예제 54

Trend and fade books

two independent positions on one symbol -- a trend book and a fade book -- each with its own entries, its own scaling out and its own

분류: Host: 터미널의 데이터와 엔진 필요
권한: orders.submit
실행하기 전에: a market whose aggregated prints and closed bars the terminal has, or a dataset holding aggTrades and 1-minute klines.
하는 일: asks the terminal to run the strategy on that market; once running it places orders on the account the person chose.
실행 방법: Add script on the Market Replay window or the title bar's script icon; Insert strategy in the Datasets window (backtest).
언어: >=0.2.0, <0.3.0
호스트: >=0.1.13, <0.2.0
필요한 것: features >=0.1.8, <0.2.0trade >=0.1.0, <0.2.0

소스

// Purpose: two independent positions on one symbol -- a trend book and a fade book -- each with its own entries, its own scaling out and its own
// exits. A rule says which book it belongs to (`for trend`); the books never net against each other in the account's accounting, so the
// trend can be long while the fade is short.
//
//   TREND   long while the price is over its 20-bar average; half off after 30 minutes; the rest out when it falls back under.
//   FADE    short when the price is stretched more than `stretch` above the average; out after 20 minutes or back at the average.
//
// HONEST NOTE: written to the specification and checked that it compiles and hands over a strategy; its edge has not been measured.
// Category: host
// Permissions: orders.submit
// Preconditions: a market whose aggregated prints and closed bars the terminal has, or a dataset holding aggTrades and 1-minute klines.
// Side effects: asks the terminal to run the strategy on that market; once running it places orders on the account the person chose.
// Run: Add script on the Market Replay window or the title bar's script icon; Insert strategy in the Datasets window (backtest).

lang ">=0.2.0, <0.3.0";
host "ttt" ">=0.1.13, <0.2.0";
requires "features" ">=0.1.8, <0.2.0";
requires "trade" ">=0.1.0, <0.2.0";

strategy trend_and_fade(period: Int, stretch: Decimal, size: Quantity) version "1.0.0" {
    position trend;
    position fade;
    let px = features.price(features.Source.AggTrades);
    let avg = features.sma(period);
    let above = px > avg;
    let stretched = px > avg * (1.0 + stretch);
    rule trend_in for trend when trend.exposure_is(Exposure.Flat) && above
        => order(Side.Buy, Intent.Open, OrderType.Market, Sizing.Fixed(size));
    rule trend_half for trend when trend.exposure_is(Exposure.Open) && trend.minutes() > 30
        => order(Side.Sell, Intent.Reduce, OrderType.Market, Sizing.PercentOfPosition(percent(50)));
    rule trend_out for trend when trend.exposure_is(Exposure.Open) && !above
        => order(Side.Sell, Intent.Close, OrderType.Market, Sizing.Fixed(size));
    rule fade_in for fade when fade.exposure_is(Exposure.Flat) && stretched
        => order(Side.Sell, Intent.Open, OrderType.Market, Sizing.Fixed(size));
    rule fade_out for fade when fade.exposure_is(Exposure.Open) && (fade.minutes() > 20 || px <= avg)
        => order(Side.Buy, Intent.Close, OrderType.Market, Sizing.Fixed(size));
    flatten_on_stop;
}

fn main() -> Result<Unit, Error> {
    let run = trade.run(trend_and_fade(20, 0.004, qty(0.02)))?;
    print(run.name + " on " + run.target + ": " + run.state);
    return Ok(());
}