[量化交易策略]通道突破趋势模型

N1:=26;

TR1:=MAX(MAX((HIGH-LOW),ABS(REF(CLOSE,1)-HIGH)),ABS(REF(CLOSE,1)-LOW));

ATR:=MA(TR1,N1);

//ATR指标

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

//根据权益的2%计算下单手数

止损:=1;

N:=20;

TPRICE:=(HIGH+LOW+OPEN+CLOSE)/4;

AVGVALUE:=MA(TPRICE,N);

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

SHIFTVALUE:=MA(TR,N);//求N个周期内的TR的简单移动平均

UPPERBAND:=AVGVALUE + SHIFTVALUE;

LOWERBAND:=AVGVALUE – SHIFTVALUE;

STDS:=STD(C,10);

STDL:= STD(C,60);

BKVOL=0 AND HIGH >= UPPERBAND AND STDS>=STDL,BPK(TC);

SKVOL=0 AND LOW <= LOWERBAND AND  STDS>=STDL,SPK(TC);

BKVOL>0 AND BKHIGH-BKPRICE>=0.2*CLOSE AND C<LOWERBAND,SP(BKVOL);

SKVOL>0 AND SKPRICE-SKLOW>=0.2*CLOSE AND C>UPPERBAND,BP(SKVOL);

//止损

C>=SKPRICE*(1+止损*0.01),BP(SKVOL);

C<=BKPRICE*(1-止损*0.01),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);