Name
Paul-The-Gambler-Lévy-Gold-Edition
Author
FawkesPan
Strategy Description
Strategy Arguments
| Argument | Default | Description |
|---|---|---|
| STOP_LOSS | 0.015 | 止损距离 |
| TAKE_PROFIT | 0.03 | 止盈距离 |
| START_SIZE | true | 初始仓位 |
| RISK_LIMIT | 1025 | 最大仓位 |
| LEVERAGE_RATE | 20 | 杠杆大小 |
| CONTRACT_TYPE | this_week | 合约类型 |
| DELAY | 30 | 刷新间隔 |
| AMP | 2 | 反向倍数 |
Source (python)
#!/usr/bin/env python3
# -*- coding: utf-8 -*-
# encoding: utf-8
#
# Paul "The Gambler" Lévy.
#
# Copyright 2018 FawkesPan
# Contact : [email protected] / Telegram@FawkesPan
#
# Do What the Fuck You Want To Public License
#
import random
import talib
import numpy as np
from math import *
Account = {}
Ticker = {}
Records = {}
LPosition = 0
SPosition = 0
Positions = {}
TotalLoss = 0
TotalWin = 0
FullLoss = 0
MaxPosition = 0
TotalLongs = 0
TotalShorts = 0
def cancelAllOrders():
orders = exchange.GetOrders()
for order in orders:
exchange.CancelOrder(order['Id'], order)
return True
def updateMarket():
global Ticker
global Records
Ticker = exchange.GetTicker()
Records = exchange.GetRecords()
return True
def getTAFormat(Records):
Close = []
for item in Records:
Close.append(item['Close'])
return np.array(Close)
def updateAccount():
global Account
global LPosition
global SPosition
global Positions
global MaxPosition
LPosition = 0
SPosition = 0
Positions = {}
for item in exchange.GetPosition():
if item['MarginLevel'] == LEVERAGE_RATE:
if item['Type'] == 1:
Positions['Short'] = item
SPosition += item['Amount']
else:
Positions['Long'] = item
LPosition += item['Amount']
MaxPosition = max(MaxPosition, SPosition, LPosition)
Account = exchange.GetAccount()
return True
def updatePositions():
global TotalWin
global TotalLoss
global FullLoss
opened = False
try:
Long = Positions['Long']['Amount']
LongEntry = Positions['Long']['Price']
Current = Ticker['Sell']
StopLoss = LongEntry * (1-STOP_LOSS)
TakeProfit = LongEntry * (1+TAKE_PROFIT)
if Current > TakeProfit:
Risked = True
Log('多仓达到预设止盈价位. #0000FF')
TotalWin+=1
Log('总计止盈次数: ', TotalWin, ' 总计止损次数: ', TotalLoss, ' 完全止损次数: ', FullLoss, ' 持有过的最大仓位: ', MaxPosition, ' 总计开多: ', TotalLongs, ' 总计开空: ', TotalShorts)
coverLong(Long, True)
if Current < StopLoss:
Risked = True
Log('多仓达到预设止损价位. #FF0000')
TotalLoss+=1
Log('总计止盈次数: ', TotalWin, ' 总计止损次数: ', TotalLoss, ' 完全止损次数: ', FullLoss, ' 持有过的最大仓位: ', MaxPosition, ' 总计开多: ', TotalLongs, ' 总计开空: ', TotalShorts)
coverLong(Long, True)
if Long*AMP < RISK_LIMIT:
openShort(Long*AMP, True)
else:
FullLoss+=1
Log('超过允许的最大仓位，停止开仓. #FF0000')
Log('总计止盈次数: ', TotalWin, ' 总计止损次数: ', TotalLoss, ' 完全止损次数: ', FullLoss, ' 持有过的最大仓位: ', MaxPosition, ' 总计开多: ', TotalLongs, ' 总计开空: ', TotalShorts)
opened = True
except KeyError:
pass
try:
Short = Positions['Short']['Amount']
ShortEntry = Positions['Short']['Price']
Current = Ticker['Buy']
StopLoss = ShortEntry * (1+STOP_LOSS)
TakeProfit = ShortEntry * (1-TAKE_PROFIT)
if Current < TakeProfit:
Risked = True
Log('空仓达到预设止盈价位. #0000FF')
TotalWin+=1
Log('总计止盈次数: ', TotalWin, ' 总计止损次数: ', TotalLoss, ' 完全止损次数: ', FullLoss, ' 持有过的最大仓位: ', MaxPosition, ' 总计开多: ', TotalLongs, ' 总计开空: ', TotalShorts)
coverShort(Short, True)
if Current > StopLoss:
Risked = True
Log('空仓达到预设止损价位. #FF0000')
TotalLoss+=1
Log('总计止盈次数: ', TotalWin, ' 总计止损次数: ', TotalLoss, ' 完全止损次数: ', FullLoss, ' 持有过的最大仓位: ', MaxPosition, ' 总计开多: ', TotalLongs, ' 总计开空: ', TotalShorts)
coverShort(Short, True)
if Short*AMP < RISK_LIMIT:
openLong(Short*AMP, True)
else:
FullLoss+=1
Log('超过允许的最大仓位，停止开仓. #FF0000')
Log('总计止盈次数: ', TotalWin, ' 总计止损次数: ', TotalLoss, ' 完全止损次数: ', FullLoss, ' 持有过的最大仓位: ', MaxPosition, ' 总计开多: ', TotalLongs, ' 总计开空: ', TotalShorts)
opened = True
except KeyError:
pass
if not opened:
Log('还没开仓，随便开个仓位.')
RSI = talib.RSI(getTAFormat(Records), timeperiod=14)
if RSI[-2]<RSI[-1]:
Log('RSI14: ', RSI[-1],' 正在开多.')
openLong(START_SIZE, True)
else:
Log('RSI14: ', RSI[-1],' 正在开空.')
openShort(START_SIZE, True)
return True
def openLong(Amount=0, marketPrice=False):
global TotalLongs
Amount = floor(Amount)
TotalLongs+=Amount
exchange.SetDirection('buy')
if marketPrice:
exchange.Buy(Ticker['Sell']*1.01, Amount)
else:
exchange.Buy(Ticker['Sell'], Amount)
return True
def coverLong(Amount=0, marketPrice=False):
exchange.SetDirection('closebuy')
if marketPrice:
exchange.Sell(Ticker['Buy']*0.99, Amount)
else:
exchange.Sell(Ticker['Buy'], Amount)
return True
def openShort(Amount=0, marketPrice=False):
global TotalShorts
Amount = floor(Amount)
TotalShorts+=Amount
exchange.SetDirection('sell')
if marketPrice:
exchange.Sell(Ticker['Buy']*0.99, Amount)
else:
exchange.Sell(Ticker['Buy'], Amount)
return True
def coverShort(Amount=0, marketPrice=False):
exchange.SetDirection('closesell')
if marketPrice:
exchange.Buy(Ticker['Sell']*1.01, Amount)
else:
exchange.Buy(Ticker['Sell'], Amount)
return True
def onTick():
cancelAllOrders()
updateMarket()
updateAccount()
updatePositions()
return True
def main():
exchange.SetContractType(CONTRACT_TYPE)
exchange.SetMarginLevel(LEVERAGE_RATE)
while True:
onTick()
Sleep(DELAY*1000)Detail
https://www.fmz.com/strategy/119038
Last Modified
2018-09-28 16:53:43