[量化交易策略]高低点趋势跟踪模型

N1:=26;

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

ATR:=MA(TR1,N1);

//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;

N:=200;

M:=4;

ATR1:=MA(TR1,N);

MAC:=MA(C,N);

UBAND:=MAC+M*ATR1;

DBAND:=MAC-M*ATR1;

H>=HHV(H,N),BPK(TC);

L<=LLV(L,N),SPK(TC);

(H>=HHV(H,M*N) OR C<=UBAND) AND BKHIGH>=BKPRICE*(1+M*SLOSS*0.01),SP(BKVOL);

(L<=LLV(L,M*N) OR C>=DBAND) AND SKLOW<=SKPRICE*(1-M*SLOSS*0.01),BP(SKVOL);

//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);