Again, our tech member has rewritten the famous DT strategy.
Shorter coding lines, better performance.
Easier to understand, easier to learn the logic of the strategy.
The original one is at: https://fmzquant.quora.com/Dual-Thrust-Trading-strategy
Here is the new version:
var STATE_IDLE = 0 var STATE_LONG = 1 var STATE_SHORT = 2 var State = STATE_IDLE var LastBarTime = 0 var UpTrack = 0 var DownTrack = 0 var InitAccount = null function GetPosition(posType) { var positions = exchange.GetPosition() for (var i = 0; i < positions.length; i++) { if (positions[i].Type === posType) { return [positions[i].Price, positions[i].Amount]; } } return [0, 0] } function CancelPendingOrders() { while (true) { var orders = exchange.GetOrders() for (var i = 0; i < orders.length; i++) { exchange.CancelOrder(orders[i].Id) Sleep(500) } if (orders.length === 0) { break } } } function Trade(currentState, nextState) { var pfn = nextState === STATE_LONG ? exchange.Buy : exchange.Sell if (currentState !== STATE_IDLE) { exchange.SetDirection(currentState === STATE_LONG ? "closebuy" : "closesell") while (true) { var amount = GetPosition(currentState === STATE_LONG ? PD_LONG : PD_SHORT)[1] if (amount === 0) { break } pfn(nextState === STATE_LONG ? _C(exchange.GetTicker).Sell * 1.001 : _C(exchange.GetTicker).Buy * 0.999, amount) Sleep(500) CancelPendingOrders() } var account = exchange.GetAccount() LogProfit(_N(account.Stocks - InitAccount.Stocks, 3), "rate of return:", _N((account.Stocks - InitAccount.Stocks) * 100 / InitAccount.Stocks, 3) + '%') } exchange.SetDirection(nextState === STATE_LONG ? "buy" : "sell") while (true) { var pos = GetPosition(nextState === STATE_LONG ? PD_LONG : PD_SHORT) if (pos[1] >= AmountOP) { Log("Average price of position", pos[0], "Quantity:", pos[1]) break } pfn(nextState === STATE_LONG ? _C(exchange.GetTicker).Sell * 1.001 : _C(exchange.GetTicker).Buy * 0.999, AmountOP-pos[1]) Sleep(500) CancelPendingOrders() } } function onTick() { var records = exchange.GetRecords() if (!records || records.length <= NPeriod) { return } var Bar = records[records.length - 1] $.PlotRecords(records, 'K line') if (LastBarTime !== Bar.Time) { var HH = TA.Highest(records, NPeriod, 'High') var HC = TA.Highest(records, NPeriod, 'Close') var LL = TA.Lowest(records, NPeriod, 'Low') var LC = TA.Lowest(records, NPeriod, 'Close') var Range = Math.max(HH - LC, HC - LL) UpTrack = _N(Bar.Open + (Ks * Range), 3) DownTrack = _N(Bar.Open - (Kx * Range), 3) $.PlotHLine(UpTrack, 'UpTrack') $.PlotHLine(DownTrack, 'DownTrack') LastBarTime = Bar.Time } LogStatus("Price:", Bar.Close, "Up:", UpTrack, "Down:", DownTrack, "Date:", new Date()) var msg if (State === STATE_IDLE || State === STATE_SHORT) { if (Bar.Close >= UpTrack) { msg = 'Buying long trigger price: ' + Bar.Close + ' Upper rail:' + UpTrack Log(msg) Trade(State, STATE_LONG) State = STATE_LONG $.PlotFlag(Bar.Time, msg, 'long', 'flag', 'red') } } if (State === STATE_IDLE || State === STATE_LONG) { if (Bar.Close <= DownTrack) { msg = 'Selling short trigger price: ' + Bar.Close + ' lower rail:' + DownTrack Log(msg) Trade(State, STATE_SHORT) $.PlotFlag(Bar.Time, msg, 'short', 'circlepin', 'green') State = STATE_SHORT } } } function main() { exchange.SetContractType("quarter") exchange.SetMarginLevel(10) if (exchange.GetPosition().length > 0) { throw "There can be no positions before the strategy is started." } CancelPendingOrders() InitAccount = exchange.GetAccount() while (true) { onTick() Sleep(500) } }
And the Strategy Arguments setting:

For more information, please see at:https://www.fmz.com/bbs-topic/2284

