LLT原始（附源码）

sdfg123

LLT择时模型，低延迟趋势线，。利用最近20个LLT指标数值，大部分LLT呈现上涨（斜率为正），做多；大部分下跌（斜率为负），做空；反向出场。

策略代码：

function LLTg(freq)

targetList = traderGetTargetList();
HandleList = traderGetHandleList();
for i=1:length(targetList)
    marketposition=traderGetAccountPosition(HandleList(1),targetList(i).Market,targetList(i).Code);
    barnum=traderGetCurrentBar(targetList(i).Market,targetList(i).Code);
    len=60;
    dlen=60;
    [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
    a=2/(1+30);%d=30
    %计算操作指标
    lltv=LLT(close,a);
    k=lltv(2:end)>lltv(1:end-1);
    con1=sum(k(end-20:end))>=fix(0.9*21)&&k(end)==1;%斜率为正，上升阶段
    con2=sum(k(end-20:end))>=fix(0.1*21)&&k(end)==0; %斜率为负，下降阶段
   
    shareNum=1;
   
    %%
    if  marketposition==0
        if con1
            %             traderBuy(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','buy');%开多单
            orderID = traderBuy(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','1');
        elseif con2
            orderID = traderSellShort(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','1');
        end
    end
   
    if  marketposition>0 &&con2
        order= traderPositionTo(HandleList(1),targetList(i).Market,targetList(i).Code,0,0,'market','sell');%平多单
    end
   
    if  marketposition<0 &&con1
        traderBuyToCover(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','buytocover');%平空单
    end   
   
end
end


function LLTv=LLT(price,a)
LLTv=zeros(length(price),1);
LLTv(1:2)=price(1:2);
for i=3:length(price)
    LLTv(i)=(a-a^2/4)*price(i)+(a^2/2)*price(i-1)-(a-3*a^2/4)*price(i-2)+2*(1-a)*LLTv(i-1)-(1-a)^2*LLTv(i-2);
end
end


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LLT原始策略源码下载：http://www.digquant.com.cn/stra.php?mod=model&pid=101