[量化交易策略]DDI趋势CTA模型

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

PARAM1:=250;

PARAM2:=1200;

PARAM3:=1;

VAR2:=MA(C,PARAM2);

VAR3:=MA(VAR2,PARAM1);

VAR4:=IFELSE((HIGH+LOW)<=(REF(HIGH,1)+REF(LOW,1)),0,MAX(ABS(HIGH-REF(HIGH,1)),ABS(LOW-REF(LOW,1)))),NODRAW;

VAR5:=IFELSE((HIGH+LOW)>=(REF(HIGH,1)+REF(LOW,1)),0,MAX(ABS(HIGH-REF(HIGH,1)),ABS(LOW-REF(LOW,1)))),NODRAW;

VAR6:=SUM(VAR4,PARAM1)/(SUM(VAR4,PARAM1)+SUM(VAR5,PARAM1)),NODRAW;

VAR7:=SUM(VAR5,PARAM1)/(SUM(VAR5,PARAM1)+SUM(VAR4,PARAM1)),NODRAW;

VAR8:=VAR6-VAR7;

VAR9:=MA(VAR8,2*PARAM1);

VAR10:=MA(VAR9,PARAM1);

BUYK:=BARPOS>PARAM2 AND C>VAR2 AND VAR2>VAR3 AND VAR8>0 AND VAR9>VAR10;

SELLK:=BARPOS>PARAM2 AND C<VAR2 AND VAR2<VAR3 AND VAR8<0 AND VAR9<VAR10;

SELLY:=C<VAR2 AND C>BKPRICE*(1+0.01*PARAM3);

BUYY:=C>VAR2 AND C<SKPRICE*(1-0.01*PARAM3);

SELLS:=C<BKPRICE*(1-PARAM3*0.01);

BUYS:=C>SKPRICE*(1+PARAM3*0.01);

BKVOL=0 AND BUYK,BK(TC);

SKVOL=0 AND SELLK,SK(TC);

SELLS,SP(BKVOL);

BUYS,BP(SKVOL);

SELLY,SP(BKVOL);

BUYY,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