[量化交易策略]多条件波段CTA模型

N1:=26;

TR :=MAX(MAX((HIGH-LOW),ABS(REF(CLOSE,1)-HIGH)),ABS(REF(CLOSE,1)-LOW));

ATR :=MA(TR,N1);

//ATR指标

TC:INTPART((MONEYTOT*0.02/(UNIT*ATR))),NODRAW;

//根据权益的2%计算下单手数

SGX:=EMA((EMA(((EMA(CLOSE,3) – EMA(CLOSE,6)) * 5),7) + EMA(CLOSE,5)),1);

A11:=EMA(SGX,3);

GZX:=EMA(((((OPEN+CLOSE)+HIGH)+LOW)/4),12);

CPX:=EMA(((((OPEN+CLOSE)+HIGH)+LOW)/4),18);

HJ55:=EMA(((((OPEN+CLOSE)+HIGH)+LOW)/4),55);

HJ75:=EMA(((((OPEN+CLOSE)+HIGH)+LOW)/4),75);

DKX:=EMA(((((OPEN+CLOSE)+HIGH)+LOW)/4),120);

JXXS:=(HJ55>REF(HJ55,1)&&HJ55>REF(HJ55,2))&&(HJ75>REF(HJ75,1)&&DKX>REF(DKX,1))&&A11>REF(A11,1)&&SGX>REF(SGX,1)&&GZX>REF(GZX,1);

KD1:=((HJ55>HJ75)&&(HJ75>DKX)) && (CROSS(GZX,CPX)||CROSS(CPX,HJ75)||CROSS(CPX,DKX))&&A11>REF(A11,1)&&SGX>REF(SGX,1)&&GZX>REF(GZX,1);

KD3:=HJ55>REF(HJ55,1)&&HJ75>REF(HJ75,1)&&DKX>REF(DKX,1)&&HJ55>HJ75&&HJ75>DKX&&A11>REF(A11,1)&&SGX>REF(SGX,1)&&GZX>REF(GZX,1);

PD1:=CROSS(CPX,GZX)&&GZX<REF(GZX,1)||CROSS(HJ55,GZX)&&GZX<REF(GZX,1)||CROSS(HJ55,CPX)&&CPX<REF(CPX,1);

JXXX:=(HJ55<REF(HJ55,1)&&HJ55<REF(HJ55,2))&&(HJ75<REF(HJ75,1)&&DKX<REF(DKX,1))&&SGX<REF(SGX,1)&&A11<REF(A11,1)&&GZX<REF(GZX,1);

KK1:=(HJ55<HJ75)&&(HJ75<DKX) && (CROSS(CPX,GZX)||CROSS(HJ75,CPX)||CROSS(DKX,CPX))&&SGX<REF(SGX,1)&&A11<REF(A11,1)&&GZX<REF(GZX,1);

KK3:=HJ55<REF(HJ55,1)&&HJ75<REF(HJ75,1)&&DKX<REF(DKX,1)&&HJ55<HJ75&&HJ75<DKX&&SGX<REF(SGX,1)&&A11<REF(A11,1)&&GZX<REF(GZX,1);

PK1:=CROSS(GZX,CPX)&&GZX>REF(GZX,1)||CROSS(GZX,HJ55)&&GZX>REF(GZX,1)||CROSS(CPX,HJ55)&&CPX>REF(CPX,1);

A1:=EMA(EMA(10000*(EMA(C,6)-EMA(C,48))/EMA(C,48),2),2);

A2:=EMA(EMA(10000*(EMA(C,3)-EMA(C,6))/EMA(C,6),2),2);

CROSS(A1,0)&&A11>REF(A11,1)&&SGX>REF(SGX,1)&&GZX>REF(GZX,1) AND BKVOL<1,BK(TC);

CROSS(0,A1)&&SGX<REF(SGX,1),SP(BKVOL);

CROSS(0,A2)&&SGX<REF(SGX,1)&&A11<REF(A11,1)&&GZX<REF(GZX,1) AND SKVOL<1,SK(TC);

CROSS(A2,0)&&SGX>REF(SGX,1),BP(SKVOL);

JXXS AND BKVOL<1,BK(TC);

KD3 AND BKVOL<1,BK(TC);

KD1 AND BKVOL<1,BK(TC);

PD1,SP(BKVOL);

JXXX AND SKVOL<1,SK(TC);

KK3 AND SKVOL<1,SK(TC);

KK1 AND SKVOL<1,SK(TC);

PK1 AND SKVOL<1,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);

//该策略用于文华wh8