RSI简单买卖测试, 默认 70-100卖出,0-30买入
function adjustFloat(v) {
return Math.floor(v*1000)/1000;
}
function cancelPendingOrders() {
while (true) {
var orders = exchange.GetOrders();
if (orders) {
if (orders.length == 0) {
break;
}
for (var j = 0; j < orders.length; j++) {
exchange.CancelOrder(orders[j].Id);
Sleep(Interval);
}
} else {
Sleep(Interval);
}
}
}
function LogProfitTotal(initAcnt, acnt, tck) {
var prft = acnt.Balance - initAcnt.Balance + (acnt.Stocks - initAcnt.Stocks) * tck.Last;
LogProfit(prft, "#ff0000");
}
var STATE_WAIT_IDLE = 0;
var STATE_BUY = 1;
var STATE_SELL = 2;
var STATE_WAIT_BUY = 3;
var STATE_WAIT_SELL = 4;
var STATE_BUY_COVER = 5;
var STATE_SELL_COVER = 6;
var State = STATE_WAIT_IDLE;
var InitAccount = null;
var EnterAcnt = null;
function MustGetAccount() {
var account;
while (!(account = exchange.GetAccount())) {
Sleep(Interval);
}
return account;
}
function onTick(exchange) {
var records = exchange.GetRecords();
if (!records || records.length < (RSIPeriod + 5)) {
return;
}
rsi = TA.RSI(records, RSIPeriod);
var rsiValue0 = rsi[records.length - 1];
var rsiValue1 = rsi[records.length - 2];
var rsiValue2 = rsi[records.length - 3];
//开仓条件判断
if (State == STATE_WAIT_IDLE && rsiValue1 >= RSIBuyL && rsiValue2 <= RSIBuyH && rsiValue1 > rsiValue2) {
State = STATE_BUY;
EnterAcnt = MustGetAccount();
} else if (State == STATE_WAIT_IDLE && rsiValue2 >= RSISellL && rsiValue1 <= RSISellH && rsiValue2 > rsiValue1) {
State = STATE_SELL;
EnterAcnt = MustGetAccount();
} else if (State != STATE_BUY && State != STATE_SELL && State != STATE_WAIT_BUY && State != STATE_WAIT_SELL && State != STATE_BUY_COVER && State != STATE_SELL_COVER){
return;
}
// Buy or Sell, Cancel pending orders first
cancelPendingOrders();
var account = MustGetAccount();
var ticker = exchange.GetTicker();
if (!account || !ticker) {
return;
}
//执行开仓
if (State == STATE_BUY) {
var price = ticker.Last + SlidePrice;
var amount = adjustFloat(account.Balance / price);
if (amount >= exchange.GetMinStock()) {
exchange.Buy(price, amount);
}
else
{
// No money, wait sell and log profit
Log("<--- Buy");
State = STATE_WAIT_SELL;
return;
}
} else if(State == STATE_SELL) {
if (account.Stocks > exchange.GetMinStock()) {
exchange.Sell(ticker.Last - SlidePrice, account.Stocks);
}
else
{
// No stocks, wait buy and log profit
Log("<--- Sell");
State = STATE_WAIT_BUY;
return;
}
}
if(State != STATE_WAIT_BUY && State != STATE_WAIT_SELL && State != STATE_BUY_COVER && State != STATE_SELL_COVER)
return;
//平仓条件判断
if (State == STATE_WAIT_BUY && rsiValue1 >= RSIBuyL && rsiValue2 <= RSIBuyH && rsiValue1 > rsiValue2) {
State = STATE_BUY_COVER;
} else if(State == STATE_WAIT_SELL && rsiValue2 >= RSISellL && rsiValue1 <= RSISellH && rsiValue2 > rsiValue1) {
State = STATE_SELL_COVER;
}else if(State != STATE_BUY_COVER && State != STATE_SELL_COVER) {
return;
}
//执行平仓
if (State == STATE_BUY_COVER) {
var price = ticker.Last + SlidePrice;
var stkTB = adjustFloat(EnterAcnt.Stocks - account.Stocks);
var stkCB = adjustFloat(account.Balance / price);
var amount = (stkTB < stkCB) ? stkTB : stkCB;
if (amount >= exchange.GetMinStock()) {
exchange.Buy(price, amount);
}
else
{
// No money, wait idle and log profit
Log("<--- covers");
LogProfitTotal(InitAccount, account, ticker);
Log(account);
State = STATE_WAIT_IDLE;
}
} else if(State == STATE_SELL_COVER) {
var stkS = account.Stocks - EnterAcnt.Stocks;
if (stkS > exchange.GetMinStock()) {
exchange.Sell(ticker.Last - SlidePrice, stkS);
}
else
{
// No stocks, wait idle and log profit
Log("<--- coverb");
LogProfitTotal(InitAccount, account, ticker);
Log(account);
State = STATE_WAIT_IDLE;
}
}
}
function main() {
InitAccount = MustGetAccount();
Log(InitAccount);
while (true) {
onTick(exchange);
Sleep(Interval);
}
}