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股票均线策略
趋势策略中最简单的策略就是均线策略了，通过上一篇文章中我们探讨一个股票策略的几点特殊之处，并实现了一个经典策略。再来实现一个双均线策略就十分简单了。我们把之前的「股票DualThrust策略」中的策略逻辑等相关内容剔除，就拿到了一个股票策略的基本结构。这个程序结构可以复用于我们的双均线策略。其实就是把双均线的交易逻辑、数据处理等写进去就可以了，趋势策略基本都可以这样复用代码。
程序结构框架
剔除了之前策略交易逻辑后剩下的程序结构，这个程序还不能直接使用。
var Ids = [] // ["600519.SH"]
var _Symbols = []
var STATE_IDLE = 0
var STATE_LONG = 1
var SlideTick = 2
var StatusMsg = ""
var _Chart = null
var _ArrChart = []
var Interval = 1000
var ArrStateStr = ["空闲", "多仓"]
function newDate() {
var timezone = 8
var offset_GMT = new Date().getTimezoneOffset()
var nowDate = new Date().getTime()
var targetDate = new Date(nowDate + offset_GMT * 60 * 1000 + timezone * 60 * 60 * 1000)
return targetDate
}
function GetPosition(e, contractTypeName) {
var allAmount = 0
var allProfit = 0
var allFrozen = 0
var posMargin = 0
var price = 0
var direction = null
positions = _C(e.GetPosition)
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType != contractTypeName) {
continue
}
if (positions[i].Type == PD_LONG) {
posMargin = positions[i].MarginLevel
allAmount += positions[i].Amount
allProfit += positions[i].Profit
allFrozen += positions[i].FrozenAmount
price = positions[i].Price
direction = positions[i].Type
}
}
if (allAmount === 0) {
return null
}
return {
MarginLevel: posMargin,
FrozenAmount: allFrozen,
Price: price,
Amount: allAmount,
Profit: allProfit,
Type: direction,
ContractType: contractTypeName,
CanCoverAmount: allAmount - allFrozen
}
}
function Buy(e, contractType, opAmount, insDetail) {
var initPosition = GetPosition(e, contractType)
var isFirst = true
var initAmount = initPosition ? initPosition.Amount : 0
var positionNow = initPosition
if(opAmount % insDetail.LotSize != 0) {
throw "每手数量不匹配"
}
while (true) {
var needOpen = opAmount
if (isFirst) {
isFirst = false
} else {
Sleep(Interval*20)
positionNow = GetPosition(e, contractType)
if (positionNow) {
needOpen = opAmount - (positionNow.Amount - initAmount)
}
Log("positionNow:", positionNow, "needOpen:", needOpen)// 测试
}
if (needOpen < insDetail.LotSize || needOpen % insDetail.LotSize != 0) {
break
}
var depth = _C(e.GetDepth)
// 需要检测是否涨跌停
var amount = needOpen
e.SetDirection("buy")
var orderId = e.Buy(depth.Asks[0].Price + (insDetail.PriceSpread * SlideTick), amount, contractType, 'Ask', depth.Asks[0])
// CancelPendingOrders
while (true) {
Sleep(Interval*20)
var orders = _C(e.GetOrders)
if (orders.length === 0) {
break
}
for (var j = 0; j < orders.length; j++) {
e.CancelOrder(orders[j].Id)
if (j < (orders.length - 1)) {
Sleep(Interval*20)
}
}
}
}
var ret = null
if (!positionNow) {
return ret
}
ret = positionNow
return ret
}
function Sell(e, contractType, lots, insDetail) {
var initAmount = 0
var firstLoop = true
if(lots % insDetail.LotSize != 0) {
throw "每手数量不匹配"
}
while (true) {
var n = 0
var total = 0
var positions = _C(e.GetPosition)
var nowAmount = 0
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType != contractType) {
continue
}
nowAmount += positions[i].Amount
}
if (firstLoop) {
initAmount = nowAmount
firstLoop = false
}
var amountChange = initAmount - nowAmount
if (typeof(lots) == 'number' && amountChange >= lots) {
break
}
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType != contractType) {
continue
}
var amount = positions[i].Amount
var depth
var opAmount = 0
var opPrice = 0
if (positions[i].Type == PD_LONG) {
depth = _C(e.GetDepth)
// 需要检测是否涨跌停
opAmount = amount
opPrice = depth.Bids[0].Price - (insDetail.PriceSpread * SlideTick)
}
if (typeof(lots) === 'number') {
opAmount = Math.min(opAmount, lots - (initAmount - nowAmount))
}
if (opAmount > 0) {
if (positions[i].Type == PD_LONG) {
e.SetDirection("closebuy")
e.Sell(opPrice, opAmount, contractType, "平仓", 'Bid', depth.Bids[0])
}
n++
}
// break to check always
if (typeof(lots) === 'number') {
break
}
}
if (n === 0) {
break
}
while (true) {
Sleep(Interval*20)
var orders = _C(e.GetOrders)
if (orders.length === 0) {
break
}
for (var j = 0; j < orders.length; j++) {
e.CancelOrder(orders[j].Id)
if (j < (orders.length - 1)) {
Sleep(Interval*20)
}
}
}
}
}
function IsTrading() {
// 使用 newDate() 代替 new Date() 因为服务器时区问题
var now = newDate()
var day = now.getDay()
var hour = now.getHours()
var minute = now.getMinutes()
StatusMsg = "非交易时段"
if (day === 0 || day === 6) {
return false
}
if((hour == 9 && minute >= 30) || (hour == 11 && minute < 30) || (hour > 9 && hour < 11)) {
// 9:30-11：30
StatusMsg = "交易时段"
return true
} else if (hour >= 13 && hour < 15) {
// 13:00-15:00
StatusMsg = "交易时段"
return true
}
return false
}
function init () {
Ids = JSON.parse(StrIds)
for (var i = 0 ; i < Ids.length ; i++) {
_Symbols[i] = {}
_Symbols[i].ContractTypeName = Ids[i]
_Symbols[i].State = STATE_IDLE
_Symbols[i].ChartIndex = i
_Symbols[i].Status = ""
_Symbols[i].Pos = null
_Symbols[i].ChartCfg = {
// 图表对象
}
_ArrChart.push(_Symbols[i].ChartCfg)
}
_Chart = Chart(_ArrChart)
_Chart.reset()
}
function Process (symbols) {
for (var i = 0 ; i < symbols.length ; i++) {
var contractTypeName = symbols[i].ContractTypeName
var insDetail = _C(exchange.SetContractType, contractTypeName)
symbols[i].InstrumentName = insDetail.InstrumentName
// 判断是不是交易状态
if (!insDetail.IsTrading || !IsTrading()) {
continue
}
var depth = exchange.GetDepth()
if (!depth || depth.Bids[0].Amount == 0 || depth.Asks[0].Amount == 0) {
// 标记涨跌停
symbols[i].Status = "涨跌停"
continue
}
symbols[i].Status = "正常交易"
// 检测持仓
var pos = GetPosition(exchange, contractTypeName)
symbols[i].Pos = pos
var posAmount = pos ? pos.Amount : 0
// 同步持仓状态
if (symbols[i].State == STATE_IDLE && posAmount > 0) {
symbols[i].State = STATE_LONG
} else if (symbols[i].State == STATE_LONG && posAmount == 0) {
symbols[i].State = STATE_IDLE
}
// 执行交易
// Buy(exchange, contractTypeName, AmountOP, ticker.Info)
// Sell(exchange, contractTypeName, AmountOP, ticker.Info)
}
}
function main(){
if(IsReset) {
LogReset(1)
}
SetErrorFilter("market not ready")
exchange.SetPrecision(3, 0)
if((!IsVirtual() && exchange.GetCurrency() != "STOCK" && exchange.GetName() != "Futures_Futu") ||
(IsVirtual() && exchange.GetCurrency() != "STOCK_CNY" && exchange.GetName() != "Futures_XTP")) {
Log("currency:", exchange.GetCurrency(), "name:", exchange.GetName())
throw "不支持"
}
while(true){
var tbl = {
"type" : "table",
"title": "信息",
"cols": [],
"rows": [],
}
for(var i = 0 ; i < _Symbols.length; i++) {
tbl.rows.push([])
}
var tblPos = {
"type" : "table",
"title" : "持仓",
"cols" : ["名称", "价格", "数量", "盈亏", "类型", "冻结数量", "可平量"],
"rows" : [],
}
for (var j = 0 ; j < _Symbols.length; j++) {
if(_Symbols[j].Pos) {
tblPos.rows.push([_Symbols[j].Pos.ContractType, _Symbols[j].Pos.Price, _Symbols[j].Pos.Amount, _Symbols[j].Pos.Profit, _Symbols[j].Pos.Type, _Symbols[j].Pos.FrozenAmount, _Symbols[j].Pos.CanCoverAmount])
}
}
LogStatus(_D(), StatusMsg, "\n`" + JSON.stringify([tbl, tblPos]) + "`")
Process(_Symbols)
Sleep(1000)
}
}
双均线策略
-
首先调整一下界面参数
添加上双均线需要的策略参数。
-
添加策略交易逻辑
// 计算指标数据 var ma = TA.EMA(r, MAPeriod) // 周期小的均线指标数据（快线） var slowMa = TA.EMA(r, SlowMAPeriod) // 周期大的均线指标数据（慢线） ... // 交易信号检测 if(symbols[i].State == STATE_IDLE && ma[ma.length - 2] > slowMa[slowMa.length - 2] && ma[ma.length - 3] < slowMa[slowMa.length - 3]) { Log("快线上穿慢线", "#FF0000") Buy(exchange, contractTypeName, Amount, ticker.Info) symbols[i].State = STATE_LONG } else if (symbols[i].State == STATE_LONG && ma[ma.length - 2] < slowMa[slowMa.length - 2] && ma[ma.length - 3] > slowMa[slowMa.length - 3]) { Log("快线下穿慢线", "#FF0000") Sell(exchange, contractTypeName, Amount, ticker.Info) symbols[i].State = STATE_IDLE }交易信号检测其实就是判断快线上穿、下穿慢线，这里使用的是倒数第二、第三根K线柱上对应的指标判断，因为最后一个指标数据是实时的，所以会有反复交叉分开的情况。
-
其它细节
因为这次策略用到了2根均线指标，我们需要在K线图表上把均线画出来，所以对画图部分的代码做了小小的调整。
对于策略状态栏显示的信息也需要略微调整，显示当前策略的均线指标、当前价格等数据。
最近优宽平台支持了股票回测，所以我们也要针对回测系统做一些兼容，策略中一些用到IsVirtual()函数的地方就是为了回测系统做的兼容。
回测测试
回测仅仅是策略初步测试，所以不必太在意回测结果。所以我们随便选择几只股票，随便设置一些参数回测一下。
富途模拟盘
同样也可以挂一个富途模拟盘测试，优宽平台后续也会支持更多券商。
结尾
策略仅仅用于学习交流，交流策略设计思路，互相学习。
感谢阅读，感谢提出建议及意见。
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