[量化交易策略]首款瀑布线趋势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:=50;

N2:=80;

N3:=150;

PUBU1:=(EMA(C,N1)+EMA(C,N1*2)+EMA(C,N1*4))/3;

PUBU2:=(EMA(C,N2)+EMA(C,N2*2)+EMA(C,N2*4))/3;

PUBU3:=(EMA(C,N3)+EMA(C,N3*2)+EMA(C,N3*4))/3;

BKVOL=0 AND BARPOS>N3 AND C>PUBU1 AND PUBU1>PUBU2 AND PUBU2>PUBU3,BPK(TC);

SKVOL=0 AND BARPOS>N3 AND C<PUBU1 AND PUBU1<PUBU2 AND PUBU2<PUBU3,SPK(TC);

C<PUBU3,SP(BKVOL);

C>PUBU3,BP(SKVOL);

C<PUBU2 AND PUBU1<PUBU2 AND C>BKPRICE,SP(BKVOL);

C>PUBU2 AND PUBU1>PUBU2 AND C<SKPRICE,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