[量化交易策略]几款均线模型

N:=10;

M:=20;

MA1:MA(CLOSE,N);

MA2:MA(CLOSE,M);

MA1>MA2 AND C<MA2,BK;

CROSS(MA2,MA1),SP;

MA2>MA1 AND C>MA2,SK;

CROSS(MA1,MA2),BP;

SETSIGPRICETYPE(BK,LIMIT_ORDER);

SETSIGPRICETYPE(SK,LIMIT_ORDER);

SETSIGPRICETYPE(BP,LIMIT_ORDER);

SETSIGPRICETYPE(SP,LIMIT_ORDER);

SETSIGPRICETYPE(BPK,LIMIT_ORDER);

SETSIGPRICETYPE(SPK,LIMIT_ORDER);

AUTOFILTER;

MA1:=MA(CLOSE,5);

MA2:=MA(CLOSE,10);

MA3:=MA(CLOSE,20);

MA4:=MA(CLOSE,40);

MA5:=MA(CLOSE,60);

DIFF := EMA(CLOSE,12) – EMA(CLOSE,26);

DEA  := EMA(DIFF,9);

MA1>MA2 AND MA2>MA3 AND MA3>MA4 AND MA4>MA5 AND DIFF>0,BK;

MA1<MA2 OR MA2<MA3  OR MA3<MA4  OR MA4<MA5  OR DIFF<0,SP;

MA1<MA2 AND MA2<MA3 AND MA3<MA4 AND MA4<MA5 AND DIFF<0,SK;

MA1>MA2 OR MA2>MA3  OR MA3>MA4  OR MA4>MA5 OR DIFF>0,BP;

SETSIGPRICETYPE(BK,LIMIT_ORDER);

SETSIGPRICETYPE(SK,LIMIT_ORDER);

SETSIGPRICETYPE(BP,LIMIT_ORDER);

SETSIGPRICETYPE(SP,LIMIT_ORDER);

SETSIGPRICETYPE(BPK,LIMIT_ORDER);

SETSIGPRICETYPE(SPK,LIMIT_ORDER);

AUTOFILTER;

MA5:MA(C,5);

MA20:MA(C,20);

MA60:MA(C,60);

JXDT:=MA(C,5)>MA(C,10);

JXKT:=MA(C,5)<MA(C,10);

KK1:=MA(C,5)<MA(C,10);

KD1:=MA(C,5)>MA(C,10);

JXDT AND MA5<MA60 OR JXDT AND  MA5<MA20||KD1 AND MA5<MA60 OR KD1 AND MA5<MA60,BK;

JXKT AND MA5>MA60 OR JXKT  AND  MA5>MA20||KK1  AND MA5>MA60  OR KK1 AND MA5>MA20,SK;

JXDT OR KD1, BP;

JXKT OR KK1, SP;

SETSIGPRICETYPE(BK,LIMIT_ORDER);

SETSIGPRICETYPE(SK,LIMIT_ORDER);

SETSIGPRICETYPE(BP,LIMIT_ORDER);

SETSIGPRICETYPE(SP,LIMIT_ORDER);

SETSIGPRICETYPE(BPK,LIMIT_ORDER);

SETSIGPRICETYPE(SPK,LIMIT_ORDER);

AUTOFILTER;

//该策略用于文华T8