- UID
- 2
- 积分
- 2874674
- 威望
- 1387366 布
- 龙e币
- 1487308 刀
- 在线时间
- 13156 小时
- 注册时间
- 2009-12-3
- 最后登录
- 2024-11-24
|
今天为大家介绍十大经典日内策略系列的第三个——空中花园。空中花园的策略思路非常简单粗暴,同样的确定今天的交易通道。但是通道的确定依据的仅为今天第一根bar信息:上轨=第一根bar的最高价;下轨=第一根bar的最低价。
入场条件:和所有突破通道的策略一样,价格突破上轨做多,价格突破下轨做空。但是为了保证赢面,限制了今天开盘的状态,只在今天是高开或者低开的时候,才进行轨道变化,否则沿用的仍为上一次的通道。
出场条件:同样,反手出场。同时,收盘前,主动出场。
下为源代码:
- function kzhy(freq)%
- targetList = traderGetTargetList();
- %获取目标资产信息
- HandleList = traderGetHandleList();
- %获取账户句柄
- global upline;
- global dnline;
- if isempty(upline)||isempty(dnline)
- upline=zeros(length(targetList),1);%记录今天通道的上轨
- dnline=zeros(length(targetList),1);%记录今天通道的下轨
- end
- for k=1:length(targetList);
- %--------------------仓位、K线、当前bar的提取-----------------------------%
- %获取当前仓位
- [marketposition,~,~]=traderGetAccountPosition(HandleList(1),targetList(k).Market,targetList(k).Code);
- %策略中每次取数据的长度
- lags=40;
- dlags=31;
- barnum=traderGetCurrentBar(targetList(k).Market,targetList(k).Code);
- %数据长度限制
- if(barnum<lags)
- continue;
- end
- %获取K线数据
- [time,open,high,low,close,volume,~,~] = traderGetKData(targetList(k).Market,targetList(k).Code,'min',freq, 0-lags, 0,false,'FWard');
- [Dtime,Dopen,Dhigh,Dlow,Dclose,Dvolume,~,~] = traderGetKData(targetList(k).Market,targetList(k).Code,'day',1, 0-dlags, 0,false,'FWard');
- if length(close)<lags || length(Dclose)<dlags
- continue;
- end;
- %--------------------- 止损/入场条件计算 ------------------------------------%
- %计算出场时间
- gettime=datevec(time);
- numtime=gettime(end,4)*100+gettime(end,5);
- cont=0;
- if numtime>=0900&&numtime<1400||numtime>=2100&&numtime<=2400||numtime>0000&&numtime<0100
- cont=1;
- end
- if floor(time(end))~=floor(time(end-1))
- if open(end)>Dopen(end-1)||open(end)<Dopen(end-1)*0.99
- upline=Dhigh(end);
- dnline=Dlow(end);
- end
- end
- buycon=close(end)>upline && cont; % 突破range上轨道做多(每天只做一手)
- sellshortcon=close(end)<dnline && cont;% 突破 range下轨道做空(每天只做一手)
- shareNum=10;
- %--------------------------------------仓位操作-----------------%
- %-----------------入场--------------------------%
- if marketposition==0
- if buycon
- traderBuy(HandleList(1),targetList(k).Market,targetList(k).Code,shareNum,0,'market','buy');%开多单
- elseif sellshortcon
- traderSellShort(HandleList(1),targetList(k).Market,targetList(k).Code,shareNum,0,'market','sellshort');%开空单
- end
- end
- if cont~=0
- %------------------------------多头出场----------------------------%
- if marketposition>0
- if sellshortcon
- traderPositionTo(HandleList(1),targetList(k).Market,targetList(k).Code,0,0,'market','sell');
- end
- end
- if marketposition<0
- if buycon
- traderPositionTo(HandleList(1),targetList(k).Market,targetList(k).Code,0,0,'market','sell');
- end
- end
- end
- %-------------------------------------------------------------日内平仓-----------------------------------%
- if cont==0
- traderPositionTo(HandleList(1),targetList(k).Market,targetList(k).Code,0,0,'market','sell');
- 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(1:Length-1)=Price(1:Length-1);
- end
- %-------分割线---------%
- clear
- clc;
- %-----------获取targetList-----------------%
- targetList(1).Market = 'CFFEX';
- targetList(1).Code = 'IF0000';
- freq=3;
- %-------------------参数设定与全局变量----------------------%
- for i=1:length(targetList)
- %-----------------------回测----------------------------------%
- % 在回测时设置初始资本10000000000元、手续费率0.000026、无风险利率0.02、滑价0、默认1下一个bar的开盘价、默认0成交价、默认0直接成交
- % traderSetBacktest(1000000,0.000026,0.02,0,1,0,0);
- AccountList(1) = {'FutureBackReplay'};
- traderRunBacktest('kzhy',@kzhy,{freq},AccountList,targetList(i),'min',freq,20150101,20160815,'FWard');
- end
复制代码 |
论坛官方微信、群(期货热点、量化探讨、开户与绑定实盘)
|