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策略思路:
从今天新开盘,确定今日的上轨和下轨,其中上轨由昨天的收盘价和过去10天的收盘价的标准差总和决定,下轨为二者之差。开盘价高于今日上轨,做多;反之做空。日内平仓。同时加入利用ATR控制的止损机制。
策略代码:
function jiabanLoss(freq) %
%freq为输入频率
%len为计算使用的长度
%band为波动乘数
%shareNum为操作的手数
%%%NEWS系统
targetList = traderGetTargetList();
HandleList = traderGetHandleList();
global p;
global record;
for i=1:length(targetList)
barnum=traderGetCurrentBar(targetList(i).Market,targetList(i).Code);
marketposition=traderGetAccountPosition(HandleList(1),targetList(i).Market,targetList(i).Code);
len=30;
dlen=30;
[time,open,high,low,close,volume,turnover,openinterest] = traderGetKData(targetList(i).Market,targetList(i).Code,'min',freq, 0-len, 0,false,'FWard');
[Dtime,Dopen,Dhigh,Dlow,Dclose,Dvolume,Dturnover,Dopeninterest] = traderGetKData(targetList(i).Market,targetList(i).Code,'day',1, 0-dlen, 0,false,'FWard');
if length(close)<len+1||length(Dclose)<dlen+1
continue;
end
%----------------判断是否是今天的第一根bar--------------%
if floor(time(end))~=floor(time(end-1))
stds=std(close(end-10:end-1));
p{i}.upline=close(end)+stds;
p{i}.dnline=close(end)-1*stds;
end
ATR=ATR(Dhigh,Dlow,Dclose,20);
t0=rem(time(end),floor(time(end))); %时间求余,转化到分钟和小时上
cont=(t0>=(14+40/60)/24)&&(t0<=(15+15/60)/24);%寻找时间大于14点40小于15点15的时间段的下标,日内平仓的信号
con2=close(end)<p{i}.dnline;%跌低看涨,反手
con1=close(end)>p{i}.upline;%高涨看跌,反手
con10=cont;
con20=cont;
%-------------------------平仓止损--------------------%
%做多平仓
if marketposition>0&&record{i}.m~=0
if close(end)<record{i}.entryp-0.5*ATR(end)||con10
order= traderPositionTo(HandleList(1),targetList(i).Market,targetList(i).Code,0,0,'market','sell');
if order~=0
record{i}.m=0;
record{i}.entryp=close(end);
end
end
end
if marketposition<0&&record{i}.m~=0
if close(end)>record{i}.entryp+0.5*ATR(end)||con20
order= traderPositionTo(HandleList(1),targetList(i).Market,targetList(i).Code,0,0,'market','sell');
if order~=0
record{i}.m=0;
record{i}.entryp=close(end);
end
end
end
[~,~,Multiple,MinMove,~,~,~,LongMargin,~] = traderGetFutureInfo(targetList(i).Market,targetList(i).Code);
[cash,~,~,~,~] = traderGetAccountInfo(HandleList(1));
sharenum=cash/close(end)/LongMargin/7/Multiple;
%---------------入场-------------%
if con1&(record{i}.m==0)&(marketposition==0)
order=traderBuy(HandleList(1),targetList(i).Market,targetList(i).Code,sharenum,0,'market','buy'); %%%%做多
if order~=0
record{i}.m=record{i}.m+1;
record{i}.entryp=close(end);
end
end
if con2&(record{i}.m==0)&(marketposition==0)
order=traderSellShort(HandleList(1),targetList(i).Market,targetList(i).Code,sharenum,0,'market','buy'); %%%%做多
if order~=0
record{i}.m=record{i}.m+1;
record{i}.entryp=close(end);
end
end
end
end
function ATRValue=ATR(High,Low,Close,Length)
ATRValue=zeros(length(High),1);
TRValue=zeros(length(High),1);
TRValue(2:end)=max([High(2:end)-Low(2:end) abs(High(2:end)-Close(1:end-1)) abs(Low(2:end)-Close(1:end-1))],[],2);
ATRValue=MA(TRValue,Length);
end
function MAValue=MA(Price,Length)
MAValue=zeros(length(Price),1);
for i=Length:length(Price)
MAValue(i)=sum(Price(i-Length+1:i))/Length;
end
MAValue(1ength-1)=Price(1ength-1);
end
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波动突破策略加止损,http://www.digquant.com.cn/stra.php?mod=model&pid=104 |
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