[量化交易策略]成交量加权均线趋势模型

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:=2;

N:=300;

NC:=50;

FUND:=30000;

VJQ:=EMA(V*(C-REF(C,NC)),N);//定义成交量加权指数为VJQ

B:=VJQ>0;//定义多头势

S:=VJQ<0;//定义空头势

BUYPK:=BARPOS>N AND BKVOL=0 AND B AND H>=HHV(H,N);

SELLPK:=BARPOS>N AND SKVOL=0 AND S AND L<=LLV(L,N);

BUYP:=SKVOL>0 AND B;

SELLP:=BKVOL>0 AND S;

//入场

SELLPK,SPK(TC);

BUYPK,BPK(TC);

//出场

BUYP,BP(SKVOL);

SELLP,SP(BKVOL);

//止损

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

C<=BKPRICE*(1-SLOSS*0.01),SP(BKVOL);

TRADE_OTHER(‘AUTO’);

SETSIGPRICETYPE(BPK,LIMIT_ORDER);

SETSIGPRICETYPE(SPK,LIMIT_ORDER);

SETSIGPRICETYPE(BK,LIMIT_ORDER);

SETSIGPRICETYPE(SK,LIMIT_ORDER);

SETSIGPRICETYPE(BP,LIMIT_ORDER);

SETSIGPRICETYPE(SP,LIMIT_ORDER);