海龟交易策略是趋势策略中非常经典的交易策略,能在交易风险,仓位,资金利用率各方面做到很精细的控制。只要市场出现较大趋势(不管基于分钟K线,小时K线还是日K),海龟都会捕获到趋势并让利润最大化。此策略基于原版海龟交易法则实现,在2017年大牛市下取得了700%,远远高于大盘的收益。
策略特点: 支持任意级别的趋势跟踪(分钟K,小时K,日K,周K等) 支持任意交易对(ETH/BTC, BSV/BTC等) 详细的策略报表(包括策略状态,交易历史记录等) 支持10几个自定义个性化参数
参数说明: 请查看 https://www.pcclean.io/z6zl
/* 海龟策略 用途:分散风险,平抑波动 17:34 2018/9/12 retrySell后加sleep,解决清仓余额不足的问题 17:58 2018/9/12 fixed Sell(-1, 0.00033): Less than minimum requirement 8:58 2018/9/13 fixed 无限仓位问题 11:12 2018/9/13 符合海龟交易法则 20:23 2018/9/23 修改清仓时不更新account.stock的问题 11:14 2018/10/18 retrysell函数支持 对最小数量的自动修正 11:16 2018/10/19 支持utc+8时间和logprofit 15:13 2018/10/19 支持对象化和管理多个交易对 23:28 2018/10/20 支持统计手续费损失 9:05 2018/10/22 retryBuy支持自动修正买入量 22:10 2018/12/22 支持统计市价单盈亏 11:40 2019/04/25 支持收益曲线连续 */ var ExchangProcessor={ createNew: function(exc_obj){ //策略参数 var manage_assets=1;//bch var max_positions=4;//max=4N var price_n={BTC_BCH:8,ETH_BCH:8,XRP_BCH:8,EOS_BCH:8,LTC_BCH:8,DASH_BCH:8,CET_BCH:8}; //价格精度 var num_n={BTC_BCH:8,ETH_BCH:8,XRP_BCH:8,EOS_BCH:8,LTC_BCH:8,DASH_BCH:8,CET_BCH:8}; //数量精度 var minest_buy={BTC_BCH:0.001,ETH_BCH:0.01,XRP_BCH:1,EOS_BCH:1,LTC_BCH:0.1,DASH_BCH:0.01,CET_BCH:1};//最小买入量 var minest_sell={BTC_BCH:0.001,ETH_BCH:0.01,XRP_BCH:1,EOS_BCH:1,LTC_BCH:0.1,DASH_BCH:0.01,CET_BCH:1};//最小卖出量 var order_wait_secs=120000; //订单的最长等待时间 毫秒 var wait_ms=1000;//默认等待毫秒 var sxf=0.0005;//用来计算手续费消耗 //全局状态变量 var positions=[];//记录仓位 var init_asset=0; //初始资产 var trades=[];//所有交易 var trades_recorder=true;//记录所有交易 var pre_time=null; //记录轮询间隔时间 var approximate_profit=0;//盈亏近似值 var add_already=0;//已经加仓次数 var processor={}; //重试购买,直到成功返回 processor.retryBuy=function(ex,price,num) { var currency=ex.GetCurrency(); var r=ex.Buy(_N(price,price_n[currency]), _N(num,num_n[currency])); while (!r){ Log("Buy失败,正在retry。"); Sleep(wait_ms); var account=_C(ex.GetAccount); var ticker=_C(ex.GetTicker); var last=ticker.Last; var fixedAmount=(price===-1?Math.min(account.Balance*0.95,num):Math.min(account.Balance/last*0.95,num)); r=ex.Buy(_N(price,price_n[currency]), _N(fixedAmount,num_n[currency])); } return r; } //重试卖出,直到成功返回 processor.retrySell=function(ex,price,num){ var currency=ex.GetCurrency(); var r=ex.Sell(_N(price,price_n[currency]), _N(num,num_n[currency])); while (!r){ Log("Sell失败,正在retry。"); Sleep(wait_ms); var account=_C(ex.GetAccount); var fixedAmount=Math.min(account.Stocks,num); r=ex.Sell(_N(price,price_n[currency]), _N(fixedAmount,num_n[currency])); } return r; } processor.get_ChinaTimeString=function(){ var date = new Date(); var now_utc = Date.UTC(date.getUTCFullYear(), date.getUTCMonth(), date.getUTCDate(), date.getUTCHours(), date.getUTCMinutes(), date.getUTCSeconds()); var cdate=new Date(now_utc); cdate.setHours(cdate.getHours()+8); var localstring=cdate.getFullYear()+'/'+(cdate.getMonth()+1)+'/'+cdate.getDate()+' '+cdate.getHours()+':'+cdate.getMinutes()+':'+cdate.getSeconds(); return localstring; } processor.init_obj=function(){ _CDelay(wait_ms); pre_time = new Date(); //init { var account=_C(exc_obj.GetAccount); var ticker=_C(exc_obj.GetTicker); var last=ticker.Last; init_asset=(account.Balance+account.FrozenBalance)+(account.Stocks+account.FrozenStocks)*last; Sleep(wait_ms); } } processor.work=function(){ var cur_time = new Date(); var passedtime=cur_time-pre_time; pre_time=cur_time; //计算n,头寸 var exname=exc_obj.GetName(); var currency=exc_obj.GetCurrency(); var account=_C(exc_obj.GetAccount); var ticker=_C(exc_obj.GetTicker); var depth = _C(exc_obj.GetDepth); var last=ticker.Last; var ask1=depth.Asks[0].Price; var bid1=depth.Bids[0].Price; var bestprice=bid1+(Math.abs(ask1-bid1)/2); var records = _C(exc_obj.GetRecords); if (records.length<=50){ Log("records.length is not valid."); Sleep(wait_ms); return; } var atr = TA.ATR(records, 20); if (atr.length<=1){ Log("atr.length is not valid."); Sleep(wait_ms); return; } var N=atr[atr.length-1]; var position_unit=Math.min(manage_assets*0.01/N,account.Balance/last*0.95);//cet //Log("N="+N+", 头寸单位="+position_unit+"CET"); var highest=TA.Highest(records, 20, 'High'); var Lowest=TA.Lowest(records, 10, 'Low'); var cur_asset=(account.Balance+account.FrozenBalance)+(account.Stocks+account.FrozenStocks)*last; var rsi6 = TA.RSI(records, 6); var rsi12 = TA.RSI(records, 12); if (rsi6.length<=5 || rsi12.length<=5){ Log("rsi is not valid."); Sleep(wait_ms); return; } var rsi_in=false; if (rsi6[rsi6.length-1]-rsi6[rsi6.length-2]>5 && rsi6[rsi6.length-3]-rsi6[rsi6.length-2]>5 && rsi6[rsi6.length-2]<=55 && rsi6[rsi6.length-1]>rsi12[rsi12.length-1]){ //Log("rsi_in=true"); rsi_in=true; } var rsi_out=false; if (rsi6[rsi6.length-2]-rsi6[rsi6.length-1]>5 && rsi6[rsi6.length-2]>=70){ //Log("rsi_out=true"); rsi_out=true; } //建仓 if (positions.length==0 && position_unit>minest_buy[currency]){ if (last>=highest) { var buyID = processor.retryBuy(exc_obj,last,position_unit); Sleep(order_wait_secs); var buyOrder=_C(exc_obj.GetOrder,buyID); if (buyOrder.Status!=ORDER_STATE_CLOSED){ exc_obj.CancelOrder(buyID); } if (buyOrder.DealAmount>0){ var postion = { amount:buyOrder.DealAmount, buy_price:buyOrder.AvgPrice, stoploss_price:buyOrder.AvgPrice-2*N}; positions.push(postion); var details={ type:"建仓", time:processor.get_ChinaTimeString(), RealAmount:buyOrder.DealAmount, WantAmount:position_unit, RealPrice:buyOrder.AvgPrice, WantPrice:buyOrder.Price, Memo:"" }; if (trades_recorder){ trades.push(details); } add_already=1; } } } //加仓 if (positions.length>0 && position_unit>minest_buy[currency]){ var last_buy_price=positions[positions.length-1].buy_price; if (add_already<max_positions){//max = 4N if (last-last_buy_price>=0.5*N){ var buyID = processor.retryBuy(exc_obj,last,position_unit); Sleep(order_wait_secs); var buyOrder=_C(exc_obj.GetOrder,buyID); if (buyOrder.Status!=ORDER_STATE_CLOSED){ exc_obj.CancelOrder(buyID); } if (buyOrder.DealAmount>0){ var postion = { amount:buyOrder.DealAmount, buy_price:buyOrder.AvgPrice, stoploss_price:buyOrder.AvgPrice-2*N}; positions.push(postion); var details={ type:"加仓", time:processor.get_ChinaTimeString(), RealAmount:buyOrder.DealAmount, WantAmount:position_unit, RealPrice:buyOrder.AvgPrice, WantPrice:last, Memo:"" }; if (trades_recorder){ trades.push(details); } add_already=add_already+1; } } } } //止损 if (positions.length>0){ var positions_new=[]; for (var i=0; i < positions.length; i++){ if (last<=positions[i].stoploss_price){ account=_C(exc_obj.GetAccount); var fixedAmount=Math.min(account.Stocks,positions[i].amount); if (fixedAmount>minest_sell[currency]){ var sellID = processor.retrySell(exc_obj, last, fixedAmount); Sleep(order_wait_secs); var sellOrder=_C(exc_obj.GetOrder,sellID); approximate_profit+=(sellOrder.AvgPrice*sellOrder.DealAmount*(1-sxf)-positions[i].buy_price*sellOrder.DealAmount*(1+sxf)); Log("定价卖出: 数量-"+sellOrder.DealAmount+",approximate_profit="+approximate_profit); if (sellOrder.Status!=ORDER_STATE_CLOSED){ exc_obj.CancelOrder(sellID); if (Math.min(account.Stocks,fixedAmount-sellOrder.DealAmount)>minest_sell[currency]){ var marketsellOrderID=processor.retrySell(exc_obj, -1, fixedAmount-sellOrder.DealAmount); Sleep(order_wait_secs); var marketsellOrderData=_C(exc_obj.GetOrder,marketsellOrderID); approximate_profit+=(marketsellOrderData.AvgPrice*marketsellOrderData.DealAmount*(1-sxf)-positions[i].buy_price*marketsellOrderData.DealAmount*(1+sxf)); Log("市价卖出: 数量-"+marketsellOrderData.DealAmount+",approximate_profit="+approximate_profit); } } var details={ type:"止损", time:processor.get_ChinaTimeString(), RealAmount:-1, WantAmount:fixedAmount, RealPrice:-1, WantPrice:last, Memo:(last>positions[i].buy_price?"盈利":"亏损") }; if (trades_recorder){ trades.push(details); } } }else{ positions_new.push(positions[i]); } } positions=positions_new; } //清仓 if (positions.length>0){ if (last<=Lowest){ var positions_new=[]; for (var i=0; i < positions.length; i++){ account=_C(exc_obj.GetAccount); var fixedAmount=Math.min(account.Stocks,positions[i].amount); if (fixedAmount>minest_sell[currency]){ var sellID = processor.retrySell(exc_obj, last, fixedAmount); Sleep(order_wait_secs); var sellOrder=_C(exc_obj.GetOrder,sellID); approximate_profit+=(sellOrder.AvgPrice*sellOrder.DealAmount*(1-sxf)-positions[i].buy_price*sellOrder.DealAmount*(1+sxf)); Log("定价卖出: 数量-"+sellOrder.DealAmount+",approximate_profit="+approximate_profit); if (sellOrder.Status!=ORDER_STATE_CLOSED){ exc_obj.CancelOrder(sellID); if (Math.min(account.Stocks,fixedAmount-sellOrder.DealAmount)>minest_sell[currency]){ var marketsellOrderID=processor.retrySell(exc_obj, -1, fixedAmount-sellOrder.DealAmount); Sleep(order_wait_secs); var marketsellOrderData=_C(exc_obj.GetOrder,marketsellOrderID); approximate_profit+=(marketsellOrderData.AvgPrice*marketsellOrderData.DealAmount*(1-sxf)-positions[i].buy_price*marketsellOrderData.DealAmount*(1+sxf)); Log("市价卖出: 数量-"+marketsellOrderData.DealAmount+",approximate_profit="+approximate_profit); } } var details={ type:"清仓", time:processor.get_ChinaTimeString(), RealAmount:-1, WantAmount:fixedAmount, RealPrice:-1, WantPrice:last, Memo:(last>positions[i].buy_price?"盈利":"亏损") }; if (trades_recorder){ trades.push(details); } } } positions=positions_new; } } //显示状态 var table1 = {type: 'table', title: '仓位-'+exname+'('+currency+')', cols: ['数量', '成交价','止损价'], rows: []}; var table2 = {type: 'table', title: '状态-'+exname+'('+currency+')', cols: ['平均真实波幅(N)','头寸单位','初始资产','当前资产','轮询时间','最新价','Highest','Lowest','加仓次数','【近似盈亏】'], rows: []}; var table3 = {type: 'table', title: '交易历史-'+exname+'('+currency+')', cols: ['日期','类型', '成交数量','发单数量','成交价','发单价','备注'], rows: []}; for (var i=0; i < positions.length; i++){ table1.rows.push([positions[i].amount,positions[i].buy_price,positions[i].stoploss_price]); } table2.rows.push([N,position_unit,init_asset,cur_asset,passedtime+'ms',last,highest,Lowest,add_already,approximate_profit]); for (i=0; i < trades.length; i++){ table3.rows.push([trades[i].time,trades[i].type,trades[i].RealAmount,trades[i].WantAmount,trades[i].RealPrice,trades[i].WantPrice,trades[i].Memo]); } processor.logstatus=('`' + JSON.stringify([table1, table2, table3])+'`'+'\n'); //记录盈利 processor.logprofit=approximate_profit; //rest Sleep(wait_ms); } return processor; } }; //主函数 function main(){ var exchange_num=exchanges.length; var processors=[]; for (var i=0; i<exchange_num; ++i){ var p=ExchangProcessor.createNew(exchanges[i]); processors.push(p); } for (i=0; i<exchange_num; ++i){ processors[i].init_obj(); } var pre_profit=Number(_G("pre_profit")); Log('之前收入累计:'+pre_profit); var lastprofit=0; while(true){ var allstatus='策略仅作为学习使用,实盘风险自担。#0000ff'+'\n'; var allprofit=0; for (i=0; i<exchange_num; ++i){ processors[i].work(); allstatus+=processors[i].logstatus; allprofit+=processors[i].logprofit; } allstatus+=('微信:alinwo (验证消息: botvs)'+'\n'); LogStatus(allstatus); if (lastprofit!==allprofit){ LogProfit(pre_profit+allprofit); _G("pre_profit", pre_profit+allprofit); lastprofit=allprofit; } } }template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6