1. 程式人生 > >數字貨幣跨品種對衝的探討及DEMO

數字貨幣跨品種對衝的探討及DEMO

平時交易的時候,交易員喜歡盯著盤面資料,why?原因是,關心行情的異動,找個機器人幫你盯著是個很好的辦法。 言歸正傳,在商品期貨交易策略中 經常看到 不同品種的 組合對衝策略,比如 焦煤、鐵礦石 和 螺紋鋼 對衝, 這種跨品種對衝策略是不是也能用到數字貨幣交易中呢? 不過風險依然是不容忽視的,那麼最簡單的就是 回測一下 大致驗證一下策略思路是否可行。

 

1.前提條件

我們選用價格差相對合適的 比特幣(BTC) 、以太坊(ETH) 作為對衝 品種。

 

2.策略描述

我們在 BTC/ETH 比例小的時候 空ETH多BTC , 在比例大的時候 平倉, 可以使用SMA指標來進行擇時。

 

3.策略地址 : https://www.botvs.com/strategy/48536 使用了 “畫線類庫” 、 “ 數字貨幣交易類庫” 這兩個模板(可複用的模組程式碼)

4.DEMO 很方便的把想法畫在了圖表上, 其實還有很多地方要優化,這裡只是拋個磚,探討思路方法,接下來準備 優化 擴充套件 看看是否靠譜可行。

 

拋磚引玉般的DEMO ( JS 語言 基於發明者平臺)

/*exchanges
A : BTC
B : ETH
*/

var RateUpDateTime = new Date().getTime()
var UpDateCyc = 60 * 60 * 1000
var SumInCyc = 0
var AddCounts = 1
var RateArray = []

var BTC_hold_amount = 0
var ETH_hold_amount = 0

var IDLE = 0
var PLUS = 1
var STATE = IDLE

var 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)
    }

}

 

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