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- 原始双均线策略
原始双均线策略
Author:
ianzeng123, Date: 2024-07-16 16:30:48
Tags:
/*backtest
start: 2024-01-03 09:00:00
end: 2024-07-16 14:01:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
args: [["Instruments","SA888"]]
*/
var _q = $.NewTaskQueue();
var openNumber = 0 //开仓次数
var winNumber = 0 //成功次数
var lossNumber = 0 //失败次数
var cumProfit = 0 //累计利润
var cumLoss = 0 //累计损失
var holdSymbol = '' //持仓品种
var holdAmount = 0 //持仓数量
var holdPrice = 0 //持仓价格
var holdProfit = 0 //持仓利润
var holdDir = '' //持仓方向
var winRate = 0 //胜率
var plRatio = 0 //盈亏比
var InitBalance = 0 //未开仓金额
function main(){
SetErrorFilter("login|ready|流控|连接失败|初始|Timeout");
var pretime = 0
var checklock = true
while (true) {
if(exchange.IO("status")) {
var symbolDetail = _C(exchange.SetContractType, Instruments)
var record = exchange.GetRecords()
var lastPrice = record[record.length - 1].Close
var shortMean = TA.MA(record, shortPeriod)
var longMean = TA.MA(record, longPeriod)
var longSignal = shortMean[shortMean.length - 2] > longMean[longMean.length - 2]
var shortSignal = shortMean[shortMean.length - 2] < longMean[longMean.length - 2]
// 检查主力合约
var DRecords = exchange.GetRecords(PERIOD_D1)
var curTime = DRecords[DRecords.length - 1].Time
var mainSymbol = symbolDetail.InstrumentID;
var curPos = exchange.GetPosition()
var unit = 5
if(checklock){
var initAccount = _q.GetAccount(exchange);
var initMargin = JSON.parse(exchange.GetRawJSON()).CurrMargin;
InitBalance = initAccount.Balance + initMargin;
}
// 开仓
if(curPos && curPos.length == 0 && (longSignal || shortSignal)){
_q.pushTask(exchange, mainSymbol, (longSignal ? "buy" : "sell"), unit, function(task, ret) {
if(ret){
checklock = false
openNumber += 1
}
});
}
// 移仓+平仓
if(curPos && curPos.length > 0){
holdPrice = curPos[0].Price
holdAmount = curPos[0].Amount
holdProfit = (curPos[0].Type % 2) == 0 ? (lastPrice - holdPrice) * holdAmount * symbolDetail.VolumeMultiple : (holdPrice - lastPrice) * holdAmount * symbolDetail.VolumeMultiple
holdDir = curPos[0].Type % 2 == 0 ? "多" : "空"
holdSymbol = curPos[0].ContractType
// 移仓
var moveSignal = pretime != curTime && holdSymbol != mainSymbol
if (moveSignal) {
_q.pushTask(exchange, holdSymbol, "coverall", holdAmount, function(task, ret) {
if (ret) {
Log(holdSymbol, "移仓平仓成功 #ff0000");
pretime = curTime
curaddNumber = 0 //本轮加仓次数归零
var afterAccount = _q.GetAccount(exchange);
var afterMargin = JSON.parse(exchange.GetRawJSON()).CurrMargin;
var afterBalance = afterAccount.Balance + afterMargin;
var curprofit = afterBalance - InitBalance
if(curprofit > 0){
cumProfit += curprofit
winNumber += 1
}else{
cumLoss += curprofit
lossNumber += 1
}
curaddNumber = 0
holdSymbol = ''
holdAmount = 0
holdPrice = 0
holdProfit = 0
holdDir = ''
openPrice = 0
checklock = true
}
})
}
//平仓
var coverLongSignal = shortSignal && holdDir == '多'
var coverShortSignal = longSignal && holdDir == '空'
if(coverLongSignal || coverShortSignal){
_q.pushTask(exchange, mainSymbol, "coverall", 0, function(task, ret) {
if(ret){
var afterAccount = _q.GetAccount(exchange);
var afterMargin = JSON.parse(exchange.GetRawJSON()).CurrMargin;
var afterBalance = afterAccount.Balance + afterMargin;
var curprofit = afterBalance - InitBalance
if(curprofit > 0){
cumProfit += curprofit
winNumber += 1
}else{
cumLoss += curprofit
lossNumber += 1
}
curaddNumber = 0
holdSymbol = ''
holdAmount = 0
holdPrice = 0
holdProfit = 0
holdDir = ''
checklock = true
}
})
}
}
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"],
rows: []
};
var tblStrategy = {
type: "table",
title: "策略评价",
cols: ["开仓次数", "成功次数", "累计利润", "失败次数", "累计亏损", "胜率", "盈亏比"],
rows: []
};
if(openNumber){
winRate = winNumber / openNumber
}
winRate = openNumber ? winNumber / openNumber : 0
if(cumLoss == 0 && cumProfit != 0 ) plRatio = 1
if(cumLoss != 0 && cumProfit == 0) plRatio = -1
if(cumProfit && cumLoss) plRatio = cumProfit / cumLoss
tblStatus.rows.push([holdSymbol, holdDir, holdPrice, holdAmount, holdProfit]);
tblStrategy.rows.push([openNumber, winNumber, cumProfit, lossNumber, cumLoss, winRate, Math.abs(plRatio)]);
var now = new Date();
lastStatus = '`' + JSON.stringify([tblStatus, tblStrategy]) + '`\n' + '`' + ' 当前时间: ' + _D() + ', 星期' + ['日', '一', '二', '三', '四', '五', '六'][now.getDay()] + ", 交易任务: " + _q.size();
LogStatus(lastStatus);
_q.poll();
Sleep(LoopInterval * 1000);
}
}
}
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