[量化交易策略]区间突破趋势模型

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

LENGTH:=200;

损幅:=3;//止损幅度，百分之

STARTPER1:=5;  //1级跟踪止盈，盈利5%启动

STOPPER1:=100; //1级跟踪止盈，盈利回撤100%触发    

STARTPER2:=10; //2级跟踪止盈，盈利10%启动

STOPPER2:=50;  //2级跟踪止盈，盈利回撤50%触发

STARTPER3:=20; //3级跟踪止盈，盈利20%启动

STOPPER3:=20;  //3级跟踪止盈，盈利回撤20%触发

//上下区间

NN:=BARSLAST(DATE<>REF(DATE,1))+1;//今天开盘到目前为止的周期数

今开:=VALUEWHEN(NN=1,O);//当天的开盘价

今高:=HHV(H,NN);//今天全天的最高价

今低:=LLV(L,NN);//今天全天的最低价

昨高:=REF(今高,NN);//昨天全天的最高价

昨低:=REF(今低,NN);//昨天全天的最低价

BAND:=昨高-昨低;

UPPERLINE:今开+BAND;

LOWERLINE:今开-BAND;

//均线

均线:MA(CLOSE,LENGTH);

//开平仓条件

卖开条件: = C<LOWERLINE AND LOWERLINE<均线;

买开条件: = C>UPPERLINE AND UPPERLINE>均线;

买平空单: = C>UPPERLINE OR C>均线;

卖平多单: = C<LOWERLINE OR C<均线;

//程序主体

//开仓

卖开条件,SK(TC);

买开条件,BK(TC);

//平仓

卖平多单,SP(BKVOL);

买平空单,BP(SKVOL);

//止盈

SKLOW<=SKPRICE*(1-0.01*STARTPER3) AND HIGH>=SKLOW+(SKPRICE-SKLOW)*0.01*STOPPER3,BP(SKVOL);//最大盈利达到”STARTPER3″%之后盈利回撤”STOPPER3″%,平空

BKHIGH>=BKPRICE*(1+0.01*STARTPER3) AND LOW<=BKHIGH-(BKHIGH-BKPRICE)*0.01*STOPPER3,SP(BKVOL);//最大盈利达到”STARTPER3″%之后盈利回撤”STOPPER3″%,平多

SKLOW<=SKPRICE*(1-0.01*STARTPER2) AND HIGH>=SKLOW+(SKPRICE-SKLOW)*0.01*STOPPER2,BP(SKVOL);//最大盈利达到”STARTPER2″%之后盈利回撤”STOPPER2″%,平空

BKHIGH>=BKPRICE*(1+0.01*STARTPER2) AND LOW<=BKHIGH-(BKHIGH-BKPRICE)*0.01*STOPPER2,SP(BKVOL);//最大盈利达到”STARTPER2″%之后盈利回撤”STOPPER2″%,平多

SKLOW<=SKPRICE*(1-0.01*STARTPER1) AND HIGH>=SKLOW+(SKPRICE-SKLOW)*0.01*STOPPER1,BP(SKVOL);//最大盈利达到”STARTPER1″%之后盈利回撤”STOPPER1″%,平空

BKHIGH>=BKPRICE*(1+0.01*STARTPER1) AND LOW<=BKHIGH-(BKHIGH-BKPRICE)*0.01*STOPPER1,SP(BKVOL);//最大盈利达到”STARTPER1″%之后盈利回撤”STOPPER1″%,平多

//止损

C>=SKPRICE*(1+损幅*0.01),BP(SKVOL);//空头止损

C<=BKPRICE*(1-损幅*0.01),SP(BKVOL);//多头止损

SETSIGPRICETYPE(BK,NEW_ORDER);

SETSIGPRICETYPE(SK,NEW_ORDER);

SETSIGPRICETYPE(BP,NEW_ORDER);

SETSIGPRICETYPE(SP,NEW_ORDER);