基本原理
图解
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
/*backtest start: 2016-01-15 09:00:00 end: 2017-01-01 15:00:00 period: 1d basePeriod: 1h exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}] */ 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) { manager = $.NewPositionManager(); if (_C(exchange.GetPosition).length > 0) { if (CoverAll) { manager.Cover(ContractTypeName); Log("已清空所有相关仓位"); } else { 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); } 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") && $.IsTrading(ContractTypeName)) { onTick(exchange); } else { LogStatus("未登录状态或不在交易时间段内"); } Sleep(LoopInterval * 1000); } }template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6