[量化交易策略]新款SAR的CTA模型

N:=60;

SLOSS:=2;

FUND:=20000;

SARLINE:=SAR(4,2,20);

B1:=SARLINE>0;

S1:=SARLINE<0;

B2:=HIGH>=HHV(CLOSE,N);

S2:=LOW<=LLV(CLOSE,N);

BUYK:=BARPOS>N AND B1 AND B2;

SELLK:=BARPOS>N AND S1 AND S2;

SELLY:=S1 AND S2 AND BKHIGH>BKPRICE*(1+0.01*SLOSS);

BUYY:=B1 AND B2 AND SKLOW<SKPRICE*(1-0.01*SLOSS);

SELLS:=C<BKPRICE*(1-SLOSS*0.01);

BUYS:=C>SKPRICE*(1+SLOSS*0.01);

BUYK,BK(TC);

SELLK,SK(TC);

SELLY,SP(BKVOL);

BUYY,BP(SKVOL);

SELLS,SP(BKVOL);

BUYS,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);