[量化交易策略]自适应止盈止损趋势模型

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

N1:=300;

N2:=120;

SLOSS:=2;

FUND:=20000;

DIRECTION1:=C-REF(C,N1);

VOLATILITY1:=SUM(ABS(C-REF(C,1)),N1);

ER1:=ABS(DIRECTION1/VOLATILITY1);

DIRECTION2:=C-REF(C,N2);

VOLATILITY2:=SUM(ABS(C-REF(C,1)),N2);

ER2:=ABS(DIRECTION2/VOLATILITY2);

EMAN:=EMA(C,N1);

RT:=(EMA(C,100)+EMA(C,120)+EMA(C,140)+EMA(C,160))/4;

SMAN:=SMA(RT,N2,1);

BKVOL=0 AND BARPOS>N1 AND CROSS(EMAN,SMAN),BPK(TC);

SKVOL=0 AND BARPOS>N1 AND CROSS(SMAN,EMAN),SPK(TC);

BKVOL=0 AND CROSS(EMAN>SMAN AND ER1>ER2 AND DIRECTION1>0,0.5),BK(TC);

SKVOL=0 AND CROSS(EMAN<SMAN AND ER1>ER2 AND DIRECTION1<0,0.5),SK(TC);

//止盈

C>BKPRICE*(1+SLOSS*0.01) AND C<BKHIGH*(1-SLOSS*0.01),SP(BKVOL);

C<SKPRICE*(1-SLOSS*0.01) AND C>SKLOW*(1+SLOSS*0.01),BP(SKVOL);

//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);