AMA策略附源码

sdfg123

入场：
ama突破以ama定义的布林带
出场：
2*atr止损，涨幅达到3*atr后把止损线调为跟踪止损


策略源码：

function AMA(Freq,len1,ShareNum,threshold)

% ------------ Retrace Strategy-------------------%

% Freq 为输入时间频率

%---------------------策略初始化与是否日内平仓---------------%

% traderDailyCloseTime(145000);     
targetList = traderGetTargetList();
HandleList = traderGetHandleList();


%---------------------策略提取数据---------------%

global s;
n = length(targetList);
for j = 1:n
    [marketposition,~,~]=traderGetAccountPosition(HandleList(1),targetList(j).Market,targetList(j).Code);
    len = 40;
    [time,open,high,low,close,volume,turnover,openinterest] = traderGetKData(targetList(j).Market,targetList(j).Code,'day',Freq, 0-len, 0,false,'FWard');
    if length(close)<len+1
        return
    end
    dlen = 10;
    [Dtime,Dopen,Dhigh,Dlow,Dclose,Dvolume,Dturnover,Dopeninterest] = traderGetKData(targetList(j).Market,targetList(j).Code,'day',1, 0-dlen, 0,false,'FWard');
    if length(Dclose)<dlen+1
        return
    end
    [atr,~] = traderATR(10,targetList(j).Market,targetList(j).Code,'day',1,0-dlen,0,false,'FWard'); % 日ATR
   
%---------------------策略计算与基本逻辑---------------%
   
    direction = close(end)-close(end-len1+1);
    volatility = sum(abs(diff(close(end-len1:end))));
    ER = direction/volatility;
    c = (ER*(2/5-2/31)+2/31)^2;
    if isempty(s(j).Ama)
        s(j).Ama = close(end);
    else
        s(j).Ama = [s(j).Ama, s(j).Ama(end)+c*(close(end)-s(j).Ama(end))];
    end
    s(j).condition = 0;
    if length(s(j).Ama)>len1
    th = threshold*std(s(j).Ama(end-len1+1:end));
    if s(j).Ama(end)-min(s(j).Ama(end-len1+1:end))>th
        s(j).condition = 1;
    elseif s(j).Ama(end)-max(s(j).Ama(end-len1+1:end))<-th
        s(j).condition = -1;
    end
   
%----------------------策略主体-------------------------------%
   
    % 入场
    if marketposition==0
        if s(j).condition == 1
            OrderID=traderDirectBuy(HandleList(1),targetList(j).Market,targetList(j).Code,ShareNum,0,'market','buy');
            if OrderID~=0
                s(j).openprice=traderOrderFilledPrice(HandleList(1),OrderID);
                s(j).peak=0;
            end
        elseif s(j).condition == -1
            OrderID=traderDirectSell(HandleList(1),targetList(j).Market,targetList(j).Code,ShareNum,0,'market','buy');
            if OrderID~=0
                s(j).openprice=traderOrderFilledPrice(HandleList(1),OrderID);
                s(j).peak=0;
            end
        end
    end
   
    % 出场
    if marketposition>0
        if close(end)<s(j).openprice-2*atr(end)
            traderPositionTo(HandleList(1),targetList(j).Market,targetList(j).Code,0,0,'market','close');
        end
        if s(j).condition==-1
            traderPositionTo(HandleList(1),targetList(j).Market,targetList(j).Code,-ShareNum,0,'market','close');
        end
        if s(j).peak==0 && (close(end)-s(j).openprice)>3*atr(end) % 上移止损线
            s(j).peak=high(end);
        end
        if s(j).peak>0
            s(j).peak=max(s(j).peak,high(end));
            if close(end)<s(j).peak-1.6*atr(end)
                traderPositionTo(HandleList(1),targetList(j).Market,targetList(j).Code,0,0,'market','close');
            end
        end
    end
    if marketposition<0
        if close(end)>s(j).openprice+2*atr(end)
            traderPositionTo(HandleList(1),targetList(j).Market,targetList(j).Code,0,0,'market','close');
        end
        if s(j).condition==1
            traderPositionTo(HandleList(1),targetList(j).Market,targetList(j).Code,ShareNum,0,'market','close');
        end
        if s(j).peak==0 && (s(j).openprice-close(end))>3*atr(end) % 上移止损线
            s(j).peak=low(end);
        end
        if s(j).peak>0
            s(j).peak=min(s(j).peak,low(end));
            if close(end)>s(j).peak+1.6*atr(end)
                traderPositionTo(HandleList(1),targetList(j).Market,targetList(j).Code,0,0,'market','close');
            end
        end
    end
    end
end

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AMA策略源码下载:http://www.digquant.com.cn/stra.php?mod=model&pid=82

triholan

这不是tb的吧