[量化交易策略]动态突破趋势模型

LENGTH1:=5;

LENGTH2:=15;

损幅:=3;

N:=1.2;

N:=26;

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

ATR :=MA(TR,N);

//ATR指标

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

//根据权益的2%计算下单手数

TT1:=MA(TR,LENGTH1);

TT2:=MA(TR,LENGTH2);

KK:=REF(TT1,1)/REF(TT2,1);

卖出条件:=BKVOL=0 AND SKVOL=0 AND KK>N AND L<=REF(L,1) AND REF(C,1)<REF(C,4);

卖出条件,SK(TC);

买入条件:=BKVOL=0 AND SKVOL=0 AND KK>N AND H>=REF(H,1) AND REF(C,1)>REF(C,4);

买入条件,BK(TC);

BARSBK>0 AND BKVOL>0 AND C<(BKHIGH-O*损幅*0.01),SP(BKVOL);

BARSSK>0 AND SKVOL>0 AND C>(SKLOW+O*损幅*0.01),BP(SKVOL);

SETSIGPRICETYPE(BK,NEW_ORDER);

SETSIGPRICETYPE(SK,NEW_ORDER);

SETSIGPRICETYPE(BP,NEW_ORDER);

SETSIGPRICETYPE(SP,NEW_ORDER);