[量化交易策略]适用于螺纹15分钟周期以上的交易系统

K1:=15;

K2:=10;

SHORT:=12;

LONG:=26;

M:=9;

MA1:=MA(C,10);

MA2:=MA(C,20);

NN:=BARSLAST(DATE<>REF(DATE,1))+1;

HH:=REF(HHV(H,NN),NN);

HC:=REF(HHV(C,NN),NN);

LL:=REF(LLV(L,NN),NN);

LC:=REF(LLV(C,NN),NN);

DIFF :=EMA(CLOSE,SHORT) – EMA(CLOSE,LONG);

DEA  :=EMA(DIFF,M);

MACD:=2*(DIFF-DEA),COLORSTICK;

CROSS(MA1,MA2) AND CROSS(MACD,0) ,BPK;

CROSS(MA2,MA1) AND CROSSDOWN(MACD,0)  ,SPK;

RANGER:=IFELSE((HH – LC) >= (HC – LL),HH – LC,HC – LL);

BUYTRIG:=K1/10*RANGER;

SELLTRIG:=K2/10*RANGER;

BUY1:=REF(OPEN,NN-1)+BUYTRIG;

SELL1:=REF(OPEN,NN-1)-SELLTRIG;

H>BUY1 && NOT(REF(EXIST(H>BUY1,NN),1)) && COUNT(H>BUY1 && NOT(REF(EXIST(H>BUY1,NN),1)),NN)<2  ,BPK;

L<SELL1 && NOT(REF(EXIST(L<SELL1,NN),1)) && COUNT(L<SELL1 && NOT(REF(EXIST(L<SELL1,NN),1)),NN)<2  ,SPK;

C<=(BKPRICE-BKPRICE*0.015) ,SP;

C>=(SKPRICE+SKPRICE*0.015) ,BP;

SETSIGPRICETYPE(BPK,LIMIT_ORDER);

SETSIGPRICETYPE(SPK,LIMIT_ORDER);

SETSIGPRICETYPE(BK,LIMIT_ORDER);

SETSIGPRICETYPE(SK,LIMIT_ORDER);

SETSIGPRICETYPE(BP,LIMIT_ORDER);

SETSIGPRICETYPE(SP,LIMIT_ORDER);

CLOSEKLINE(1,30);

AUTOFILTER;

//该策略用于文华wh8