股票DualThrust策略
Author: 雨幕（youquant）, Date: 2020-11-24 18:37:12Tags: 趋势
股票DualThrust策略
最近优宽量化交易平台支持了富途证券，进一步增加了一个可以实战程序化交易、量化交易的市场。有很多古老的策略可以拿出来玩一玩，最起码可以测试一下模拟盘交易，毕竟国内股票市场程序化、量化这些技术还都是大机构、大庄家的工具。我们小散能体验一把股票市场的自动化交易还是很令人兴奋的~！
注册富途证券，开户后即可使用模拟盘，详细帖子可以参考：https://www.youquant.com/bbs-topic/6270
接下来就要讲一下非常经典的策略了Dual Thrust，这个策略是小编我在youquant.com学习程序化交易交易入门的第一个策略。在youquant.com上这个策略有很多版本，例如：商品期货版本，数字货币版本等，以及各种不同编程语言的版本。为什么这个策略比较适合入门呢？因为这个策略涵盖了策略开发的很多方面，诸如策略图表，实时状态信息显示，数据处理，交易逻辑设计等等。并且策略并不复杂，代码也不难懂。本文讲解的这个「股票版Dual Thrust策略」移植自商品期货版的DualThrust策略。 …
策略目前仅为测试版，仅为交流学习，实盘可以自行修改优化。
策略相关文章： https://www.youquant.com/digest-topic/6289
更新
- 2020.12.14
增加对于服务器时区不同的判断、调整。
function newDate() { var timezone = 8 //目标时区时间，东八区 var offset_GMT = new Date().getTimezoneOffset() // 本地时间和格林威治的时间差，单位为分钟 var nowDate = new Date().getTime() // 本地时间距 1970 年 1 月 1 日午夜（GMT 时间）之间的毫秒数 var targetDate = new Date(nowDate + offset_GMT * 60 * 1000 + timezone * 60 * 60 * 1000) return targetDate }
var Ids = [] // ["600519.SH", "600121.SH"]
var _Symbols = []
var STATE_IDLE = 0
var STATE_LONG = 1
var SlideTick = 2
var StatusMsg = ""
var _Chart = null
var _ArrChart = []
var Interval = 1000
var ArrStateStr = ["空闲", "多仓"]
function newDate() {
var timezone = 8 //目标时区时间，东八区
var offset_GMT = new Date().getTimezoneOffset() // 本地时间和格林威治的时间差，单位为分钟
var nowDate = new Date().getTime() // 本地时间距 1970 年 1 月 1 日午夜（GMT 时间）之间的毫秒数
var targetDate = new Date(nowDate + offset_GMT * 60 * 1000 + timezone * 60 * 60 * 1000)
return targetDate
}
function GetPosition(e, contractTypeName) {
var allAmount = 0
var allProfit = 0
var allFrozen = 0
var posMargin = 0
var price = 0
var direction = null
positions = _C(e.GetPosition)
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType != contractTypeName) {
continue
}
if (positions[i].Type == PD_LONG) {
posMargin = positions[i].MarginLevel
allAmount += positions[i].Amount
allProfit += positions[i].Profit
allFrozen += positions[i].FrozenAmount
price = positions[i].Price
direction = positions[i].Type
}
}
if (allAmount === 0) {
return null
}
return {
MarginLevel: posMargin,
FrozenAmount: allFrozen,
Price: price,
Amount: allAmount,
Profit: allProfit,
Type: direction,
ContractType: contractTypeName,
CanCoverAmount: allAmount - allFrozen
}
}
function Buy(e, contractType, opAmount, insDetail) {
var initPosition = GetPosition(e, contractType)
var isFirst = true
var initAmount = initPosition ? initPosition.Amount : 0
var positionNow = initPosition
if(opAmount % insDetail.LotSize != 0) {
throw "每手数量不匹配"
}
while (true) {
var needOpen = opAmount
if (isFirst) {
isFirst = false
} else {
Sleep(Interval*20)
positionNow = GetPosition(e, contractType)
if (positionNow) {
needOpen = opAmount - (positionNow.Amount - initAmount)
}
Log("positionNow:", positionNow, "needOpen:", needOpen)// 测试
}
if (needOpen < insDetail.LotSize || needOpen % insDetail.LotSize != 0) {
break
}
var depth = _C(e.GetDepth)
// 需要检测是否涨跌停
var amount = needOpen
e.SetDirection("buy")
var orderId = e.Buy(depth.Asks[0].Price + (insDetail.PriceSpread * SlideTick), amount, contractType, 'Ask', depth.Asks[0])
// CancelPendingOrders
while (true) {
Sleep(Interval*20)
var orders = _C(e.GetOrders)
if (orders.length === 0) {
break
}
for (var j = 0; j < orders.length; j++) {
e.CancelOrder(orders[j].Id)
if (j < (orders.length - 1)) {
Sleep(Interval*20)
}
}
}
}
var ret = null
if (!positionNow) {
return ret
}
ret = positionNow
return ret
}
function Sell(e, contractType, lots, insDetail) {
var initAmount = 0
var firstLoop = true
if(lots % insDetail.LotSize != 0) {
throw "每手数量不匹配"
}
while (true) {
var n = 0
var total = 0
var positions = _C(e.GetPosition)
var nowAmount = 0
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType != contractType) {
continue
}
nowAmount += positions[i].Amount
}
if (firstLoop) {
initAmount = nowAmount
firstLoop = false
}
var amountChange = initAmount - nowAmount
if (typeof(lots) == 'number' && amountChange >= lots) {
break
}
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType != contractType) {
continue
}
var amount = positions[i].Amount
var depth
var opAmount = 0
var opPrice = 0
if (positions[i].Type == PD_LONG) {
depth = _C(e.GetDepth)
// 需要检测是否涨跌停
opAmount = amount
opPrice = depth.Bids[0].Price - (insDetail.PriceSpread * SlideTick)
}
if (typeof(lots) === 'number') {
opAmount = Math.min(opAmount, lots - (initAmount - nowAmount))
}
if (opAmount > 0) {
if (positions[i].Type == PD_LONG) {
e.SetDirection("closebuy")
e.Sell(opPrice, opAmount, contractType, "平仓", 'Bid', depth.Bids[0])
}
n++
}
// break to check always
if (typeof(lots) === 'number') {
break
}
}
if (n === 0) {
break
}
while (true) {
Sleep(Interval*20)
var orders = _C(e.GetOrders)
if (orders.length === 0) {
break
}
for (var j = 0; j < orders.length; j++) {
e.CancelOrder(orders[j].Id)
if (j < (orders.length - 1)) {
Sleep(Interval*20)
}
}
}
}
}
/*
1、9:15-9:25为开盘集合竞价；
2、9:30-11：30，13:00-14:57为连续竞价阶段；
3、14:57-15:00为收盘集合竞价。
*/
function IsTrading() {
var now = newDate() // 使用 newDate() 代替 new Date() 因为服务器时区问题
var day = now.getDay()
var hour = now.getHours()
var minute = now.getMinutes()
StatusMsg = "非交易时段"
if (day === 0 || day === 6) {
return false
}
if((hour == 9 && minute >= 30) || (hour == 11 && minute < 30) || (hour > 9 && hour < 11)) {
// 9:30-11：30
StatusMsg = "交易时段"
return true
} else if (hour >= 13 && hour < 15) {
// 13:00-15:00
StatusMsg = "交易时段"
return true
}
return false
}
function init () {
Ids = JSON.parse(StrIds)
for (var i = 0 ; i < Ids.length ; i++) {
_Symbols[i] = {}
_Symbols[i].ContractTypeName = Ids[i]
_Symbols[i].NPeriod = NPeriod
_Symbols[i].Ks = KS
_Symbols[i].Kx = KX
_Symbols[i].AmountOP = AmountOP
_Symbols[i].State = STATE_IDLE
_Symbols[i].LastBarTime = 0
_Symbols[i].UpTrack = 0
_Symbols[i].DownTrack = 0
_Symbols[i].ChartIndex = i
_Symbols[i].Status = ""
_Symbols[i].Pos = null
_Symbols[i].ChartCfg = {
__isStock: true,
title: {
text: Ids[i]
},
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: []
}]
}
_ArrChart.push(_Symbols[i].ChartCfg)
}
_Chart = Chart(_ArrChart)
_Chart.reset()
}
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
// 切换为当前 symbol 参数的合约
var insDetail = _C(exchange.SetContractType, contractTypeName)
symbols[i].InstrumentName = insDetail.InstrumentName
// 判断是不是交易状态
if (!insDetail.IsTrading || !IsTrading()) {
continue
}
// 判断K线长度
var records = exchange.GetRecords()
Sleep(3000)
var ticker = exchange.GetTicker()
Sleep(3000)
var depth = exchange.GetDepth()
if (!records || records.length <= NPeriod) {
StatusMsg = "Calc Bars..."
continue
}
if (!ticker) {
continue
}
if (!depth || depth.Bids[0].Amount == 0 || depth.Asks[0].Amount == 0) {
// 标记涨跌停
symbols[i].Status = "涨跌停"
continue
}
symbols[i].Status = "正常交易"
var Bar = records[records.length - 1]
var index = symbols[i].ChartIndex
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))
if (symbols[i].LastBarTime > 0) {
var PreBar = records[records.length - 2]
_Chart.add(index, [PreBar.Time, PreBar.Open, PreBar.High, PreBar.Low, PreBar.Close], -1)
} else {
for (var j = Math.min(records.length, NPeriod * 3); j > 1; j--) {
var b = records[records.length - j]
_Chart.add(index, [b.Time, b.Open, b.High, b.Low, b.Close])
}
}
_Chart.add(index, [Bar.Time, Bar.Open, Bar.High, Bar.Low, Bar.Close])
symbols[i].ChartCfg.yAxis.plotLines[0].value = symbols[i].UpTrack
symbols[i].ChartCfg.yAxis.plotLines[1].value = symbols[i].DownTrack
symbols[i].ChartCfg.subtitle = {
text: '上轨: ' + symbols[i].UpTrack + ' 下轨: ' + symbols[i].DownTrack
}
_Chart.update(_ArrChart)
symbols[i].LastBarTime = Bar.Time
} else {
_Chart.add(index, [Bar.Time, Bar.Open, Bar.High, Bar.Low, Bar.Close], -1)
}
// 检测持仓
var pos = GetPosition(exchange, contractTypeName)
symbols[i].Pos = pos
var posAmount = pos ? pos.Amount : 0
// 同步持仓状态
if (symbols[i].State == STATE_IDLE && posAmount > 0) {
symbols[i].State = STATE_LONG
} else if (symbols[i].State == STATE_LONG && posAmount == 0) {
symbols[i].State = STATE_IDLE
}
if (symbols[i].State === STATE_IDLE) {
if (Bar.Close >= symbols[i].UpTrack) {
Log(contractTypeName, "开多仓")
// 开仓操作
Buy(exchange, contractTypeName, AmountOP, ticker.Info)
symbols[i].State = STATE_LONG
}
}
if (symbols[i].State === STATE_LONG && pos && AmountOP <= pos.CanCoverAmount) {
if (Bar.Close <= symbols[i].DownTrack) {
Log(contractTypeName, "平多仓")
// 平仓操作
Sell(exchange, contractTypeName, AmountOP, ticker.Info)
symbols[i].State = STATE_IDLE
}
}
}
}
function main(){
if(IsReset) {
LogReset(1)
}
SetErrorFilter("market not ready")
exchange.SetPrecision(3, 0)
if(IsVirtual() || exchange.GetCurrency() != "STOCK" || exchange.GetName() != "Futures_Futu") {
throw "不支持"
}
while(true){
var tbl = {
"type" : "table",
"title": "信息",
"cols": ["InstrumentName", "ContractTypeName", "NPeriod", "Ks", "Kx", "AmountOP", "State" ,"LastBarTime" ,"UpTrack" ,"DownTrack", "Status", "State"],
"rows": [],
}
for(var i = 0 ; i < _Symbols.length; i++) {
tbl.rows.push([_Symbols[i].InstrumentName, _Symbols[i].ContractTypeName, _Symbols[i].NPeriod, _Symbols[i].Ks, _Symbols[i].Kx, _Symbols[i].AmountOP, _Symbols[i].State, _Symbols[i].LastBarTime, _Symbols[i].UpTrack, _Symbols[i].DownTrack, _Symbols[i].Status, ArrStateStr[_Symbols[i].State]])
}
var tblPos = {
"type" : "table",
"title" : "持仓",
"cols" : ["名称", "价格", "数量", "盈亏", "类型", "冻结数量", "可平量"],
"rows" : [],
}
for (var j = 0 ; j < _Symbols.length; j++) {
if(_Symbols[j].Pos) {
tblPos.rows.push([_Symbols[j].Pos.ContractType, _Symbols[j].Pos.Price, _Symbols[j].Pos.Amount, _Symbols[j].Pos.Profit, _Symbols[j].Pos.Type, _Symbols[j].Pos.FrozenAmount, _Symbols[j].Pos.CanCoverAmount])
}
}
LogStatus(_D(), StatusMsg, "\n`" + JSON.stringify([tbl, tblPos]) + "`")
DualThrustProcess(_Symbols)
Sleep(1000)
}
}
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