商品期货回测
数字货币回测
主图: 上线, 公式 : UPPERBAND^^AVGVALUE + SHIFTVALUE; 下线, 公式 : LOWERBAND^^AVGVALUE - SHIFTVALUE;
副图: 标准差,公式:STDS:STD(C,10); 标准差,公式:STDL:STD(C,60);
(*backtest
start: 2018-05-01 00:00:00
end: 2018-06-30 00:00:00
period: 1h
exchanges: [{"eid":"Futures_OKCoin","currency":"BTC_USD"}]
args: [["ContractType","this_week",126961]]
*)
TPRICE:=(HIGH+LOW+OPEN+CLOSE)/4;
AVGVALUE:=MA(TPRICE,N);
//求最高价减去最低价,一个周期前的收盘价减去最高价的绝对值,一个周期前的收盘价减去最低价的绝对值,这三个值中的最大值
// Find the maximum of these three values: highest price minus lowest price, the absolute value of (closing price a cycle ago minus the highest price), the absolute value of (closing price a cycle ago minus the lowest price)
TR:=MAX(MAX((HIGH-LOW),ABS(REF(CLOSE,1)-HIGH)),ABS(REF(CLOSE,1)-LOW));
SHIFTVALUE:=MA(TR,N); // 求N个周期内的TR的简单移动平均
// Find the simple moving average of TR in N cycles
UPPERBAND^^AVGVALUE + SHIFTVALUE;
LOWERBAND^^AVGVALUE - SHIFTVALUE;
STDS:STD(C,10);
STDL:STD(C,60);
BKVOL=0 AND HIGH >= UPPERBAND AND STDS>=STDL,BPK;
SKVOL=0 AND LOW <= LOWERBAND AND STDS>=STDL,SPK;
BKVOL>0 AND BKHIGH-BKPRICE>=0.2*CLOSE AND C<LOWERBAND,SP;
SKVOL>0 AND SKPRICE-SKLOW>=0.2*CLOSE AND C>UPPERBAND,BP;
//止损
//Stop loss
C>=SKPRICE*(1+STOPRANGE*0.01),BP;
C<=BKPRICE*(1-STOPRANGE*0.01),SP;
AUTOFILTER;