数字货币期货多品种ATR策略教学.md

Name

数字货币期货多品种ATR策略教学

Author

小小梦

Strategy Description

相关文章：https://www.fmz.com/digest-topic/8726

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）

Strategy Arguments

Argument	Default	Description
params		参数
onlyOne	true	只跑单品种
symbol	swap	期货合约代码
period	86400	K线周期秒数
stopLoss	0.07	止损
atrPeriod	10	ATR周期
emaPeriod	10	EMA周期
trackRatio	true	轨道系数
openRatio	0.1	开仓系数

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) {
    var chart = {                                        
        __isStock: true,    
        extension: {
                layout: 'single', 
                height: 600, 
        },
        title : { text : symbol},                       
        xAxis: { type: 'datetime'},           
        series : [                                          
            {                                      
                type: 'candlestick',    // K线数据系列                         
                name: symbol,   
                id: symbol + "-" + index,
                data: []                                           
            }, {                                      
                type: 'line',           // EMA
                name: symbol + ',EMA:' + emaPeriod,          
                data: [],               
            }, {
                type: 'line',           // upBand
                name: symbol + ',upBand' + atrPeriod,
                data: []
            }, {
                type: 'line',           // downBand
                name: symbol + ',downBand' + atrPeriod,
                data: []
            }, {
                type: 'flags',
                onSeries: symbol + "-" + index,
                data: [],
            }
        ]
    }
    return chart
}

function process(e, kIndex, c) {
    var r = e.GetRecords(e.param.period)
    if (!r || r.length < e.param.atrPeriod + 2 || r.length < e.param.emaPeriod + 2) {
        return 
    }

    var atr = TA.ATR(r, e.param.atrPeriod)
    var arrAvgPrice = []
    _.each(r, function(bar) {
        arrAvgPrice.push((bar.High + bar.Low + bar.Close) / 3)
    })
    var midLine = TA.EMA(arrAvgPrice, e.param.emaPeriod)
    var upBand = []
    var downBand = [] 
    _.each(midLine, function(mid, index) {
        if (index < e.param.emaPeriod - 1 || index < e.param.atrPeriod - 1) {
            upBand.push(NaN)
            downBand.push(NaN)
            return 
        }
        upBand.push(mid + e.param.trackRatio * atr[index])
        downBand.push(mid - e.param.trackRatio * atr[index])
    })

    // 画图
    for (var i = 0 ; i < r.length ; i++) {
        if (r[i].Time == e.state.lastBarTime) {
            // 更新
            c.add(kIndex, [r[i].Time, r[i].Open, r[i].High, r[i].Low, r[i].Close], -1)
            c.add(kIndex + 1, [r[i].Time, midLine[i]], -1)
            c.add(kIndex + 2, [r[i].Time, upBand[i]], -1)
            c.add(kIndex + 3, [r[i].Time, downBand[i]], -1)
        } else if (r[i].Time > e.state.lastBarTime) {
            // 添加
            e.state.lastBarTime = r[i].Time
            c.add(kIndex, [r[i].Time, r[i].Open, r[i].High, r[i].Low, r[i].Close])  
            c.add(kIndex + 1, [r[i].Time, midLine[i]])
            c.add(kIndex + 2, [r[i].Time, upBand[i]])
            c.add(kIndex + 3, [r[i].Time, downBand[i]])
        }
    }

    // 检测持仓
    var pos = e.GetPosition()
    if (!pos) {
        return 
    }
    var holdAmount = 0
    var holdPrice = 0
    if (pos.length > 1) {
        throw "同时检测到多空持仓！"
    } else if (pos.length != 0) {
        holdAmount = pos[0].Type == PD_LONG ? pos[0].Amount : -pos[0].Amount
        holdPrice = pos[0].Price
    }

    if (e.state.preBar == -1) {
        e.state.preBar = r[r.length - 1].Time
    }
    // 检测信号
    if (e.state.preBar != r[r.length - 1].Time) {   // 收盘价模型
        if (holdAmount <= 0 && r[r.length - 3].Close < upBand[upBand.length - 3] && r[r.length - 2].Close > upBand[upBand.length - 2]) {   // 收盘价上穿上轨
            if (holdAmount < 0) {   // 持有空仓，平仓
                Log(e.GetCurrency(), "平空仓", "#FF0000")
                $.CoverShort(e, e.param.symbol, Math.abs(holdAmount))
                c.add(kIndex + 4, {x: r[r.length - 2].Time, color: 'red', shape: 'flag', title: '平', text: "平空仓"})
            }
            // 开多
            Log(e.GetCurrency(), "开多仓", "#FF0000")
            $.OpenLong(e, e.param.symbol, 10)
            c.add(kIndex + 4, {x: r[r.length - 2].Time, color: 'red', shape: 'flag', title: '多', text: "开多仓"})
        } else if (holdAmount >= 0 && r[r.length - 3].Close > downBand[downBand.length - 3] && r[r.length - 2].Close < downBand[downBand.length - 2]) {  // 收盘价下穿下轨
            if (holdAmount > 0) {   // 持有多仓，平仓
                Log(e.GetCurrency(), "平多仓", "#FF0000")
                $.CoverLong(e, e.param.symbol, Math.abs(holdAmount))
                c.add(kIndex + 4, {x: r[r.length - 2].Time, color: 'green', shape: 'flag', title: '平', text: "平多仓"})
            }
            // 开空
            Log(e.GetCurrency(), "开空仓", "#FF0000")
            $.OpenShort(e, e.param.symbol, 10)
            c.add(kIndex + 4, {x: r[r.length - 2].Time, color: 'green', shape: 'flag', title: '空', text: "开空仓"})
        } else {
            // 平仓
            if (holdAmount > 0 && (r[r.length - 2].Close <= holdPrice * (1 - e.param.stopLoss) || r[r.length - 2].Close <= midLine[midLine.length - 2])) {   // 持多仓，收盘价小于等于中线，按开仓价格止损
                Log(e.GetCurrency(), "触发中线或止损，平多仓", "#FF0000")
                $.CoverLong(e, e.param.symbol, Math.abs(holdAmount))
                c.add(kIndex + 4, {x: r[r.length - 2].Time, color: 'green', shape: 'flag', title: '平', text: "平多仓"})
            } else if (holdAmount < 0 && (r[r.length - 2].Close >= holdPrice * (1 + e.param.stopLoss) || r[r.length - 2].Close >= midLine[midLine.length - 2])) {  // 持空仓，收盘价大于等于中线，按开仓价格止损
                Log(e.GetCurrency(), "触发中线或止损，平空仓", "#FF0000")
                $.CoverShort(e, e.param.symbol, Math.abs(holdAmount))
                c.add(kIndex + 4, {x: r[r.length - 2].Time, color: 'red', shape: 'flag', title: '平', text: "平空仓"})
            }
        }
        e.state.preBar = r[r.length - 1].Time
    }
}

function main() {
    var arrChartConfig = []
    if (arrParam.length != exchanges.length) {
        throw "参数和交易所对象不匹配！"
    }
    var arrState = _G("arrState")
    _.each(exchanges, function(e, index) {
        if (e.GetName() != "Futures_Binance") {
            throw "不支持该交易所！"
        }
        e.param = arrParam[index]
        e.state = {lastBarTime: 0, symbol: e.param.symbol, currency: e.GetCurrency()}
        if (arrState) {
            if (arrState[index].symbol == e.param.symbol && arrState[index].currency == e.GetCurrency()) {
                Log("恢复：", e.state)
                e.state = arrState[index]
            } else {
                throw "恢复的数据和当前设置不匹配！"
            }
        }
        e.state.preBar = -1   // 初始设置-1
        e.SetContractType(e.param.symbol)
        Log(e.GetName(), e.GetLabel(), "设置合约：", e.param.symbol)
        arrChartConfig.push(createChartConfig(e.GetCurrency(), e.param.atrPeriod, e.param.emaPeriod, index))
    })
    var chart = Chart(arrChartConfig)
    chart.reset()

    while (true) {
        _.each(exchanges, function(e, index) {
            process(e, index + index * 4, chart)
            Sleep(500)
        })      
    }
}

function onexit() {
    // 记录 e.state
    var arrState = []
    _.each(exchanges, function(e) {
        arrState.push(e.state)
    })
    Log("记录：", arrState)
    _G("arrState", arrState)
}

Detail

https://www.fmz.com/strategy/339344

Last Modified

2022-01-22 13:35:11