[量化交易策略]主力进出模型 赢智WH8

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)));

//根据权益的2%计算下单手数

N1:=9;

N2:=5;

MTM:=C-REF(C,1);

AA:100*EMA(EMA(MTM,N1),N1)/EMA(EMA(ABS(MTM),N1),N1),COLORRED,LINETHICK3;

BB:MA(AA,N2),COLORWHITE,LINETHICK3;

VAR1:=REF((LOW+OPEN+CLOSE+HIGH)/4,1);

VAR2:=SMA(ABS(LOW-VAR1),13,1)/SMA(MAX(LOW-VAR1,0),10,1);

VAR3:=EMA(VAR2,10);

VAR4:=LLV(LOW,33);

VAR5:=EMA(IF(LOW<=VAR4,VAR3,0),3);

VAR21:=SMA(ABS(HIGH-VAR1),13,1)/SMA(MIN(HIGH-VAR1,0),10,1);

VAR31:=EMA(VAR21,10);

VAR41:=HHV(HIGH,33);

VAR51:=EMA(IF(HIGH>=VAR41,VAR31,0),3);

//AA金叉BB并且金叉 前3根K线  至少有一根红柱，  高度大于3，并且前6根K线 , 最高收盘价  减  最低收盘价之 差  大于现价*0.03%   开多

CROSSUP(AA,BB) AND REF(COUNT(VAR5<REF(VAR5,1) AND VAR5>3,3)>=1,1) AND (HV(C,6)-LV(C,6))>C*0.0003 AND PANZHENG=0,BK(TC);

//AA死叉BB并且死叉 前3根K线  至少有一根玫柱，高度大于-3，并且前   6根K线， 最高收盘价  减  最低收盘价之 差  大于现价*0.03%   开空

CROSSDOWN(AA,BB) AND  REF(COUNT(VAR51>REF(VAR51,1) AND VAR51<-3,3)>=1,1) AND HV(C,6)-LV(C,6)>C*0.0003  AND PANZHENG=0,SK(TC);

//开仓之后：BK之后6根K线,  最高收盘价  减  最低收盘价之 差  小于开盘价*0.03%  平多

BARSBK>6 AND  (HV(C,6)-LV(C,6))<C*0.0003,SP(BKVOL);

//SK之后 6根K线 , 最高收盘价  减  最低收盘价之 差小于开盘价*0.03%  平空

BARSSK>6 AND  (HV(C,6)-LV(C,6))<C*0.0003,BP(SKVOL);

//AA 死叉 BB  平空

CROSSDOWN(AA,BB),BP(SKVOL);

//AA 金叉 BB  平多

CROSSUP(AA,BB),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);

N1:=9;

N2:=5;

MTM:=C-REF(C,1);

AA:100*EMA(EMA(MTM,N1),N1)/EMA(EMA(ABS(MTM),N1),N1),COLORRED,LINETHICK3;

BB:MA(AA,N2),COLORWHITE,LINETHICK3;

VAR1:=REF((LOW+OPEN+CLOSE+HIGH)/4,1);

VAR2:=SMA(ABS(LOW-VAR1),13,1)/SMA(MAX(LOW-VAR1,0),10,1);

VAR3:=EMA(VAR2,10);

VAR4:=LLV(LOW,33);

VAR5:=EMA(IF(LOW<=VAR4,VAR3,0),3);

主力卖:IF(VAR5>REF(VAR5,1),VAR5,0),COLORGREEN,NODRAW;

STICKLINE1(VAR5>REF(VAR5,1),0,VAR5,3,0 ),COLORGREEN;

STICKLINE1(VAR5>REF(VAR5,1),0,VAR5,2.6,0 ),COLORGREEN;

STICKLINE1(VAR5>REF(VAR5,1),0,VAR5,2.1,0 ),COLORGREEN;

STICKLINE1(VAR5>REF(VAR5,1),0,VAR5,1.5,0 ),COLORGREEN;

STICKLINE1(VAR5>REF(VAR5,1),0,VAR5,0.9,0 ),COLORGREEN;

STICKLINE1(VAR5>REF(VAR5,1),0,VAR5,0.3,0 ),COLORGREEN;

主力买:IF(VAR5<REF(VAR5,1),VAR5,0),COLORRED,NODRAW;

STICKLINE1(VAR5<REF(VAR5,1),0,VAR5,3,0),COLORRED;

STICKLINE1(VAR5<REF(VAR5,1),0,VAR5,2.6,0),COLORRED;

STICKLINE1(VAR5<REF(VAR5,1),0,VAR5,2.1,0),COLORRED;

STICKLINE1(VAR5<REF(VAR5,1),0,VAR5,1.5,0),COLORRED;

STICKLINE1(VAR5<REF(VAR5,1),0,VAR5,0.9,0),COLORRED;

STICKLINE1(VAR5<REF(VAR5,1),0,VAR5,0.3,0),COLORRED;

VAR21:=SMA(ABS(HIGH-VAR1),13,1)/SMA(MIN(HIGH-VAR1,0),10,1);

VAR31:=EMA(VAR21,10);

VAR41:=HHV(HIGH,33);

VAR51:=EMA(IF(HIGH>=VAR41,VAR31,0),3);

主力买盘:IF(VAR51<REF(VAR51,1),VAR51,0),COLORYELLOW,NODRAW;

STICKLINE1(VAR51<REF(VAR51,1),0,VAR51,3,0),COLOR005555;

STICKLINE1(VAR51<REF(VAR51,1),0,VAR51,2.6,0),COLOR007777;

STICKLINE1(VAR51<REF(VAR51,1),0,VAR51,2.1,0),COLOR009999;

STICKLINE1(VAR51<REF(VAR51,1),0,VAR51,1.5,0),COLOR11BBBB;

STICKLINE1(VAR51<REF(VAR51,1),0,VAR51,0.9,0),COLOR33DDDD;

STICKLINE1(VAR51<REF(VAR51,1),0,VAR51,0.3,0),COLOR55FFFF;

主力卖盘:IF(VAR51>REF(VAR51,1),VAR51,0),COLORFF00FF,NODRAW;

STICKLINE1(VAR51>REF(VAR51,1),0,VAR51,3,0 ),COLORFF00FF;

STICKLINE1(VAR51>REF(VAR51,1),0,VAR51,3,0),COLORFF00FF;

STICKLINE1(VAR51>REF(VAR51,1),0,VAR51,2.6,0),COLORFF00FF;

STICKLINE1(VAR51>REF(VAR51,1),0,VAR51,2.1,0),COLORFF00FF;

STICKLINE1(VAR51>REF(VAR51,1),0,VAR51,1.5,0),COLORFF00FF;

STICKLINE1(VAR51>REF(VAR51,1),0,VAR51,0.9,0),COLORFF00FF;

STICKLINE1(VAR51>REF(VAR51,1),0,VAR51,0.3,0),COLORFF00FF;

上线:20,COLORWHITE,LINETHICK2;

下线:-20,COLORWHITE,LINETHICK2;