BotVS趋势交易策略-RSI

BotVS趋势交易策略-RSI， 基于Python实现。

RSI简单买卖测试, 默认 70-100卖出,0-30买入

参数

代码

import math

def adjustFloat(v):
    return math.floor(v*1000)/1000;

# 取消挂起的订单
def cancelPendingOrders():
    while True:
        orders = exchange.GetOrders();
        if (not orders):
            if (len(orders) == 0):
                break;
            for j in range(len(records)):
                exchange.CancelOrder(orders[j].Id);
                Sleep(Interval);
        else:
            Sleep(Interval);


STATE_WAIT_BUY      = 0;
STATE_WAIT_SELL     = 1;
STATE_BUY           = 2;
STATE_SELL          = 3;
STATE_WAIT_SELL_ALL = 4;

State = STATE_WAIT_BUY;

def onTick(exchange):
    global State
    records = exchange.GetRecords();
    if (not records or len(records) < (RSIPeriod + 5)):
        return;

    rsi = TA.RSI(records, RSIPeriod);
    rsiValue = rsi[len(records) - 1]; #取最后一期的值为当前值
    if (State == STATE_WAIT_BUY and rsiValue >= RSIBuyL and rsiValue <= RSIBuyH):   # 买入点区间
        State = STATE_BUY;
    elif (State == STATE_WAIT_SELL and rsiValue >= RSISellL and rsiValue <= RSISellH):  # 卖出点区间
        State = STATE_SELL;
    elif (State != STATE_WAIT_SELL_ALL):
        return;

    # Buy or Sell, Cancel pending orders first
    cancelPendingOrders();

    account = exchange.GetAccount();
    ticker = exchange.GetTicker();
    if (not account or not ticker):
        return;

    # 买入
    if (State == STATE_BUY):
        price = ticker.Last + SlidePrice;
        amount = adjustFloat(account.Balance / price);
        if (amount >= exchange.GetMinStock()):
            if (exchange.Buy(price, amount)):
                State = STATE_WAIT_SELL;
    # 卖出
    else:
        if (account.Stocks > exchange.GetMinStock()):
            # STATE_WAIT_SELL or STATE_WAIT_SELL_ALL
            State = STATE_WAIT_SELL_ALL;
            exchange.Sell(ticker.Last - SlidePrice, account.Stocks);
        else:
            # No stocks, wait buy and log profit
            LogProfit(account.Balance);
            Log(account);
            State = STATE_WAIT_BUY;

def main():
    InitAccount = exchange.GetAccount();
    Log(InitAccount);
    if (InitAccount.Stocks > 0):
        raise Exception("必须空仓介入")

    while True:
        onTick(exchange);
        Sleep(30000);