← 모든 예제
예제 55
Pyramid with state
a pyramid that remembers and that notices when an order is turned away. The strategy adds to a winning long up to `max_adds`
- 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: a pyramid that remembers and that notices when an order is turned away. The strategy adds to a winning long up to `max_adds` // times, counts the adds in its own state variable, moves the stop to the average entry after the first add, and stops itself // at the first refusal instead of carrying on blind (`halt_on_error`). // // ENTRY price breaks over the highest high of `lookback` bars (the window before the last closed bar). // ADD each further `step` dollars in favour, one more entry, while adds < max_adds (`var adds`, changed with `set`). // STOP under the entry by `risk`; after an add the stop sits at the average entry (`entry_price`). // ERRORS a refused or rejected entry or add ends the run (`halt_on_error`). // // 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 pyramid(lookback: Int, step: Decimal, risk: Decimal, max_adds: Int, size: Quantity) version "1.0.0" { var adds = 0; let px = features.price(features.Source.AggTrades); let high = features.highest_high(lookback, 1); let entry = features.entry_price(); let next_add = entry + step * (adds + 1); let counted = adds + 1; let none = 0; rule breakout when exposure_is(Exposure.Flat) && px > high => [order(Side.Buy, Intent.Open, OrderType.Market, Sizing.Fixed(size), Protect.StopLoss(px - risk)), set(adds, none)]; rule add when exposure_is(Exposure.Open) && adds < max_adds && px >= next_add => [order(Side.Buy, Intent.Add, OrderType.Market, Sizing.Fixed(size)), set(adds, counted)]; rule stop_to_average when exposure_is(Exposure.Open) && adds >= 1 && features.stop_price() < entry => protect(Protect.StopLoss(entry)); halt_on_error; flatten_on_stop; } fn main() -> Result<Unit, Error> { let run = trade.run(pyramid(30, 40.0, 60.0, 3, qty(0.01)))?; print(run.name + " on " + run.target + ": " + run.state); return Ok(()); }