Coin Toss Strategy

/*backtest
start: 2020-01-20 00:00:00
end: 2021-01-19 23:59:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_BitMEX","currency":"XBT_USD","fee":[0.008,0.1]}]
args: [["st",0.1]]
*/

// Initialize
exchange.SetContractType('XBTUSD')
_CDelay(100)
// take profit and stop loss
var TP_status = false // Whether to trigger trailing take profit 
var TP_HH = 0
var TP_LL = 0
var B = 1

// Get exchange information
function UpdateInfo() {
    account = exchange.GetAccount()
    pos = exchange.GetPosition()
    records = exchange.GetRecords()
    ticker = exchange.GetTicker()
}

// Customize this profit and loss
function Onept() {
    // Update user information
    UpdateInfo()
    // If the current balance is greater than the previous balance, Then the number of profits+1, andpt_1Set as current balance
    if (account.Stocks - pt_1 > 0) {
        pt_times = pt_times + 1
        Log('Make money this time~~~~ (＾Ｕ＾)ノ~ＹＯ', account.Stocks - pt_1)
        B = 1
        pt_1 = account.Stocks
    }
    // If the current balance is less than the previous balance, Then the number of losses+1, andpt_1Set as current balance
    if (account.Stocks - pt_1 < 0) {
        st_times = st_times + 1
        Log('I lost money this time.... /(ㄒoㄒ)/~~', account.Stocks - pt_1)
        B = B * 1.618
        pt_1 = account.Stocks
    }
}

// Draw lines
function PlotMA_Kline(records) {
    $.PlotRecords(records, "K")
}

// Trailing Take Profit Initial%, TrackingU
function TP() {
    var TP_first_long = pos[0].Price + tp_first * ticker.Last
    var TP_trailing_long = TP_HH - trailing_tp * ticker.Last
    var TP_first_short = pos[0].Price - tp_first * ticker.Last
    var TP_trailing_short = TP_LL + trailing_tp * ticker.Last
    // When holding a long position, Current price greater than opening+Initial Take Profit Price -> Trigger trailing take profit 
    if ((pos[0].Type == 0) && (ticker.Last > TP_first_long)) {
        // Log('When holding a long position, Current price greater than opening+Initial Take Profit Price -> Trigger trailing take profit', TP_HH)
        TP_status = true
        // Trigger trailing take profit, Uninitialized maximum opening price -> After opening a position, update the maximum price to the current price
        if (TP_status === true && TP_HH == 0) {
            Log('Trigger trailing take profit, Uninitialized maximum opening price -> After opening a position, update the maximum price to the current price', TP_HH)
            TP_HH = ticker.Last
        }
        // Trigger trailing take profit, Maximum price after existing positions opened, The current price is greater than the maximum price after opening the position -> After opening a position, update the maximum price to the current price
        else if (TP_status === true && TP_HH != 0 && ticker.Last > TP_HH) {
            Log('Trigger trailing take profit, Maximum price after existing positions opened, The current price is greater than the maximum price after opening the position -> After opening a position, update the maximum price to the current price', TP_HH)
            TP_HH = ticker.Last
        }
        // Trigger trailing take profit, Maximum price after existing positions opened, Current price is less than (Maximum price reduction after opening a position - RetracementUSD) -> Close short position with take profit
        else if (TP_status === true && TP_HH != 0 && ticker.Last < TP_trailing_long) {
            Log('Trigger trailing take profit, Maximum price after existing positions opened, Current price is less than (Maximum price reduction after opening a position - RetracementUSD) -> Close short position with take profit', TP_HH)
            exchange.SetDirection("closebuy")
            exchange.Sell(ticker.Buy, pos[0].Amount, "At/In" + ticker.Last + "Take Profit Close Long Position!! Opening price: " + pos[0].Price + "Quantity: " + pos[0].Amount)
            $.PlotFlag(new Date().getTime(), 'Sell', 'PT_BK' + ticker.Sell)
            Onept()
            TP_status = false
            TP_HH = 0
        }
    }
    // When holding a short position, Current price less than opening-Initial Take Profit Price -> Trigger trailing take profit
    else if ((pos[0].Type == 1) && (ticker.Last < TP_first_short)) {
        // Log('When holding a short position, Current price less than opening-Initial Take Profit Price -> Trigger trailing take profit', TP_LL)
        TP_status = true
        // Trigger trailing take profit, Uninitialized maximum opening price -> After opening a position, update the minimum price to the current price
        if (TP_status === true && TP_LL == 0) {
            Log('Trigger trailing take profit, Uninitialized maximum opening price -> After opening a position, update the minimum price to the current price', TP_LL)
            TP_LL = ticker.Last
        }
        // Trigger trailing take profit, Minimum price after existing positions opened, The current price is less than the minimum price after opening the position -> After opening a position, update the minimum price to the current price
        else if (TP_status === true && TP_LL != 0 && ticker.Last < TP_LL) {
            Log('Trigger trailing take profit, Minimum price after existing positions opened, The current price is less than the minimum price after opening the position -> After opening a position, update the minimum price to the current price', TP_LL)
            TP_LL = ticker.Last
        }
        // Trigger trailing take profit, Minimum price after existing positions opened, Current price is greater than (After opening a position, the minimum price is reduced + RetracementUSD) -> Close long position with take profit
        else if (TP_status === true && TP_LL != 0 && ticker.Last > TP_trailing_short) {
            Log('Trigger trailing take profit, Minimum price after existing positions opened, Current price is greater than (After opening a position, the minimum price is reduced + RetracementUSD) -> Close long position with take profit', TP_LL)
            exchange.SetDirection("closesell")
            exchange.Buy(ticker.Sell, pos[0].Amount, "At/In" + ticker.Last + "Take Profit Close Short Position!! Opening price: " + pos[0].Price + "Quantity: " + pos[0].Amount)
            $.PlotFlag(new Date().getTime(), 'Buy', 'PT_SK' + ticker.Sell)
            Onept()
            TP_status = false
            TP_LL = 0
        }
    }
}

// stop loss %
function Stoploss() {
    // When holding a long position, Current price less than opening-Stop loss price, Short to close long
    if ((pos[0].Type == 0) && (ticker.Last < pos[0].Price - st * ticker.Last)) {
        Log('When holding a long position, Current price less than opening-Stop loss price, Short to close long')
        exchange.SetDirection("closebuy")
        exchange.Sell(ticker.Buy, pos[0].Amount, "At/In" + ticker.Last + "Stop Loss Close Long Position!! Opening price: " + pos[0].Price + "Quantity: " + pos[0].Amount)
        $.PlotFlag(new Date().getTime(), 'Sell', 'ST_BK' + ticker.Buy)
        Onept()
    }
    // When holding a short position, Current price greater than opening+Stop loss price, Long to close short
    else if ((pos[0].Type == 1) && (ticker.Last > pos[0].Price + st * ticker.Last)) {
        Log('When holding a short position, Current price greater than opening+Stop loss price, Long to close short')
        exchange.SetDirection("closesell")
        exchange.Buy(ticker.Sell, pos[0].Amount, "At/In" + ticker.Last + "Stop Loss Close Short Position!! Opening price: " + pos[0].Price + "Quantity: " + pos[0].Amount)
        $.PlotFlag(new Date().getTime(), 'Buy', 'ST_SK' + ticker.Sell)
        Onept()
    }
}

// Calculate Kelly formula position
function PriceAmount() {
    // How much can be won 
    y = tp_first
    // How much will you lose if you lose? 
    s = st
    //Odds
    b = y / s
    // Probability of Winning
    if (total_times < 10) {
        p = 0.382
    } else {
        p = pt_times / total_times
    }
    // Probability of Losing
    q = 1 - p
    // Kelly Formula
    f = (b * p - q) / b
    // LimitBmaximum value
    if (B > 16.18) {
        B = 16.18
    }
    //Amount = _N(Math.abs(f) * account.Stocks * ticker.Last * B, 0)
    Amount = _N(0.618 * account.Stocks * ticker.Last, 0)
    //Log(Amount)
}

// Transaction logic
function onTick() {
    // Get uniform distribution 0-9 random number
    ToTheMoon = Math.floor(Math.random() * 10)
    // When no position
    if (pos.length == 0) {
        // Long 
        if (ToTheMoon > 5) {
            exchange.SetDirection("buy")
            exchange.Buy(ticker.Sell, Amount)
            $.PlotFlag(new Date().getTime(), 'Buy', 'BK' + ticker.Sell)
            total_times = total_times + 1
        }
        // Short 
        if (ToTheMoon < 4) {
            exchange.SetDirection("sell")
            exchange.Sell(ticker.Buy, Amount)
            $.PlotFlag(new Date().getTime(), 'Sell', 'SK' + ticker.Buy)
            total_times = total_times + 1
        }
    }
        // When Long
    if (pos.length > 0 && pos[0].Type == 0) {
        // close long 
        if (ToTheMoon < 1) {
            exchange.SetDirection("closebuy")
            exchange.Sell(ticker.Buy, pos[0].Amount)
            $.PlotFlag(new Date().getTime(), 'Sell', 'PBK')
            Onept()
        }
    }
    // When Short
    if (pos.length > 0 && pos[0].Type == 1) {
        // close short 
        if (ToTheMoon > 8) {
            exchange.SetDirection("closesell")
            exchange.Buy(ticker.Sell, pos[0].Amount)
            $.PlotFlag(new Date().getTime(), 'Buy', 'PSK')
            Onept()
        }
    }
}


function main() {
    UpdateInfo()
    // Statistics
    pt_1 = account.Stocks
    total_times = 0
    pt_times = 0
    st_times = 0
    while (1) {
        UpdateInfo()
        PriceAmount()
        onTick()
        PlotMA_Kline(records)
        if (pos.length > 0) {
            TP()
        }
        if (pos.length > 0) {
            Stoploss()
        }
        LogStatus("Total Balance: " + _N(ticker.Last * account.Stocks, 2), " Order Quantity: " + Amount, " Order Multiplier: " + B, " ToTheMoon: " + ToTheMoon, " Order Size Ratio: " + _N(Amount * 100 / _N(ticker.Last * account.Stocks, 2), 2), "% Win rate: " + _N(p * 100, 2), "%", total_times, pos)
    }
}