How to transplant a mylanguage strategy

本篇内容主要讲解"如何移植一个my语言策略"，感兴趣的朋友不妨来看看。本文介绍的方法操作简单快捷，实用性强。下面就让小编来带大家学习"如何移植一个my语言策略"吧!

对于趋势策略移植来说是非常简单的，我们可以使用一段范例代码，填充驱动策略的数据计算部分代码，填充交易信号触发条件即可。

可复用的范例代码：

以用于OKEX期货的策略为例。

// 全局变量var IDLE = 0var LONG = 1var SHORT = 2var OPENLONG = 3var OPENSHORT = 4var COVERLONG = 5var COVERSHORT = 6 var BREAK = 9var SHOCK = 10 var _State = IDLEvar Amount = 0 // 记录持仓数量var TradeInterval = 500 // 轮询间隔var PriceTick = 1 // 价格一跳var Symbol = "this_week" function OnTick(){ // 驱动策略的行情处理部分 // 待填充... // 交易信号触发处理部分 // 待填充... // 执行交易逻辑 var pos = null var price = null var currBar = records[records.length - 1] if(_State == OPENLONG){ pos = GetPosition(PD_LONG) // 判断是不是 满足状态，如果满足 修改状态 if(pos[1] >= Amount){ _State = LONG Amount = pos[1] // 更新实际量 return } price = currBar.Close - (currBar.Close % PriceTick) + PriceTick * 2 Trade(OPENLONG, price, Amount - pos[1], pos, PriceTick) // (Type, Price, Amount, CurrPos, PriceTick) } if(_State == OPENSHORT){ pos = GetPosition(PD_SHORT) if(pos[1] >= Amount){ _State = SHORT Amount = pos[1] // 更新实际量 return } price = currBar.Close - (currBar.Close % PriceTick) - PriceTick * 2 Trade(OPENSHORT, price, Amount - pos[1], pos, PriceTick) } if(_State == COVERLONG){ pos = GetPosition(PD_LONG) if(pos[1] == 0){ _State = IDLE return } price = currBar.Close - (currBar.Close % PriceTick) - PriceTick * 2 Trade(COVERLONG, price, pos[1], pos, PriceTick) } if(_State == COVERSHORT){ pos = GetPosition(PD_SHORT) if(pos[1] == 0){ _State = IDLE return } price = currBar.Close - (currBar.Close % PriceTick) + PriceTick * 2 Trade(COVERSHORT, price, pos[1], pos, PriceTick) }} // 交易逻辑部分function GetPosition(posType) { var positions = _C(exchange.GetPosition) var count = 0 for(var j = 0; j

< positions.length; j++){ if(positions[j].ContractType == Symbol){ count++ } } if(count >

1){ throw "positions error:" + JSON.stringify(positions) } for (var i = 0; i

< positions.length; i++) { if (positions[i].ContractType == Symbol && positions[i].Type === posType) { return [positions[i].Price, positions[i].Amount]; } } Sleep(TradeInterval); return [0, 0];} function CancelPendingOrders() { while (true) { var orders = _C(exchange.GetOrders) for (var i = 0; i < orders.length; i++) { exchange.CancelOrder(orders[i].Id); Sleep(TradeInterval); } if (orders.length === 0) { break; } }} function Trade(Type, Price, Amount, CurrPos, OnePriceTick){ // 处理交易 if(Type == OPENLONG || Type == OPENSHORT){ // 处理开仓 exchange.SetDirection(Type == OPENLONG ? "buy" : "sell") var pfnOpen = Type == OPENLONG ? exchange.Buy : exchange.Sell var idOpen = pfnOpen(Price, Amount, CurrPos, OnePriceTick, Type) Sleep(TradeInterval) if(idOpen) { exchange.CancelOrder(idOpen) } else { CancelPendingOrders() } } else if(Type == COVERLONG || Type == COVERSHORT){ // 处理平仓 exchange.SetDirection(Type == COVERLONG ? "closebuy" : "closesell") var pfnCover = Type == COVERLONG ? exchange.Sell : exchange.Buy var idCover = pfnCover(Price, Amount, CurrPos, OnePriceTick, Type) Sleep(TradeInterval) if(idCover){ exchange.CancelOrder(idCover) } else { CancelPendingOrders() } } else { throw "Type error:" + Type }} function main() { // 设置合约 exchange.SetContractType(Symbol) while(1){ OnTick() Sleep(1000) }} 举例：双均线策略的移植 麦语言回测： 麦语言策略代码： MA5^^MA(C,5);MA15^^MA(C,15);CROSSUP(MA5,MA15),BPK;CROSSDOWN(MA5,MA15),SPK; 移植为JavaScript策略 首先给可复用的范例代码填充上行情获取、指标计算部分： // 驱动策略的行情处理部分var records = _C(exchange.GetRecords) if (records.length < 15) { return } var ma5 = TA.MA(records, 5)var ma15 = TA.MA(records, 15)var ma5_pre = ma5[ma5.length - 3]var ma15_pre = ma15[ma15.length - 3]var ma5_curr = ma5[ma5.length - 2]var ma15_curr = ma15[ma15.length - 2] 可以看到，双均线策略非常简单，只是首先获取K线数据records，然后使用TA函数库的均线函数TA.MA计算出5日均线、15日均线（回测界面上可以看到，K线周期设置的是日K线，所以TA.MA(records, 5)计算出的就是5日均线，TA.MA(records, 15)15日均线）。 然后获取ma5指标数据的倒数第二个点ma5_curr（指标值），倒数第三个点ma5_pre（指标值），ma15指标数据同理。然后就可以使用这些指标数据去判断金叉死叉了，如图： 只要形成这样的状态，即为确定的金叉死叉。 那么判断信号的部分就可以写成： if(_State == IDLE && ma5_pre < ma15_pre && ma5_curr >

ma15_curr){ _State = OPENLONG Amount = 1} if(_State == IDLE && ma5_pre > ma15_pre && ma5_curr

< ma15_curr){ _State = OPENSHORT Amount = 1} if(_State == LONG && ma5_pre >

ma15_pre && ma5_curr

< ma15_curr){ _State = COVERLONG Amount = 1} if(_State == SHORT && ma5_pre < ma15_pre && ma5_curr >

ma15_curr){ _State = COVERSHORT Amount = 1}

This is OK, you can test it back:

You can see that the backtest results are basically the same, so if you want to continue to add interactive features to the strategy, add data processing (such as K-line synthesis), and add custom chart drawings, you can do it.

Backtesting JavaScript policies

Backtest configuration:

Backtest results:

Back testing of my language

At this point, I believe everyone has a deeper understanding of "how to transplant a my language strategy," so let's actually operate it! Here is the website, more related content can enter the relevant channels for inquiry, pay attention to us, continue to learn!