[量化交易策略]平均价格通道趋势模型

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

AVGLENGTH:=10;

ATRLENGTH:=5;

MOVAVGVAL:MA((HIGH+LOW+CLOSE)/3,AVGLENGTH);//平均价格

TRUEHIGH1:=IF(HIGH>REF(C,1),HIGH,REF(C,1));

TRUELOW1:=IF(LOW<=REF(C,1),LOW,REF(C,1));

TRUERANGE1:=IF(ISLASTBAR,H-L,TRUEHIGH1-TRUELOW1);

UPBAND:MOVAVGVAL+MA(TRUERANGE1,ATRLENGTH);

DNBAND:MOVAVGVAL-MA(TRUERANGE1,ATRLENGTH);

 MOVAVGVAL>REF(MOVAVGVAL,1)&&C>UPBAND,BK(TC);

//均线向上，并且价格上破通道上轨，开多单

C<MOVAVGVAL||CLOSE<=BKHIGH*(1-10/100),SP(BKVOL);

 MOVAVGVAL<REF(MOVAVGVAL,1)&&C<DNBAND,SK(TC);

//均线向下，并且价格下破通道下轨，开空单

C>MOVAVGVAL||CLOSE>=SKLOW*(1+10/100),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);