[量化交易策略]移动跟踪止盈趋势模型

N11:=26;

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

ATR:=MA(TR1,N11);

//ATR指标

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

//根据权益的2%计算下单手数

SLOSS:=2;

M:=3;

N1:=60;

N2:=300;

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

N:=4;

STEP:=2;

MVALUE:=2;

STEP1:=STEP*0.01;

MVALUE1:=MVALUE*0.1;

SARLINE:=SAR(N,STEP1,MVALUE1);

BSAR:=CROSS(SARLINE,0);

SSAR:=CROSS(0,SARLINE);

MA1:=EMA(C,N1);

MA2:=EMA(C,N2);

B:=C>MAX(MA1,MA2);

S:=C<MIN(MA1,MA2);

BARPOS>N2 AND B AND BSAR,BK(TC);

BARPOS>N2 AND S AND SSAR,SK(TC);

//止盈

S AND BKHIGH>=BKPRICE*(1+M*SLOSS*0.01),SP(BKVOL);

B AND SKLOW<=SKPRICE*(1-M*SLOSS*0.01),BP(SKVOL);

SKLOW<=SKPRICE*(1-0.01*STARTPER3) AND HIGH>=SKLOW+(SKPRICE-SKLOW)*0.01*STOPPER3,BP(SKVOL);

BKHIGH>=BKPRICE*(1+0.01*STARTPER3) AND LOW<=BKHIGH-(BKHIGH-BKPRICE)*0.01*STOPPER3,SP(BKVOL);

SKLOW<=SKPRICE*(1-0.01*STARTPER2) AND HIGH>=SKLOW+(SKPRICE-SKLOW)*0.01*STOPPER2,BP(SKVOL);

BKHIGH>=BKPRICE*(1+0.01*STARTPER2) AND LOW<=BKHIGH-(BKHIGH-BKPRICE)*0.01*STOPPER2,SP(BKVOL);

SKLOW<=SKPRICE*(1-0.01*STARTPER1) AND HIGH>=SKLOW+(SKPRICE-SKLOW)*0.01*STOPPER1,BP(SKVOL);

BKHIGH>=BKPRICE*(1+0.01*STARTPER1) AND LOW<=BKHIGH-(BKHIGH-BKPRICE)*0.01*STOPPER1,SP(BKVOL);

//止损

C>=SKPRICE*(1+SLOSS*0.01),BP(SKVOL);

C<=BKPRICE*(1-SLOSS*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);