均价黄线策略源码

sdfg123

以交易量为权重算出加权平均价，当该价格持续走高，认为市场走强，做多，当该价格持续走低，认为市场走弱，做空。

策略代码：

function jjhx(freq) %
%freq为输入频率
%反手策略
%日内策略，黄线均价系统。
targetList = traderGetTargetList();
HandleList = traderGetHandleList();
global record;
for i=1:length(targetList)
    marketposition=traderGetAccountPosition(HandleList(1),targetList(i).Market,targetList(i).Code);
    barnum=traderGetCurrentBar(targetList(i).Market,targetList(i).Code);
    len=100;
    dlen=100;
    [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
    %     [sarc,sarn,pos,turn]=SAR(high,low);
    %-----------N1=BARSLAST(DATA<>REF(DATE,1))--%
    gettime=datevec(time);
    timenumd=gettime(:,2)*10+gettime(:,3);
    if timenumd(end)~=timenumd(end-1)
        record{i}.bar=[record{i}.bar barnum];
    end
    if length(record{i}.bar)<2
        continue
    end
    timenum=gettime(end,4)*100+gettime(end,5);
    if timenum>0900&&timenum<1458||timenum<2100&&timenum>2400||timenum>0000&&timenum<0158
        cont=1;
    else cont=0;
    end
    n1=record{i}.bar(end)-record{i}.bar(end-1);
    a1=(high+low+close)/3;
    a2=sumn(a1.*volume,n1);
    a3=sumn(volume,n1);
    a4=a2./a3;
    id1=close>a4+close*0.001;
    id2=a4>close+close*0.001;
    t0=sumn(id1,5);
    t2=sumn(id2,5);
    t00=t0(max(end-n1+1,end-length(t0)+1):end);
    t22=t2(max(end-n1+1,end-length(t2)+1):end);
    id11=find(t00==5);
    id22=find(t22==5);
    %id11,id22为空，找不到满足条件的
    if isempty(id11)
        con1=0;
        con10=0;
    else
        t11=id11(end)==length(t00)&&cont==1;
        con1=t11&&length(id11)>=length(t00)*0.5;
        con10=t11||cont==0;
    end
    if isempty(id22)
        con2=0;
        con20=0;
    else        
        t3=id22(end)==length(t2)&&cont==1;
        con2=t3&&length(id22)>=length(t22)*0.5;
        con20=t3||cont==0;
    end
   
   
   
    shareNum=5;
    %--------------------------------------仓位操作-----------------%
    if  marketposition==0
        if con1
            traderBuy(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','buy');%开多单
        elseif con2
            traderSellShort(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','sellshort');%开空单
        end
    end
   
    if  marketposition>0 && con10
        traderSellShort(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','sell');%平多，反手空单
        %不反手
        %  traderSell(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','sell');%平多单
    end
   
    if  marketposition<0 && con20
        traderBuy(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','buytocover');%平空单
        %不反手
        %traderBuyToCover(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','buytocover');%平空单
    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

function sumn=sumn(Price,Length)
sumn=zeros(length(Price),1);
if length(Price)==1||Length>length(Price)
    sumn=sum(Price);
else
    for i=Length:length(Price)
        sumn(i)=sum(Price(i-Length+1:i));
    end
    sumn(1ength-1)=sumn(Length);
end
end

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均价黄线策略源码下载：http://www.digquant.com.cn/stra.php?mod=model&pid=121