[量化交易策略]双重趋势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

N1:=150;

N2:=500;

SLOSS:=2;

LINE1:=(HHV(H,N1)+LLV(L,N1))*0.5;

LINE2:=(HHV(H,N2)+LLV(L,N2))*0.5;

BKVOL=0 AND BARPOS>N2 AND REF(LINE1,1)<REF(LINE2,1) AND LINE1>=LINE2,BPK(TC);

SKVOL=0 AND BARPOS>N2 AND REF(LINE1,1)>REF(LINE2,1) AND LINE1<=LINE2,SPK(TC);

BKVOL=0 AND H>=HHV(H,N1),BK(TC);

SKVOL=0 AND L<=LLV(L,N1),SK(TC);

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

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