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RSI_now_sb_ok

RSISimple Buy/Sell Test, Default: Sell at 70–100, Buy at 0–30

JavaScriptOtherRSI
Author
tfboys
Complexity
Intermediate · 162 lines
Parameters
7

RSISimple Buy/Sell Test, Default: Sell at 70–100, Buy at 0–30

Parameters

NameDefaultWhat it controls
RSIPeriod14RSItimeframe
SlidePrice0.3Order sliding value
RSIBuyL50RSIBuying point (low)
RSIBuyH50RSIBuying point (high)
RSISellL50RSISelling point (low)
RSISellH50RSISelling point (high)
Interval1000Retry on error (milliseconds)

Source JavaScript

function adjustFloat(v) {
    return Math.floor(v*1000)/1000;
}

function cancelPendingOrders() {
    while (true) {
        var orders = exchange.GetOrders();
        if (orders) {
            if (orders.length == 0) {
                break;
            }
            for (var j = 0; j < orders.length; j++) {
                exchange.CancelOrder(orders[j].Id);
                Sleep(Interval);
            }
        } else {
            Sleep(Interval);
        }
    }
}

function LogProfitTotal(initAcnt, acnt, tck) {
	var prft = acnt.Balance - initAcnt.Balance + (acnt.Stocks - initAcnt.Stocks) * tck.Last;
	LogProfit(prft, "#ff0000");
}

var STATE_WAIT_IDLE     = 0;
var STATE_BUY           = 1;
var STATE_SELL          = 2;
var STATE_WAIT_BUY      = 3;
var STATE_WAIT_SELL     = 4;
var STATE_BUY_COVER  	= 5;
var STATE_SELL_COVER 	= 6;



var State = STATE_WAIT_IDLE;

var InitAccount = null;
var EnterAcnt = null;

function MustGetAccount() {
    var account;
    while (!(account = exchange.GetAccount())) {
        Sleep(Interval);
    }
    return account;
}

function onTick(exchange) {
    var records = exchange.GetRecords();
    if (!records || records.length < (RSIPeriod + 5)) {
        return;
    }

    rsi = TA.RSI(records, RSIPeriod);
    var rsiValue0 = rsi[records.length - 1];
	var rsiValue1 = rsi[records.length - 2];
	var rsiValue2 = rsi[records.length - 3];
	
	//Open position condition judgment
    if (State == STATE_WAIT_IDLE && rsiValue1 >= RSIBuyL && rsiValue2 <= RSIBuyH && rsiValue1 > rsiValue2) {
        State = STATE_BUY;
		EnterAcnt = MustGetAccount();
    } else if (State == STATE_WAIT_IDLE && rsiValue2 >= RSISellL && rsiValue1 <= RSISellH && rsiValue2 > rsiValue1) {
        State = STATE_SELL;
		EnterAcnt = MustGetAccount();
    } else if (State != STATE_BUY && State != STATE_SELL && State != STATE_WAIT_BUY && State != STATE_WAIT_SELL && State != STATE_BUY_COVER && State != STATE_SELL_COVER){
        return;
    }
    
    // Buy or Sell, Cancel pending orders first
    cancelPendingOrders();
    
    var account = MustGetAccount();
    var ticker = exchange.GetTicker();
    if (!account || !ticker) {
        return;
    }

	//Execute Open Position
    if (State == STATE_BUY) {
        var price = ticker.Last + SlidePrice;
        var amount = adjustFloat(account.Balance / price);
        if (amount >= exchange.GetMinStock()) {
			exchange.Buy(price, amount);
        }
		else
		{
        	// No money, wait sell and log profit
        	Log("<--- Buy");
        	State = STATE_WAIT_SELL;
			return;
		}
    } else if(State == STATE_SELL) {
        if (account.Stocks > exchange.GetMinStock()) {
            exchange.Sell(ticker.Last - SlidePrice, account.Stocks);
        } 
		else 
		{
            // No stocks, wait buy and log profit
            Log("<--- Sell");
            State = STATE_WAIT_BUY;
			return;
        }
    }

	if(State != STATE_WAIT_BUY && State != STATE_WAIT_SELL && State != STATE_BUY_COVER && State != STATE_SELL_COVER)
		return;

	//Close position condition judgment
	if (State == STATE_WAIT_BUY && rsiValue1 >= RSIBuyL && rsiValue2 <= RSIBuyH && rsiValue1 > rsiValue2) {
		State = STATE_BUY_COVER;
	} else if(State == STATE_WAIT_SELL && rsiValue2 >= RSISellL && rsiValue1 <= RSISellH && rsiValue2 > rsiValue1) {
		State = STATE_SELL_COVER;
	}else if(State != STATE_BUY_COVER && State != STATE_SELL_COVER) {
		return;
	}

	//Execute Close Position
    if (State == STATE_BUY_COVER) {
        var price = ticker.Last + SlidePrice;
		var stkTB = adjustFloat(EnterAcnt.Stocks - account.Stocks);
		var stkCB = adjustFloat(account.Balance / price);
        var amount = (stkTB < stkCB) ? stkTB : stkCB;
		
        if (amount >= exchange.GetMinStock()) {
			exchange.Buy(price, amount);
        }
		else
		{
        	// No money, wait idle and log profit
        	Log("<--- covers");
        	LogProfitTotal(InitAccount, account, ticker);
        	Log(account);
        	State = STATE_WAIT_IDLE;
		}
    } else if(State == STATE_SELL_COVER) {
    	var stkS = account.Stocks - EnterAcnt.Stocks;
        if (stkS > exchange.GetMinStock()) {
            exchange.Sell(ticker.Last - SlidePrice, stkS);
        } 
		else 
		{
            // No stocks, wait idle and log profit
            Log("<--- coverb");
            LogProfitTotal(InitAccount, account, ticker);
            Log(account);
            State = STATE_WAIT_IDLE;
        }
    }
}

function main() {
    InitAccount = MustGetAccount();
    Log(InitAccount);
    
    while (true) {
        onTick(exchange);
        Sleep(Interval);
    }
}

Published by tfboys on the FMZ strategy square · last modified 2016-03-08. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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