[量化交易策略]朋友送的螺纹日内交易系统

JIAOYI:=(TIME>=900 AND TIME<1445) OR (TIME>=2100 AND TIME<2245);

PINGCANG:=(TIME>=1445 AND TIME<=1500) OR (TIME>=2245 AND TIME<=2300);

PINGCANG,CLOSEOUT;

DANGRI:=BARSLAST(DATE<>REF(DATE,1))+1;

NODANGRI:=2>1;

FANSHOU:=0;

SHUNSHIBP:=LASTSIG=201;

SHUNSHIBK:=LASTSIG<>201;

SHUNSHISP:=LASTSIG=200;

SHUNSHISK:=LASTSIG<>200;

MA56G.D75G:=MA(C,35);

MA106G.D75G:=MA(C,462);

MA506G.D75G:=MA(C,20);

MA1506G.D75G:=MA(C,31);

BBI16G.D75G:=(MA(C,79)+MA(C,8)+MA(C,43)+MA(C,40))/4;

ZZ26G.D75G:=MA56G.D75G>REF(MA56G.D75G,1) AND REF(MA56G.D75G,1)>REF(MA56G.D75G,2) AND MA106G.D75G>REF(MA106G.D75G,1) AND REF(MA106G.D75G,1)>REF(MA106G.D75G,2);

ZZ36G.D75G:=MA56G.D75G<REF(MA56G.D75G,1) AND REF(MA56G.D75G,1)<REF(MA56G.D75G,2) AND MA106G.D75G<REF(MA106G.D75G,1) AND REF(MA106G.D75G,1)<REF(MA106G.D75G,2);

BDZ6G.D75G:=(C-MA(C,311))/MA(C,311);

DDD6G.D75G:=(BDZ6G.D75G-REF(BDZ6G.D75G,283));

MM6G.D75G:=SMA(DDD6G.D75G,51,1);

MA36G.D75G:=MA(MM6G.D75G,39);

MA46G.D75G:=REF(MA36G.D75G,1);

JIAOYI AND NODANGRI AND (CROSS(MA36G.D75G,MA46G.D75G)) AND FANSHOU=0 AND SHUNSHIBP,BP;

JIAOYI AND (CROSS(MA36G.D75G,MA46G.D75G)) AND FANSHOU=0 AND SHUNSHIBK,BK;

JIAOYI AND NODANGRI AND (CROSS(MA36G.D75G,MA46G.D75G)) AND FANSHOU=1,BPK;

JIAOYI AND NODANGRI AND (CROSS(MA46G.D75G,MA36G.D75G)) AND FANSHOU=0 AND SHUNSHISP,SP;

JIAOYI AND (CROSS(MA46G.D75G,MA36G.D75G)) AND FANSHOU=0 AND SHUNSHISK,SK;

JIAOYI AND NODANGRI AND (CROSS(MA46G.D75G,MA36G.D75G)) AND FANSHOU=1,SPK;

JIAOYI AND NODANGRI AND (EVERY(BBI16G.D75G>REF(BBI16G.D75G,2),78) AND MA506G.D75G>REF(MA506G.D75G,2) AND EVERY(MA1506G.D75G>REF(MA1506G.D75G,1),24)) AND FANSHOU=0 AND SHUNSHIBP,BP;

JIAOYI AND (EVERY(BBI16G.D75G>REF(BBI16G.D75G,2),78) AND MA506G.D75G>REF(MA506G.D75G,2) AND EVERY(MA1506G.D75G>REF(MA1506G.D75G,1),24)) AND FANSHOU=0 AND SHUNSHIBK,BK;

JIAOYI AND NODANGRI AND (EVERY(BBI16G.D75G>REF(BBI16G.D75G,2),78) AND MA506G.D75G>REF(MA506G.D75G,2) AND EVERY(MA1506G.D75G>REF(MA1506G.D75G,1),24)) AND FANSHOU=1,BPK;

JIAOYI AND NODANGRI AND (EVERY(BBI16G.D75G<REF(BBI16G.D75G,2),78) AND MA506G.D75G<REF(MA506G.D75G,2) AND EVERY(MA1506G.D75G<REF(MA1506G.D75G,1),24)) AND FANSHOU=0 AND SHUNSHISP,SP;

JIAOYI AND (EVERY(BBI16G.D75G<REF(BBI16G.D75G,2),78) AND MA506G.D75G<REF(MA506G.D75G,2) AND EVERY(MA1506G.D75G<REF(MA1506G.D75G,1),24)) AND FANSHOU=0 AND SHUNSHISK,SK;

JIAOYI AND NODANGRI AND (EVERY(BBI16G.D75G<REF(BBI16G.D75G,2),78) AND MA506G.D75G<REF(MA506G.D75G,2) AND EVERY(MA1506G.D75G<REF(MA1506G.D75G,1),24)) AND FANSHOU=1,SPK;

JIAOYI AND NODANGRI AND (C<MA506G.D75G AND C>LV(L,78) AND ZZ36G.D75G OR MA506G.D75G<REF(MA506G.D75G,2) AND ZZ36G.D75G AND C<LV(L,78) AND MA36G.D75G<MA46G.D75G),SP;

JIAOYI AND NODANGRI AND (C>MA506G.D75G AND C<HV(H,78) AND ZZ26G.D75G OR MA506G.D75G>REF(MA506G.D75G,2) AND ZZ26G.D75G AND C>HV(H,78) AND MA36G.D75G>MA46G.D75G),BP;

VAR1105Q.R45I:=(2*C+H+L)/4;

VAR2105Q.R45I:=LLV(L,48);

VAR3105Q.R45I:=HHV(H,48);

ZL105Q.R45I:=EMA((VAR1105Q.R45I-VAR2105Q.R45I)/(VAR3105Q.R45I-VAR2105Q.R45I)*100,22);

SH105Q.R45I:=EMA(0.7*REF(ZL105Q.R45I,1)+0.3*ZL105Q.R45I,90);

JIAOYI AND NODANGRI AND (CROSS(ZL105Q.R45I,SH105Q.R45I) AND SH105Q.R45I>63) AND FANSHOU=0 AND SHUNSHIBP,BP;

JIAOYI AND (CROSS(ZL105Q.R45I,SH105Q.R45I) AND SH105Q.R45I>63) AND FANSHOU=0 AND SHUNSHIBK,BK;

JIAOYI AND NODANGRI AND (CROSS(ZL105Q.R45I,SH105Q.R45I) AND SH105Q.R45I>63) AND FANSHOU=1,BPK;

JIAOYI AND NODANGRI AND (CROSS(SH105Q.R45I,ZL105Q.R45I) AND ZL105Q.R45I<47) AND FANSHOU=0 AND SHUNSHISP,SP;

JIAOYI AND (CROSS(SH105Q.R45I,ZL105Q.R45I) AND ZL105Q.R45I<47) AND FANSHOU=0 AND SHUNSHISK,SK;

JIAOYI AND NODANGRI AND (CROSS(SH105Q.R45I,ZL105Q.R45I) AND ZL105Q.R45I<47) AND FANSHOU=1,SPK;

JIAOYI AND NODANGRI AND (CROSS(ZL105Q.R45I,SH105Q.R45I) AND SH105Q.R45I<22) AND FANSHOU=0 AND SHUNSHIBP,BP;

JIAOYI AND (CROSS(ZL105Q.R45I,SH105Q.R45I) AND SH105Q.R45I<22) AND FANSHOU=0 AND SHUNSHIBK,BK;

JIAOYI AND NODANGRI AND (CROSS(ZL105Q.R45I,SH105Q.R45I) AND SH105Q.R45I<22) AND FANSHOU=1,BPK;

JIAOYI AND NODANGRI AND (CROSS(SH105Q.R45I,ZL105Q.R45I) AND ZL105Q.R45I>82) AND FANSHOU=0 AND SHUNSHISP,SP;

JIAOYI AND (CROSS(SH105Q.R45I,ZL105Q.R45I) AND ZL105Q.R45I>82) AND FANSHOU=0 AND SHUNSHISK,SK;

JIAOYI AND NODANGRI AND (CROSS(SH105Q.R45I,ZL105Q.R45I) AND ZL105Q.R45I>82) AND FANSHOU=1,SPK;

MAB105Q.R45I:=EMA(C,61);

RSV105Q.R45I:=(C-LLV(L,13))/(HHV(H,13)-LLV(L,13))*100;

K105Q.R45I:=SMA(RSV105Q.R45I,9,1);

D105Q.R45I:=SMA(K105Q.R45I,81,1);

JIAOYI AND NODANGRI AND (CROSS2(K105Q.R45I,D105Q.R45I,33) AND D105Q.R45I<55 AND MAB105Q.R45I>REF(MAB105Q.R45I,1)) AND FANSHOU=0 AND SHUNSHIBP,BP;

JIAOYI AND (CROSS2(K105Q.R45I,D105Q.R45I,33) AND D105Q.R45I<55 AND MAB105Q.R45I>REF(MAB105Q.R45I,1)) AND FANSHOU=0 AND SHUNSHIBK,BK;

JIAOYI AND NODANGRI AND (CROSS2(K105Q.R45I,D105Q.R45I,33) AND D105Q.R45I<55 AND MAB105Q.R45I>REF(MAB105Q.R45I,1)) AND FANSHOU=1,BPK;

JIAOYI AND NODANGRI AND (CROSS2(D105Q.R45I,K105Q.R45I,33) AND D105Q.R45I>50 AND MAB105Q.R45I<REF(MAB105Q.R45I,1)) AND FANSHOU=0 AND SHUNSHISP,SP;

JIAOYI AND (CROSS2(D105Q.R45I,K105Q.R45I,33) AND D105Q.R45I>50 AND MAB105Q.R45I<REF(MAB105Q.R45I,1)) AND FANSHOU=0 AND SHUNSHISK,SK;

JIAOYI AND NODANGRI AND (CROSS2(D105Q.R45I,K105Q.R45I,33) AND D105Q.R45I>50 AND MAB105Q.R45I<REF(MAB105Q.R45I,1)) AND FANSHOU=1,SPK;

MASS111S.T54U:=SUM(EMA((H-L),11)/EMA(EMA((H-L),11),11),28);

MAU111S.T54U:=MA(C,42);

JIAOYI AND NODANGRI AND (CROSS(MASS111S.T54U,25) AND MAU111S.T54U>REF(MAU111S.T54U,1)) AND FANSHOU=0 AND SHUNSHIBP,BP;

JIAOYI AND (CROSS(MASS111S.T54U,25) AND MAU111S.T54U>REF(MAU111S.T54U,1)) AND FANSHOU=0 AND SHUNSHIBK,BK;

JIAOYI AND NODANGRI AND (CROSS(MASS111S.T54U,25) AND MAU111S.T54U>REF(MAU111S.T54U,1)) AND FANSHOU=1,BPK;

JIAOYI AND NODANGRI AND (CROSS(25,MASS111S.T54U) AND MAU111S.T54U<REF(MAU111S.T54U,1)) AND FANSHOU=0 AND SHUNSHISP,SP;

JIAOYI AND (CROSS(25,MASS111S.T54U) AND MAU111S.T54U<REF(MAU111S.T54U,1)) AND FANSHOU=0 AND SHUNSHISK,SK;

JIAOYI AND NODANGRI AND (CROSS(25,MASS111S.T54U) AND MAU111S.T54U<REF(MAU111S.T54U,1)) AND FANSHOU=1,SPK;

JIAOYI AND NODANGRI AND C<(1-0.001*14)*BKPRICE,SP;

JIAOYI AND NODANGRI AND C>(1+0.001*27)*SKPRICE,BP;

JIAOYI AND NODANGRI AND C>(1+0.001*23)*BKPRICE,SP;

JIAOYI AND NODANGRI AND C<(1-0.001*23)*SKPRICE,BP;

SETSIGPRICETYPE(BK,LIMIT_ORDER);

SETSIGPRICETYPE(SK,LIMIT_ORDER);

SETSIGPRICETYPE(BP,LIMIT_ORDER);

SETSIGPRICETYPE(SP,LIMIT_ORDER);

SETSIGPRICETYPE(BPK,LIMIT_ORDER);

SETSIGPRICETYPE(SPK,LIMIT_ORDER);

AUTOFILTER;

//该策略用于文华wh8