自适应动态突破系统(Dynamic Break Out II)tb版

ilian

Params
    Numeric ceilingAmt(60);
    Numeric floorAmt(20);
    Numeric bolBandTrig(2.00);
Vars
    Numeric lookBackDays(20);         
    Numeric todayVolatility(0);
    Numeric yesterDayVolatility(0);
    Numeric deltaVolatility(0);
    NumericSeries buyPoint(0);
    NumericSeries sellPoint(0);
    NumericSeries longLiqPoint(0);
    NumericSeries shortLiqPoint(0);
    Numeric upBand(0);
    Numeric dnBand(0);
    Numeric MidLine(0);
    Numeric Band(0);
Begin
    todayVolatility = StandardDev(Close,30,1);
    yesterDayVolatility = StandardDev(Close[1],30,1);
    deltaVolatility = (todayVolatility - yesterDayVolatility)/todayVolatility;
    lookBackDays = lookBackDays * (1 + deltaVolatility);
    lookBackDays = Round(lookBackDays,0);
    lookBackDays = Min(lookBackDays,ceilingAmt);
    lookBackDays = Max(lookBackDays,floorAmt);
    MidLine = AverageFC(Close,lookBackDays);
    Band = StandardDev(Close,lookBackDays,bolBandTrig);
    upBand = MidLine + bolBandTrig * Band;
    dnBand = MidLine - bolBandTrig * Band;
    buyPoint = Highest(High[1],lookBackDays);
    sellPoint = Lowest(Low[1],lookBackDays);
    longLiqPoint = Average(Close[1],lookBackDays);
    shortLiqPoint = Average(Close[1],lookBackDays);

if(Close > upBand)  
{
   If(CrossOver(high,buyPoint))   
  {
     Buy(1,max( buyPoint, Low ));

  }
Commentary("多头触发价:"+Text(buyPoint));

}

if(Close < dnBand)
{

   If(CrossUnder(Low,sellPoint ))
   {
      SellShort(1,min( sellPoint , High ));
   }
Commentary("空头触发价:"+Text(sellPoint));

}
if(MarketPosition == 1)
{  
   If(CrossUnder(Low,longLiqPoint ))
   {
      Sell(1,min( longLiqPoint , High ));
   }
Commentary("多头退出:"+Text(longLiqPoint));
}




if(MarketPosition == -1)

{
   If(CrossOver(high,shortLiqPoint))   
  {
     BuyToCover(1,max( shortLiqPoint, Low ));
  }
Commentary("多头退出:"+Text(shortLiqPoint));

}


End

[ 本帖最后由 ilian 于 2008-9-13 14:11 编辑 ]

GT11080081_yuan

原理思路一点没错，就是程序编写有问题，偷价太过明显，可以自己改进成可用系统，其实最关键是前面计算波动率方法效果如何，不得而知，我现在连计算波动率的思路都没有，先改成实盘模型再说，谢谢楼主共享

zzy

zhen2710

hdh4638 发表于 2012-3-18 10:31
没人表扬，割了好了！

您是不是发过 改进版的程序代码  您后来又删除了？？

tcx

这个策略的好处就是lookBackDays，大家有没有什么好的过滤条件呢。不知道21楼怎么改的啊

fengyun

很好的策略 支持下

runcai

MidLine = AverageFC(Close,lookBackDays);
应该改成 MidLine = Average(Close,lookBackDays);
lookBackDays是动态的，用AverageFC计算会出错。

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