[量化交易策略]止损点SAR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

STEP1:=2/100;

MVALUE1:=20/100;

SARLINE:SAR(4,2,MVALUE1),CIRCLEDOT;

IF(SARLINE>0,ABS(SARLINE),NULL),CIRCLEDOT,COLORRED;

IF(SARLINE<0,ABS(SARLINE),NULL),CIRCLEDOT,COLORCYAN;

DIFF := EMA(CLOSE,12) – EMA(CLOSE,26);

DEA  := EMA(DIFF,0);

MA15:MA(C,15);

MA30:MA(C,30);

MA40:MA(C,40);

CROSS(SARLINE,0) && MA40>REF(MA40,1),BPK(TC);

CROSSDOWN(SARLINE,0) && MA40<REF(MA40,1),SPK(TC);

CROSSDOWN(MA15,MA30)||CROSSDOWN(DIFF,DEA)||CROSSDOWN(SARLINE,0),SP(BKVOL);

CROSS(MA15,MA30)||CROSS(DIFF,DEA)||CROSS(SARLINE,0),BP(SKVOL);

BKHIGH>BKPRICE+100*MINPRICE && C<BKPRICE+(BKHIGH-BKPRICE)*0.3,SP(BKVOL);

SKLOW<SKPRICE-100*MINPRICE && C>SKPRICE-(SKPRICE-SKLOW)*0.3,BP(SKVOL);

SETSIGPRICETYPE(BPK,LIMIT_ORDER);

SETSIGPRICETYPE(SPK,LIMIT_ORDER);

SETSIGPRICETYPE(BP,LIMIT_ORDER);

SETSIGPRICETYPE(SP,LIMIT_ORDER);