[量化交易策略]成交量加权动量系统

MOMLEN:=5;

AVGLEN:=20;

ATRLEN:=5;

ATRPCNT:=1;

SETUPLEN:=5;

MOMVALUE:=C-REF(C,MOMLEN);

VWM:=EMA(VOL*MOMVALUE,AVGLEN);

TRUEHIGH1:=IF(HIGH>REF(C,1),HIGH,REF(C,1));

TRUELOW1:=IF(LOW<=REF(C,1),LOW,REF(C,1));

TRUERANGE1:=IF(ISLASTBAR,H-L,TRUEHIGH1-TRUELOW1);

AATR:=MA(TRUERANGE1,ATRLEN);

BULLSETUP:=CROSSUP(VWM,0);

BEARSETUP:=CROSSDOWN(VWM,0);

DRAWICON(BULLSETUP,L,1);

LSETUP:=LOOP2(BARPOS=1||BULLSETUP,0,REF(LSETUP,1)+1);

LEPRICE:=VALUEWHEN(BULLSETUP,C);

SSETUP:=LOOP2(BARPOS=1||BEARSETUP,0,REF(SSETUP,1)+1);

SEPRICE:=VALUEWHEN(BEARSETUP,C);

BARPOS>AVGLEN&&H>=REF(LEPRICE,1)+(ATRPCNT*REF(AATR,1))&&REF(LSETUP,1)<=SETUPLEN&&LSETUP>=1,BK;

BEARSETUP,SP;

BARPOS>AVGLEN&&L<=REF(SEPRICE,1)-(ATRPCNT*REF(AATR,1))&&REF(SSETUP,1)<=SETUPLEN&&SSETUP>=1,SK;

BULLSETUP,BP;

AUTOFILTER;

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

//策略思路，在量化圈子中公布，欢迎大家加入圈子交流学习。