BotVS趋势交易策略-RSI

lyl801013

　　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);