BOLL择时策略（附源码）
策略原理：选股标的：沪深300所有成分股
买入信号：价格上穿布林带中轨
资金分配：等权重买入
卖出信号：当股价跌破上轨或中轨时卖出
策略源码：
function BOLL1(n1,n2,n4) % BOLL布林线.
%获取目标资产信息
targetList = traderGetTargetList(); % 在RunBackTest中选择好的标的.
%获取账户信息
HandleList = traderGetHandleList();
%=================================================================
% RunBackTest的参数设置
% n1=20; % 中线的均线参数
% n2=2; % 标准差倍数
% n4=2; % 几倍ATR
%=================================================================
% 定义持有的账户为全局变量
global holdingList;
if isempty(holdingList) % 判断cc是否为空值
holdingList(1).Market=0;
holdingList(1).Code=0;
holdingList(1).OpenBar=0;
holdingList(1).OpenPrice=0;
holdingList(1).Sharebum=0;
holdingList(1).StopLoss=0;
end
% 定义可用金额
global available;
if isempty(available) % 判断cc是否为空值
available=100000000;
end
% 定义初始金额,每只股票的最大仓位为初始资金的1/300
initial=100000000;
initialeach=initial/length(targetList);
k1=0;
%------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
for i = 1:length(targetList) % 每个股票过一遍
% lags为策略需要往前获取多少天
lags=n1+n2;
%策略中每次取数据的长度
barnum=traderGetCurrentBar(targetList(i).Market,targetList(i).Code); % K线的序号,后面会增加,前面的值对应的日期固定.
% 数据长度限制,排除了前lags根k线
if(barnum<lags)
continue;
end
% 策略开始部分
= traderGetKData(targetList(i).Market,targetList(i).Code,'day',1, 0-lags, 0,false,'FWard');
if length(close)<n1+n2
continue;
end
if time(end)>=datenum('1-Jan-2014')
if length(close)<n1+n2
continue;
end
% BOLL
=traderBOLL(n1,n2,targetList(i).Market,targetList(i).Code,'day',1, 0-lags, 0,false,'FWard');
% 买入信号:当股价向上穿越中轨是买入
a=close(end-1)<mid(end-1) && close(end)>mid(end);
if a
k1=k1+1;
stockList(k1).Market=targetList(i).Market;
stockList(k1).Code=targetList(i).Code;
stockList(k1).Price=close(end);
=traderATR(14,targetList(i).Market,targetList(i).Code,'day',1,0-lags,0,false,'FWard');
stockList(k1).ATR=ATR1(end);
end
end
end
%--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
% 判断股票池里面的股票是否要买入,买入多少手
if k1~=0
for i=1:length(stockList)
% 等权重买入
sharenum=floor(initialeach/stockList(i).Price);
% 设置每只股票的交易手数,使得最大的亏损不大于初始账户的 n2%.
% sharenum=floor(stockList(i).Price*initialeach/stockList(i).ATR/10000);
% 获取当前bar序号
barnum=traderGetCurrentBar(stockList(i).Market,stockList(i).Code);
%获取当前仓位
=traderGetAccountPosition(HandleList(1),stockList(i).Market,stockList(i).Code);
if marketposition ==0 && (sharenum*stockList(i).Price)<=1*available && time(end)>=datenum('1-Jan-2014')
orderID1=traderBuy(HandleList(1),stockList(i).Market,stockList(i).Code,sharenum,0,'market','buy1'); % 开多单
if orderID1~=0
[~,~,price] = traderGetAccountPosition(HandleList(1),stockList(i).Market,stockList(i).Code); % 记录开仓的价格
available=available-sharenum*price;
if holdingList(1).Market==0
holdingList(1).Market=stockList(i).Market;
holdingList(1).Code=stockList(i).Code;
holdingList(1).OpenBar=barnum+1;
holdingList(1).OpenPrice=price;
holdingList(1).Sharebum=sharenum;
holdingList(1).StopLoss=price-n4*stockList(i).ATR;
else
holdingList1(1).Market=stockList(i).Market;
holdingList1(1).Code=stockList(i).Code;
holdingList1(1).OpenBar=barnum+1;
holdingList1(1).OpenPrice=price;
holdingList1(1).Sharebum=sharenum;
holdingList1(1).StopLoss=price-n4*stockList(i).ATR;
holdingList=;
end
end
end
end
end
%--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
% 出场设置
if holdingList(1).Code~=0
for i=1:length(holdingList)
=traderATR(14,holdingList(i).Market,holdingList(i).Code,'day',1,0-lags,0,false,'FWard');
= traderGetKData(holdingList(i).Market,holdingList(i).Code,'day',1, 0-lags, 0,false,'FWard');
barnum=traderGetCurrentBar(holdingList(i).Market,holdingList(i).Code);
if barnum>holdingList(i).OpenBar && high1(end-1)>high1(end-2)
holdingList(i).StopLoss=high1(end-1)-n4*ATR2(end-1);
end
exitlong1=close1(end)<holdingList(i).StopLoss;
% MAEMA
=traderBOLL(n1,n2,holdingList(i).Market,holdingList(i).Code,'day',1, 0-lags, 0,false,'FWard');
% 卖出信号:当股价跌破上轨或中轨时卖出
b1=close(end-1)>upper(end-1) && close(end)<upper(end);
b2=close(end-1)>mid(end-1) && close(end)>mid(end);
exitlong2=b1 || b2;
exitlong=exitlong1 || exitlong2;
if barnum>=holdingList(i).OpenBar && exitlong2
orderID2=traderPositionTo(HandleList(1),holdingList(i).Market,holdingList(i).Code,0,0,'market','sell1');
if orderID2~=0
exitprice=traderOrderFilledPrice(HandleList(1),orderID2);
available=available+exitprice*holdingList(i).Sharebum;
holdingList(i).Sharebum=0;
end
end
end
% 删除已经卖出的股票
holdingList2(1).Market=0;
holdingList2(1).Code=0;
holdingList2(1).OpenBar=0;
holdingList2(1).OpenPrice=0;
holdingList2(1).Sharebum=0;
holdingList2(1).StopLoss=0;
for i=1:length(holdingList)
if holdingList(i).Sharebum~=0
holdingList2=;
end
end
holdingList=holdingList2(2:end);
end
%--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
end
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BOLL择时策略源码下载：http://www.digquant.com.cn/stra.php?mod=model&pid=115
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