策略进场:开盘价和收盘价均价差决定趋势,与ATR结合,进场点也是反向出场点;
策略出场:开仓就定好止损点,趋势转向出场;
数据周期:日线
策略适用:数字货币、商品期货
官方网站:www.quantinfo.com
主图: 无
副图: 显示:ATR,公式 ATR^^MA(TR,N); 显示 :C_O,公式 C_O:EMA(C,N)-EMA(O,N);
(*backtest start: 2018-10-01 00:00:00 end: 2018-11-30 00:00:00 period: 1d exchanges: [{"eid":"Futures_CTP","currency":"FUTURES","balance":20000}] *) // 变量 // variable LOTS:=MAX(1,INTPART(MONEYTOT/(O*UNIT*0.1))); C_O:EMA(C,N)-EMA(O,N); B:=CROSSUP(C_O,0); S:=CROSSDOWN(C_O,0); TR:=MAX(MAX((H-L),ABS(REF(C,1)-H)),ABS(REF(C,1)-L)); ATR:MA(TR,N); BAND:=ATR*0.1*M; PRICE_BPK:=VALUEWHEN(B,H+BAND); PRICE_SP:=VALUEWHEN(B,L-BAND); PRICE_SPK:=VALUEWHEN(S,L-BAND); PRICE_BP:=VALUEWHEN(S,H+BAND); // 策略逻辑 // strategy logic BARPOS>N AND C_O>0 AND C>=PRICE_BPK,BPK(LOTS); BARPOS>N AND C_O<0 AND C<=PRICE_SPK,SPK(LOTS); // 下单 // place an order S,SP(BKVOL); B,BP(SKVOL); C<=PRICE_SP,SP(BKVOL); C>=PRICE_BP,BP(SKVOL);template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6