策略名称:升级版恒温器策略
数据周期:1H
支持:商品期货、数字货币期货、数字货币现货
官方网站:www.quantinfo.com
主图: 上轨,公式:TOP^^MAC+N_TMPTMP;//布林通道上轨 下轨,公式:BOTTOM^^MAC-N_TMPTMP;//布林通道下轨
副图: CMI,公式 : CMI:ABS(C-REF(C,N_CMI-1))/(HHV(H,N_CMI)-LLV(L,N_CMI))*100;//0-100 取值越大,说明趋势越强,CMI<20震荡模式,CMI>20为趋势
(*backtest start: 2018-11-06 00:00:00 end: 2018-12-04 00:00:00 period: 1h exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}] *) MAC:=MA(CLOSE,N); TMP:=STD(CLOSE,N); TOP^^MAC+N_TMP*TMP; // 布林通道上轨 // upper track of ball BOTTOM^^MAC-N_TMP*TMP; // 布林通道下轨 // lower track of ball BBOLL:=C>MAC; SBOLL:=C<MAC; N_CMI:=30; CMI:ABS(C-REF(C,N_CMI-1))/(HHV(H,N_CMI)-LLV(L,N_CMI))*100; // 0-100 取值越大,说明趋势越强,CMI<20震荡模式,CMI>20为趋势 // 0-100 the larger the value, the stronger the trend, CMI <20 is oscillation mode, CMI>20 is the trend N_KD:=9; M1:=3; M2:=3; RSV:=(CLOSE-LLV(LOW,N_KD))/(HHV(HIGH,N_KD)-LLV(LOW,N_KD))*100; // 收盘价与N周期最低值做差,N周期最高值与N周期最低值做差,两差之间做比值。 // (1)closing price - the lowest of cycle N, (2)the highest of cycle N - the lowest of cycle N, (1)/(2) K:=SMA(RSV,M1,1); // RSV的移动平均值 // MA of RSV D:=SMA(K,M2,1); // K的移动平均值 // MA of K MIND:=30; BKD:=K>D AND D<MIND; SKD:=K<D AND D>100-MIND; // 震荡模式 // oscillation mode BUYPK1:=CMI < 20 AND BKD; // 震荡多单买平开 // if it's oscillation, buy to cover and buy long immediately SELLPK1:=CMI < 20 AND SKD; // 震荡空单卖平开 // if it's oscillation, sell to close long position and sell short to open position immediately // 趋势模式下原有震荡持仓的处理 // Disposal of the original oscillating position under the trend mode SELLY1:=REF(CMI,BARSBK) < 20 AND C>BKPRICE*(1+0.01*STOPLOSS*3) AND K<D; // 震荡多单止盈 // if it's oscillation, long position take profit BUYY1:=REF(CMI,BARSSK) < 20 AND C<SKPRICE*(1-0.01*STOPLOSS*3) AND K>D; // 震荡空单止盈 // if it's oscillation, short position take profit // 趋势模式 // trend mode BUYPK2:=CMI >= 20 AND C > TOP; // 趋势多单买平开 // if it's trend, buy to cover and buy long immediately SELLPK2:=CMI >= 20 AND C < BOTTOM; // 趋势空单卖平开 // if it's trend, sell to close long position and sell short to open position immediately // 趋势模式下原有震荡持仓的处理 // Disposal of the original oscillating position under the trend mode SELLY2:=REF(CMI,BARSBK) >= 20 AND C>BKPRICE*(1+0.01*STOPLOSS*3) AND SBOLL; // 趋势多单止盈 // if it's trend, long position take profit BUYY2:=REF(CMI,BARSSK) >= 20 AND C<SKPRICE*(1-0.01*STOPLOSS*3) AND BBOLL; // 趋势空单止盈 // if it's trend, short position take profit SELLS2:=REF(CMI,BARSBK) >= 20 AND C<BKPRICE*(1-0.01*STOPLOSS) AND SBOLL; // 趋势多单止损 // if it's trend, long position stop loss BUYS2:=REF(CMI,BARSSK) >= 20 AND C>SKPRICE*(1+0.01*STOPLOSS) AND BBOLL; // 趋势空单止损 // if it's trend, short position stop loss IF BARPOS>N THEN BEGIN BUYPK1,BPK; SELLPK1,SPK; BUYPK2,BPK; SELLPK2,SPK; END BUYY1,BP(SKVOL); BUYY2,BP(SKVOL); BUYS2,BP(SKVOL); SELLY1,SP(BKVOL); SELLY2,SP(BKVOL); SELLS2,SP(BKVOL);template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6