77 lines
1.6 KiB
Markdown
77 lines
1.6 KiB
Markdown
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> Name
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吕神简易波动率策略Pine语言版本
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> Author
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发明者量化
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> Strategy Description
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来自于两年前用户公开的一个简单的波动率策略
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https://www.fmz.com/strategy/200131
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无意翻到, 用PINE重写了下代码量减少了 90% 给量化的朋友们学习参考
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> Strategy Arguments
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|Argument|Default|Description|
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|----|----|----|
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|v_input_1|50|指数计算周期|
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> Source (PineScript)
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``` javascript
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/*backtest
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start: 2021-05-16 00:00:00
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end: 2022-05-15 23:59:00
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period: 1d
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basePeriod: 1h
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exchanges: [{"eid":"Bitfinex","currency":"BTC_USD"}]
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*/
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N = input(50, '指数计算周期')
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vix = math.log(close) / math.log(close[N-1]) - 1
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vix_ma = ta.sma(vix, N)
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vix_ma_up = ta.highest(vix_ma, N)
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vix_ma_down = ta.lowest(vix_ma, N)
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plot(vix, 'vix')
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plot(vix_ma, 'vix_ma')
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upline = plot(vix_ma_up, 'vix_ma_up')
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downline = plot(vix_ma_down, 'vix_ma_down')
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fill(upline, downline, color=color.new(color.gray, 50))
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qty = math.round(strategy.equity / close, 2)
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if strategy.position_size == 0
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if vix > vix_ma_up and vix[1] <= vix_ma_up[1]
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strategy.entry("LONG", strategy.long, qty=qty)
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else if vix < vix_ma_down and vix[1] >= vix_ma_down[1]
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strategy.entry("SHORT", strategy.short, qty=qty)
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else if strategy.position_size > 0
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if vix < vix_ma and vix[1] >= vix_ma[1]
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strategy.close_all()
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else if strategy.position_size < 0
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if vix > vix_ma and vix[1] <= vix_ma[1]
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strategy.close_all()
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```
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> Detail
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https://www.fmz.com/strategy/361827
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> Last Modified
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2022-05-29 20:51:28
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