平时交易的时候,交易员喜欢盯着盘面数据,why?原因是,关心行情的异动,找个机器人帮你盯着是个很好的办法。 言归正传,在商品期货交易策略中 经常看到 不同品种的 组合对冲策略,比如 焦煤、铁矿石 和 螺纹钢 对冲, 这种跨品种对冲策略是不是也能用到数字货币交易中呢? 不过风险依然是不容忽视的,那么最简单的就是 回测一下 大致验证一下策略思路是否可行。
1.前提条件
我们选用价格差相对合适的 比特币(BTC) 、以太坊(ETH) 作为对冲 品种。
2.策略描述
我们在 BTC/ETH 比例小的时候 空ETH多BTC , 在比例大的时候 平仓, 可以使用SMA指标来进行择时。
3.策略地址 : 使用了 “画线类库” 、 “ 数字货币交易类库” 这两个模板(可复用的模块代码)
4.DEMO 很方便的把想法画在了图表上, 其实还有很多地方要优化,这里只是抛个砖,探讨思路方法,接下来准备 优化 扩展 看看是否靠谱可行。
抛砖引玉般的DEMO ( JS 语言 基于发明者平台)
/*exchangesA : BTCB : ETH*/var RateUpDateTime = new Date().getTime()var UpDateCyc = 60 * 60 * 1000var SumInCyc = 0var AddCounts = 1var RateArray = []var BTC_hold_amount = 0var ETH_hold_amount = 0var IDLE = 0var PLUS = 1var STATE = IDLEvar fee_btc = { buy : 0.2, // 0.2 % , 千分之四 sell : 0.2}var fee_eth = { buy : 0.2, sell : 0.2}var ModeStr = ["BOLL", "SMA"][Mode]function CalcPriceForNoFee(price, fee, type){ if(type == "buy"){ return price * (1 - fee / 100) }else if(type == "sell"){ return price * (1 + fee / 100) }}function loop(nowTime){ var depthA = exchanges[0].GetDepth() var depthB = exchanges[1].GetDepth() var sma120 = null var sma10 = null var boll = null if(!depthA || !depthB || depthA.Asks.length == 0 || depthA.Bids.length == 0 || depthB.Asks.length == 0 || depthB.Bids.length == 0){ return } var Rate = CalcPriceForNoFee((depthA.Bids[0].Price + depthA.Asks[0].Price) / 2, 0.2, "buy") / CalcPriceForNoFee((depthB.Bids[0].Price + depthB.Asks[0].Price) / 2, 0.2, "sell") if(nowTime - RateUpDateTime > UpDateCyc){ RateArray.push(Rate) $.PlotLine("avgRate", RateArray[RateArray.length - 2], RateUpDateTime) if(RateArray.length > 60){ if(ModeStr == "SMA"){ sma120 = talib.SMA(RateArray, 60) sma10 = talib.SMA(RateArray, 10) $.PlotLine("sma120", sma120[sma120.length - 2], RateUpDateTime) $.PlotLine("sma10", sma10[sma10.length - 2], RateUpDateTime) }else if(ModeStr == "BOLL"){ boll = TA.BOLL(RateArray, 20, 2.5) $.PlotLine("up", boll[0][boll[0].length - 2], RateUpDateTime) $.PlotLine("down", boll[2][boll[2].length - 2], RateUpDateTime) } } RateUpDateTime += UpDateCyc SumInCyc = 0 AddCounts = 1 }else{ SumInCyc += Rate AddCounts++ RateArray[RateArray.length - 1] = (SumInCyc / AddCounts) $.PlotLine("avgRate", RateArray[RateArray.length - 1], RateUpDateTime) if(RateArray.length > 60){ if(ModeStr == "SMA"){ sma120 = talib.SMA(RateArray, 60) sma10 = talib.SMA(RateArray, 10) $.PlotLine("sma120", sma120[sma120.length - 1], RateUpDateTime) $.PlotLine("sma10", sma10[sma10.length - 1], RateUpDateTime) }else if(ModeStr == "BOLL"){ boll = TA.BOLL(RateArray, 20, 2.5) $.PlotLine("up", boll[0][boll[0].length - 1], RateUpDateTime) $.PlotLine("down", boll[2][boll[2].length - 1], RateUpDateTime) } } } if(ModeStr == "SMA"){ if(STATE == IDLE && (sma120 && sma10) && sma120[sma120.length - 2] > sma10[sma10.length - 2] && sma120[sma120.length - 1] < sma10[sma10.length - 1]){ // PLUS var SellInfo = $.Sell(exchanges[1], 5) var sumMoney = SellInfo.price * SellInfo.amount var amount = _N(sumMoney / depthA.Asks[0].Price, 2) var BuyInfo = $.Buy(exchanges[0], amount) ETH_hold_amount = SellInfo.amount BTC_hold_amount = amount STATE = PLUS // throw "stop" // ceshi } if(STATE == PLUS && (sma120 && sma10) && sma120[sma120.length - 2] < sma10[sma10.length - 2] && sma120[sma120.length - 1] > sma10[sma10.length - 1]){ // COVER var BuyInfo = $.Buy(exchanges[1], ETH_hold_amount) var SellInfo = $.Sell(exchanges[0], BTC_hold_amount) ETH_hold_amount = 0 BTC_hold_amount = 0 STATE = IDLE Log(exchanges[0].GetAccount(), exchanges[1].GetAccount()) } }}function main() { var AccountA = exchanges[0].GetAccount() var AccountB = exchanges[1].GetAccount() Log("AccountA:", AccountA, "AccountB:", AccountB) while(true){ var beginTime = new Date().getTime() loop(beginTime) Sleep(500) }}复制代码