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谁能帮忙想下这个加仓的资金管理策略怎么写 我写的怎么不加仓!
如果平掉所有持仓权益大于一个固定权益,那它增长的比例如果大于0.5 就加固定的仓位(参数),如果平掉所有持仓权益小于一个固定权益,那它减少的比例如果小于0.2 就减少固定仓位(参数)!
急贴 ,求帮忙!
附代码:
Params
Numeric Jxcs1(5);
Numeric Jxcs2(40);
Numeric Jxcs3(76);
Numeric Yycs(16);
Numeric TC(1);
Numeric JCTC(1);
Numeric QSSJ(20100501);
Numeric BL(0.05);
Numeric QY(1000000);
Vars
NumericSeries BIAS(0);
NumericSeries DIF(0);
NumericSeries DBCD(0);
NumericSeries MMZ(0);
NumericSeries QY1;
NumericSeries QY2;
NumericSeries BL1;
NumericSeries BL2;
BoolSeries BT1(True);
BoolSeries BT2(True);
BoolSeries ST1(True);
BoolSeries ST2(True);
Begin
BIAS = (C-Average(C,Jxcs1)) / Average(C,Jxcs1);
DIF = BIAS-BIAS[Yycs];
DBCD = WAverage(DIF,Jxcs3);
MMZ = 100000*Average(DBCD,Jxcs1);
BT1 = MMZ>MMZ[1];
BT2 = C>Average(C,Jxcs2);
ST1 = MMZ<MMZ[1];
If(D>=QSSJ)
{
If(BT1 AND BT2 And MarketPosition !=1)
{
Buy(TC,c,true);
}ELSE If(BT1 AND BT2 AND MarketPosition !=1 AND QY1>QY AND (Abs(QY-QY1)/QY)>BL && GetGlobalVar(1)==1){
Buy(TC+JCTC,c,True);
}Else If(BT1 AND BT2 AND MarketPosition !=1 AND QY1<QY AND (Abs(QY-QY1)/QY)>0.02 && GetGlobalVar(1)==1) {
Buy(TC-JCTC,c,True);
}
If(ST1 And MarketPosition ==1)
{
Sell(0,c,true);
SetGlobalVar(1,1);
QY1 = CurrentCapital;
}
If(ST1 AND ST2 And MarketPosition !=-1)
{
SellShort(TC,c,true);
}ELSE If(ST1 AND ST2 AND MarketPosition !=-1 AND QY2>QY AND Abs(QY2-QY2[1])/QY2[1]>BL){
SellShort(TC+JCTC,c,True);
}Else If(ST1 AND ST2 AND MarketPosition !=-1 AND QY2<QY AND Abs(QY2-QY2[1])/QY2[1]>0.02){
SellShort(TC-JCTC,c,True);
}
If(BT1 And MarketPosition == -1)
{
BuyToCover(0,c,true);
QY2=CurrentCapital;
}
}
End |
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