网格资金管理(多空)策略源码
策略原理：将资金分为N份，采取随机抛点的形式入场，止损为10%，止盈为11%
如果该份资金获利超过11%，则上移止盈止损线，且启动下一份资金抛点入场。
同时在原策略的基础上加上空头入场
策略代码：
function Strategy1(freq)%
targetList = traderGetTargetList();
%获取目标资产信息
HandleList = traderGetHandleList();
%获取账户句柄
global record;
for k=1:length(targetList);
%--------------------仓位、K线、当前bar的提取-----------------------------%
%获取当前仓位
=traderGetAccountPosition(HandleList(1),targetList(k).Market,targetList(k).Code);
%策略中每次取数据的长度
lags=121;
dlags=31;
barnum=traderGetCurrentBar(targetList(k).Market,targetList(k).Code);
%数据长度限制
if(barnum<lags)
continue;
end
if(barnum<dlags)
continue;
end
%获取K线数据
= traderGetKData(targetList(k).Market,targetList(k).Code,'min',freq, 0-lags, 0,false,'FWard');
= traderGetKData(targetList(k).Market,targetList(k).Code,'day',1, 0-dlags, 0,false,'FWard');
if length(close)<lags || length(Dclose)<dlags
continue;
end;
%-------------------------交易逻辑-------------------------------%
% TRvalue=TR(close,high,low);
% ATR=ma(TRvalue,50);
% p=5;
% stoplossratio=p*mean(ATR(end-20:end-1))/mean(Dclose(end-20:end-1)); % 止损触发比例
stoplossratio=0.02;
stopearnratio=stoplossratio*1.1; % 止盈触发比例
% 未平仓的订单提取
remain_num=find(record.isopen==1);
remain.isopen=record.isopen(remain_num);
remain.isearn=record.isearn(remain_num);
remain.pivotprice=record.pivotprice(remain_num);
remain.entrybar=record.entrybar(remain_num);
remain.unit=record.unit(remain_num);
remain.direction=record.direction(remain_num);
% remain.stoplossratio=record.stoplossratio(remain_num);
% remain.stopearnratio=record.stopearnratio(remain_num);
% 计算购买手数
= traderGetAccountInfo(HandleList(1));
[~,~,Multiple,~,~,~,~,~,~] = traderGetFutureInfo(targetList(k).Market,targetList(k).Code);
remain_share=10-length(remain_num);
con1=0;
if remain_share~=0;
con1=1; % 表示仍有可用资金购买
openunit=fix(ValidCash/remain_share/close(end)/Multiple);
end;
% 判断当前是多头持仓还是空头持仓
posdir=0;
if ~isempty(remain.direction)
if remain.direction(end)>0
posdir=1;
elseif remain.direction(end)<0
posdir=-1;
end;
end;
% 对未平仓的订单进行平仓或者调整止损线
for i=1:length(remain_num)
index=remain_num(i);
if remain.direction(i)==1
if close(end)<remain.pivotprice(i)-stoplossratio*remain.pivotprice(i) % 触发止损线
orderID3=traderDirectSell(HandleList(1),targetList(k).Market,targetList(k).Code,remain.unit(i),0,'market','sell');
if orderID3==0
continue;
end;
record.isopen(index)=0;
elseif close(end)>remain.pivotprice(i)+stopearnratio*remain.pivotprice(i) % 触发止盈线
% record.stoplossratio(index)=(close(end)-record.pivotprice(index))/close(end);
% record.stopearnratio(index)=record.stoplossratio(index)*1.1;
record.pivotprice(index)=close(end);
record.isearn(index)=2;
end;
elseif remain.direction(i)==-1
if close(end)>remain.pivotprice(i)+stoplossratio*remain.pivotprice(i) % 触发止损线
orderID4=traderDirectBuy(HandleList(1),targetList(k).Market,targetList(k).Code,remain.unit(i),0,'market','buy');
if orderID4==0
continue;
end;
record.isopen(index)=0;
elseif close(end)<remain.pivotprice(i)-stopearnratio*remain.pivotprice(i) % 触发止盈线
% record.stoplossratio(index)=(record.pivotprice(index)-close(end))/close(end);
% record.stopearnratio(index)=record.stoplossratio(index)*1.1;
record.pivotprice(index)=close(end);
record.isearn(index)=2;
end;
end;
end;
% 入场条件
% ma0=ma(close,5);
ma1=ma(close,20);
std1=stdev(close,20);
con2=isempty(find(remain.isearn==1,1)); % 所有头寸都是盈利的才考虑进新的头寸
bcon=close(end)>ma1(end)+2*std1(end) && close(end-1)>ma1(end-1)+2*std1(end-1);
scon=close(end)<ma1(end)-2*std1(end) && close(end-1)<ma1(end-1)-2*std1(end-1);
buycon=con1 && con2 && bcon && posdir>=0;
sellshortcon=con1 && con2 && scon && posdir<=0;
%---------------------------入场操作--------------------------------%
if buycon
orderID1=traderDirectBuy(HandleList(1),targetList(k).Market,targetList(k).Code,openunit,0,'market','buy');
if orderID1==0
continue;
end;
record.pivotprice=;
record.isearn=;
record.isopen=;
record.unit=;
record.entrybar=;
record.direction=;
% record.stoplossratio=;
% record.stopearnratio=;
end;
if sellshortcon
orderID2=traderDirectSell(HandleList(1),targetList(k).Market,targetList(k).Code,openunit,0,'market','sell');
if orderID2==0
continue;
end;
record.pivotprice=;
record.isearn=;
record.isopen=;
record.unit=;
record.entrybar=;
record.direction=;
% record.stoplossratio=;
% record.stopearnratio=;
end;
end
end
更多免费策略源码下载：http://www.atrader.com.cn/stra.php
网格资金管理策略源码：http://www.atrader.com.cn/stra.php?mod=model&pid=151 留下脚印
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