[量化交易策略]CTA策略集 趋势4 动态突破

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

ATR :=MA(TR,26);

//ATR指标

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

//根据权益的2%计算下单手数

TMP1:=STD(C,30);

TMP2:=REF(TMP1,1);

TMP3:=(TMP1-TMP2)/TMP1;

TMP4:=LN((1+TMP3));

TMP5:=SUM(TMP4,0);

TMP6:=EXP(TMP5);

BD:=IFELSE(BARPOS=1,20,FLOOR(TMP6*20));

BD1:=IFELSE(BETWEEN(BD,20,60),BD,IFELSE(BD>60,60,20));

TMP7:=MA(C,BD1);

UPBAND:=MA(C,BD1)+STD(C,BD1)*2;

DNBAND:=MA(C,BD1)-STD(C,BD1)*2;

BPOINT:=REF(HHV(H,BD1),1);

SPOINT:=REF(LLV(L,BD1),1);

REF(C>UPBAND,1)&&H>=BPOINT,BK(TC);

REF(C<DNBAND,1)&&L<=SPOINT,SK(TC);

H>=TMP7,BP(SKVOL);

L<=TMP7,SP(BKVOL);

SETSIGPRICETYPE(BPK,LIMIT_ORDER);

SETSIGPRICETYPE(SPK,LIMIT_ORDER);

SETSIGPRICETYPE(BK,LIMIT_ORDER);

SETSIGPRICETYPE(SK,LIMIT_ORDER);

SETSIGPRICETYPE(BP,LIMIT_ORDER);

SETSIGPRICETYPE(SP,LIMIT_ORDER);

CLOSEKLINE(1,30);