42 lines
2.0 KiB
JSON
42 lines
2.0 KiB
JSON
{
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"strategyId": "microcap_volume_trend_000852",
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"version": "2",
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"parser": "omniquant-engine-script-v2",
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"market": "CN_A",
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"signalSymbol": "000852.SH",
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"benchmark": {
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"instrumentId": "000852.SH",
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"fallbackInstrumentId": "000852.SH"
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},
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"engineConfig": {
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"market": "CN_A",
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"signalSymbol": "000852.SH",
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"benchmarkSymbol": "000852.SH",
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"refreshRate": 15,
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"rankLimit": 40
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},
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"runtimeExpressions": {
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"prelude": "let refresh_rate = 15;\nlet stocknum = 40;\nlet close_rate = 1.07;\nlet loss_rate = 0.93;\nlet rsi_rate = 1.0001;\nlet trade_rate = 0.5;\nlet xs = 4 / 500;\nlet base_index_level = 2000;\nlet base_cap_floor = 3;\nlet base_cap_ceiling = 28;\nfn band_start(current_price, base_index_level, xs, base_cap_floor) {\n if current_price == base_index_level {\n base_cap_floor\n } else if current_price > 0 {\n round((current_price - base_index_level) * xs + base_cap_floor)\n } else {\n base_cap_floor\n }\n}\nfn band_end(current_price, base_index_level, xs, base_cap_ceiling) {\n if current_price == base_index_level {\n base_cap_ceiling\n } else if current_price > 0 {\n round((current_price - base_index_level) * xs + base_cap_ceiling)\n } else {\n base_cap_ceiling\n }\n}",
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"selection": {
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"limitExpr": "stocknum",
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"marketCapField": "market_cap",
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"marketCapLowerExpr": "band_start(signal_close, base_index_level, xs, base_cap_floor)",
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"marketCapUpperExpr": "band_end(signal_close, base_index_level, xs, base_cap_ceiling)",
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"stockFilterExpr": "stock_ma5 > stock_ma10 * rsi_rate && stock_ma10 > stock_ma30 * rsi_rate && rolling_mean(\"volume\", 5) < rolling_mean(\"volume\", 60)"
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},
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"risk": {
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"exposureExpr": "signal_ma5 > signal_ma10 * rsi_rate ? 1.0 : trade_rate",
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"stopLossExpr": "loss_rate",
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"takeProfitExpr": "close_rate"
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},
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"allocation": {
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"buyScaleExpr": "touched_upper_limit ? 1.0 : trade_rate"
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},
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"ordering": {
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"rankBy": "market_cap",
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"rankExpr": "",
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"rankOrder": "asc"
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}
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}
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}
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