目前不清退的交易所推荐:
1、全球第二大交易所OKX欧意
国区邀请链接: https://www.myts3cards.com/cn/join/1837888 币种多,交易量大!
国际邀请链接:https://www.okx.com/join/1837888 注册简单,交易不需要实名,新用户能开合约,币种多,交易量大!
2、老牌交易所比特儿现改名叫芝麻开门 :https://www.gate.win/signup/649183
全球最大交易所币安,国区邀请链接:https://accounts.binance.com/zh-CN/register?ref=16003031 币安注册不了IP地址用香港,居住地选香港,认证照旧,邮箱推荐如gmail、outlook。支持币种多,交易安全!
买好币上KuCoin:https://www.kucoin.com/r/af/1f7w3 CoinMarketCap前五的交易所,注册友好操简单快捷!
FMZ量化交易平台邀请链接:https://www.fmz.com/
JavaScript版本SuperTrend策略
TV上的SuperTrend指标有多种版本,找了一个比较容易看懂的算法移植的,对比在发明者量化交易平台回测系统TV图表上加载的SuperTrend指标,发现略有差异,暂时没弄明白原因,期盼各位读者大神指导,我先抛砖引玉。
SuperTrend 指标JavaScript版本算法
// VIA: https://github.com/freqtrade/freqtrade-strategies/issues/30
function SuperTrend(r, period, multiplier) {
// atr
var atr = talib.ATR(r, period)
// baseUp , baseDown
var baseUp = []
var baseDown = []
for (var i = 0; i < r.length; i++) {
if (isNaN(atr[i])) {
baseUp.push(NaN)
baseDown.push(NaN)
continue
}
baseUp.push((r[i].High + r[i].Low) / 2 + multiplier * atr[i])
baseDown.push((r[i].High + r[i].Low) / 2 - multiplier * atr[i])
}
// fiUp , fiDown
var fiUp = []
var fiDown = []
var prevFiUp = 0
var prevFiDown = 0
for (var i = 0; i < r.length; i++) {
if (isNaN(baseUp[i])) {
fiUp.push(NaN)
} else {
fiUp.push(baseUp[i] < prevFiUp || r[i - 1].Close > prevFiUp ? baseUp[i] : prevFiUp)
prevFiUp = fiUp[i]
}
if (isNaN(baseDown[i])) {
fiDown.push(NaN)
} else {
fiDown.push(baseDown[i] > prevFiDown || r[i - 1].Close < prevFiDown ? baseDown[i] : prevFiDown)
prevFiDown = fiDown[i]
}
}
var st = []
var prevSt = NaN
for (var i = 0; i < r.length; i++) {
if (i < period) {
st.push(NaN)
continue
}
var nowSt = 0
if (((isNaN(prevSt) && isNaN(fiUp[i - 1])) || prevSt == fiUp[i - 1]) && r[i].Close <= fiUp[i]) {
nowSt = fiUp[i]
} else if (((isNaN(prevSt) && isNaN(fiUp[i - 1])) || prevSt == fiUp[i - 1]) && r[i].Close > fiUp[i]) {
nowSt = fiDown[i]
} else if (((isNaN(prevSt) && isNaN(fiDown[i - 1])) || prevSt == fiDown[i - 1]) && r[i].Close >= fiDown[i]) {
nowSt = fiDown[i]
} else if (((isNaN(prevSt) && isNaN(fiDown[i - 1])) || prevSt == fiDown[i - 1]) && r[i].Close < fiDown[i]) {
nowSt = fiUp[i]
}
st.push(nowSt)
prevSt = st[i]
}
var up = []
var down = []
for (var i = 0; i < r.length; i++) {
if (isNaN(st[i])) {
up.push(st[i])
down.push(st[i])
}
if (r[i].Close < st[i]) {
down.push(st[i])
up.push(NaN)
} else {
down.push(NaN)
up.push(st[i])
}
}
return [up, down]
}
// 测试指标用的main函数,并非交易策略
function main() {
while (1) {
var r = _C(exchange.GetRecords)
var st = SuperTrend(r, 10, 3)
$.PlotRecords(r, \"K\")
$.PlotLine(\"L\", st[0][st[0].length - 2], r[r.length - 2].Time)
$.PlotLine(\"S\", st[1][st[1].length - 2], r[r.length - 2].Time)
Sleep(2000)
}
}
测试代码回测对比:
一个使用SuperTrend指标的简单策略
交易逻辑部分,比较简单,就是当空头趋势转为多头趋势时,开多仓。
多头趋势转为空头趋势时开空仓。
策略参数:
SuperTrend交易策略
/*backtest
start: 2019-08-01 00:00:00
end: 2020-03-11 00:00:00
period: 15m
basePeriod: 5m
exchanges: [{\"eid\":\"Futures_OKCoin\",\"currency\":\"BTC_USD\"}]
*/
// 全局变量
var OpenAmount = 0 // 开仓后持仓的数量
var KeepAmount = 0 // 保留仓位
var IDLE = 0
var LONG = 1
var SHORT = 2
var COVERLONG = 3
var COVERSHORT = 4
var COVERLONG_PART = 5
var COVERSHORT_PART = 6
var OPENLONG = 7
var OPENSHORT = 8
var State = IDLE
// 交易逻辑部分
function GetPosition(posType) {
var positions = _C(exchange.GetPosition)
/*
if(positions.length > 1){
throw \"positions error:\" + JSON.stringify(positions)
}
*/
var count = 0
for(var j = 0; j < positions.length; j++){
if(positions[j].ContractType == Symbol){
count++
}
}
if(count > 1){
throw \"positions error:\" + JSON.stringify(positions)
}
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType == Symbol && positions[i].Type === posType) {
return [positions[i].Price, positions[i].Amount];
}
}
Sleep(TradeInterval);
return [0, 0]
}
function CancelPendingOrders() {
while (true) {
var orders = _C(exchange.GetOrders)
for (var i = 0; i < orders.length; i++) {
exchange.CancelOrder(orders[i].Id);
Sleep(TradeInterval);
}
if (orders.length === 0) {
break;
}
}
}
function Trade(Type, Price, Amount, CurrPos, OnePriceTick){ // 处理交易
if(Type == OPENLONG || Type == OPENSHORT){ // 处理开仓
exchange.SetDirection(Type == OPENLONG ? \"buy\" : \"sell\")
var pfnOpen = Type == OPENLONG ? exchange.Buy : exchange.Sell
var idOpen = pfnOpen(Price, Amount, CurrPos, OnePriceTick, Type)
Sleep(TradeInterval)
if(idOpen) {
exchange.CancelOrder(idOpen)
} else {
CancelPendingOrders()
}
} else if(Type == COVERLONG || Type == COVERSHORT){ // 处理平仓
exchange.SetDirection(Type == COVERLONG ? \"closebuy\" : \"closesell\")
var pfnCover = Type == COVERLONG ? exchange.Sell : exchange.Buy
var idCover = pfnCover(Price, Amount, CurrPos, OnePriceTick, Type)
Sleep(TradeInterval)
if(idCover){
exchange.CancelOrder(idCover)
} else {
CancelPendingOrders()
}
} else {
throw \"Type error:\" + Type
}
}
function SuperTrend(r, period, multiplier) {
// atr
var atr = talib.ATR(r, period)
// baseUp , baseDown
var baseUp = []
var baseDown = []
for (var i = 0; i < r.length; i++) {
if (isNaN(atr[i])) {
baseUp.push(NaN)
baseDown.push(NaN)
continue
}
baseUp.push((r[i].High + r[i].Low) / 2 + multiplier * atr[i])
baseDown.push((r[i].High + r[i].Low) / 2 - multiplier * atr[i])
}
// fiUp , fiDown
var fiUp = []
var fiDown = []
var prevFiUp = 0
var prevFiDown = 0
for (var i = 0; i < r.length; i++) {
if (isNaN(baseUp[i])) {
fiUp.push(NaN)
} else {
fiUp.push(baseUp[i] < prevFiUp || r[i - 1].Close > prevFiUp ? baseUp[i] : prevFiUp)
prevFiUp = fiUp[i]
}
if (isNaN(baseDown[i])) {
fiDown.push(NaN)
} else {
fiDown.push(baseDown[i] > prevFiDown || r[i - 1].Close < prevFiDown ? baseDown[i] : prevFiDown)
prevFiDown = fiDown[i]
}
}
var st = []
var prevSt = NaN
for (var i = 0; i < r.length; i++) {
if (i < period) {
st.push(NaN)
continue
}
var nowSt = 0
if (((isNaN(prevSt) && isNaN(fiUp[i - 1])) || prevSt == fiUp[i - 1]) && r[i].Close <= fiUp[i]) {
nowSt = fiUp[i]
} else if (((isNaN(prevSt) && isNaN(fiUp[i - 1])) || prevSt == fiUp[i - 1]) && r[i].Close > fiUp[i]) {
nowSt = fiDown[i]
} else if (((isNaN(prevSt) && isNaN(fiDown[i - 1])) || prevSt == fiDown[i - 1]) && r[i].Close >= fiDown[i]) {
nowSt = fiDown[i]
} else if (((isNaN(prevSt) && isNaN(fiDown[i - 1])) || prevSt == fiDown[i - 1]) && r[i].Close < fiDown[i]) {
nowSt = fiUp[i]
}
st.push(nowSt)
prevSt = st[i]
}
var up = []
var down = []
for (var i = 0; i < r.length; i++) {
if (isNaN(st[i])) {
up.push(st[i])
down.push(st[i])
}
if (r[i].Close < st[i]) {
down.push(st[i])
up.push(NaN)
} else {
down.push(NaN)
up.push(st[i])
}
}
return [up, down]
}
var preTime = 0
function main() {
exchange.SetContractType(Symbol)
while (1) {
var r = _C(exchange.GetRecords)
var currBar = r[r.length - 1]
if (r.length < pd) {
Sleep(5000)
continue
}
var st = SuperTrend(r, pd, factor)
$.PlotRecords(r, \"K\")
$.PlotLine(\"L\", st[0][st[0].length - 2], r[r.length - 2].Time)
$.PlotLine(\"S\", st[1][st[1].length - 2], r[r.length - 2].Time)
if(!isNaN(st[0][st[0].length - 2]) && isNaN(st[0][st[0].length - 3])){
if (State == SHORT) {
State = COVERSHORT
} else if(State == IDLE) {
State = OPENLONG
}
}
if(!isNaN(st[1][st[1].length - 2]) && isNaN(st[1][st[1].length - 3])){
if (State == LONG) {
State = COVERLONG
} else if (State == IDLE) {
State = OPENSHORT
}
}
// 执行信号
var pos = null
var price = null
if(State == OPENLONG){ // 开多仓
pos = GetPosition(PD_LONG) // 检查持仓
// 判断是不是 满足状态,如果满足 修改状态
if(pos[1] >= Amount){ // 持仓超过或者等于参数设置的 开仓量
Sleep(1000)
$.PlotFlag(currBar.Time, \"开多仓\", \'OL\') // 标记
OpenAmount = pos[1] // 记录开仓数
State = LONG // 标记为 做多状态
continue
}
price = currBar.Close - (currBar.Close % PriceTick) + PriceTick * 2 // 计算价格
Trade(OPENLONG, price, Amount - pos[1], pos, PriceTick) // 下单函数 (Type, Price, Amount, CurrPos, PriceTick)
}
if(State == OPENSHORT){ // 开空仓
pos = GetPosition(PD_SHORT) // 检查持仓
if(pos[1] >= Amount){
Sleep(1000)
$.PlotFlag(currBar.Time, \"开空仓\", \'OS\')
OpenAmount = pos[1]
State = SHORT
continue
}
price = currBar.Close - (currBar.Close % PriceTick) - PriceTick * 2
Trade(OPENSHORT, price, Amount - pos[1], pos, PriceTick)
}
if(State == COVERLONG){ // 处理平多仓
pos = GetPosition(PD_LONG) // 获取持仓信息
if(pos[1] == 0){ // 判断持仓是否为 0
$.PlotFlag(currBar.Time, \"平多仓\", \'----CL\') // 标记
State = IDLE
continue
}
price = currBar.Close - (currBar.Close % PriceTick) - PriceTick * 2
Trade(COVERLONG, price, pos[1], pos, PriceTick)
}
if(State == COVERSHORT){ // 处理做多仓
pos = GetPosition(PD_SHORT)
if(pos[1] == 0){
$.PlotFlag(currBar.Time, \"平空仓\", \'----CS\')
State = IDLE
continue
}
price = currBar.Close - (currBar.Close % PriceTick) + PriceTick * 2
Trade(COVERSHORT, price, pos[1], pos, PriceTick)
}
if(State == COVERLONG_PART) { // 部分平多仓
pos = GetPosition(PD_LONG) // 获取持仓
if(pos[1] <= KeepAmount){ // 持仓小于等于 保持量,本次平仓完成
$.PlotFlag(currBar.Time, \"平多仓,保留:\" + KeepAmount, \'----CL\') // 标记
State = pos[1] == 0 ? IDLE : LONG // 更新状态
continue
}
price = currBar.Close - (currBar.Close % PriceTick) - PriceTick * 2
Trade(COVERLONG, price, pos[1] - KeepAmount, pos, PriceTick)
}
if(State == COVERSHORT_PART){
pos = GetPosition(PD_SHORT)
if(pos[1] <= KeepAmount){
$.PlotFlag(currBar.Time, \"平空仓,保留:\" + KeepAmount, \'----CS\')
State = pos[1] == 0 ? IDLE : SHORT
continue
}
price = currBar.Close - (currBar.Close % PriceTick) + PriceTick * 2
Trade(COVERSHORT, price, pos[1] - KeepAmount, pos, PriceTick)
}
LogStatus(_D())
Sleep(1000)
}
}
策略地址:https://www.fmz.com/strategy/201837
回测绩效
参数设置,K线周期,参考: homily 大神的SuperTrend V.1–超级趋势线系统
K线周期设置15分钟,SuperTrend参数设置45,3。回测OKEX期货quarter合约最近一年的时间,设置每次交易一张合约,由于设置每次只交易一张合约,所以资金利用率很低,不用在意夏普值。
策略仅供学习,实盘慎用。
FMZ量化交易平台邀请链接:https://www.fmz.com/
全球最大交易所币安,国区邀请链接:https://accounts.binance.com/zh-CN/register?ref=16003031 币安注册不了IP地址用香港,居住地选香港,认证照旧,邮箱推荐如gmail、outlook。支持币种多,交易安全!
买好币上KuCoin:https://www.kucoin.com/r/af/1f7w3 CoinMarketCap前五的交易所,注册友好操简单快捷!
目前不清退的交易所推荐:
1、全球第二大交易所OKX欧意,邀请链接:https://www.myts3cards.com/cn/join/1837888 注册简单,交易不需要实名,新用户能开合约,币种多,交易量大!。
2、老牌交易所比特儿现改名叫芝麻开门 :https://www.gate.win/signup/649183
买好币上币库:https://www.kucoin.com/r/1f7w3
火必所有用户现在可用了,但是要重新注册账号火币:https://www.huobi.com
全球最大交易所币安,
国区邀请链接:https://accounts.suitechsui.mobi/zh-CN/register?ref=16003031 支持86手机号码,网页直接注册。
// VIA: https://github.com/freqtrade/freqtrade-strategies/issues/30
function SuperTrend(r, period, multiplier) {
// atr
var atr = talib.ATR(r, period)
// baseUp , baseDown
var baseUp = []
var baseDown = []
for (var i = 0; i < r.length; i++) {
if (isNaN(atr[i])) {
baseUp.push(NaN)
baseDown.push(NaN)
continue
}
baseUp.push((r[i].High + r[i].Low) / 2 + multiplier * atr[i])
baseDown.push((r[i].High + r[i].Low) / 2 - multiplier * atr[i])
}
// fiUp , fiDown
var fiUp = []
var fiDown = []
var prevFiUp = 0
var prevFiDown = 0
for (var i = 0; i < r.length; i++) {
if (isNaN(baseUp[i])) {
fiUp.push(NaN)
} else {
fiUp.push(baseUp[i] < prevFiUp || r[i - 1].Close > prevFiUp ? baseUp[i] : prevFiUp)
prevFiUp = fiUp[i]
}
if (isNaN(baseDown[i])) {
fiDown.push(NaN)
} else {
fiDown.push(baseDown[i] > prevFiDown || r[i - 1].Close < prevFiDown ? baseDown[i] : prevFiDown)
prevFiDown = fiDown[i]
}
}
var st = []
var prevSt = NaN
for (var i = 0; i < r.length; i++) {
if (i < period) {
st.push(NaN)
continue
}
var nowSt = 0
if (((isNaN(prevSt) && isNaN(fiUp[i - 1])) || prevSt == fiUp[i - 1]) && r[i].Close <= fiUp[i]) {
nowSt = fiUp[i]
} else if (((isNaN(prevSt) && isNaN(fiUp[i - 1])) || prevSt == fiUp[i - 1]) && r[i].Close > fiUp[i]) {
nowSt = fiDown[i]
} else if (((isNaN(prevSt) && isNaN(fiDown[i - 1])) || prevSt == fiDown[i - 1]) && r[i].Close >= fiDown[i]) {
nowSt = fiDown[i]
} else if (((isNaN(prevSt) && isNaN(fiDown[i - 1])) || prevSt == fiDown[i - 1]) && r[i].Close < fiDown[i]) {
nowSt = fiUp[i]
}
st.push(nowSt)
prevSt = st[i]
}
var up = []
var down = []
for (var i = 0; i < r.length; i++) {
if (isNaN(st[i])) {
up.push(st[i])
down.push(st[i])
}
if (r[i].Close < st[i]) {
down.push(st[i])
up.push(NaN)
} else {
down.push(NaN)
up.push(st[i])
}
}
return [up, down]
}
// 测试指标用的main函数,并非交易策略
function main() {
while (1) {
var r = _C(exchange.GetRecords)
var st = SuperTrend(r, 10, 3)
$.PlotRecords(r, \"K\")
$.PlotLine(\"L\", st[0][st[0].length - 2], r[r.length - 2].Time)
$.PlotLine(\"S\", st[1][st[1].length - 2], r[r.length - 2].Time)
Sleep(2000)
}
}
多头趋势转为空头趋势时开空仓。
/*backtest
start: 2019-08-01 00:00:00
end: 2020-03-11 00:00:00
period: 15m
basePeriod: 5m
exchanges: [{\"eid\":\"Futures_OKCoin\",\"currency\":\"BTC_USD\"}]
*/
// 全局变量
var OpenAmount = 0 // 开仓后持仓的数量
var KeepAmount = 0 // 保留仓位
var IDLE = 0
var LONG = 1
var SHORT = 2
var COVERLONG = 3
var COVERSHORT = 4
var COVERLONG_PART = 5
var COVERSHORT_PART = 6
var OPENLONG = 7
var OPENSHORT = 8
var State = IDLE
// 交易逻辑部分
function GetPosition(posType) {
var positions = _C(exchange.GetPosition)
/*
if(positions.length > 1){
throw \"positions error:\" + JSON.stringify(positions)
}
*/
var count = 0
for(var j = 0; j < positions.length; j++){
if(positions[j].ContractType == Symbol){
count++
}
}
if(count > 1){
throw \"positions error:\" + JSON.stringify(positions)
}
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType == Symbol && positions[i].Type === posType) {
return [positions[i].Price, positions[i].Amount];
}
}
Sleep(TradeInterval);
return [0, 0]
}
function CancelPendingOrders() {
while (true) {
var orders = _C(exchange.GetOrders)
for (var i = 0; i < orders.length; i++) {
exchange.CancelOrder(orders[i].Id);
Sleep(TradeInterval);
}
if (orders.length === 0) {
break;
}
}
}
function Trade(Type, Price, Amount, CurrPos, OnePriceTick){ // 处理交易
if(Type == OPENLONG || Type == OPENSHORT){ // 处理开仓
exchange.SetDirection(Type == OPENLONG ? \"buy\" : \"sell\")
var pfnOpen = Type == OPENLONG ? exchange.Buy : exchange.Sell
var idOpen = pfnOpen(Price, Amount, CurrPos, OnePriceTick, Type)
Sleep(TradeInterval)
if(idOpen) {
exchange.CancelOrder(idOpen)
} else {
CancelPendingOrders()
}
} else if(Type == COVERLONG || Type == COVERSHORT){ // 处理平仓
exchange.SetDirection(Type == COVERLONG ? \"closebuy\" : \"closesell\")
var pfnCover = Type == COVERLONG ? exchange.Sell : exchange.Buy
var idCover = pfnCover(Price, Amount, CurrPos, OnePriceTick, Type)
Sleep(TradeInterval)
if(idCover){
exchange.CancelOrder(idCover)
} else {
CancelPendingOrders()
}
} else {
throw \"Type error:\" + Type
}
}
function SuperTrend(r, period, multiplier) {
// atr
var atr = talib.ATR(r, period)
// baseUp , baseDown
var baseUp = []
var baseDown = []
for (var i = 0; i < r.length; i++) {
if (isNaN(atr[i])) {
baseUp.push(NaN)
baseDown.push(NaN)
continue
}
baseUp.push((r[i].High + r[i].Low) / 2 + multiplier * atr[i])
baseDown.push((r[i].High + r[i].Low) / 2 - multiplier * atr[i])
}
// fiUp , fiDown
var fiUp = []
var fiDown = []
var prevFiUp = 0
var prevFiDown = 0
for (var i = 0; i < r.length; i++) {
if (isNaN(baseUp[i])) {
fiUp.push(NaN)
} else {
fiUp.push(baseUp[i] < prevFiUp || r[i - 1].Close > prevFiUp ? baseUp[i] : prevFiUp)
prevFiUp = fiUp[i]
}
if (isNaN(baseDown[i])) {
fiDown.push(NaN)
} else {
fiDown.push(baseDown[i] > prevFiDown || r[i - 1].Close < prevFiDown ? baseDown[i] : prevFiDown)
prevFiDown = fiDown[i]
}
}
var st = []
var prevSt = NaN
for (var i = 0; i < r.length; i++) {
if (i < period) {
st.push(NaN)
continue
}
var nowSt = 0
if (((isNaN(prevSt) && isNaN(fiUp[i - 1])) || prevSt == fiUp[i - 1]) && r[i].Close <= fiUp[i]) {
nowSt = fiUp[i]
} else if (((isNaN(prevSt) && isNaN(fiUp[i - 1])) || prevSt == fiUp[i - 1]) && r[i].Close > fiUp[i]) {
nowSt = fiDown[i]
} else if (((isNaN(prevSt) && isNaN(fiDown[i - 1])) || prevSt == fiDown[i - 1]) && r[i].Close >= fiDown[i]) {
nowSt = fiDown[i]
} else if (((isNaN(prevSt) && isNaN(fiDown[i - 1])) || prevSt == fiDown[i - 1]) && r[i].Close < fiDown[i]) {
nowSt = fiUp[i]
}
st.push(nowSt)
prevSt = st[i]
}
var up = []
var down = []
for (var i = 0; i < r.length; i++) {
if (isNaN(st[i])) {
up.push(st[i])
down.push(st[i])
}
if (r[i].Close < st[i]) {
down.push(st[i])
up.push(NaN)
} else {
down.push(NaN)
up.push(st[i])
}
}
return [up, down]
}
var preTime = 0
function main() {
exchange.SetContractType(Symbol)
while (1) {
var r = _C(exchange.GetRecords)
var currBar = r[r.length - 1]
if (r.length < pd) {
Sleep(5000)
continue
}
var st = SuperTrend(r, pd, factor)
$.PlotRecords(r, \"K\")
$.PlotLine(\"L\", st[0][st[0].length - 2], r[r.length - 2].Time)
$.PlotLine(\"S\", st[1][st[1].length - 2], r[r.length - 2].Time)
if(!isNaN(st[0][st[0].length - 2]) && isNaN(st[0][st[0].length - 3])){
if (State == SHORT) {
State = COVERSHORT
} else if(State == IDLE) {
State = OPENLONG
}
}
if(!isNaN(st[1][st[1].length - 2]) && isNaN(st[1][st[1].length - 3])){
if (State == LONG) {
State = COVERLONG
} else if (State == IDLE) {
State = OPENSHORT
}
}
// 执行信号
var pos = null
var price = null
if(State == OPENLONG){ // 开多仓
pos = GetPosition(PD_LONG) // 检查持仓
// 判断是不是 满足状态,如果满足 修改状态
if(pos[1] >= Amount){ // 持仓超过或者等于参数设置的 开仓量
Sleep(1000)
$.PlotFlag(currBar.Time, \"开多仓\", \'OL\') // 标记
OpenAmount = pos[1] // 记录开仓数
State = LONG // 标记为 做多状态
continue
}
price = currBar.Close - (currBar.Close % PriceTick) + PriceTick * 2 // 计算价格
Trade(OPENLONG, price, Amount - pos[1], pos, PriceTick) // 下单函数 (Type, Price, Amount, CurrPos, PriceTick)
}
if(State == OPENSHORT){ // 开空仓
pos = GetPosition(PD_SHORT) // 检查持仓
if(pos[1] >= Amount){
Sleep(1000)
$.PlotFlag(currBar.Time, \"开空仓\", \'OS\')
OpenAmount = pos[1]
State = SHORT
continue
}
price = currBar.Close - (currBar.Close % PriceTick) - PriceTick * 2
Trade(OPENSHORT, price, Amount - pos[1], pos, PriceTick)
}
if(State == COVERLONG){ // 处理平多仓
pos = GetPosition(PD_LONG) // 获取持仓信息
if(pos[1] == 0){ // 判断持仓是否为 0
$.PlotFlag(currBar.Time, \"平多仓\", \'----CL\') // 标记
State = IDLE
continue
}
price = currBar.Close - (currBar.Close % PriceTick) - PriceTick * 2
Trade(COVERLONG, price, pos[1], pos, PriceTick)
}
if(State == COVERSHORT){ // 处理做多仓
pos = GetPosition(PD_SHORT)
if(pos[1] == 0){
$.PlotFlag(currBar.Time, \"平空仓\", \'----CS\')
State = IDLE
continue
}
price = currBar.Close - (currBar.Close % PriceTick) + PriceTick * 2
Trade(COVERSHORT, price, pos[1], pos, PriceTick)
}
if(State == COVERLONG_PART) { // 部分平多仓
pos = GetPosition(PD_LONG) // 获取持仓
if(pos[1] <= KeepAmount){ // 持仓小于等于 保持量,本次平仓完成
$.PlotFlag(currBar.Time, \"平多仓,保留:\" + KeepAmount, \'----CL\') // 标记
State = pos[1] == 0 ? IDLE : LONG // 更新状态
continue
}
price = currBar.Close - (currBar.Close % PriceTick) - PriceTick * 2
Trade(COVERLONG, price, pos[1] - KeepAmount, pos, PriceTick)
}
if(State == COVERSHORT_PART){
pos = GetPosition(PD_SHORT)
if(pos[1] <= KeepAmount){
$.PlotFlag(currBar.Time, \"平空仓,保留:\" + KeepAmount, \'----CS\')
State = pos[1] == 0 ? IDLE : SHORT
continue
}
price = currBar.Close - (currBar.Close % PriceTick) + PriceTick * 2
Trade(COVERSHORT, price, pos[1] - KeepAmount, pos, PriceTick)
}
LogStatus(_D())
Sleep(1000)
}
}
K线周期设置15分钟,SuperTrend参数设置45,3。回测OKEX期货quarter合约最近一年的时间,设置每次交易一张合约,由于设置每次只交易一张合约,所以资金利用率很低,不用在意夏普值。
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