[量化交易策略]dual thrust日内交易系统

M:=1;

M1:=1;

K1:=0.5;

K2:=0.5;

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

OO:=VALUEWHEN(DATE<>REF(DATE,1),O);

HH1:=REF(HHV(H,N*M),N);

LL1:=REF(LLV(L,N*M),N);

HC1:=REF(HHV(C,N*M),N);

LC1:=REF(LLV(C,N*M),N);

HH2:=REF(HHV(H,N*M1),N);

LL2:=REF(LLV(L,N*M1),N);

HC2:=REF(HHV(C,N*M1),N);

LC2:=REF(LLV(C,N*M1),N);

SELLR:=IFELSE((HH1-LC1)>=(HC1-LL1),HH1-LC1,HC1-LL1);

BUYR:=IFELSE((HH2-LC2)>=(HC2-LL2),HH2-LC2,HC2-LL2);

BT:=K1*BUYR;

ST:=K2*SELLR;

BUYP:=OO+BT;

SELLP:=OO-ST;

H>=BUYP&&C>=MAX(O,BUYP) AND NOT(ISLASTKLINE),BPK;

L<=SELLP&&C<=MIN(O,SELLP) AND NOT(ISLASTKLINE),SPK;

ISLASTKLINE=1,SP;

ISLASTKLINE=1,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

//本策略无止损 ，无止盈，测试中，可以按需要添加。