[量化交易策略]管理期货通道策略 文华财经赢智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))),NODRAW;

//根据权益的2%计算下单手数

SG:EMA(H,30);

XG:EMA(L,30);

S:=CROSS(C,SG);

X:=CROSS(XG,C);

WS:=BARSLAST(S)+1;

WX:=BARSLAST(X)+1;

SS:=CROSS(SUM(S,WX),0.5);

XX:=CROSS(SUM(X,WS),0.5);

PARTLINE(CLOSE>EMA(HIGH,30),EMA(HIGH,30),COLORGREEN),LINETHICK2;

PARTLINE(CLOSE>EMA(LOW,30),EMA(LOW,30),COLORGREEN),LINETHICK2;

PARTLINE(CLOSE<EMA(HIGH,30),EMA(HIGH,30),COLORLIGHTBLUE),LINETHICK2;

PARTLINE(CLOSE<EMA(LOW,30),EMA(LOW,30),COLORLIGHTBLUE),LINETHICK2;

C>SG,BPK(TC);

C<XG,SPK(TC);

SETSIGPRICETYPE(BPK,LIMIT_ORDER);

SETSIGPRICETYPE(SPK,LIMIT_ORDER);

SETSIGPRICETYPE(BK,LIMIT_ORDER);

SETSIGPRICETYPE(SK,LIMIT_ORDER);

SETSIGPRICETYPE(BP,LIMIT_ORDER);

SETSIGPRICETYPE(SP,LIMIT_ORDER);