0bps

Strategy vault / Other

Guess the Big and Small Random Numbers

JavaScript strategy by Zer3192.

JavaScriptOther
Author
Zer3192
Complexity
Intermediate · 188 lines
Parameters
8
Backtest bar
1d · swing

The original spec has no written description. Read the source below.

Parameters

NameDefaultWhat it controls
stopProfit15take profit
stopLoss30stop loss
slidePrice2Slippage
amount0.01Initial order quantity
pricePrecisiontruePrice Precision
amountPrecision2Order accuracy
isResetfalseReset all data
ctswapContract Code

Source JavaScript

/*backtest
start: 2021-12-09 00:00:00
end: 2022-12-15 00:00:00
period: 1d
basePeriod: 1h
*/

var openPrice = 0 
var ratio = 1
var totalEq = null 
var nowEq = null 

function cancelAll() {
    while (1) {
        var orders = _C(exchange.GetOrders)
        if (orders.length == 0) {
            break
        }
        for (var i = 0 ; i < orders.length ; i++) {
            exchange.CancelOrder(orders[i].Id, orders[i])
            Sleep(500)
        }
        Sleep(500)
    }
}

function main() {
    if (isReset) {
        _G(null)
        LogReset(1)
        LogProfitReset()
        LogVacuum()
        Log("Reset all data", "#FF0000")
    }

    exchange.SetContractType(ct)

    var initPos = _C(exchange.GetPosition)
    if (initPos.length != 0) {
        throw "There is a position when the strategy starts!"
    }
    
    exchange.SetPrecision(pricePrecision, amountPrecision)
    Log("Set Precision", pricePrecision, amountPrecision)
    
    if (!IsVirtual()) {
        var recoverTotalEq = _G("totalEq")
        if (!recoverTotalEq) {
            var currTotalEq = _C(exchange.GetAccount).Balance   // equity
            if (currTotalEq) {
                totalEq = currTotalEq
                _G("totalEq", currTotalEq)
            } else {
                throw "Failed to get initial equity"
            }
        } else {
            totalEq = recoverTotalEq
        }
    } else {
        totalEq = _C(exchange.GetAccount).Balance
    }
    
    while (1) {
        if (openPrice == 0) {
            // Update account information and calculate profit
            var nowAcc = _C(exchange.GetAccount)
            nowEq = IsVirtual() ? nowAcc.Balance : nowAcc.Balance  // equity
            LogProfit(nowEq - totalEq, nowAcc)
            
            var direction = Math.floor((Math.random()*100)+1)   // 1~50 , 51~100
            var depth = _C(exchange.GetDepth)
            if (depth.Asks.length <= 2 || depth.Bids.length <= 2) {
                Sleep(1000)
                continue 
            }
            if (direction > 50) {
                // long
                openPrice = depth.Bids[1].Price
                exchange.SetDirection("buy")
                exchange.Buy(Math.abs(openPrice) + slidePrice, amount * ratio)
            } else {
                // short
                openPrice = -depth.Asks[1].Price
                exchange.SetDirection("sell")
                exchange.Sell(Math.abs(openPrice) - slidePrice, amount * ratio)
            }       
            Log("lower", direction > 50 ? "Buy Order" : "Sell Order", ",Price:", Math.abs(openPrice))
            continue
        }

        var orders = _C(exchange.GetOrders)
        if (orders.length == 0) {
            var pos = _C(exchange.GetPosition)
            if (pos.length == 0) {
                openPrice = 0
                continue
            }
            
            // Close Position Check
            while (1) {
                var depth = _C(exchange.GetDepth)
                if (depth.Asks.length <= 2 || depth.Bids.length <= 2) {
                    Sleep(1000)
                    continue 
                }
                var stopLossPrice = openPrice > 0 ? Math.abs(openPrice) - stopLoss : Math.abs(openPrice) + stopLoss 
                var stopProfitPrice = openPrice > 0 ? Math.abs(openPrice) + stopProfit : Math.abs(openPrice) - stopProfit
                var winOrLoss = 0 // 1 win , -1 loss 
                
                // Draw lines
                //$.PlotLine("bid", depth.Bids[0].Price)
                //$.PlotLine("ask", depth.Asks[0].Price)
                
                // stop loss
                if (openPrice > 0 && depth.Bids[0].Price < stopLossPrice) {
                    exchange.SetDirection("closebuy")
                    exchange.Sell(depth.Bids[0].Price - slidePrice, pos[0].Amount)
                    winOrLoss = -1
                } else if (openPrice < 0 && depth.Asks[0].Price > stopLossPrice) {
                    exchange.SetDirection("closesell")
                    exchange.Buy(depth.Asks[0].Price + slidePrice, pos[0].Amount)
                    winOrLoss = -1
                }
                
                // take profit
                if (openPrice > 0 && depth.Bids[0].Price > stopProfitPrice) {
                    exchange.SetDirection("closebuy")
                    exchange.Sell(depth.Bids[0].Price - slidePrice, pos[0].Amount)  
                    winOrLoss = 1
                } else if (openPrice < 0 && depth.Asks[0].Price < stopProfitPrice) {
                    exchange.SetDirection("closesell")
                    exchange.Buy(depth.Asks[0].Price + slidePrice, pos[0].Amount)
                    winOrLoss = 1
                }

                Sleep(2000)
                var orders = _C(exchange.GetOrders)                
                if (orders.length == 0) {
                    pos = _C(exchange.GetPosition)
                    if (pos.length == 0) {
                        if (winOrLoss == -1) {
                            ratio++
                        } else if (winOrLoss == 1) {
                            ratio = 1
                        }
                        break
                    }                    
                } else {
                    // Cancel pending order
                    cancelAll()
                    Sleep(2000)
                    pos = _C(exchange.GetPosition)
                    // Update position after cancellation, needs to be checked again
                    if (pos.length == 0) {
                        if (winOrLoss == -1) {
                            ratio++
                        } else if (winOrLoss == 1) {
                            ratio = 1
                        }
                        break
                    }    
                }
                
                var tbl = {
                    "type" : "table", 
                    "title" : "info", 
                    "cols" : ["totalEq", "nowEq", "openPrice", "bid1Price", "ask1Price", "ratio", "pos.length"], 
                    "rows" : [], 
                }
                tbl.rows.push([totalEq, nowEq, Math.abs(openPrice), depth.Bids[0].Price, depth.Asks[0].Price, ratio, pos.length])
                tbl.rows.push(["pos", "type", "amount", "price", "--", "--", "--"])
                for (var j = 0 ; j < pos.length ; j++) {
                    tbl.rows.push([j, pos[j].Type, pos[j].Amount, pos[j].Price, "--", "--", "--"])
                }
                LogStatus(_D(), "\n", "`" + JSON.stringify(tbl) + "`")
            }
        } else {
            // Cancel pending order
            // ResetopenPrice
            cancelAll()
            openPrice = 0
        }
        Sleep(1000)
    }
   }


Published by Zer3192 on the FMZ strategy square · last modified 2022-12-16. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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