[量化交易策略]混沌系趋势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

N1:=3;

N2:=5;

N3:=N1+N2;

N4:=N2+N3;

HL:=(H+L)/2;

Y:=SMA(REF(HL,N3),N4,1);

R:=SMA(REF(HL,N2),N3,1);

G:=SMA(REF(HL,N1),N2,1);

TOP_N:=BARSLAST(REF(H,2)=HHV(H,5))+2;

BOTTOM_N:=BARSLAST(REF(L,2)=LLV(L,5))+2;

TOP:=REF(H,TOP_N);

BOTTOM:=REF(L,BOTTOM_N);

MAX_YRG:=MAX(MAX(Y,R),G); 

MIN_YRG:=MIN(MIN(Y,R),G); 

TOP_FRACTAL:=VALUEWHEN(H>=MAX_YRG,TOP);

BOTTOM_FRACTAL:=VALUEWHEN(L<=MIN_YRG,BOTTOM);

BKVOL=0 AND C>=TOP_FRACTAL AND TOP_FRACTAL>MAX_YRG,BPK(TC);

SKVOL=0 AND C<=BOTTOM_FRACTAL AND BOTTOM_FRACTAL<MIN_YRG,SPK(TC);

C<Y,SP(BKVOL);

C>Y,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