（Boll）指标是股市技术分析的常用工具之一，通过计算股价的“标准差”，再求股价的“信赖区间”。该指标在图形上画出三条线，其中上下两条线可以分别看成是股价的压力线和支撑线，而在两条线之间还有一条股价平均线，布林线指标的参数最好设为20。一般来说，股价会运行在压力线和支撑线所形成的通道中。
与MACD、RSI、KDJ等指标一样，BOLL指标也是股票市场最实用的技术分析参考指标。
但是这些指标也都是对于历史数据的统计计算形成的，客观的讲是不能绝对预测未来标的物的走势行情的。根据历史的行情数据，计算出的指标，可以作为参考、辅助决策，最终会发现一切都是围绕着概率。
那么 BOLL 指标的实际意义是 标的物价格的 标准差，期货的不同合约之间都有一定的价差，通常情况下 行情平稳的时候价差是保持一定趋势缓慢变动的，遇到“不理性”的订单的时候往往会出现短暂的波动，试想如何抓住这些“不理性”的订单呢？
我们考虑构建一个 《跨期布林对冲策略》 ，从底层撸代码、造车轮 太慢了， 使用 发明者量化 分分钟实现你的各种交易思路。
实现这个策略，我们选择标的物为 ： OKEX 的 BTC 合约， 稍后我也会写出 标的物 为： 商品期货 合约的该策略 （为什么用BTC 合约？ 因为好实现，方便快速写出来 测试！标的物只是一方面，关键是思路 、策略！）
var P_isSetOneKLine = true;
var isShowChart = true;
var retrySlidePrice = 2;
// 全局变量
var KPeriod = [PERIOD_M1, PERIOD_M5, PERIOD_M15, PERIOD_M30, PERIOD_H1, PERIOD_D1][P_KPeriod];
var DiffData = { // 差价K线数据
plusKLine : [], // 差价K线数组
minusKLine : [],
KPeriod : KPeriod, // 差价K线周期
};
var distance = 0; // 距离
var IDLE = 0;
var PLUS = 1;
var MINUS = 2;
var State = IDLE; // 策略 运行状态状态
var perState = IDLE;
var OPEN = 3; // 用于区分 是那种操作 在 BuyA_SellB 、 SellA_BuyB 函数中
var COVER = 4;
var isTradeOnThisBar = false; // 是否在当前Bar 交易了 废弃
var isCoverOnthisBar = false; // 废弃
var upRatio = 0;
var downRatio = 0;
var P = null; // 交易控制对象
var ManagerData = { // 控制对象
initAccount : null, // 初始账户 信息
Account : null, // 当前账户 信息
perAccount : null,
MaxUsedRatio : MaxUsedRatio, // 最大 保证金使用率
MaxUsedMargin : 0, // 每次 平仓后 重新计算的 最大保证金使用量
APosition : null, // 多头 仓位信息
BPosition : null, // 空头 仓位信息
floatProfit : 0, // 浮动盈亏
CoverProfit : 0, // 平仓盈亏
MarginLevel : MarginLevel, // 杠杆数
Margin : 0, // 当前保证金使用
// 行情数据
DepthA : null, // A 合约的 深度数据
DepthB : null, // B 合约的 深度数据
// 错误信息
ErrorStr : "", // 错误信息字符串
ErrorTimeStamp : 0, // 错误信息 时间戳
}
var DiffDataOneKLine = { // K线结构
KLine : [], // K线数组 ，整理后的差价
KPeriod : KPeriod, // K线周期
}
var test = { // 测试 模式 使用的结构
amount : 4,
ProfitDiff : 0,
ID : 0,
OpenDiff : 0,
};
var perRecordsTime = 0; // 合成的 K线 上一个bar 的时间戳
var PeriodBeginTime = 0; // 周期起始时间
function UpdateDiffData(DepthA, DepthB, RecordsA, RecordsB){ // 处理差价K线数据的更新
var plusDiff = DepthA.Bids[0].Price - DepthB.Asks[0].Price;
var minusDiff = DepthA.Asks[0].Price - DepthB.Bids[0].Price;
if(P_isSetOneKLine){
var Diff = _N((plusDiff + minusDiff) / 2 , 4);
}
if(RecordsA[RecordsA.length - 1].Time == RecordsB[RecordsB.length - 1].Time && RecordsB[RecordsB.length - 1].Time !== PeriodBeginTime){
if(!P_isSetOneKLine){
// 新K线周期出现
var plusBar = {
Open : plusDiff,
Close : plusDiff,
High : plusDiff,
Low : plusDiff,
Time : 0,
};
var minusBar = {
Open : minusDiff,
Close : minusDiff,
High : minusDiff,
Low : minusDiff,
Time : 0,
};
PeriodBeginTime = RecordsB[RecordsB.length - 1].Time;
plusBar.Time = PeriodBeginTime;
minusBar.Time = PeriodBeginTime;
DiffData.plusKLine.push(plusBar);
DiffData.minusKLine.push(minusBar);
}else{
var Bar = {
Open : Diff,
Close : Diff,
High : Diff,
Low : Diff,
Time : 0,
};
PeriodBeginTime = RecordsB[RecordsB.length - 1].Time;
Bar.Time = PeriodBeginTime;
DiffDataOneKLine.KLine.push(Bar);
}
}else{
if(!P_isSetOneKLine){
if(plusDiff > DiffData.plusKLine[DiffData.plusKLine.length - 1].High){
DiffData.plusKLine[DiffData.plusKLine.length - 1].High = plusDiff;
}else if(plusDiff < DiffData.plusKLine[DiffData.plusKLine.length - 1].Low){
DiffData.plusKLine[DiffData.plusKLine.length - 1].Low = plusDiff;
}
DiffData.plusKLine[DiffData.plusKLine.length - 1].Close = plusDiff;
if(minusDiff > DiffData.minusKLine[DiffData.minusKLine.length - 1].High){
DiffData.minusKLine[DiffData.minusKLine.length - 1].High = minusDiff;
}else if(minusDiff < DiffData.minusKLine[DiffData.minusKLine.length - 1].Low){
DiffData.minusKLine[DiffData.minusKLine.length - 1].Low = minusDiff;
}
DiffData.minusKLine[DiffData.minusKLine.length - 1].Close = minusDiff;
}else{
if(Diff > DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].High){
DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].High = Diff;
}else if(Diff < DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Low){
DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Low = Diff;
}
DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Close = Diff;
}
}
if(!P_isSetOneKLine){
if(DiffData.plusKLine.length > 100){
DiffData.plusKLine.shift();
}
if(DiffData.minusKLine.length > 100){
DiffData.minusKLine.shift();
}
}else{
if(DiffDataOneKLine.KLine.length > 100){
DiffDataOneKLine.KLine.shift();
}
}
}
function UseAPI(fun, symbol, param){
exchange.SetContractType(symbol);
if(typeof(param) == "undefined"){
return fun();
}else{
return fun(param);
}
}
function GetPositions(){
var positions = _C(exchange.GetPosition);
for(var i = 0; i < positions.length; i++){
if(positions[i].ContractType == P_SymbolA){
ManagerData.APosition = positions[i];
}else if(positions[i].ContractType == P_SymbolB){
ManagerData.BPosition = positions[i];
}else if(i == 2){
throw "error:" + JSON.stringify(positions);
}
}
if(positions.length == 0){
ManagerData.APosition = null;
ManagerData.BPosition = null;
}
return positions;
}
function SellA_BuyB(DiffPrice, Action){
// GetBestAmount
var Piece = P_piece;
if(Action == OPEN){
// 检查 是否超出 保证金
var MarginAndAmount_A = CalcPieceEqualAmount(ManagerData.DepthA.Bids[0].Price, Piece);
var MarginAndAmount_B = CalcPieceEqualAmount(ManagerData.DepthB.Asks[0].Price, Piece);
if(MarginAndAmount_A.NeedMargin + MarginAndAmount_B.NeedMargin + ManagerData.Margin > ManagerData.MaxUsedMargin){
ManagerData.ErrorStr = "超过最大可用保证金：" + ManagerData.MaxUsedMargin;
ManagerData.ErrorTimeStamp = new Date().getTime();
return false;
}
// 交易
_C(exchange.SetContractType, P_SymbolA);
var infoA = P.OpenShort(P_SymbolA, Piece, ManagerData.DepthA.Bids[0].Price);
if(infoA.amount == 0){
return false;
}
_C(exchange.SetContractType, P_SymbolB);
var dealAmount = infoA.amount;
var infoB = P.OpenLong(P_SymbolB, dealAmount, ManagerData.DepthB.Asks[0].Price);
var slidePrice = retrySlidePrice;
while((dealAmount -= infoB.amount) > 0){
infoB = P.OpenLong(P_SymbolB, dealAmount, ManagerData.DepthB.Asks[0].Price + slidePrice);
slidePrice += retrySlidePrice;
LogStatus("while(), P_SymbolB:", P_SymbolB, infoB, dealAmount, slidePrice);
}
// 更新数据
ManagerData.perAccount = ManagerData.Account;
ManagerData.Account = _C(exchange.GetAccount);
ManagerData.Margin += (ManagerData.perAccount.Stocks - ManagerData.Account.Stocks);
Log("持仓信息：", GetPositions(), "本次使用保证金：", (ManagerData.perAccount.Stocks - ManagerData.Account.Stocks));
perState = State;
State = PLUS;
}else if(Action == COVER){
// 全平
_C(exchange.SetContractType, P_SymbolA);
var infoA = P.Cover(P_SymbolA, ManagerData.DepthA.Bids[0].Price, Math.min(ManagerData.APosition.Amount, Math.max(_N(ManagerData.APosition.Amount * CoverRatio, 0), minCoverAmount)), PD_LONG);
if(infoA == 0){
return false;
}
_C(exchange.SetContractType, P_SymbolB);
var dealAmount = infoA;
var infoB = P.Cover(P_SymbolB, ManagerData.DepthB.Asks[0].Price, dealAmount, PD_SHORT);
var slidePrice = retrySlidePrice;
while((dealAmount -= infoB) > 0){
infoB = P.Cover(P_SymbolB, ManagerData.DepthB.Asks[0].Price + slidePrice, dealAmount, PD_SHORT);
slidePrice += retrySlidePrice;
LogStatus("while(), P_SymbolB:", P_SymbolB, infoB, dealAmount, slidePrice);
}
Log("持仓信息：", GetPositions());
if(ManagerData.APosition == null && ManagerData.BPosition == null){
perState = State;
State = IDLE;
upRatio = 0;
downRatio = 0;
Log("完全平仓！#FF0000");
Log("更新最大保证金使用量：", DealManagerData());
LogProfit(ManagerData.Account.Stocks - ManagerData.initAccount.Stocks); // ceshi
}else{
ManagerData.perAccount = ManagerData.Account;
ManagerData.Account = _C(exchange.GetAccount);
Log("部分平仓：", infoA);
}
}
return true;
}
function BuyA_SellB(DiffPrice, Action){
// GetBestAmount
var Piece = P_piece;
if(Action == OPEN){
// 检查 是否超出 保证金
var MarginAndAmount_A = CalcPieceEqualAmount(ManagerData.DepthA.Asks[0].Price, Piece);
var MarginAndAmount_B = CalcPieceEqualAmount(ManagerData.DepthB.Bids[0].Price, Piece);
if(MarginAndAmount_A.NeedMargin + MarginAndAmount_B.NeedMargin + ManagerData.Margin > ManagerData.MaxUsedMargin){
ManagerData.ErrorStr = "超过最大可用保证金：" + ManagerData.MaxUsedMargin;
ManagerData.ErrorTimeStamp = new Date().getTime();
return false;
}
// 交易
_C(exchange.SetContractType, P_SymbolA);
var infoA = P.OpenLong(P_SymbolA, Piece, ManagerData.DepthA.Asks[0].Price);
if(infoA.amount == 0){
return false;
}
_C(exchange.SetContractType, P_SymbolB);
var dealAmount = infoA.amount;
var infoB = P.OpenShort(P_SymbolB, dealAmount, ManagerData.DepthB.Bids[0].Price);
var slidePrice = retrySlidePrice;
while((dealAmount -= infoB.amount) > 0){
infoB = P.OpenShort(P_SymbolB, dealAmount, ManagerData.DepthB.Bids[0].Price - slidePrice);
slidePrice += retrySlidePrice;
LogStatus("while(), P_SymbolB:", P_SymbolB, infoB, dealAmount, slidePrice);
}
// 更新数据
ManagerData.perAccount = ManagerData.Account;
ManagerData.Account = _C(exchange.GetAccount);
ManagerData.Margin += (ManagerData.perAccount.Stocks - ManagerData.Account.Stocks);
Log("持仓信息：", GetPositions(), "本次使用保证金：", (ManagerData.perAccount.Stocks - ManagerData.Account.Stocks));
perState = State;
State = MINUS;
}else if(Action == COVER){
// 全平
_C(exchange.SetContractType, P_SymbolA);
var infoA = P.Cover(P_SymbolA, ManagerData.DepthA.Asks[0].Price, Math.min(ManagerData.APosition.Amount, Math.max(_N(ManagerData.APosition.Amount * CoverRatio, 0), minCoverAmount)), PD_SHORT);
if(infoA == 0){
return false;
}
_C(exchange.SetContractType, P_SymbolB);
var dealAmount = infoA;
var infoB = P.Cover(P_SymbolB, ManagerData.DepthB.Bids[0].Price, dealAmount, PD_LONG);
var slidePrice = retrySlidePrice;
while((dealAmount -= infoB) > 0){
infoB = P.Cover(P_SymbolB, ManagerData.DepthB.Bids[0].Price - slidePrice, dealAmount, PD_LONG);
slidePrice += retrySlidePrice;
LogStatus("while(), P_SymbolB:", P_SymbolB, infoB, dealAmount, slidePrice);
}
Log("持仓信息：", GetPositions());
if(ManagerData.APosition == null && ManagerData.BPosition == null){
perState = State;
State = IDLE;
upRatio = 0; // 重置
downRatio = 0; // 重置
Log("完全平仓！#FF0000");
Log("更新最大保证金使用量：", DealManagerData());
LogProfit(ManagerData.Account.Stocks - ManagerData.initAccount.Stocks); // ceshi
}else{
ManagerData.perAccount = ManagerData.Account;
ManagerData.Account = _C(exchange.GetAccount);
Log("部分平仓：", infoA);
}
}
return true;
}
function DealManagerData(){ // 处理 ManagerData
ManagerData.perAccount = ManagerData.Account;
ManagerData.Account = _C(exchange.GetAccount); // 获取 平仓后的 账户信息
var Position = _C(exchange.GetPosition); // 获取 平仓后的持仓信息
if(Position.length == 0){ // 如果 平仓完成 ，没有持仓了 重置 ManagerData 的 持仓信息属性
ManagerData.APosition = null;
ManagerData.BPosition = null;
ManagerData.Margin = 0; // 重置 当前使用的保证金 为 0
}else{ // 如果有持仓 报错，打印持仓
Log("平仓后还有持仓！", Position, "#FF0000");
throw "error!";
}
ManagerData.MaxUsedMargin = _N(ManagerData.Account.Stocks * ManagerData.MaxUsedRatio, 2); // 计算下一轮 最大的 保证金使用量
return ManagerData.MaxUsedMargin;
}
function CalcPieceEqualAmount(Price, Piece){
return {
EqualAmount : (100 / Price * Piece),
NeedMargin : (100 / Price * Piece) / ManagerData.MarginLevel,
}
}
function Loop(nowTime){ // 主循环
var DepthA = UseAPI(exchange.GetDepth, P_SymbolA);
var DepthB = UseAPI(exchange.GetDepth, P_SymbolB);
var RecordsA = UseAPI(exchange.GetRecords, P_SymbolA, KPeriod);
var RecordsB = UseAPI(exchange.GetRecords, P_SymbolB, KPeriod);
// 过滤数据
if(!RecordsA || !RecordsB || !DepthA || !DepthB || DepthA.Bids.length == 0 || DepthA.Asks.length == 0 ||
DepthB.Bids.length == 0 || DepthB.Asks.length == 0 || RecordsA.length == 0 || RecordsB.length == 0){
return;
}
ManagerData.DepthA = DepthA;
ManagerData.DepthB = DepthB;
// 更新 差价K线数据
UpdateDiffData(DepthA, DepthB, RecordsA, RecordsB);
if(isShowChart == true){
if(!P_isSetOneKLine){
$.PlotRecords(DiffData.plusKLine, 'plus');
}else{
$.PlotRecords(DiffDataOneKLine.KLine, 'KLine');
}
}
// BOLL
if(P_isSetOneKLine && DiffDataOneKLine.KLine.length > 20){
var boll = TA.BOLL(DiffDataOneKLine.KLine);
var up = boll[0];
var mid = boll[1];
var down = boll[2];
if(perRecordsTime !== DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Time){
if(isShowChart == true){
$.PlotLine("up", up[up.length - 2], DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 2].Time);
$.PlotLine("mid", mid[mid.length - 2], DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 2].Time);
$.PlotLine("down", down[down.length - 2], DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 2].Time);
$.PlotLine("up", up[up.length - 1], DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Time);
$.PlotLine("mid", mid[mid.length - 1], DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Time);
$.PlotLine("down", down[down.length - 1], DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Time);
// $.PlotHLine(up[up.length - 1], 'UpTrack', "red");
// $.PlotHLine(down[down.length - 1], 'DownTrack', "green");
}
perRecordsTime = DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Time;
isTradeOnThisBar = false; // 重置 是否当前Bar 交易的标记为 false
isCoverOnthisBar = false;
}else{
if(isShowChart == true){
$.PlotLine("up", up[up.length - 1], DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Time);
$.PlotLine("mid", mid[mid.length - 1], DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Time);
$.PlotLine("down", down[down.length - 1], DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Time);
// $.PlotHLine(up[up.length - 1], 'UpTrack', "red");
// $.PlotHLine(down[down.length - 1], 'DownTrack', "green");
}
}
// 突破判断
// 计算加仓距离
distance = _N((up[up.length - 1] - down[down.length - 1]) * 0.5, 0);
if(distance * 2 < 20 && (upRatio == 0 && downRatio == 0)){ // 计算安全间距
return;
}
if(DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Close > up[up.length - 1]){
if((State == IDLE || State == PLUS) && (DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Close > (up[up.length - 1] + upRatio * distance)) /*&& isTradeOnThisBar == false*/){ // Open PLUS
if(P_isSetTest){
// 模拟
$.PlotFlag(nowTime, 'plus', 'P', 'flag', 'red');
State = PLUS;
exchange.Log(LOG_TYPE_SELL, test.ID++, DepthA.Bids[0].Price, test.amount, "Open:" + P_SymbolA);
exchange.Log(LOG_TYPE_BUY, test.ID++, DepthB.Asks[0].Price, test.amount, "Open:" + P_SymbolB);
test.OpenDiff = DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Close;
}else{
var info = SellA_BuyB(DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Close, OPEN);
if(info == false){
return;
}
$.PlotFlag(nowTime, 'plus', 'P', 'flag', 'red');
isTradeOnThisBar = true;
upRatio += Add_lv;
}
}else if(State == MINUS /*&& isCoverOnthisBar == false*/){ // Cover MINUS
if(P_isSetTest){
// 模拟
$.PlotFlag(nowTime, 'Cover_Minus', 'CM', 'circlepin', 'blue');
State = IDLE;
exchange.Log(LOG_TYPE_SELL, test.ID++, DepthA.Bids[0].Price, test.amount, "Cover:" + P_SymbolA);
exchange.Log(LOG_TYPE_BUY, test.ID++, DepthB.Asks[0].Price, test.amount, "Cover:" + P_SymbolB);
test.ProfitDiff += DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Close - test.OpenDiff;
Log("本次盈亏：" + (DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Close - test.OpenDiff));
LogProfit(test.ProfitDiff);
}else{
// SellA_BuyB
var info = SellA_BuyB(DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Close, COVER);
if(info == false){
Log("MINUS 平仓失败！");
return;
}
$.PlotFlag(nowTime, 'Cover_Minus', 'CM', 'circlepin', 'blue');
isCoverOnthisBar = true;
}
}
}else if(DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Close < down[down.length - 1]){
if((State == IDLE || State == MINUS) && (DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Close < (down[down.length - 1] - downRatio * distance)) /*&& isTradeOnThisBar == false*/){
if(P_isSetTest){
// 模拟
$.PlotFlag(nowTime, 'minus', 'M', 'circlepin', 'green'); // DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Time
State = MINUS;
exchange.Log(LOG_TYPE_BUY, test.ID++, DepthA.Asks[0].Price, test.amount, "Open:" + P_SymbolA);
exchange.Log(LOG_TYPE_SELL, test.ID++, DepthB.Bids[0].Price, test.amount, "Open:" + P_SymbolB);
test.OpenDiff = DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Close;
}else{
// BuyA_SellB
var info = BuyA_SellB(DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Close, OPEN);
if(info == false){
return;
}
$.PlotFlag(nowTime, 'minus', 'M', 'circlepin', 'green');
isTradeOnThisBar = true;
downRatio += Add_lv;
}
}else if(State == PLUS /*&& isCoverOnthisBar == false*/){
if(P_isSetTest){
// 模拟
$.PlotFlag(nowTime, 'Cover_Plus', 'CP', 'flag', 'blue');
State = IDLE;
exchange.Log(LOG_TYPE_BUY, test.ID++, DepthA.Asks[0].Price, test.amount, "Cover:" + P_SymbolA);
exchange.Log(LOG_TYPE_SELL, test.ID++, DepthB.Bids[0].Price, test.amount, "Cover:" + P_SymbolB);
test.ProfitDiff += test.OpenDiff - DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Close;
Log("本次盈亏：" + (test.OpenDiff - DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Close));
LogProfit(test.ProfitDiff);
}else{
// BuyA_SellB
var info = BuyA_SellB(DiffDataOneKLine.KLine[DiffDataOneKLine.KLine.length - 1].Close, COVER);
if(info == false){
Log("PLUS 平仓失败！");
return;
}
$.PlotFlag(nowTime, 'Cover_Plus', 'CP', 'flag', 'blue');
isCoverOnthisBar = true;
}
}
}
}
}
function main(){
// 初始化工作
if(isLogReset){
LogReset(1);
}
Log("最大保证金使用量：", DealManagerData());
ManagerData.initAccount = ManagerData.Account;
ManagerData.perAccount = ManagerData.Account;
exchange.SetMarginLevel(ManagerData.MarginLevel); // 初始设置杠杆
// 设置禁用汇率
exchange.SetRate(1);
Log("已禁用汇率，显示价格为美元价格！");
// 创建交易控制对象
P = $.NewPositionManager(exchange);
//主要循环
while(true){
var nowTime = new Date().getTime();
Loop(nowTime);
LogStatus("时间：", _D(nowTime), '\n', P_isSetTest ? JSON.stringify(test) : "Margin: " + ManagerData.Margin, '\n', ManagerData.ErrorStr, _D(ManagerData.ErrorTimeStamp), '\n',
ManagerData.initAccount, '\n', ManagerData.Account, '\n', ManagerData.APosition, '\n', ManagerData.BPosition, '\n', "upRatio:" + upRatio, '\n', "downRatio:" + downRatio, "distance:" + distance);
Sleep(P_Interval);
}
}
编程语言使用的是 JavaScript , 引用了 “ 模板-画线类库” 和 “ OKCoin期货跨期对冲策略(模板测试使用)” 两个模板， 策略公开地址： https://www.fmz.com/strategy/43049**声明：
该策略为平台用户 小小梦 分享，主要用于发明者量化平台策略编写学习， 实盘虽可用，风险自担！ 欢迎大家讨论，多交流，多学习，多提升！ 作者本人其实不喜欢闭门造车，进步就要互相学习！
上个回测：
因为频率挺高的，回测滑点等因素影响较小，所以回测仅供参考，策略应该可以进一步优化，小心参数撞车！原创文章，发明者量化版权所有。
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