[量化交易策略]经典CCI顺势模型

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

N:=200;

M:=5;

X:=1;

CC:=(C+H+L)/3;

CCI:=(CC-MA(CC,N))/(0.015*AVEDEV(CC,N));

MACC:=MA(C,N*M);

BUYK:=CROSS(CCI,100) AND C>MACC;

SELLK:=CROSS(-100,CCI) AND C<MACC;

SELLS:=C<BKPRICE*(1-X*0.01);

BUYS:=C>SKPRICE*(1+X*0.01);

SELLY:=CCI<0 AND C>BKPRICE*(1+X*0.01);

BUYY:=CCI>0 AND C<SKPRICE*(1-X*0.01);

BKVOL=0 AND BARPOS>M*N AND BUYK,BK(TC);

SKVOL=0 AND BARPOS>M*N AND SELLK,SK(TC);

BKVOL>0 AND SELLS,SP(BKVOL);

SKVOL>0 AND BUYS,BP(SKVOL);

BKVOL>0 AND SELLY,SP(BKVOL);

SKVOL>0 AND BUYY,BP(SKVOL);

SETSIGPRICETYPE(BPK,LIMIT_ORDER);

SETSIGPRICETYPE(SPK,LIMIT_ORDER);

SETSIGPRICETYPE(BK,LIMIT_ORDER);

SETSIGPRICETYPE(SK,LIMIT_ORDER);

SETSIGPRICETYPE(BP,LIMIT_ORDER);

SETSIGPRICETYPE(SP,LIMIT_ORDER);