RSI_now_sb_ok.md

Name

RSI_now_sb_ok

Author

tfboys

Strategy Description

RSI简单买卖测试, 默认 70-100卖出,0-30买入

Strategy Arguments

Argument	Default	Description
RSIPeriod	14	RSI周期
SlidePrice	0.3	下单滑动值
RSIBuyL	50	RSI买入点(低)
RSIBuyH	50	RSI买入点(高)
RSISellL	50	RSI卖出点(低)
RSISellH	50	RSI卖出点(高)
Interval	1000	出错重试(毫秒)

Source (javascript)

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);
    }
}

Detail

https://www.fmz.com/strategy/11604

Last Modified

2016-03-08 16:00:06