一目均衡.md

策略名称

一目均衡

策略作者

icesun963

策略描述

一目均衡 初级版

小时线为基准，测一个月到两月。 通过云层厚度，基准线和转换线为信号，进行买入卖出。 未作判断止损。

策略参数

参数	默认值	描述
keh	12	HullMA
TenkanSenPeriods	9	TenkanSen转换值间隔
KijunSenPeriods	24	Kijun Sen基准线 间隔
SenkouSpanBPeriods	51	Senkou Span B 先行上限2间隔
displacement	24	Displacement延迟线间隔
CX	100	云层厚度

源码 (javascript)

var diffarray = [];
var diff1array = [];
var TenkanSenArray = [];
var KijunSenArray = [];
var SenkouSpanBArray = [];
var SenkouSpanAArray = [];
var lastOrderId = null;
var absAB = [];
var closeArray = [];



var cross = function(values1, values2) {

    var r1 = values1[values1.length - 1];
    var r2 = values1[values1.length - 2];
    var r21 = values2[values2.length - 1];
    var r22 = values2[values2.length - 2];
    //Log(r1 + " " + r2 + " " + r21 + " " + r22);
    if (r21 > r1 && r2 > r22) {
        return true;
    }
    if (r21 < r1 && r2 < r22) {
        return true;
    }
    return false;
}

function min(a, b) {
    if (a < b)
        return a;
    else
        return b;
}

function max(a, b) {
    if (a > b)
        return a;
    else
        return b;
}

function avg(a, b) {
    return (a + b) / 2;
}

function donchian(records, len) {

    var hig = TA.Highest(records, len, 'High');
    var low = TA.Lowest(records, len, 'Low');
    //Log("hig:" + hig + " low:" + low);

    return avg(hig, low);
    //avg(lowest(len), highest(len))

}

function cloudStats() {

    var a = absAB[absAB.length - 1];

    var logx = a + " ";
    for (var i = 1; i < 10; i++) {
        var b = absAB[absAB.length - i];
        var x = Math.abs(b - a);
        var q = x / a;

        if (x < 0.1) {

        } else {
            if (a > b) {
                return 1;
            } else {
                return -1;
            }
        }
        logx += b + " "

    }
    //Log(logx);
    return 0;
}


function onTick(exchange) {
    var records = exchange.GetRecords();
    var ticker = exchange.GetTicker();

    //Log("onTick");
    var close = records[records.length - 1].Close;
    closeArray.push(close);

    var wma = talib.WMA(records, Math.round(keh / 2));
    //Log(wma);
    var n2ma = 2 * wma[records.length - 1];
    //Log(n2ma);
    var wma2 = talib.WMA(records, keh);

    var nma = wma2[records.length - 1];
    var diff = n2ma - nma;
    var sqn = Math.round(Math.sqrt(keh));

    var n2ma1 = 2 * wma[records.length - 2];
    var nma1 = wma2[records.length - 2];
    var diff1 = n2ma1 - nma1;
    //var sqn1 = Math.round(Math.sqrt(keh));
    diffarray.push(diff);
    diff1array.push(diff1);
    //Log(diff + " " + diff1);
    var dwma = talib.WMA(diffarray, sqn);
    var d1wma = talib.WMA(diff1array, sqn);

    var n1 = dwma[dwma.length - 1];
    var n2 = d1wma[d1wma.length - 1];
    var b = n1 > n2 ? "lime" : "red";
    var c = n1 > n2 ? "green" : "red"
    var d = n1 > n2 ? "red" : "green";
    //Log(b + " " + c + " " + d);
    //Log(n1 + " " + n2);
    
   var ttime = records[records.length - 1].Time;
    //转换值=（包含今天的9日的最高价+9日的最低价）/2
    var TenkanSen = donchian(records, TenkanSenPeriods);
    TenkanSenArray.push(TenkanSen);

    // 基准值=（包含今天的26日的最高价+26日最低价）/2
    var KijunSen = donchian(records, KijunSenPeriods);
    KijunSenArray.push(KijunSen);

    // 先行上限1 （Span A） （转化值+基准值）/2
    var SenkouSpanA = avg(TenkanSen, KijunSen);
    SenkouSpanAArray.push(SenkouSpanA);

    //先行上限2 （Span B） （52天的最高值+52天的最低值）/2
    var SenkouSpanB = donchian(records, SenkouSpanBPeriods);
    SenkouSpanBArray.push(SenkouSpanB);

    var absx = Math.abs(SenkouSpanA - SenkouSpanB);
    //云层由Span A和Span B组成

    absAB.push(absx);

    var SenkouSpanH = max(SenkouSpanAArray[records.length - displacement], SenkouSpanBArray[records.length - displacement]);
    var SenkouSpanL = min(SenkouSpanAArray[records.length - displacement], SenkouSpanBArray[records.length - displacement]);
    //延迟线 （Chinkou Span ） （ 绿线）当天的收盘价作为26天前的延迟线
 
    if(typeof(records[records.length - displacement])!="undefined"){
      var ChikouSpan = records[records.length - displacement].Close;
      $.PlotLine("ChikouSpan(延迟线)", ChikouSpan, ttime, "green");
    }
 
   

 
    //$.PlotLine("n2", n2, ttime,"yellow");
    //$.PlotLine("n1", n1, ttime,"yellow");
    $.PlotLine("k", close, ttime, "black");
    //if (records.length > displacement + 1)
    //    $.PlotLine("k2", records[records.length - displacement].Close, ttime);
    $.PlotLine("TenkanSen(转换值)", TenkanSen, ttime, "red");
    $.PlotLine("KijunSen(基准线)", KijunSen, ttime, "blue");



    $.PlotLine("SenkouSpanA(云层A)", SenkouSpanA, ttime, "gray");
    $.PlotLine("SenkouSpanB(云层B)", SenkouSpanB, ttime, "gray");

    //$.PlotLine("Cloud(云层厚度)",absx + 3500, ttime,"lime");
    //if (n1 > n2 && close > n2 && close > ChikouSpan) {
    //    Log("N1:" + n1 + " n2:" + n2 + " close:" + close);
    //    Log(" ChikouSpan:" + ChikouSpan + " TenkanSen:" + TenkanSen + " KijunSen:" + KijunSen);
    //    Log("SenkouSpanH :" + SenkouSpanH + " SenkouSpanL:" + SenkouSpanL);
    //}
    var longCondition = (TenkanSen >= KijunSen || close > KijunSen);
    var price = ticker.Last;
    //Log("cloudStats");
    //Log(cloudStats());

    if (cross(TenkanSenArray, closeArray) && cross(KijunSenArray, closeArray)) {
        $.PlotFlag(ttime, "Q", "Q", "circlepin", "green");

        if (absx < CX) {
            if (close < TenkanSen) {
                exchange.Buy(price, 1, "做多");
            } else {
                exchange.Sell(price, 1, "做空");
            }
        } else {
            if (close > TenkanSen) {
                exchange.Buy(price, 1, "做多2");
            } else {
                exchange.Sell(price, 1, "做空2");
            }
        }

    }



}

function main() {
    Log(exchange.GetAccount());
    while (true) {
        onTick(exchange);
        Sleep(60 * 60 * 1000);
    }
}

策略出处

https://www.fmz.com/strategy/55839

更新时间

2017-09-27 13:52:15