[量化交易策略]差价日线趋势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

N:=20;

M:=5;

C_O:=EMA(C,N)-EMA(O,N);

B:=CROSSUP(C_O,0);

S:=CROSSDOWN(C_O,0);

ATR:=MA(TR,N);

BAND:=ATR*0.1*M;

PRICE_BPK:=VALUEWHEN(B,H+BAND);

PRICE_SP:=VALUEWHEN(B,L-BAND);

PRICE_SPK:=VALUEWHEN(S,L-BAND);

PRICE_BP:=VALUEWHEN(S,H+BAND);

BARPOS>N AND C_O>0  AND C>=PRICE_BPK,BPK(TC);

BARPOS>N AND C_O<0  AND C<=PRICE_SPK,SPK(TC);

S,SP(BKVOL);

B,BP(SKVOL);

C<=PRICE_SP,SP(BKVOL);

C>=PRICE_BP,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