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Strategies

仓位均衡策略

春哥 · javascript · Risk and Position Sizing · 2017-09-06 21:57:31

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Risk and Position Sizing All Regimes · Inferred

Context terms

Stocks

Code summary Auto-extracted · not described by the author

Trading code: 1 functions, 0 classes; detected Entry, Sizing.

Trading codeEntrySizing

Detected terms

None

Operation terms

None

Code comments

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27 code lines · 1 functions · 0 classes · 2 parameters

Parameters

ParametersDefaultDescription
TARGET_POSITION0.5固定仓位
ACT_DIFF0.1仓位变化量
Source code (27 lines)
function main() {
	while (true) {
		Sleep(300000);
        
        var account = $.GetAccount();
        var ticker = exchange.GetTicker();
        var stockValue = account.Stocks * ticker.Last;
        var totalValue = stockValue + account.Balance;
        var position = stockValue / totalValue;
        var trade_amount = 0;
        if ( position > TARGET_POSITION + ACT_DIFF ) {
            trade_amount = (position - TARGET_POSITION) * totalValue / ticker.Buy;
            $.Sell(trade_amount);
        } else if ( position < TARGET_POSITION - ACT_DIFF ) {
            trade_amount = (TARGET_POSITION - position) * totalValue / ticker.Sell;
            $.Buy(trade_amount);
        } else {
            Sleep(60000);
            continue;
        }
        
        $.CancelPendingOrders();
        account = $.GetAccount();
        stockValue = account.Stocks * ticker.Last;
        LogProfit(account.Balance + stockValue);
	}
}