[量化交易策略]恒温器交易系统

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

ATR :=MA(TR,26);

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

CMI:=ABS(C-REF(C,29))/(HHV(H,30)-LLV(L,30))*100;

TRUERANGE:=MAX(REF(C,1),H)-MIN(REF(C,1),L);

ATR10:=MA(TRUERANGE,10);

KOD:=(H+L+C)/3;

BE:=IFELSE(C>KOD,1,O);

SE:=IFELSE(C<=KOD,1,O);

AVG3HI:=MA(H,3);

AVG3LO:=MA(L,3);

LEP:=IFELSE(C>KOD,O+ATR10*0.5,O+ATR10*0.75);

SEP:=IFELSE(C>KOD,O-ATR10*0.75,O-ATR10*0.5);

LEP1:=MAX(LEP,AVG3LO);

SEP1:=MIN(SEP,AVG3HI);

UPBAND:=MA(C,50)+STD(C,50)*2;

DNBAND:=MA(C,50)-STD(C,50)*2;

MA50:=MA(C,50);

CMI<20&&C>=LEP1,BK(TC);

CMI<20&&C<=SEP1,SK(TC);

CMI<20&&C>=BKPRICE+3*ATR10,SP(BKVOL);

CMI<20&&C<=SKPRICE-+3*ATR10,BP(SKVOL);

CMI>=20&&C>=UPBAND,BK(TC);

CMI>=20&&C<=DNBAND,SK(TC);

CMI>=20&&C<=MA50,SP(BKVOL);

CMI>=20&&C>=MA50,BP(SKVOL);

SETSIGPRICETYPE(BPK,LIMIT_ORDER);

SETSIGPRICETYPE(SPK,LIMIT_ORDER);

SETSIGPRICETYPE(BK,LIMIT_ORDER);

SETSIGPRICETYPE(SK,LIMIT_ORDER);

SETSIGPRICETYPE(BP,LIMIT_ORDER);

SETSIGPRICETYPE(SP,LIMIT_ORDER);