85 lines
1.8 KiB
Markdown
85 lines
1.8 KiB
Markdown
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> Name
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Trade04-双均线ATR通道高低点
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> Author
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作手君TradeMan
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> Strategy Description
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为回馈FMZ平台与社区，进行策略&代码&思路&模板的分享
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简介：
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量价因子组合
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✱联系方式 (欢迎交流讨论，共同学习进步)
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WECHAT: haiyanyydss
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TEL: https://t.me/JadeRabbitcm
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✱Fully automatic CTA & HFT trading system @2018 - 2023
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> Strategy Arguments
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|Argument|Default|Description|
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|----|----|----|
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|percent|5|percent|
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|LENGTH1|12|LENGTH1|
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> Source (MyLanguage)
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``` pascal
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(*backtest
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start: 2018-01-01 00:00:00
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end: 2021-06-30 23:59:00
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period: 1h
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basePeriod: 1h
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exchanges: [{"eid":"Futures_OKCoin","currency":"BTC_USD","stocks":10}]
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args: [["percent",5],["ContractType","quarter",126961]]
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*)
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//商品版本
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LENGTH2:=10*LENGTH1;//长周期参数
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X:=3;//区间系数
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//交易量
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//LOTS:=MAX(1,INTPART(percent/100*MONEY/(C*MARGIN*UNIT)));//金本
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LOTS:=MAX(1,INTPART(percent/100*MONEY*C/(MARGIN*UNIT)));//币本
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TR:=MAX(MAX((HIGH-LOW),ABS(REF(CLOSE,1)-HIGH)),ABS(REF(CLOSE,1)-LOW));
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ATR:=MA(TR,LENGTH1);
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OO:=BARSLAST(DATE<>REF(DATE,1))+1;
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OPD:=VALUEWHEN(OO=1,O);
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L1:=MIN(LENGTH1,LENGTH2);
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L2:=MAX(LENGTH1,LENGTH2);
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MA1:=EMA(REF(C,1),L1);
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MA2:=EMA(REF(C,1),L2);
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UPPERBAND^^OPD+X*ATR;
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LOWERBAND^^OPD-X*ATR;
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EXITLONG:=REF(L,L2);
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EXITSHORT:=REF(H,L2);
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//多头入场
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BKVOL<=0 AND REF(C,1) >= REF(UPPERBAND,1) AND VOL > 0 AND MA1>MA2 AND REF(C,1) >=REF(H,L1) ,BPK(LOTS);
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//空头入场
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SKVOL<=0 AND REF(C,1) <= REF(LOWERBAND,1) AND VOL > 0 AND MA1<MA2 AND REF(C,1) <=REF(L,L1) ,SPK(LOTS);
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//多头出场
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REF(C,1)>= BKPRICE AND REF(C,1)<=EXITLONG AND BKVOL>0 AND BARPOS>0,SP(BKVOL);
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//空头入场
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REF(C,1)<= SKPRICE AND REF(C,1)>=EXITSHORT AND SKVOL>0 AND BARPOS>0,BP(SKVOL);
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```
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> Detail
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https://www.fmz.com/strategy/425799
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> Last Modified
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2023-09-04 22:33:38
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