[量化交易策略]一款KDJ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

NN:=2;

N:=400;

MAC:=EMA(C,N);

NKD:=9;

M1:=3;

M2:=3;

RSV:=(CLOSE-LLV(LOW,NKD))/(HHV(HIGH,NKD)-LLV(LOW,NKD))*100;//收盘价与NKD周期最低值做差，NKD周期最高值与NKD周期最低值做差，两差之间做比值。

K:=SMA(RSV,M1,1);//RSV的移动平均值

D:=SMA(K,M2,1);//K的移动平均值

BARPOS>N AND C>MAC AND K<D,BPK(TC);

BARPOS>N AND C<MAC AND K>D,SPK(TC);

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

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

C>=BKPRICE*(1+NN*0.01) AND C<MAC,SP(BKVOL);

C<=SKPRICE*(1-NN*0.01) AND C>MAC,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);