Recently, some users of our platform are very much looking forward to porting a Mylanguage strategy into a JavaScript strategy, so that many optimization ideas can be flexibly added. They even wish to extend a strategy into a multi-symbol version. Because Mylanguage strategies are usually trend strategies, and many are executed in a close price model. Those strategies request platform API interface not very frequently, which is more suitable for porting into a multi-symbol strategy version. In the article, we take a simple Mylanguage strategy as an example and port it into a simple version of JavaScript language. The main purpose is to teach, backtest and research. If you want to run a bot strategy, you may need to add some details (such as order price, amount precision, order amount control, ordering by asset ratio, status information display, etc.), and also need to run real tick test.
Mylangauge Strategy to be Ported
TR:=MAX(MAX((H-L),ABS(REF(C,1)-H)),ABS(REF(C,1)-L)); ATR:=EMA(TR,LENGTH2); MIDLINE^^EMA((H + L + C)/3,LENGTH1); UPBAND^^MIDLINE + N*ATR; DOWNBAND^^MIDLINE - N*ATR; BKVOL=0 AND C>=UPBAND AND REF(C,1)<REF(UPBAND,1),BPK; SKVOL=0 AND C<=DOWNBAND AND REF(C,1)>REF(DOWNBAND,1),SPK; BKVOL>0 AND C<=MIDLINE,SP(BKVOL); SKVOL>0 AND C>=MIDLINE,BP(SKVOL); // stop loss C>=SKPRICE*(1+SLOSS*0.01),BP; C<=BKPRICE*(1-SLOSS*0.01),SP; AUTOFILTER;
The strategy logic is very simple. First, according to parameters, calculate ATR, and then calculate the average values of the highest, the lowest, close and open prices of all K-line BARs, by which the EMA indicator will be calculated. At last, on the basis of ATR and the ratio N in the parameters, calculate upBand and downBand.
Open position and reverse are based on the close price breaking through upBand and downBand. Reverse through the upBand (when holding short), open long; reverse through the downBand, open short.
When the close price reaches the midline, close position; when the close price reaches the stop loss price, close position (according to SLOSS to stop loss; when SLOSS is 1, it means 0.01, namely 1%).
The strategy is executed in the close price model.
OK. After understanding the strategy requirements and thoughts of Mylanguage, we can start to port.
Port and Design Strategy Prototype
The strategy prototype code is not too long, only 1 to 200 lines. For you to conveniently study the strategy writing ideas, I directly write the remarks in the strategy code.
// parse params, from string to object
var arrParam = JSON.parse(params)
// the function creates the chart configuration
function createChartConfig(symbol, atrPeriod, emaPeriod, index) { // symbol: trading pair; atrPeriod: ATR parameter period; emaPeriod: EMA parameter period; index: index of the corresponding exchange object
var chart = {
__isStock: true,
extension: {
layout: 'single',
height: 600,
},
title : { text : symbol},
xAxis: { type: 'datetime'},
series : [
{
type: 'candlestick', // K-line data series
name: symbol,
id: symbol + "-" + index,
data: []
}, {
type: 'line', // EMA
name: symbol + ',EMA:' + emaPeriod,
data: [],
}, {
type: 'line', // upBand
name: symbol + ',upBand' + atrPeriod,
data: []
}, {
type: 'line', // downBand
name: symbol + ',downBand' + atrPeriod,
data: []
}, {
type: 'flags',
onSeries: symbol + "-" + index,
data: [],
}
]
}
return chart
}
// main logic
function process(e, kIndex, c) { // e is the exchange object, such as exchanges[0] ... ; kIndex is the data series of K-line data in the chart; c is the chart object
// obtain K-line data
var r = e.GetRecords(e.param.period)
if (!r || r.length < e.param.atrPeriod + 2 || r.length < e.param.emaPeriod + 2) {
// if K-line data length is insufficient, return
return
}
// calculate ATR indicator
var atr = TA.ATR(r, e.param.atrPeriod)
var arrAvgPrice = []
_.each(r, function(bar) {
arrAvgPrice.push((bar.High + bar.Low + bar.Close) / 3)
})
// calculate EMA indicator
var midLine = TA.EMA(arrAvgPrice, e.param.emaPeriod)
// calculate upBand and downBand
var upBand = []
var downBand = []
_.each(midLine, function(mid, index) {
if (index < e.param.emaPeriod - 1 || index < e.param.atrPeriod - 1) {
upBand.push(NaN)
downBand.push(NaN)
return
}
upBand.push(mid + e.param.trackRatio * atr[index])
downBand.push(mid - e.param.trackRatio * atr[index])
})
// plot
for (var i = 0 ; i < r.length ; i++) {
if (r[i].Time == e.state.lastBarTime) {
// update
c.add(kIndex, [r[i].Time, r[i].Open, r[i].High, r[i].Low, r[i].Close], -1)
c.add(kIndex + 1, [r[i].Time, midLine[i]], -1)
c.add(kIndex + 2, [r[i].Time, upBand[i]], -1)
c.add(kIndex + 3, [r[i].Time, downBand[i]], -1)
} else if (r[i].Time > e.state.lastBarTime) {
// add
e.state.lastBarTime = r[i].Time
c.add(kIndex, [r[i].Time, r[i].Open, r[i].High, r[i].Low, r[i].Close])
c.add(kIndex + 1, [r[i].Time, midLine[i]])
c.add(kIndex + 2, [r[i].Time, upBand[i]])
c.add(kIndex + 3, [r[i].Time, downBand[i]])
}
}
// detect position
var pos = e.GetPosition()
if (!pos) {
return
}
var holdAmount = 0
var holdPrice = 0
if (pos.length > 1) {
throw "Long and short positions are detected simultaneously!"
} else if (pos.length != 0) {
holdAmount = pos[0].Type == PD_LONG ? pos[0].Amount : -pos[0].Amount
holdPrice = pos[0].Price
}
if (e.state.preBar == -1) {
e.state.preBar = r[r.length - 1].Time
}
// detect signal
if (e.state.preBar != r[r.length - 1].Time) { // close price model
if (holdAmount <= 0 && r[r.length - 3].Close < upBand[upBand.length - 3] && r[r.length - 2].Close > upBand[upBand.length - 2]) { // close price up cross the upBand
if (holdAmount < 0) { // holding short, close position
Log(e.GetCurrency(), "close short position", "#FF0000")
$.CoverShort(e, e.param.symbol, Math.abs(holdAmount))
c.add(kIndex + 4, {x: r[r.length - 2].Time, color: 'red', shape: 'flag', title: 'close', text: "close short position"})
}
// open long
Log(e.GetCurrency(), "open long position", "#FF0000")
$.OpenLong(e, e.param.symbol, 10)
c.add(kIndex + 4, {x: r[r.length - 2].Time, color: 'red', shape: 'flag', title: 'long', text: "open long position"})
} else if (holdAmount >= 0 && r[r.length - 3].Close > downBand[downBand.length - 3] && r[r.length - 2].Close < downBand[downBand.length - 2]) { // close price down cross the downBand
if (holdAmount > 0) { // holding long, close position
Log(e.GetCurrency(), "close long position", "#FF0000")
$.CoverLong(e, e.param.symbol, Math.abs(holdAmount))
c.add(kIndex + 4, {x: r[r.length - 2].Time, color: 'green', shape: 'flag', title: 'close', text: "close long position"})
}
// open short
Log(e.GetCurrency(), "open short position", "#FF0000")
$.OpenShort(e, e.param.symbol, 10)
c.add(kIndex + 4, {x: r[r.length - 2].Time, color: 'green', shape: 'flag', title: 'short', text: "open short position"})
} else {
// close position
if (holdAmount > 0 && (r[r.length - 2].Close <= holdPrice * (1 - e.param.stopLoss) || r[r.length - 2].Close <= midLine[midLine.length - 2])) { // if holding long position, close price is equal to or less than midline, stop loss according to open position price
Log(e.GetCurrency(), "if midline is triggered or stop loss, close long position", "#FF0000")
$.CoverLong(e, e.param.symbol, Math.abs(holdAmount))
c.add(kIndex + 4, {x: r[r.length - 2].Time, color: 'green', shape: 'flag', title: 'close', text: "close long position"})
} else if (holdAmount < 0 && (r[r.length - 2].Close >= holdPrice * (1 + e.param.stopLoss) || r[r.length - 2].Close >= midLine[midLine.length - 2])) { // if holding short position, close price is equal to or more than midline, stop loss according to open position price
Log(e.GetCurrency(), "if midline is triggered or stop loss, close short position", "#FF0000")
$.CoverShort(e, e.param.symbol, Math.abs(holdAmount))
c.add(kIndex + 4, {x: r[r.length - 2].Time, color: 'red', shape: 'flag', title: 'close', text: "close short position"})
}
}
e.state.preBar = r[r.length - 1].Time
}
}
function main() {
var arrChartConfig = []
if (arrParam.length != exchanges.length) {
throw "The parameter and the exchange object do not match!"
}
var arrState = _G("arrState")
_.each(exchanges, function(e, index) {
if (e.GetName() != "Futures_Binance") {
throw "The platform is not supported!"
}
e.param = arrParam[index]
e.state = {lastBarTime: 0, symbol: e.param.symbol, currency: e.GetCurrency()}
if (arrState) {
if (arrState[index].symbol == e.param.symbol && arrState[index].currency == e.GetCurrency()) {
Log("Recover:", e.state)
e.state = arrState[index]
} else {
throw "The recovered data and the current setting do not match!"
}
}
e.state.preBar = -1 // initially set -1
e.SetContractType(e.param.symbol)
Log(e.GetName(), e.GetLabel(), "Set contract:", e.param.symbol)
arrChartConfig.push(createChartConfig(e.GetCurrency(), e.param.atrPeriod, e.param.emaPeriod, index))
})
var chart = Chart(arrChartConfig)
chart.reset()
while (true) {
_.each(exchanges, function(e, index) {
process(e, index + index * 4, chart)
Sleep(500)
})
}
}
function onexit() {
// record e.state
var arrState = []
_.each(exchanges, function(e) {
arrState.push(e.state)
})
Log("Record:", arrState)
_G("arrState", arrState)
}
Strategy parameters:
var params = '[{
"symbol" : "swap", // contract code
"period" : 86400, // K-line period; 86400 seconds indicates 1 day
"stopLoss" : 0.07, // ratio of stoploss; 0.07 means 7%
"atrPeriod" : 10, // ATR indicator parameter
"emaPeriod" : 10, // EMA indicator parameter
"trackRatio" : 1, // ratio of upBand or downBand
"openRatio" : 0.1 // ratio of reserved open position (temporarily not supported)
}, {
"symbol" : "swap",
"period" : 86400,
"stopLoss" : 0.07,
"atrPeriod" : 10,
"emaPeriod" : 10,
"trackRatio" : 1,
"openRatio" : 0.1
}]'
Backtest
/upload/asset/164f186c731a0208d87b.png
/upload/asset/175ed72cf71937bf43cb.png
Strategy Source Code: https://www.fmz.com/strategy/339344
The strategy is only used for communication and study; for the practical use, you need to modify, adjust and optimize it by yourself.