[量化交易策略]CTA策略集合 趋势1

MTM_N:=100;

N:=120;

M:=2;

SLOSS:=1;

FUND:=20000;

LOTS:=MAX(1,INTPART(FUND/(O*UNIT*0.1)));

MTM:=CLOSE-REF(CLOSE,MTM_N);

MTMMA:=MA(MTM,MTM_N);

MAC:=MA(C,N);

MACMA:=MA(MAC,N);

BARPOS>N AND BKVOL=0 AND MTM>MTMMA AND MTM>0 AND MAC>MACMA,BK(LOTS);

BARPOS>N AND SKVOL=0 AND MTM<MTMMA AND MTM<0 AND MAC<MACMA,SK(LOTS);

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

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

BKVOL>0 AND C>BKPRICE*(1+SLOSS*0.01*M) AND MAC<MACMA,SP(BKVOL);

SKVOL>0 AND C<SKPRICE*(1-SLOSS*0.01*M) AND MAC>MACMA,BP(SKVOL);

TRADE_OTHER(‘AUTO’);

SETSIGPRICETYPE(BPK,LIMIT_ORDER);

SETSIGPRICETYPE(SPK,LIMIT_ORDER);

SETSIGPRICETYPE(BK,LIMIT_ORDER);

SETSIGPRICETYPE(SK,LIMIT_ORDER);

SETSIGPRICETYPE(BP,LIMIT_ORDER);

SETSIGPRICETYPE(SP,LIMIT_ORDER);