[量化交易策略]一个不错的策略 标准差通道 文华财经赢智WH8

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

ATR := MA(TR,26);

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

//根据权益的2%计算下单手数

TODAYVOLATILITY:=STD(CLOSE,30);//计算30周期收盘价的标准差

YESTERDAYVOLATILITY:=STD(REF(CLOSE,1),30);//计算30周期前一根K线收盘价的标准差

DELTAVOLATILITY:=(TODAYVOLATILITY-YESTERDAYVOLATILITY)/TODAYVOLATILITY;//计算2个标准差的振幅

LOOKBACKDAYS:=POW(20*(1+DELTAVOLATILITY),BARPOS);//计算20*(1+DELTAVOLATILITY) 的幂级数

LOOKBACKDAYS1:=IFELSE(LOOKBACKDAYS>60,60,IFELSE(LOOKBACKDAYS<20,20,LOOKBACKDAYS));//当幂级数大于60取60小于20取20在这2者之间取当前值

MID:=MA(CLOSE,LOOKBACKDAYS1);//取幂级数周期收盘价均值。

UPBAND:=MID+2*STD(CLOSE,LOOKBACKDAYS1);//确定上轨

DNBAND:=MID-2*STD(CLOSE,LOOKBACKDAYS1);//确定下轨

BUYPOINT:=HV(HIGH,LOOKBACKDAYS1);//计算前一周期LOOKBACKDAYS1周期内最高价的最大值。

SELLPOINT:=LV(LOW,LOOKBACKDAYS1);//计算前一周期LOOKBACKDAYS1周期内最低价的最小值。

LONGLIQPOINT:=MA(CLOSE,LOOKBACKDAYS1);//LOOKBACKDAYS1周期收盘价均值

SHORTLIQPOINT:=MA(CLOSE,LOOKBACKDAYS1);//LOOKBACKDAYS1周期收盘价均值

CLOSE<DNBAND,SPK(TC);//当最新价小于下轨，卖平开

LOW<=LONGLIQPOINT,SP(BKVOL);//当最低价不大于LONGLIQPOINT，卖平

CLOSE>UPBAND,BPK(TC);//当最新价大于上轨，买平开

HIGH>=SHORTLIQPOINT,BP(SKVOL);//当最高价不小于SHORTLIQPOINT，买平

SETSIGPRICETYPE(BPK,LIMIT_ORDER);

SETSIGPRICETYPE(SPK,LIMIT_ORDER);

SETSIGPRICETYPE(BK,LIMIT_ORDER);

SETSIGPRICETYPE(SK,LIMIT_ORDER);

SETSIGPRICETYPE(BP,LIMIT_ORDER);

SETSIGPRICETYPE(SP,LIMIT_ORDER);

CLOSEKLINE(1,30);