策略思路:双均线确定方向,用DDI指标,确定进场时点,比例止损和回撤止盈
数据周期:15M
策略适用:数字货币、商品期货
官方网站:www.quantinfo.com
主图指标线: VAR2^^MA(C,PARAM2); VAR3^^MA(VAR2,PARAM1);
副图指标线: VAR9:MA(VAR8,2*PARAM1); VAR10:MA(VAR9,PARAM1); VAR8:VAR6-VAR7;
(*backtest start: 2018-11-01 00:00:00 end: 2018-12-14 00:00:00 period: 15m exchanges: [{"eid":"Futures_BitMEX","currency":"XBT_USD"}] args: [["TradeAmount",100,126961],["ContractType","XBTUSD",126961]] *) VAR2^^MA(C,PARAM2); VAR3^^MA(VAR2,PARAM1); VAR4:=IFELSE((HIGH+LOW)<=(REF(HIGH,1)+REF(LOW,1)),0,MAX(ABS(HIGH-REF(HIGH,1)),ABS(LOW-REF(LOW,1)))),NODRAW; VAR5:=IFELSE((HIGH+LOW)>=(REF(HIGH,1)+REF(LOW,1)),0,MAX(ABS(HIGH-REF(HIGH,1)),ABS(LOW-REF(LOW,1)))),NODRAW; VAR6:=SUM(VAR4,PARAM1)/(SUM(VAR4,PARAM1)+SUM(VAR5,PARAM1)),NODRAW; VAR7:=SUM(VAR5,PARAM1)/(SUM(VAR5,PARAM1)+SUM(VAR4,PARAM1)),NODRAW; VAR8:VAR6-VAR7; VAR9:MA(VAR8,2*PARAM1); VAR10:MA(VAR9,PARAM1); BUYK:=BARPOS>PARAM2 AND C>VAR2 AND VAR2>VAR3 AND VAR8>0 AND VAR9>VAR10; SELLK:=BARPOS>PARAM2 AND C<VAR2 AND VAR2<VAR3 AND VAR8<0 AND VAR9<VAR10; SELLY:=C<VAR2 AND C>BKPRICE*(1+0.01*PARAM3); BUYY:=C>VAR2 AND C<SKPRICE*(1-0.01*PARAM3); SELLS:=C<BKPRICE*(1-PARAM3*0.01); BUYS:=C>SKPRICE*(1+PARAM3*0.01); BKVOL=0 AND BUYK,BK; SKVOL=0 AND SELLK,SK; SELLS,SP(BKVOL); BUYS,BP(SKVOL); SELLY,SP(BKVOL); BUYY,BP(SKVOL);template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6