[量化交易策略]DMI精髓趋势CTA模型

N1:=26;

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

ATR :=MA(TR,N1);

//ATR指标

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

//根据权益的2%计算下单手数

N:=14;

M:=6;

NC:=150;

NHL:=50;

SLOSS:=1;

HD := HIGH-REF(HIGH,1);

LD := REF(LOW,1)-LOW;

DMP:= SUM(IFELSE(HD>0 && HD>LD,HD,0),N);

DMM:= SUM(IFELSE(LD>0 && LD>HD,LD,0),N);

PDI: =DMP*100/TR;

MDI: =DMM*100/TR;

ADX:= MA(ABS(MDI-PDI)/(MDI+PDI)*100,M);

ADXR:=(ADX+REF(ADX,M))/2;

MAC:=MA(C,NC);

BARPOS>NC AND H>=HHV(H,NHL) AND ADX>ADXR AND PDI>MDI AND  PDI>20,BPK(TC);

BARPOS>NC AND L<=LLV(L,NHL) AND ADX>ADXR AND PDI<MDI AND  MDI>20,SPK(TC);

C<BKPRICE*(1-SLOSS*0.01),SP(BKVOL);

C>SKPRICE*(1+SLOSS*0.01),BP(SKVOL);

C>BKPRICE*(1+SLOSS*0.01) AND C<=REF(BKHIGH,1)*(1-SLOSS*0.01) AND C<MAC,SP(BKVOL);

C<SKPRICE*(1-SLOSS*0.01) AND C>=REF(SKLOW,1)*(1+SLOSS*0.01) AND C>MAC,BP(SKVOL);

SETSIGPRICETYPE(BPK,LIMIT_ORDER);

SETSIGPRICETYPE(SPK,LIMIT_ORDER);

SETSIGPRICETYPE(BK,LIMIT_ORDER);

SETSIGPRICETYPE(SK,LIMIT_ORDER);