布林带突破策略附源码 [复制链接]

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电梯直达

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发表于 2017-3-29 15:01:04 |只看该作者 |倒序浏览

布林带突破趋势策略

多头入场：当前价格突破布林带上轨
空头入场：当前价格跌破布林带下轨
止损：开仓价格之下N倍ATR
止盈：开仓价格之上N倍ATR

策略源码：

function BollTrading(Freq,ShareNum,N,plus)
targetList = traderGetTargetList();
HandleList = traderGetHandleList();
global s;
lags=20;
for j=1:length(targetList)
[timeday,openday,highday,lowday,closeday,volumeday,turnoverday,openinterestday] = traderGetKData(targetList(j).Market,targetList(j).Code,'day',1, -lags, 0,false,'FWard');
[timemin,openmin,highmin,lowmin,closemin,volumemin,turnovermin,openinterestmin] = traderGetKData(targetList(j).Market,targetList(j).Code,'min',Freq, -lags, 0,false,'FWard');
if length(closeday)<lags
continue;
end
mp=traderGetAccountPosition(HandleList(1),targetList(j).Market,targetList(j).Code);
[mid, BollUp, BollDown]=Bollin_c(closeday,N,plus);
TRvalue=TR(closemin,highmin,lowmin);
atr=mean(TRvalue(end-atrlength+1:end));
%开多条件
con2=lowmin(end)>BollUp(end);
con3=closemin(end)>openmin(end);
%开空条件
con5=highmin(end)<BollDown(end);
con6=closemin(end)<openmin(end);
if mp==0
if con2&&con3
traderDirectBuy(HandleList(1), targetList(j).Market,targetList(j).Code,ShareNum,0,'market','buy');
s(j).stoplossprice=closemin(end)-4*atr;
s(j).stopprofitprice=closemin(end)+4*atr;
elseif con5&&con6
traderDirectSell(HandleList(1), targetList(j).Market,targetList(j).Code,ShareNum,0,'market','buy');
s(j).stoplossprice=closemin(end)+4*atr;
s(j).stopprofitprice=closemin(end)-4*atr;
end
end
%% 止损
if mp>0
if closemin(end)<s(j).stoplossprice || closemin(end)>s(j).stopprofitprice
traderPositionTo(HandleList(1), targetList(j).Market,targetList(j).Code,0,0,'market','buy');
end
end
if mp<0
if closemin(end)>s(j).stoplossprice || closemin(end)<s(j).stopprofitprice
traderPositionTo(HandleList(1), targetList(j).Market,targetList(j).Code,0,0,'market','buy');
end
end
end
end