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- 商品期货多品种Dual Thrust策略
商品期货多品种Dual Thrust策略
Author:
扫地僧, Date: 2021-11-05 10:19:00
Tags:
商品期货趋势JavaScript
/*
## 商品期货 多品种 Dual Thrust 策略
*/
var _Symbols = [
{
ContractTypeName : "rb1910",
NPeriod : 4,
Ks : 0.5,
Kx : 0.5,
AmountOP : 1,
},
{
ContractTypeName : "i1909",
NPeriod : 4,
Ks : 0.5,
Kx : 0.5,
AmountOP : 1,
},
{
ContractTypeName : "pp1909",
NPeriod : 4,
Ks : 0.5,
Kx : 0.5,
AmountOP : 1,
},
{
ContractTypeName : "MA909",
NPeriod : 4,
Ks : 0.5,
Kx : 0.5,
AmountOP : 1,
},
]
var manager = $.NewPositionManager()
var STATE_IDLE = 0;
var STATE_LONG = 1;
var STATE_SHORT = 2;
function init () {
for (var i = 0 ; i < _Symbols.length ; i++) {
_Symbols[i].State = STATE_IDLE
_Symbols[i].LastBarTime = 0
_Symbols[i].UpTrack = 0
_Symbols[i].DownTrack = 0
}
}
function DualThrustProcess (symbols) {
for (var i = 0 ; i < symbols.length ; i++) {
var ContractTypeName = symbols[i].ContractTypeName
var NPeriod = symbols[i].NPeriod
var Ks = symbols[i].Ks
var Kx = symbols[i].Kx
var AmountOP = symbols[i].AmountOP
// 首先判断是不是在交易时间
if (!$.IsTrading(ContractTypeName)) {
continue
}
// 切换为当前 symbol 参数的合约
var insDetail = _C(exchange.SetContractType, ContractTypeName)
// 判断K线长度
var records = _C(exchange.GetRecords);
if (!records || records.length <= NPeriod) {
LogStatus("Calc Bars...");
continue
}
var Bar = records[records.length - 1]
if (symbols[i].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)
symbols[i].UpTrack = _N(Bar.Open + (Ks * Range))
symbols[i].DownTrack = _N(Bar.Open - (Kx * Range))
symbols[i].LastBarTime = Bar.Time;
}
if (symbols[i].State === STATE_IDLE || symbols[i].State === STATE_SHORT) {
if (Bar.Close >= symbols[i].UpTrack) {
if (symbols[i].State !== STATE_IDLE) {
Log(ContractTypeName, "平空仓")
manager.Cover(ContractTypeName);
}
Log(ContractTypeName, "开多仓")
manager.OpenLong(ContractTypeName, AmountOP);
symbols[i].State = STATE_LONG;
}
}
if (symbols[i].State === STATE_IDLE || symbols[i].State === STATE_LONG) {
if (Bar.Close <= symbols[i].DownTrack) {
if (symbols[i].State !== STATE_IDLE) {
Log(ContractTypeName, "平多仓")
manager.Cover(ContractTypeName);
}
Log(ContractTypeName, "开空仓")
manager.OpenShort(ContractTypeName, AmountOP);
symbols[i].State = STATE_SHORT;
}
}
}
}
function main(){
while(true){
if(exchange.IO("status")){
LogStatus(_D(), "已经连接CTP !")
DualThrustProcess(_Symbols)
} else {
LogStatus(_D(), "未连接CTP !")
}
Sleep(1000)
}
}
template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6