[量化交易策略]MACD的加仓趋势CTA模型

PARAM1:=5;

PARAM2:=40;

PARAM3:=150;

DIRECTION:=0;

N11:=26;

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

ATR1:=MA(TR,N11);

//ATR指标

TC:INTPART((MONEYTOT*0.02/(UNIT*ATR1))),NODRAW;

//根据权益的2%计算下单手数

SHORT: =12;

LONG : =26;

M    : =9;

VAR4 : =EMA(CLOSE,SHORT*PARAM1) – EMA(CLOSE,LONG*PARAM1);

VAR5 : =EMA(VAR4,M*PARAM1);

VAR6 : =VAR4 – VAR5;

VAR7 : =EMA(CLOSE,SHORT*PARAM2) – EMA(CLOSE,LONG*PARAM2);

VAR8 : =EMA(VAR7,M*PARAM2);

VAR9 : =VAR7 – VAR8;

VAR10: =MA(HHV(HIGH,PARAM3),PARAM3);

VAR11: =MA(LLV(LOW,PARAM3),PARAM3);

VAR12: =(VAR10+VAR11)*0.5;

VAR13: =REF(VAR12,BARSLAST(REF(BKVOL,1)=0 AND BKVOL>0));

VAR14: =REF(VAR12,BARSLAST(REF(SKVOL,1)=0 AND SKVOL>0));

BOOL1: =CROSS(CLOSE,VAR10);

BOOL2: =CROSS(VAR11,CLOSE);

VAR15: =BARSLAST(BOOL1);

VAR16: =BARSLAST(BOOL2);

BOOL3: =VAR15<VAR16;

BOOL4: =VAR15>VAR16;

BUYPK : =BARPOS>PARAM3 AND BOOL1;

SELLPK: =BARPOS>PARAM3 AND BOOL2;

BUYJ1 : =BARPOS>PARAM3 AND CLOSE>BKPRICE+ATR1;

SELLJ1: =BARPOS>PARAM3 AND CLOSE<SKPRICE-ATR1;

BUYJ2 : =BARPOS>PARAM3 AND VAR9>0 AND VAR6>0 AND BOOL3 AND CLOSE>BKPRICE;

SELLJ2: =BARPOS>PARAM3 AND VAR9<0 AND VAR6<0 AND BOOL4 AND CLOSE<SKPRICE;

SELLS : =CLOSE<=VAR13;

BUYS  : =CLOSE>=VAR14;

BKVOL=0 AND BUYPK AND DIRECTION>=0,BPK(TC);

SKVOL=0 AND SELLPK AND DIRECTION<=0,SPK(TC);

BKVOL>0 AND BUYJ1,BK(TC);

SKVOL>0 AND SELLJ1,SK(TC);

BKVOL>0 AND BUYJ2,BK(TC);

SKVOL>0 AND SELLJ2,SK(TC);

SELLS,SP(BKVOL);

BUYS,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