简单多品种商品期货均线策略
Author: 扫地僧, Date: 2017-10-10 16:05:11Tags: 趋势商品期货多品种
商品期货类库实现了$.CTA函数的策略框架，借助该策略框架, 可以短短几十行实现一个并发稳定可实盘的多品种策略
/*backtest
start: 2017-06-01 00:00:00
end: 2017-10-01 00:00:00
period: 1d
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
*/
function main() {
// 使用了商品期货类库的CTA策略框架
$.CTA(Symbols, function(st) {
var r = st.records
var mp = st.position.amount
var symbol = st.symbol
/*
r为K线, mp为当前品种持仓数量, 正数指多仓, 负数指空仓, 0则不持仓, symbol指品种名称
返回值如为n:
n = 0 : 指全部平仓(不管当前持多持空)
n > 0 : 如果当前持多仓，则加n个多仓, 如果当前为空仓则平n个空仓,如果n大于当前持仓, 则反手开多仓
n < 0 : 如果当前持空仓，则加n个空仓, 如果当前为多仓则平n个多仓,如果-n大于当前持仓, 则反手开空仓
无返回值表示什么也不做
*/
if (r.length < SlowPeriod) {
return
}
var cross = _Cross(TA.EMA(r, FastPeriod), TA.EMA(r, SlowPeriod));
if (mp <= 0 && cross > ConfirmPeriod) {
Log(symbol, "金叉周期", cross, "当前持仓", mp);
return Lots * (mp < 0 ? 2 : 1)
} else if (mp >= 0 && cross < -ConfirmPeriod) {
Log(symbol, "死叉周期", cross, "当前持仓", mp);
return -Lots * (mp > 0 ? 2 : 1)
}
});
}
template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6