[量化交易策略]带止损止盈的CTA模型

SLOSS:=1;

N1:=50;

N2:=300;

FUND:=20000;

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

MA1:=EMA(C,N1);

MA2:=EMA(C,N2);

LENGTH:=9;

OVERBOUGHT:=70;

OVERSOLD:=100-OVERBOUGHT;

RSIVALUE:=SMA(MAX(CLOSE-REF(CLOSE,1),0),LENGTH,1)/SMA(ABS(CLOSE-REF(CLOSE,1)),LENGTH,1)*100;

BUYK:=BKVOL=0 AND BARPOS>N2 AND MA1>MA2 AND C>MAX(MA1,MA2) AND CROSSUP(RSIVALUE,OVERBOUGHT);

SELLK:=SKVOL=0 AND BARPOS>N2 AND MA1<MA2 AND C<MIN(MA1,MA2) AND CROSSDOWN(RSIVALUE,OVERSOLD);

SELLY:=MA1<MA2 AND C>BKPRICE*(1+SLOSS*0.01);

BUYY:=MA1>MA2 AND C<SKPRICE*(1-SLOSS*0.01);

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

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

BUYK,BK(TC);

SELLK,SK(TC);

SELLY,SP(BKVOL);

BUYY,BP(SKVOL);

SELLS,SP(BKVOL);

BUYS,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);