[量化交易策略]MA大均线趋势模型

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

SLOSS:=2;

N1:=150;

N2:=300;

N3:=450;

MA1:=MA(C,N1);

MA2:=MA(C,N2);

MA3:=MA(C,N3);

BUYK:=BARPOS>N3 AND BKVOL=0 AND MA1>MA2 AND MA2>MA3 AND C>MA1;

SELLK:=BARPOS>N3 AND SKVOL=0 AND MA1<MA2 AND MA2<MA3 AND C<MA1;

BUYP:=SKVOL>0 AND CROSS(C,MA2) AND C>MA1 AND C<=SKPRICE*(1-2*SLOSS*0.01);

SELLP:=BKVOL>0 AND CROSS(MA2,C) AND MA1>C AND C>=BKPRICE*(1+2*SLOSS*0.01);

BUYK,BK(TC);

SELLK,SK(TC);

//止盈

BUYP,BP(SKVOL);

SELLP,SP(BKVOL);

//止损

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

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

SETSIGPRICETYPE(BPK,LIMIT_ORDER);

SETSIGPRICETYPE(SPK,LIMIT_ORDER);

SETSIGPRICETYPE(BK,LIMIT_ORDER);

SETSIGPRICETYPE(SK,LIMIT_ORDER);

SETSIGPRICETYPE(BP,LIMIT_ORDER);

SETSIGPRICETYPE(SP,LIMIT_ORDER);