原文地址：https://www.fmz.cn/digest-topic/8978
什么是海龜策略？
幾乎所有的寬客(Quant)都聽說過海龜交易策略，該策略以海龜交易法則為核心。海龜交易法則，起源于八十年代的美國，是一套簡單有效的交易法則。這個(gè)法則以及使用這個(gè)法則的人的故事被寫成了一本書——《海龜交易法則》，這是一本入門量化投資的經(jīng)典書籍。

股票證券的程序化、量化交易以前門檻可不低，以前軟件支持少，賬戶開戶門檻極高。FMZ.CN（國內(nèi)站）支持富途證券、中泰XTP，開通了富途證券就可以很方便的做程序化模擬盤、實(shí)盤測試。本篇我們就一起學(xué)習(xí)設(shè)計(jì)一個(gè)股票版本的多品種海龜交易策略，初期我們主要基于回測系統(tǒng)進(jìn)行設(shè)計(jì)、研究，慢慢的擴(kuò)展至富途證券的模擬盤（模擬賬戶）。

策略設(shè)計(jì)：
策略架構(gòu)我們參考http://FMZ.CN上開源的「商品期貨多品種海龜策略」。和商品期貨版本一樣，我們設(shè)計(jì)一個(gè)海龜交易邏輯管理對象的構(gòu)造函數(shù)TTManager。構(gòu)造的對象（obj）用來操作、管理每個(gè)股票的海龜交易邏輯的執(zhí)行。

```javascriptvar TTManager = {New: function(needRestore, symbol, initBalance, keepBalance, riskRatio, atrLen, enterPeriodA, leavePeriodA, enterPeriodB, leavePeriodB, useFilter,multiplierN, multiplierS, maxLots) {// subscribevar symbolDetail = _C(exchange.SetContractType, symbol)if (symbolDetail.VolumeMultiple == 0) {Log(symbolDetail)throw "股票合約信息異常"} else {Log("合約", symbolDetail.InstrumentName, "一手", symbolDetail.VolumeMultiple, "股, 最大下單量", symbolDetail.MaxLimitOrderVolume, ", 最小下單量", symbolDetail.VolumeMultiple)}var obj = {symbol: symbol,tradeSymbol: symbolDetail.InstrumentID,initBalance: initBalance,keepBalance: keepBalance,riskRatio: riskRatio,atrLen: atrLen,enterPeriodA: enterPeriodA,leavePeriodA: leavePeriodA,enterPeriodB: enterPeriodB,leavePeriodB: leavePeriodB,useFilter: useFilter,multiplierN: multiplierN,multiplierS: multiplierS}obj.maxLots = maxLotsobj.lastPrice = 0obj.symbolDetail = symbolDetailobj.status = {symbol: symbol,recordsLen: 0,vm: [],open: 0,cover: 0,st: 0,marketPosition: 0,lastPrice: 0,holdPrice: 0,holdAmount: 0,holdProfit: 0,switchCount: 0,N: 0,upLine: 0,downLine: 0,lastErr: "",lastErrTime: "",stopPrice: '',leavePrice: '',isTrading: false}... 股票市場和商品期貨市場又有些差別，下面我們來一起分析一下這些差別，然后對于策略進(jìn)行具體的修改、設(shè)計(jì)。交易時(shí)間差別 我們需要單獨(dú)設(shè)計(jì)一個(gè)函數(shù)，識別開盤休盤時(shí)間，如下函數(shù)設(shè)計(jì)，給構(gòu)造函數(shù)TTManager返回的對象obj增加方法：```javascript```javascript obj.newDate = function() {var timezone = 8 var offset_GMT = new Date().getTimezoneOffset() var nowDate = new Date().getTime() var targetDate = new Date(nowDate + offset_GMT * 60 * 1000 + timezone * 60 * 60 * 1000)return targetDate}obj.isSymbolTrading = function() {// 使用 newDate() 代替 new Date() 因?yàn)榉?wù)器時(shí)區(qū)問題var now = obj.newDate()var day = now.getDay()var hour = now.getHours()var minute = now.getMinutes()StatusMsg = "非交易時(shí)段"if (day === 0 || day === 6) {return false}if((hour == 9 && minute >= 30) || (hour == 11 && minute < 30) || (hour > 9 && hour < 11)) {// 9:30-11：30StatusMsg = "交易時(shí)段"return true } else if (hour >= 13 && hour < 15) {// 13:00-15:00StatusMsg = "交易時(shí)段"return true } return false } 交易方向的差別 商品期貨有開倉、平倉。股票只有買、賣，沒有開倉平倉。股票類似于現(xiàn)貨，但是也有持倉，買入的股票會(huì)在GetPosition函數(shù)獲取的持倉列表中顯示。需要我們對交易下單的部分做設(shè)計(jì)，增加函數(shù)：```javascript obj.sell = function(e, contractType, lots, insDetail) {... }obj.buy = function(e, contractType, opAmount, insDetail) {... }

下單頭寸計(jì)算
商品期貨交易下單時(shí)是按照合約張數(shù)下單，一張合約根據(jù)其合約乘數(shù)代表一定量的商品（例如rb合約，一張代表10噸螺紋鋼）。股票雖說也是有按手計(jì)算的（根據(jù)板塊有的1手100股，有的500股，還有的200股）。但是下單的時(shí)候必須是股數(shù)，并且要能被一手的股數(shù)整除。不能整除的會(huì)報(bào)錯(cuò)。

這樣就需要對海龜交易法計(jì)算頭寸的部分做一定修改：

var atrs = TA.ATR(records, atrLen)var N = _N(atrs[atrs.length - 1], 4)var account = _C(exchange.GetAccount)var unit = parseInt((obj.initBalance-obj.keepBalance) * (obj.riskRatio / 100) / N / obj.symbolDetail.VolumeMultiple)var canOpen = parseInt((account.Balance-obj.keepBalance) / (lastPrice * 1.2) / obj.symbolDetail.VolumeMultiple)unit = Math.min(unit, canOpen)unit = unit * obj.symbolDetail.VolumeMultipleif (unit < obj.symbolDetail.VolumeMultiple) {obj.setLastError("可開 " + unit + " 手 無法開倉, " + (canOpen >= obj.symbolDetail.VolumeMultiple ? "風(fēng)控觸發(fā)" : "資金限制") + "。 可用: " + account.Balance)return}// 交易函數(shù)if (opCode == 2) {throw "股票不支持做空"}

策略注釋
為了方便理解策略代碼，我們對策略通篇注釋。

/*backtest start: 2016-05-01 00:00:00 end: 2022-02-19 23:59:00 period: 1d basePeriod: 1d exchanges: [{"eid":"Futures_XTP","currency":"STOCK","minFee":0}] args: [["Instruments","600519.SH,600690.SH,600006.SH,601328.SH,600887.SH,600121.SH,601633.SH"],["ATRLength",30],["EnterPeriodA",30],["LeavePeriodA",50],["EnterPeriodB",60],["LeavePeriodB",80],["KeepRatio",5]] */var SlideTick = 10 // 下單滑價(jià)點(diǎn)數(shù)，設(shè)置10下買單時(shí)價(jià)格加10跳 var Interval = 1000 // 程序暫停毫秒數(shù)/* TTManager : 海龜交易邏輯對象的構(gòu)造函數(shù) 參數(shù)：needRestore, symbol, initBalance, keepBalance, riskRatio, atrLen, enterPeriodA, leavePeriodA, enterPeriodB, leavePeriodB, useFilter, multiplierN, multiplierS, maxLots需要恢復(fù)持倉、交易品種代碼、初始資產(chǎn)、保留資產(chǎn)、風(fēng)險(xiǎn)系數(shù)、ATR參數(shù)、入市周期A，離市周期A、入市周期B、離市周期B、是否使用入市過濾、加倉間隔（N的倍數(shù)）、止損系數(shù)（N的倍數(shù)）、最大加倉次數(shù) */ var TTManager = {New: function(needRestore, symbol, initBalance, keepBalance, riskRatio, atrLen, enterPeriodA, leavePeriodA, enterPeriodB, leavePeriodB, useFilter,multiplierN, multiplierS, maxLots) {// subscribevar symbolDetail = _C(exchange.SetContractType, symbol) // 切換合約代碼，合約代碼為symbol的值if (symbolDetail.VolumeMultiple == 0) { // SetContractType會(huì)返回切換的品種的一些信息，檢測返回的數(shù)據(jù)中的VolumeMultiple字段是否正常Log(symbolDetail)throw "股票合約信息異常"} else {Log("合約", symbolDetail.InstrumentName, "一手", symbolDetail.VolumeMultiple, "股, 最大下單量", symbolDetail.MaxLimitOrderVolume, ", 最小下單量", symbolDetail.VolumeMultiple) // 輸出相關(guān)信息}// 聲明當(dāng)前構(gòu)造函數(shù)TTManager返回的對象obj，該對象記錄每個(gè)海龜交易邏輯的相關(guān)信息，例如執(zhí)行的品種（股票代碼）、ATR參數(shù)、加倉、止損N值系數(shù)等var obj = {symbol: symbol,tradeSymbol: symbolDetail.InstrumentID,initBalance: initBalance,keepBalance: keepBalance,riskRatio: riskRatio,atrLen: atrLen,enterPeriodA: enterPeriodA,leavePeriodA: leavePeriodA,enterPeriodB: enterPeriodB,leavePeriodB: leavePeriodB,useFilter: useFilter,multiplierN: multiplierN,multiplierS: multiplierS}obj.maxLots = maxLotsobj.lastPrice = 0obj.symbolDetail = symbolDetailobj.status = {symbol: symbol,recordsLen: 0,vm: [],open: 0,cover: 0,st: 0,marketPosition: 0,lastPrice: 0,holdPrice: 0,holdAmount: 0,holdProfit: 0,switchCount: 0,N: 0,upLine: 0,downLine: 0,lastErr: "",lastErrTime: "",stopPrice: '',leavePrice: '',isTrading: false}// 用于記錄錯(cuò)誤的函數(shù)，記錄的信息會(huì)在狀態(tài)欄上顯示obj.setLastError = function(err) {if (typeof(err) === 'undefined' || err === '') {obj.status.lastErr = ""obj.status.lastErrTime = ""return}var t = new Date()obj.status.lastErr = errobj.status.lastErrTime = t.toLocaleString()}// 獲取指定股票代碼的持倉數(shù)據(jù)obj.getPosition = function(e, contractTypeName) {var allAmount = 0var allProfit = 0var allFrozen = 0var posMargin = 0var price = 0var direction = nullpositions = _C(e.GetPosition) // 根據(jù)參數(shù)e調(diào)用指定的交易所對象的獲取持倉函數(shù)GetPosition，e即代表一個(gè)配置的賬戶，e.GetPosition即代表獲取這個(gè)賬戶目前的持倉數(shù)據(jù)for (var i = 0; i < positions.length; i++) {// 遍歷持倉數(shù)據(jù)，找到指定的股票if (positions[i].ContractType != contractTypeName) {continue}if (positions[i].Type == PD_LONG) {posMargin = positions[i].MarginLevelallAmount += positions[i].AmountallProfit += positions[i].ProfitallFrozen += positions[i].FrozenAmountprice = positions[i].Pricedirection = positions[i].Type}}if (allAmount === 0) {return null}return {MarginLevel: posMargin,FrozenAmount: allFrozen,Price: price,Amount: allAmount,Profit: allProfit,Type: direction,ContractType: contractTypeName,CanCoverAmount: allAmount - allFrozen}}// 獲取當(dāng)前時(shí)間對象obj.newDate = function() {var timezone = 8 var offset_GMT = new Date().getTimezoneOffset() var nowDate = new Date().getTime() var targetDate = new Date(nowDate + offset_GMT * 60 * 1000 + timezone * 60 * 60 * 1000)return targetDate}// 判斷是否開市obj.isSymbolTrading = function() {// 使用 newDate() 代替 new Date() 因?yàn)榉?wù)器時(shí)區(qū)問題var now = obj.newDate()var day = now.getDay()var hour = now.getHours()var minute = now.getMinutes()StatusMsg = "非交易時(shí)段"if (day === 0 || day === 6) {return false}if((hour == 9 && minute >= 30) || (hour == 11 && minute < 30) || (hour > 9 && hour < 11)) {// 9:30-11：30StatusMsg = "交易時(shí)段"return true } else if (hour >= 13 && hour < 15) {// 13:00-15:00StatusMsg = "交易時(shí)段"return true } return false }// 買入函數(shù)obj.buy = function(e, contractType, opAmount, insDetail) {var initPosition = obj.getPosition(e, contractType) // 獲取初始時(shí)的持倉var isFirst = truevar initAmount = initPosition ? initPosition.Amount : 0 // 設(shè)置初始持倉數(shù)量var positionNow = initPosition // 設(shè)置當(dāng)前持倉數(shù)據(jù)if(!IsVirtual() && opAmount % insDetail.LotSize != 0) { // 判斷需要交易的數(shù)量opAmount（股數(shù)）是否符合整手?jǐn)?shù)throw "每手?jǐn)?shù)量不匹配"}while (true) {var needOpen = opAmountif (isFirst) {isFirst = false} else {Sleep(Interval*20)positionNow = obj.getPosition(e, contractType)if (positionNow) {needOpen = opAmount - (positionNow.Amount - initAmount)}} // 需要交易的量如果小于一手?jǐn)?shù)量，或者不符合整手?jǐn)?shù)跳出循環(huán)if (needOpen < insDetail.LotSize || (needOpen % insDetail.LotSize != 0 && !IsVirtual())) {break} var depth = _C(e.GetDepth)// 需要檢測是否漲跌停var amount = needOpene.SetDirection("buy")var orderId = e.Buy(depth.Asks[0].Price + (insDetail.PriceSpread * SlideTick), amount, contractType, 'Ask', depth.Asks[0])// CancelPendingOrderswhile (true) {Sleep(Interval*20)var orders = _C(e.GetOrders)if (orders.length === 0) {break}for (var j = 0; j < orders.length; j++) {e.CancelOrder(orders[j].Id)if (j < (orders.length - 1)) {Sleep(Interval*20)}}}}var ret = nullif (!positionNow) {return ret}ret = positionNowreturn ret}// 賣出函數(shù)obj.sell = function(e, contractType, lots, insDetail) {var initAmount = 0var firstLoop = trueif(!IsVirtual() && lots % insDetail.LotSize != 0) {throw "每手?jǐn)?shù)量不匹配"}while (true) {var n = 0var total = 0var positions = _C(e.GetPosition)var nowAmount = 0for (var i = 0; i < positions.length; i++) {if (positions[i].ContractType != contractType) {continue}nowAmount += positions[i].Amount}if (firstLoop) {initAmount = nowAmountfirstLoop = false}var amountChange = initAmount - nowAmountif (typeof(lots) == 'number' && amountChange >= lots) {break} for (var i = 0; i < positions.length; i++) {if (positions[i].ContractType != contractType) {continue}var amount = positions[i].Amountvar depthvar opAmount = 0var opPrice = 0if (positions[i].Type == PD_LONG) {depth = _C(e.GetDepth)// 需要檢測是否漲跌停opAmount = amountopPrice = depth.Bids[0].Price - (insDetail.PriceSpread * SlideTick)}if (typeof(lots) === 'number') {opAmount = Math.min(opAmount, lots - (initAmount - nowAmount))}if (opAmount > 0) {if (positions[i].Type == PD_LONG) {e.SetDirection("closebuy")e.Sell(opPrice, opAmount, contractType, "平倉", 'Bid', depth.Bids[0])}n++}// break to check alwaysif (typeof(lots) === 'number') {break}}if (n === 0) {break}while (true) {Sleep(Interval*20)var orders = _C(e.GetOrders)if (orders.length === 0) {break}for (var j = 0; j < orders.length; j++) {e.CancelOrder(orders[j].Id)if (j < (orders.length - 1)) {Sleep(Interval*20)}}}}}// 恢復(fù)控制對象數(shù)據(jù)obj.reset = function(marketPosition, openPrice, N, leavePeriod, preBreakoutFailure) {if (typeof(marketPosition) !== 'undefined') {obj.marketPosition = marketPositionobj.openPrice = openPriceobj.preBreakoutFailure = preBreakoutFailureobj.N = Nobj.leavePeriod = leavePeriodvar pos = obj.getPosition(exchange, obj.tradeSymbol)if (pos) {obj.holdPrice = pos.Priceobj.holdAmount = pos.AmountLog(obj.symbol, "倉位", pos)} else {throw "恢復(fù)" + obj.symbol + "的持倉狀態(tài)出錯(cuò), 沒有找到倉位信息"}Log("恢復(fù)", obj.symbol, "加倉次數(shù)", obj.marketPosition, "持倉均價(jià):", obj.holdPrice, "持倉數(shù)量:", obj.holdAmount, "最后一次加倉價(jià)", obj.openPrice, "N值", obj.N, "離市周期:", leavePeriod, "上次突破:", obj.preBreakoutFailure ? "失敗" : "成功")obj.status.open = 1obj.status.vm = [obj.marketPosition, obj.openPrice, obj.N, obj.leavePeriod, obj.preBreakoutFailure]} else {obj.marketPosition = 0obj.holdPrice = 0obj.openPrice = 0obj.holdAmount = 0obj.holdProfit = 0obj.preBreakoutFailure = true // test system Aobj.N = 0obj.leavePeriod = leavePeriodA}obj.holdProfit = 0obj.lastErr = ""obj.lastErrTime = ""}// 獲取控制對象狀態(tài)信息obj.Status = function() {obj.status.N = obj.Nobj.status.marketPosition = obj.marketPositionobj.status.holdPrice = obj.holdPriceobj.status.holdAmount = obj.holdAmountobj.status.lastPrice = obj.lastPriceif (obj.lastPrice > 0 && obj.holdAmount > 0 && obj.marketPosition !== 0) {obj.status.holdProfit = _N((obj.lastPrice - obj.holdPrice) * obj.holdAmount * obj.symbolDetail.VolumeMultiple, 4) * (obj.marketPosition > 0 ? 1 : -1)} else {obj.status.holdProfit = 0}obj.status.symbolDetail = obj.symbolDetailreturn obj.status}// 執(zhí)行海龜交易邏輯obj.Poll = function() {obj.status.isTrading = obj.isSymbolTrading(obj.symbol)if (!obj.status.isTrading) {return}var suffix = WXPush ? '@' : ''// switch symbolvar insDetail = exchange.SetContractType(obj.symbol)if (!insDetail) {return}// 獲取tick數(shù)據(jù)var ticker = exchange.GetTicker()if (!ticker) {obj.setLastError("獲取tick失敗")return}if (IsVirtual()) {ticker.Info = {}ticker.Info.LotSize = obj.symbolDetail.VolumeMultipleticker.Info.PriceSpread = 0.01}var records = exchange.GetRecords()if (!records) {obj.setLastError("獲取K線失敗")return}obj.status.recordsLen = records.lengthif (records.length < obj.atrLen) {obj.setLastError("K線長度小于 " + obj.atrLen)return}var opCode = 0 // 0: IDLE, 1: LONG, 3: CoverALLvar lastPrice = records[records.length - 1].Closeobj.lastPrice = lastPriceif (obj.marketPosition === 0) {obj.status.stopPrice = '--'obj.status.leavePrice = '--'obj.status.upLine = 0obj.status.downLine = 0for (var i = 0; i < 2; i++) {if (i == 0 && obj.useFilter && !obj.preBreakoutFailure) {continue}var enterPeriod = i == 0 ? obj.enterPeriodA : obj.enterPeriodBif (records.length < (enterPeriod + 1)) {continue}var highest = TA.Highest(records, enterPeriod, 'High')var lowest = TA.Lowest(records, enterPeriod, 'Low')obj.status.upLine = obj.status.upLine == 0 ? highest : Math.min(obj.status.upLine, highest)obj.status.downLine = obj.status.downLine == 0 ? lowest : Math.max(obj.status.downLine, lowest)if (lastPrice > highest) {opCode = 1}if (opCode != 0) {obj.leavePeriod = (enterPeriod == obj.enterPeriodA) ? obj.leavePeriodA : obj.leavePeriodBbreak}}} else {var spread = obj.marketPosition > 0 ? (obj.openPrice - lastPrice) : (lastPrice - obj.openPrice)obj.status.stopPrice = _N(obj.openPrice + (obj.N * StopLossRatio * (obj.marketPosition > 0 ? -1 : 1)))if (spread > (obj.N * StopLossRatio)) {opCode = 3obj.preBreakoutFailure = trueLog(obj.symbolDetail.InstrumentName, "止損平倉", suffix)obj.status.st++} else if (-spread > (IncSpace * obj.N) && Math.abs(obj.marketPosition) < obj.maxLots) {opCode = obj.marketPosition > 0 ? 1 : 2}if (opCode == 0 && records.length > obj.leavePeriod) {obj.status.leavePrice = obj.marketPosition > 0 ? TA.Lowest(records, obj.leavePeriod, 'Low') : TA.Highest(records, obj.leavePeriod, 'High')if ((obj.marketPosition > 0 && lastPrice < obj.status.leavePrice) ||(obj.marketPosition < 0 && lastPrice > obj.status.leavePrice)) {obj.preBreakoutFailure = falseLog(obj.symbolDetail.InstrumentName, "正常平倉", suffix)opCode = 3obj.status.cover++}}}if (opCode == 0) {return}if (opCode == 3) {var pos = obj.getPosition(exchange, obj.tradeSymbol)obj.sell(exchange, obj.tradeSymbol, pos.Amount, ticker.Info)obj.reset()_G(obj.symbol, null)var account = _C(exchange.GetAccount)return}// Openif (Math.abs(obj.marketPosition) >= obj.maxLots) {obj.setLastError("禁止開倉, 超過最大持倉 " + obj.maxLots)return}var atrs = TA.ATR(records, atrLen)var N = _N(atrs[atrs.length - 1], 4)var account = _C(exchange.GetAccount)var unit = parseInt((obj.initBalance-obj.keepBalance) * (obj.riskRatio / 100) / N / obj.symbolDetail.VolumeMultiple)var canOpen = parseInt((account.Balance-obj.keepBalance) / (lastPrice * 1.2) / obj.symbolDetail.VolumeMultiple)unit = Math.min(unit, canOpen)unit = unit * obj.symbolDetail.VolumeMultipleif (unit < obj.symbolDetail.VolumeMultiple) {obj.setLastError("可開 " + unit + " 手 無法開倉, " + (canOpen >= obj.symbolDetail.VolumeMultiple ? "風(fēng)控觸發(fā)" : "資金限制") + "。 可用: " + account.Balance)return}// 交易函數(shù)if (opCode == 2) {throw "股票不支持做空"}var ret = obj.buy(exchange, obj.tradeSymbol, unit, ticker.Info)if (ret) {Log(obj.symbolDetail.InstrumentName, obj.marketPosition == 0 ? "開倉" : "加倉", "離市周期", obj.leavePeriod, suffix)obj.N = Nobj.openPrice = ticker.Lastobj.holdPrice = ret.Priceif (obj.marketPosition == 0) {obj.status.open++}obj.holdAmount = ret.Amountobj.marketPosition += opCode == 1 ? 1 : -1obj.status.vm = [obj.marketPosition, obj.openPrice, N, obj.leavePeriod, obj.preBreakoutFailure]_G(obj.symbol, obj.status.vm)} else {obj.setLastError("下單失敗")return}}var vm = nullif (RMode === 0) {vm = _G(obj.symbol)} else {vm = JSON.parse(VMStatus)[obj.symbol]}if (vm) {Log("準(zhǔn)備恢復(fù)進(jìn)度, 當(dāng)前合約狀態(tài)為", vm)obj.reset(vm[0], vm[1], vm[2], vm[3], vm[4])} else {if (needRestore) {Log("沒有找到" + obj.symbol + "的進(jìn)度恢復(fù)信息")}obj.reset()}return obj} }function onexit() {Log("已退出策略...") }function main() {if((!IsVirtual() && exchange.GetCurrency() != "STOCK" && exchange.GetName() != "Futures_Futu") || (IsVirtual() && exchange.GetCurrency() != "STOCK_CNY" && exchange.GetName() != "Futures_XTP")) {Log("currency:", exchange.GetCurrency(), "name:", exchange.GetName())throw "不支持"}SetErrorFilter("login|ready|流控|連接失敗|初始|Timeout|market not ready")while (!exchange.IO("status")) {Sleep(3000)LogStatus("正在等待與交易服務(wù)器連接, " + _D())}var positions = _C(exchange.GetPosition)if (positions.length > 0) {Log("檢測到當(dāng)前持有倉位, 系統(tǒng)將開始嘗試恢復(fù)進(jìn)度...")Log("持倉信息", positions)}Log("風(fēng)險(xiǎn)系數(shù):", RiskRatio, "N值周期:", ATRLength, "系統(tǒng)1: 入市周期", EnterPeriodA, "離市周期", LeavePeriodA, "系統(tǒng)二: 入市周期", EnterPeriodB, "離市周期", LeavePeriodB, "加倉系數(shù):", IncSpace, "止損系數(shù):", StopLossRatio, "單品種最多開倉:", MaxLots, "次")var initAccount = _C(exchange.GetAccount)var realInitBalance = initAccount.Balanceif (CustomBalance) {realInitBalance = InitBalanceLog("自定義啟動(dòng)資產(chǎn)為", realInitBalance)}var keepBalance = _N(realInitBalance * (KeepRatio/100), 3)Log("當(dāng)前資產(chǎn)信息", initAccount, "保留資金:", keepBalance)var tts = []var filter = []var arr = Instruments.split(',')for (var i = 0; i < arr.length; i++) {var symbol = arr[i].replace(/^\s+/g, "").replace(/\s+$/g, "");if (typeof(filter[symbol]) !== 'undefined') {Log(symbol, "已經(jīng)存在, 系統(tǒng)已自動(dòng)過濾")continue}filter[symbol] = truevar hasPosition = falsefor (var j = 0; j < positions.length; j++) {if (positions[j].ContractType == symbol) {hasPosition = truebreak}}var obj = TTManager.New(hasPosition, symbol, realInitBalance, keepBalance, RiskRatio, ATRLength, EnterPeriodA, LeavePeriodA, EnterPeriodB, LeavePeriodB, UseEnterFilter, IncSpace, StopLossRatio, MaxLots)tts.push(obj)}var tblAssets = nullvar nowAccount = nullvar lastStatus = ''while (true) {if (GetCommand() === "暫停/繼續(xù)") {Log("暫停交易中...")while (GetCommand() !== "暫停/繼續(xù)") {Sleep(1000)}Log("繼續(xù)交易中...")}while (!exchange.IO("status")) {Sleep(3000)LogStatus("正在等待與交易服務(wù)器連接, " + _D() + "\n" + lastStatus)}var tblStatus = {type: "table",title: "持倉信息",cols: ["合約名稱", "持倉方向", "持倉均價(jià)", "持倉數(shù)量", "持倉盈虧", "加倉次數(shù)", "開倉次數(shù)", "止損次數(shù)", "成功次數(shù)", "當(dāng)前價(jià)格", "N"],rows: []}var tblMarket = {type: "table",title: "運(yùn)行狀態(tài)",cols: ["合約名稱", "合約乘數(shù)", "保證金率", "交易時(shí)間", "移倉次數(shù)", "柱線長度", "上線", "下線", "止損價(jià)", "離市價(jià)", "異常描述", "發(fā)生時(shí)間"],rows: []}var totalHold = 0var vmStatus = {}var ts = new Date().getTime()var holdSymbol = 0var tradingCount = 0for (var i = 0; i < tts.length; i++) {tts[i].Poll()var d = tts[i].Status()if (d.holdAmount > 0) {vmStatus[d.symbol] = d.vmholdSymbol++}if (d.isTrading) {tradingCount++}tblStatus.rows.push([d.symbolDetail.InstrumentID + "/" + d.symbolDetail.InstrumentName, d.holdAmount == 0 ? '--' : (d.marketPosition > 0 ? '多' : '空'), d.holdPrice, d.holdAmount, d.holdProfit, Math.abs(d.marketPosition), d.open, d.st, d.cover, d.lastPrice, d.N])tblMarket.rows.push([d.symbolDetail.InstrumentID + "/" + d.symbolDetail.InstrumentName, d.symbolDetail.VolumeMultiple, _N(d.symbolDetail.LongMarginRatio, 4) + '/' + _N(d.symbolDetail.ShortMarginRatio, 4), (d.isTrading ? '是#0000ff' : '否#ff0000'), d.switchCount, d.recordsLen, d.upLine, d.downLine, d.stopPrice, d.leavePrice, d.lastErr, d.lastErrTime])totalHold += Math.abs(d.holdAmount)}var now = new Date()var elapsed = now.getTime() - tslastStatus = '`' + JSON.stringify([tblStatus, tblMarket]) + '`\n輪詢耗時(shí): ' + elapsed + ' 毫秒, 當(dāng)前時(shí)間: ' + _D() + ', 星期' + ['日', '一', '二', '三', '四', '五', '六'][now.getDay()] + ", 持有品種個(gè)數(shù): " + holdSymbol + ", 手動(dòng)恢復(fù)字符串: " + JSON.stringify(vmStatus)LogStatus(lastStatus)Sleep(LoopInterval * 1000)} }

回測測試、研究
我們選擇幾只股票回測：600519.SH,600690.SH,600006.SH,601328.SH,600887.SH,600121.SH,601633.SH。

其它參數(shù)設(shè)置：

回測時(shí)狀態(tài)欄信息輸出：

可以觀察到，海龜交易法這種趨勢跟蹤策略需要在有較大的行情時(shí)才會(huì)有較好的盈利。在行情反復(fù)震蕩時(shí)可能會(huì)有一定回撤。
漲幅較大的貴州茅臺貢獻(xiàn)了整體收益的絕大部分，看來選股也是十分重要的因素。并且根據(jù)狀態(tài)欄中顯示的統(tǒng)計(jì)數(shù)據(jù)來看，海龜交易法的止損次數(shù)要遠(yuǎn)高于策略成功盈利次數(shù)。這也是策略的思路核心，用較小的頭寸試錯(cuò)。一旦抓住趨勢突破加倉，抓住肥尾。創(chuàng)造震蕩期損失數(shù)倍的盈利。
完整策略：https://www.fmz.cn/strategy/346551
該策略僅用于回測研究，實(shí)盤請自行優(yōu)化、修改。

總結(jié)

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