[量化交易策略]经典红蓝反手交易模型

TRADE_OTHER(‘AUTO’);

SETMOVEOPIPRICE(LIMIT_ORDER);

N:=26;

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

ATR :=MA(TR,N);

ATR1 :=MA(TR,N)/REF(MA(TR,N),1)*100*0.5;

//ATR指标

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

N:=1;

N1:=1;

Q:=0;

Q1:=0;

HH:=HHV(HIGH,N);

LH:=LLV(LOW,N);

H1:=IFELSE(HH<REF(HH,1)&&LH<REF(LH,1)&&REF(OPEN,1)>CLOSE&&OPEN>CLOSE&&(HHV(OPEN,Q)-CLOSE)>Q1,REF(HH,N1),0);

L1:=IFELSE(LH>REF(LH,1)&&HH>REF(HH,1)&&REF(OPEN,1)<CLOSE&&OPEN<CLOSE&&(CLOSE-LLV(OPEN,Q))>Q1,REF(LH,N1),0);

H2:=VALUEWHEN(H1>0,H1);

L2:=VALUEWHEN(L1>0,L1);

K1:=IFELSE(CLOSE>H2,-3,IFELSE(CLOSE<L2,1,0));

K2:=VALUEWHEN(K1<>0,K1);

G:=IFELSE(K2=1,H2,L2);

G1:=VALUEWHEN(ISLASTBAR,G);

DRAWNUMBER(LH>0,G1,G1,0,COLORCYAN);

TMP:=K2;

W1:=K2;

W2:=OPEN-CLOSE;

HT:=IFELSE(OPEN>CLOSE,OPEN,CLOSE);

LT:=IFELSE(OPEN<CLOSE,OPEN,CLOSE);

DRAWLINE(W1=1,HIGH,W1=1,HT,COLORCYAN);

DRAWLINE(W1=1,LOW,W1=1,LT,COLORCYAN);

DRAWLINE(W1=-3,HIGH,W1=-3,HT,COLORRED);

DRAWLINE(W1=-3,LOW,W1=-3,LT,COLORRED);

STICKLINE(W1>0,OPEN,CLOSE,COLORCYAN,1);

STICKLINE(W1<=0,OPEN,CLOSE,COLORRED,1);

STICKLINE(W2>0&&W1<=0,OPEN,CLOSE,COLORRED,0);

STICKLINE(W2>0&&W1>0,OPEN,CLOSE,COLORCYAN,0);

DRAWLINE(TMP=1&&REF(TMP,1)=1,G,TMP=1&&REF(TMP,1)=1,REF(G,1),COLORCYAN);

DRAWLINE(TMP=-3&&REF(TMP,1)=-3,G,TMP=-3&&REF(TMP,1)=-3,REF(G,1),COLORRED);

DRAWSL(K2=1,G,0,1,0,COLORCYAN);

DRAWSL(K2=-3,G,0,1,0,COLORRED);

DRAWTEXT(CROSS(TMP,0),HH,’S’);

DRAWTEXT(CROSS(0,TMP),LH,’B’);

MA55:=MA(CLOSE,55);

DRAWTEXT(CROSS(TMP,0)&&CLOSE<=MA55,HH,’S’);

DRAWTEXT(CROSS(0,TMP)&&CLOSE>=MA55,LH,’B’);

CROSS(TMP,0),SPK(TC);

CROSS(0,TMP),BPK(TC);

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