策略仅用于回测研究、分析。 相关文章：https://www.youquant.com/digest-topic/8978
/*backtest
start: 2016-05-01 00:00:00
end: 2022-02-19 23:59:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_XTP","currency":"STOCK","minFee":0}]
args: [["Instruments","600519.SH,600690.SH,600006.SH,601328.SH,600887.SH,600121.SH,601633.SH"],["ATRLength",30],["EnterPeriodA",30],["LeavePeriodA",50],["EnterPeriodB",60],["LeavePeriodB",80],["KeepRatio",5]]
*/
var SlideTick = 10 // 下单滑价点数，设置10下买单时价格加10跳
var Interval = 1000 // 程序暂停毫秒数
/*
TTManager : 海龟交易逻辑对象的构造函数
参数：needRestore, symbol, initBalance, keepBalance, riskRatio, atrLen, enterPeriodA, leavePeriodA, enterPeriodB, leavePeriodB, useFilter, multiplierN, multiplierS, maxLots
需要恢复持仓、交易品种代码、初始资产、保留资产、风险系数、ATR参数、入市周期A，离市周期A、入市周期B、离市周期B、是否使用入市过滤、加仓间隔（N的倍数）、止损系数（N的倍数）、最大加仓次数
*/
var TTManager = {
New: function(needRestore, symbol, initBalance, keepBalance, riskRatio, atrLen, enterPeriodA, leavePeriodA, enterPeriodB, leavePeriodB, useFilter,
multiplierN, multiplierS, maxLots) {
// subscribe
var symbolDetail = _C(exchange.SetContractType, symbol) // 切换合约代码，合约代码为symbol的值
if (symbolDetail.VolumeMultiple == 0) { // SetContractType会返回切换的品种的一些信息，检测返回的数据中的VolumeMultiple字段是否正常
Log(symbolDetail)
throw "股票合约信息异常"
} else {
Log("合约", symbolDetail.InstrumentName, "一手", symbolDetail.VolumeMultiple, "股, 最大下单量", symbolDetail.MaxLimitOrderVolume, ", 最小下单量", symbolDetail.VolumeMultiple) // 输出相关信息
}
// 声明当前构造函数TTManager返回的对象obj，该对象记录每个海龟交易逻辑的相关信息，例如执行的品种（股票代码）、ATR参数、加仓、止损N值系数等
var obj = {
symbol: symbol,
tradeSymbol: symbolDetail.InstrumentID,
initBalance: initBalance,
keepBalance: keepBalance,
riskRatio: riskRatio,
atrLen: atrLen,
enterPeriodA: enterPeriodA,
leavePeriodA: leavePeriodA,
enterPeriodB: enterPeriodB,
leavePeriodB: leavePeriodB,
useFilter: useFilter,
multiplierN: multiplierN,
multiplierS: multiplierS
}
obj.maxLots = maxLots
obj.lastPrice = 0
obj.symbolDetail = symbolDetail
obj.status = {
symbol: symbol,
recordsLen: 0,
vm: [],
open: 0,
cover: 0,
st: 0,
marketPosition: 0,
lastPrice: 0,
holdPrice: 0,
holdAmount: 0,
holdProfit: 0,
switchCount: 0,
N: 0,
upLine: 0,
downLine: 0,
lastErr: "",
lastErrTime: "",
stopPrice: '',
leavePrice: '',
isTrading: false
}
// 用于记录错误的函数，记录的信息会在状态栏上显示
obj.setLastError = function(err) {
if (typeof(err) === 'undefined' || err === '') {
obj.status.lastErr = ""
obj.status.lastErrTime = ""
return
}
var t = new Date()
obj.status.lastErr = err
obj.status.lastErrTime = t.toLocaleString()
}
// 获取指定股票代码的持仓数据
obj.getPosition = function(e, contractTypeName) {
var allAmount = 0
var allProfit = 0
var allFrozen = 0
var posMargin = 0
var price = 0
var direction = null
positions = _C(e.GetPosition) // 根据参数e调用指定的交易所对象的获取持仓函数GetPosition，e即代表一个配置的账户，e.GetPosition即代表获取这个账户目前的持仓数据
for (var i = 0; i < positions.length; i++) {
// 遍历持仓数据，找到指定的股票
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
}
}
// 获取当前时间对象
obj.newDate = function() {
var timezone = 8
var offset_GMT = new Date().getTimezoneOffset()
var nowDate = new Date().getTime()
var targetDate = new Date(nowDate + offset_GMT * 60 * 1000 + timezone * 60 * 60 * 1000)
return targetDate
}
// 判断是否开市
obj.isSymbolTrading = function() {
// 使用 newDate() 代替 new Date() 因为服务器时区问题
var now = obj.newDate()
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
}
// 买入函数
obj.buy = function(e, contractType, opAmount, insDetail) {
var initPosition = obj.getPosition(e, contractType) // 获取初始时的持仓
var isFirst = true
var initAmount = initPosition ? initPosition.Amount : 0 // 设置初始持仓数量
var positionNow = initPosition // 设置当前持仓数据
if(!IsVirtual() && opAmount % insDetail.LotSize != 0) { // 判断需要交易的数量opAmount（股数）是否符合整手数
throw "每手数量不匹配"
}
while (true) {
var needOpen = opAmount
if (isFirst) {
isFirst = false
} else {
Sleep(Interval*20)
positionNow = obj.getPosition(e, contractType)
if (positionNow) {
needOpen = opAmount - (positionNow.Amount - initAmount)
}
}
// 需要交易的量如果小于一手数量，或者不符合整手数跳出循环
if (needOpen < insDetail.LotSize || (needOpen % insDetail.LotSize != 0 && !IsVirtual())) {
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
}
// 卖出函数
obj.sell = function(e, contractType, lots, insDetail) {
var initAmount = 0
var firstLoop = true
if(!IsVirtual() && 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)
}
}
}
}
}
// 恢复控制对象数据
obj.reset = function(marketPosition, openPrice, N, leavePeriod, preBreakoutFailure) {
if (typeof(marketPosition) !== 'undefined') {
obj.marketPosition = marketPosition
obj.openPrice = openPrice
obj.preBreakoutFailure = preBreakoutFailure
obj.N = N
obj.leavePeriod = leavePeriod
var pos = obj.getPosition(exchange, obj.tradeSymbol)
if (pos) {
obj.holdPrice = pos.Price
obj.holdAmount = pos.Amount
Log(obj.symbol, "仓位", pos)
} else {
throw "恢复" + obj.symbol + "的持仓状态出错, 没有找到仓位信息"
}
Log("恢复", obj.symbol, "加仓次数", obj.marketPosition, "持仓均价:", obj.holdPrice, "持仓数量:", obj.holdAmount, "最后一次加仓价", obj.openPrice, "N值", obj.N, "离市周期:", leavePeriod, "上次突破:", obj.preBreakoutFailure ? "失败" : "成功")
obj.status.open = 1
obj.status.vm = [obj.marketPosition, obj.openPrice, obj.N, obj.leavePeriod, obj.preBreakoutFailure]
} else {
obj.marketPosition = 0
obj.holdPrice = 0
obj.openPrice = 0
obj.holdAmount = 0
obj.holdProfit = 0
obj.preBreakoutFailure = true // test system A
obj.N = 0
obj.leavePeriod = leavePeriodA
}
obj.holdProfit = 0
obj.lastErr = ""
obj.lastErrTime = ""
}
// 获取控制对象状态信息
obj.Status = function() {
obj.status.N = obj.N
obj.status.marketPosition = obj.marketPosition
obj.status.holdPrice = obj.holdPrice
obj.status.holdAmount = obj.holdAmount
obj.status.lastPrice = obj.lastPrice
if (obj.lastPrice > 0 && obj.holdAmount > 0 && obj.marketPosition !== 0) {
obj.status.holdProfit = _N((obj.lastPrice - obj.holdPrice) * obj.holdAmount * obj.symbolDetail.VolumeMultiple, 4) * (obj.marketPosition > 0 ? 1 : -1)
} else {
obj.status.holdProfit = 0
}
obj.status.symbolDetail = obj.symbolDetail
return obj.status
}
// 执行海龟交易逻辑
obj.Poll = function() {
obj.status.isTrading = obj.isSymbolTrading(obj.symbol)
if (!obj.status.isTrading) {
return
}
var suffix = WXPush ? '@' : ''
// switch symbol
var insDetail = exchange.SetContractType(obj.symbol)
if (!insDetail) {
return
}
// 获取tick数据
var ticker = exchange.GetTicker()
if (!ticker) {
obj.setLastError("获取tick失败")
return
}
if (IsVirtual()) {
ticker.Info = {}
ticker.Info.LotSize = obj.symbolDetail.VolumeMultiple
ticker.Info.PriceSpread = 0.01
}
var records = exchange.GetRecords()
if (!records) {
obj.setLastError("获取K线失败")
return
}
obj.status.recordsLen = records.length
if (records.length < obj.atrLen) {
obj.setLastError("K线长度小于 " + obj.atrLen)
return
}
var opCode = 0 // 0: IDLE, 1: LONG, 3: CoverALL
var lastPrice = records[records.length - 1].Close
obj.lastPrice = lastPrice
if (obj.marketPosition === 0) {
obj.status.stopPrice = '--'
obj.status.leavePrice = '--'
obj.status.upLine = 0
obj.status.downLine = 0
for (var i = 0; i < 2; i++) {
if (i == 0 && obj.useFilter && !obj.preBreakoutFailure) {
continue
}
var enterPeriod = i == 0 ? obj.enterPeriodA : obj.enterPeriodB
if (records.length < (enterPeriod + 1)) {
continue
}
var highest = TA.Highest(records, enterPeriod, 'High') // 计算周期内的最高价
var lowest = TA.Lowest(records, enterPeriod, 'Low') // 计算周期内的最低价
obj.status.upLine = obj.status.upLine == 0 ? highest : Math.min(obj.status.upLine, highest)
obj.status.downLine = obj.status.downLine == 0 ? lowest : Math.max(obj.status.downLine, lowest)
if (lastPrice > highest) {
opCode = 1
}
if (opCode != 0) {
obj.leavePeriod = (enterPeriod == obj.enterPeriodA) ? obj.leavePeriodA : obj.leavePeriodB
break
}
}
} else {
var spread = obj.marketPosition > 0 ? (obj.openPrice - lastPrice) : (lastPrice - obj.openPrice)
obj.status.stopPrice = _N(obj.openPrice + (obj.N * StopLossRatio * (obj.marketPosition > 0 ? -1 : 1)))
if (spread > (obj.N * StopLossRatio)) {
opCode = 3
obj.preBreakoutFailure = true
Log(obj.symbolDetail.InstrumentName, "止损平仓", suffix)
obj.status.st++
} else if (-spread > (IncSpace * obj.N) && Math.abs(obj.marketPosition) < obj.maxLots) {
opCode = obj.marketPosition > 0 ? 1 : 2
}
if (opCode == 0 && records.length > obj.leavePeriod) {
obj.status.leavePrice = obj.marketPosition > 0 ? TA.Lowest(records, obj.leavePeriod, 'Low') : TA.Highest(records, obj.leavePeriod, 'High')
if ((obj.marketPosition > 0 && lastPrice < obj.status.leavePrice) ||
(obj.marketPosition < 0 && lastPrice > obj.status.leavePrice)) {
obj.preBreakoutFailure = false
Log(obj.symbolDetail.InstrumentName, "正常平仓", suffix)
opCode = 3
obj.status.cover++
}
}
}
if (opCode == 0) {
return
}
if (opCode == 3) {
var pos = obj.getPosition(exchange, obj.tradeSymbol)
obj.sell(exchange, obj.tradeSymbol, pos.Amount, ticker.Info)
obj.reset()
_G(obj.symbol, null)
var account = _C(exchange.GetAccount)
return
}
// Open
if (Math.abs(obj.marketPosition) >= obj.maxLots) {
obj.setLastError("禁止开仓, 超过最大持仓 " + obj.maxLots)
return
}
var atrs = TA.ATR(records, atrLen)
var N = _N(atrs[atrs.length - 1], 4)
var account = _C(exchange.GetAccount)
var unit = parseInt((obj.initBalance-obj.keepBalance) * (obj.riskRatio / 100) / N / obj.symbolDetail.VolumeMultiple)
var canOpen = parseInt((account.Balance-obj.keepBalance) / (lastPrice * 1.2) / obj.symbolDetail.VolumeMultiple)
unit = Math.min(unit, canOpen)
unit = unit * obj.symbolDetail.VolumeMultiple
if (unit < obj.symbolDetail.VolumeMultiple) {
obj.setLastError("可开 " + unit + " 手 无法开仓, " + (canOpen >= obj.symbolDetail.VolumeMultiple ? "风控触发" : "资金限制") + "。 可用: " + account.Balance)
return
}
// 交易函数
if (opCode == 2) {
throw "股票不支持做空"
}
var ret = obj.buy(exchange, obj.tradeSymbol, unit, ticker.Info)
if (ret) {
Log(obj.symbolDetail.InstrumentName, obj.marketPosition == 0 ? "开仓" : "加仓", "离市周期", obj.leavePeriod, suffix)
obj.N = N
obj.openPrice = ticker.Last
obj.holdPrice = ret.Price
if (obj.marketPosition == 0) {
obj.status.open++
}
obj.holdAmount = ret.Amount
obj.marketPosition += opCode == 1 ? 1 : -1
obj.status.vm = [obj.marketPosition, obj.openPrice, N, obj.leavePeriod, obj.preBreakoutFailure]
_G(obj.symbol, obj.status.vm)
} else {
obj.setLastError("下单失败")
return
}
}
var vm = null
if (RMode === 0) {
vm = _G(obj.symbol)
} else {
vm = JSON.parse(VMStatus)[obj.symbol]
}
if (vm) {
Log("准备恢复进度, 当前合约状态为", vm)
obj.reset(vm[0], vm[1], vm[2], vm[3], vm[4])
} else {
if (needRestore) {
Log("没有找到" + obj.symbol + "的进度恢复信息")
}
obj.reset()
}
return obj
}
}
function onexit() {
Log("已退出策略...")
}
function main() {
if((!IsVirtual() && exchange.GetCurrency() != "STOCK" && exchange.GetName() != "Futures_Futu") ||
(IsVirtual() && exchange.GetCurrency() != "STOCK_CNY" && exchange.GetName() != "Futures_XTP")) {
Log("currency:", exchange.GetCurrency(), "name:", exchange.GetName())
throw "不支持"
}
SetErrorFilter("login|ready|流控|连接失败|初始|Timeout|market not ready")
while (!exchange.IO("status")) {
Sleep(3000)
LogStatus("正在等待与交易服务器连接, " + _D())
}
var positions = _C(exchange.GetPosition)
if (positions.length > 0) {
Log("检测到当前持有仓位, 系统将开始尝试恢复进度...")
Log("持仓信息", positions)
}
Log("风险系数:", RiskRatio, "N值周期:", ATRLength, "系统1: 入市周期", EnterPeriodA, "离市周期", LeavePeriodA, "系统二: 入市周期", EnterPeriodB, "离市周期", LeavePeriodB, "加仓系数:", IncSpace, "止损系数:", StopLossRatio, "单品种最多开仓:", MaxLots, "次")
var initAccount = _C(exchange.GetAccount)
var realInitBalance = initAccount.Balance
if (CustomBalance) {
realInitBalance = InitBalance
Log("自定义启动资产为", realInitBalance)
}
var keepBalance = _N(realInitBalance * (KeepRatio/100), 3)
Log("当前资产信息", initAccount, "保留资金:", keepBalance)
var tts = []
var filter = []
var arr = Instruments.split(',')
for (var i = 0; i < arr.length; i++) {
var symbol = arr[i].replace(/^\s+/g, "").replace(/\s+$/g, "");
if (typeof(filter[symbol]) !== 'undefined') {
Log(symbol, "已经存在, 系统已自动过滤")
continue
}
filter[symbol] = true
var hasPosition = false
for (var j = 0; j < positions.length; j++) {
if (positions[j].ContractType == symbol) {
hasPosition = true
break
}
}
var obj = TTManager.New(hasPosition, symbol, realInitBalance, keepBalance, RiskRatio, ATRLength, EnterPeriodA, LeavePeriodA, EnterPeriodB, LeavePeriodB, UseEnterFilter, IncSpace, StopLossRatio, MaxLots)
tts.push(obj)
}
var tblAssets = null
var nowAccount = null
var lastStatus = ''
while (true) {
if (GetCommand() === "暂停/继续") {
Log("暂停交易中...")
while (GetCommand() !== "暂停/继续") {
Sleep(1000)
}
Log("继续交易中...")
}
while (!exchange.IO("status")) {
Sleep(3000)
LogStatus("正在等待与交易服务器连接, " + _D() + "\n" + lastStatus)
}
var tblStatus = {
type: "table",
title: "持仓信息",
cols: ["合约名称", "持仓方向", "持仓均价", "持仓数量", "持仓盈亏", "加仓次数", "开仓次数", "止损次数", "成功次数", "当前价格", "N"],
rows: []
}
var tblMarket = {
type: "table",
title: "运行状态",
cols: ["合约名称", "合约乘数", "保证金率", "交易时间", "移仓次数", "柱线长度", "上线", "下线", "止损价", "离市价", "异常描述", "发生时间"],
rows: []
}
var totalHold = 0
var vmStatus = {}
var ts = new Date().getTime()
var holdSymbol = 0
var tradingCount = 0
for (var i = 0; i < tts.length; i++) {
tts[i].Poll()
var d = tts[i].Status()
if (d.holdAmount > 0) {
vmStatus[d.symbol] = d.vm
holdSymbol++
}
if (d.isTrading) {
tradingCount++
}
tblStatus.rows.push([d.symbolDetail.InstrumentID + "/" + d.symbolDetail.InstrumentName, d.holdAmount == 0 ? '--' : (d.marketPosition > 0 ? '多' : '空'), d.holdPrice, d.holdAmount, d.holdProfit, Math.abs(d.marketPosition), d.open, d.st, d.cover, d.lastPrice, d.N])
tblMarket.rows.push([d.symbolDetail.InstrumentID + "/" + d.symbolDetail.InstrumentName, d.symbolDetail.VolumeMultiple, _N(d.symbolDetail.LongMarginRatio, 4) + '/' + _N(d.symbolDetail.ShortMarginRatio, 4), (d.isTrading ? '是#0000ff' : '否#ff0000'), d.switchCount, d.recordsLen, d.upLine, d.downLine, d.stopPrice, d.leavePrice, d.lastErr, d.lastErrTime])
totalHold += Math.abs(d.holdAmount)
}
var now = new Date()
var elapsed = now.getTime() - ts
lastStatus = '`' + JSON.stringify([tblStatus, tblMarket]) + '`\n轮询耗时: ' + elapsed + ' 毫秒, 当前时间: ' + _D() + ', 星期' + ['日', '一', '二', '三', '四', '五', '六'][now.getDay()] + ", 持有品种个数: " + holdSymbol + ", 手动恢复字符串: " + JSON.stringify(vmStatus)
LogStatus(lastStatus)
Sleep(LoopInterval * 1000)
}
}