值，结果称为触发值。
- 在第二天开盘，记录开盘价，然后在价格超过（开盘＋触发值）时马上买入，或者价格低于（开盘－触发值）时马上卖空。
- 这个系统是反转系统，没有单独止损。也就是说，反向信号也同时就是平仓信号。
> 图解
https://dn-filebox.qbox.me/ab06814528c0ae8c54c6bebaea4438325968fbe5.jpg
`Dual Thrust 策略包含完整的图表显示, 图表动态更新，模板引用等功能, 可做学习模板使用.`
策略的详细介绍 : http://xueqiu.com/5256769224/32429363
参数 默认值 描述
---------------- ----- ----------
ContractTypeName MA609 合约品种
NPeriod 4 计算周期
Ks 0.5 上轨系数
Kx 0.5 下轨系数
AmountOP true 开仓合约张数
Interval 2000 重试间隔(毫秒)
LoopInterval 3 轮询间隔(秒)
PeriodShow 500 图表最大显示K线柱数
NotifyWX true 下单微信通知
*/
var ChartCfg = {
__isStock: true,
title: {
text: 'Dual Thrust 上下轨图'
},
yAxis: {
plotLines: [{
value: 0,
color: 'red',
width: 2,
label: {
text: '上轨',
align: 'center'
},
}, {
value: 0,
color: 'green',
width: 2,
label: {
text: '下轨',
align: 'center'
},
}]
},
series: [{
type: 'candlestick',
name: '当前周期',
id: 'primary',
data: []
}, {
type: 'flags',
onSeries: 'primary',
data: [],
}]
};
var STATE_IDLE = 0;
var STATE_LONG = 1;
var STATE_SHORT = 2;
var State = STATE_IDLE;
var LastBarTime = 0;
var UpTrack = 0;
var BottomTrack = 0;
var chart = null;
var Counter = {
w: 0,
l: 0
};
var manager = null;
var logSuffix = NotifyWX ? '@' : '';
function onTick(exchange) {
if (!manager) {
if (_C(exchange.GetPosition).length > 0) {
throw "策略启动前不能有持仓.";
}
Log('交易平台:', exchange.GetName(), _C(exchange.GetAccount));
var insDetail = _C(exchange.SetContractType, ContractTypeName);
Log("合约", insDetail.InstrumentName, "一手", insDetail.VolumeMultiple, "份, 最大下单量", insDetail.MaxLimitOrderVolume, "保证金率:", insDetail.LongMarginRatio.toFixed(4), insDetail.ShortMarginRatio.toFixed(4), "交割日期", insDetail.StartDelivDate);
manager = $.NewPositionManager();
}
var records = _C(exchange.GetRecords);
if (!records || records.length <= NPeriod) {
LogStatus("Calc Bars...");
return;
}
var Bar = records[records.length - 1];
if (LastBarTime !== Bar.Time) {
var HH = TA.Highest(records, NPeriod, 'High');
var HC = TA.Highest(records, NPeriod, 'Close');
var LL = TA.Lowest(records, NPeriod, 'Low');
var LC = TA.Lowest(records, NPeriod, 'Close');
var Range = Math.max(HH - LC, HC - LL);
UpTrack = _N(Bar.Open + (Ks * Range));
DownTrack = _N(Bar.Open - (Kx * Range));
if (LastBarTime > 0) {
var PreBar = records[records.length - 2];
chart.add(0, [PreBar.Time, PreBar.Open, PreBar.High, PreBar.Low, PreBar.Close], -1);
} else {
for (var i = Math.min(records.length, NPeriod * 3); i > 1; i--) {
var b = records[records.length - i];
chart.add(0, [b.Time, b.Open, b.High, b.Low, b.Close]);
}
}
chart.add(0, [Bar.Time, Bar.Open, Bar.High, Bar.Low, Bar.Close]);
ChartCfg.yAxis.plotLines[0].value = UpTrack;
ChartCfg.yAxis.plotLines[1].value = DownTrack;
ChartCfg.subtitle = {
text: '上轨: ' + UpTrack + ' 下轨: ' + DownTrack
};
chart.update(ChartCfg);
chart.reset(PeriodShow);
LastBarTime = Bar.Time;
} else {
chart.add(0, [Bar.Time, Bar.Open, Bar.High, Bar.Low, Bar.Close], -1);
}
LogStatus("Price:", Bar.Close, "Up:", UpTrack, "Down:", DownTrack, "Wins: ", Counter.w, "Losses:", Counter.l, "Date:", new Date());
var msg;
if (State === STATE_IDLE || State === STATE_SHORT) {
if (Bar.Close >= UpTrack) {
msg = '做多 触发价: ' + Bar.Close + ' 上轨:' + UpTrack;
if (State !== STATE_IDLE) {
manager.Cover(ContractTypeName);
var profit = manager.Profit();
LogProfit(profit);
msg += ' 平仓利润: ' + profit;
}
Log(msg + logSuffix);
manager.OpenLong(ContractTypeName, AmountOP);
State = STATE_LONG;
chart.add(1, {x:Bar.Time, color: 'red', shape: 'flag', title: '多', text: msg});
}
}
if (State === STATE_IDLE || State === STATE_LONG) {
if (Bar.Close <= DownTrack) {
msg = '做空 触发价: ' + Bar.Close + ' 下轨:' + DownTrack;
if (State !== STATE_IDLE) {
manager.Cover(ContractTypeName);
var profit = manager.Profit();
LogProfit(profit);
msg += ' 平仓利润: ' + profit;
}
Log(msg + logSuffix);
manager.OpenShort(ContractTypeName, AmountOP);
chart.add(1, {x:Bar.Time, color: 'green', shape: 'circlepin', title: '空', text: msg});
State = STATE_SHORT;
}
}
}
function onexit() {
var pos = _C(exchange.GetPosition);
if (pos.length > 0) {
Log("警告, 退出时有持仓", pos);
}
}
function main() {
if (exchange.GetName() !== 'Futures_CTP') {
throw "只支持传统商品期货(CTP)";
}
SetErrorFilter("login|ready");
LogStatus("Ready...");
LogProfitReset();
chart = Chart(ChartCfg);
chart.reset();
LoopInterval = Math.max(LoopInterval, 1);
while (true) {
if (exchange.IO("status")) {
onTick(exchange);
} else {
LogStatus("未登录状态");
}
Sleep(LoopInterval * 1000);
}
}