[量化交易策略]金牛三色趋势CTA模型

N1:=26;

TR :=MAX(MAX((HIGH-LOW),ABS(REF(CLOSE,1)-HIGH)),ABS(REF(CLOSE,1)-LOW));

ATR :=MA(TR,N1);

ATR1 :=MA(TR,N1)/REF(MA(TR,N1),1)*100*0.5;

//ATR指标

TC:INTPART((MONEYTOT*0.02/(UNIT*ATR))),NODRAW;

//根据权益的2%计算下单手数

AA:=EMA(C,5) > EMA(C,20);

BB:=EMA(C,5) < EMA(C,20);

CC:= EMA(C,5) > EMA(C,10);

CC1:=EMA(C,5) < EMA(C,10);

DD:=CLOSE<OPEN;

STICKLINE1(AA AND C>=O,H,C,0,0),COLOR1703D1;

STICKLINE1(AA AND C>=O,O,L,0,0),COLOR1703D1;

STICKLINE1(AA AND C<O,H,L,0,0),COLOR1703D1;

STICKLINE1(AA,O,C,3,1),COLOR1703D1;

STICKLINE1(AA AND DD,O,C,3,0),COLOR1703D1;

STICKLINE1(BB AND C>=O,H,C,0,0),COLORCYAN;

STICKLINE1(BB AND C>=O,O,L,0,0),COLORCYAN;

STICKLINE1(BB AND C<O,H,L,0,0),COLORCYAN;

STICKLINE1(BB,O,C,3,1),COLORCYAN;

STICKLINE1(BB AND DD,O,C,3,0),COLORCYAN;

STICKLINE1(BB AND CC AND C>=O,H,C,0,1),COLORWHITE;

STICKLINE1(BB AND CC AND C>=O,O,L,0,1),COLORWHITE;

STICKLINE1(BB AND CC AND C<O,H,L,0,1),COLORWHITE;

STICKLINE1(BB AND CC,O,C,3,1),COLORWHITE;

STICKLINE1(BB AND CC AND DD,O,C,3,0),COLORWHITE;

STICKLINE1(AA AND CC1 AND C>=O,H,C,0,0),COLORWHITE;

STICKLINE1(AA AND CC1 AND C>=O,O,L,0,0),COLORWHITE;

STICKLINE1(AA AND CC1 AND C<O,H,L,0,0),COLORWHITE;

STICKLINE1(AA AND CC1,O,C,3,1),COLORWHITE;

STICKLINE1(AA AND CC1 AND DD,O,C,3,0),COLORWHITE;

N:=10;

E:=EMA(EMA(C,N),N),COLOR0000FF,LINETHICK2;

PARTLINE1(REF(E,1)>E,E),COLORGREEN,LINETHICK2;

PARTLINE1(REF(E,1)<=E,E),COLORRED,LINETHICK2;

AA AND NOT(CC1) AND REF(E,1)<=E,BPK(TC);

AA AND CC1 OR BB AND CC ,BP(SKVOL);

BB AND NOT(CC) AND REF(E,1)>E,SPK(TC);

AA AND CC1 OR BB AND CC ,SP(BKVOL);

BB AND DD AND  NOT(CC),SP(BKVOL);

BB AND CC OR AA AND CC1 ,BP(SKVOL);

SETSIGPRICETYPE(BPK,LIMIT_ORDER);

SETSIGPRICETYPE(SPK,LIMIT_ORDER);

SETSIGPRICETYPE(BK,LIMIT_ORDER);

SETSIGPRICETYPE(SK,LIMIT_ORDER);

SETSIGPRICETYPE(BP,LIMIT_ORDER);

SETSIGPRICETYPE(SP,LIMIT_ORDER);

//该策略用于文华wh8