[量化交易策略]外国经典通道突破趋势模型

N11:=26;

TR1:=MAX(MAX((HIGH-LOW),ABS(REF(CLOSE,1)-HIGH)),ABS(REF(CLOSE,1)-LOW));

ATR:=MA(TR1,N11);

//ATR指标

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

//根据权益的2%计算下单手数

X:=6;

TRAILINGSTOPRATE:=1; 

FUND:=0;

NN:=BARSLAST(DATE<>REF(DATE,1))+1;

JO:=VALUEWHEN(NN=1,O);

JH:=HHV(H,NN);

JL:=LLV(L,NN);

ZC:=REF(C,NN);

ZH:=REF(JH,NN);

ZL:=REF(JL,NN);

HT:=MAX(ZC-ZL,ZH-ZC);

BAND:=MAX(HT,JO*0.01);

TMP1:=JO+0.1*X*BAND;

TMP2:=JO-0.1*X*BAND;

BKVOL=0 AND REF(C,1)<=TMP1 AND C>TMP1,BK(TC);

SKVOL=0 AND REF(C,1)>=TMP2 AND C<TMP2,SK(TC);

BKVOL>0 AND C<=TMP2,SP(BKVOL);

SKVOL>0 AND C>=TMP1,BP(SKVOL);

BHIGH:=HHV(C,BARSBK);

SLOW:=LLV(C,BARSSK);

PRICESY:=REF(BHIGH,1)-O*TRAILINGSTOPRATE/100;

BARSBK>1 AND L<PRICESY,SP(BKVOL);

PRICEBY:=REF(SLOW,1)+O*TRAILINGSTOPRATE/100;

BARSSK>1 AND H>PRICEBY,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);