開拓者 TB 【震蕩+趨勢混合策略】恒溫器策略【源碼】[開拓者公式]
- 本帖最后由 sorakiraa 于 2013-1-14 09:08 編輯
【震蕩+趨勢混合策略】恒溫器策略
by RogarZ
源碼：
- Params
- Numeric bollinglengths(50);
- Numeric trendliqlength(50);
- Numeric numstddevs(2);
- Numeric swingprcnt1(0.5);
- Numeric swingprcnt2(0.75);
- Numeric atrlength(10);
- Numeric swingtrendswitch(50);
- Vars
- BoolSeries swing(False);
- NumericSeries cmival;
- NumericSeries buyeasierday(0);
- NumericSeries selleasierday(0);
- NumericSeries trendlokbuy;
- NumericSeries trendloksell;
- NumericSeries trendbuypt;
- NumericSeries trendsellpt;
- NumericSeries keyofday;
- NumericSeries ma1;
- NumericSeries midd;
- Numeric swingprotstop;
- Numeric atr;
- Numeric swingbuypt;
- Numeric swingsellpt;
- Begin
- Commentary("BarInterval= "+Text(BarInterval));
- cmival=Abs(Close[1]-Close[31])/(Highest(High[1],30)-Lowest(Low[1],30));
- trendloksell=Average(Low[1],3*240/BarInterval);
- trendlokbuy=Average(High[1],3*240/BarInterval);
- keyofday=(HighD(0)+LowD(0)+CloseD(0))/3;
- If(Date<>Date[1]){
- If(CloseD(1)>keyofday[1])
- {
- selleasierday=1;//空頭日
- }Else{
- buyeasierday=1;//多頭日
- }
- }
- Atr=XAverage(TrueRange,atrlength*240/BarInterval);
- If(buyeasierday==1){
- swingbuypt=OpenD(0)+swingprcnt1*atr;
- swingsellpt=OpenD(0)-swingprcnt2*atr;
- }
- If(selleasierday==1){
- swingbuypt=OpenD(0)+swingprcnt2*atr;
- swingsellpt=OpenD(0)-swingprcnt1*atr;
- }
- swingbuypt=Max(swingbuypt,trendlokbuy);
- swingsellpt=Min(swingsellpt,trendloksell);
- PlotNumeric("Buy",swingbuypt);
- PlotNumeric("Sell",swingsellpt);
- ma1=Average(Close[1],trendliqlength);//趨勢均線
- midd=Average(Close[1],bollinglengths);//布林中線
- trendbuypt=midd+numstddevs*StandardDev(Close[1],bollinglengths);
- trendsellpt=midd-numstddevs*StandardDev(Close[1],bollinglengths);
- If(cmival<swingtrendswitch/100)
- {
- If(MarketPosition==0&&High[1]>=swingbuypt)
- //開多倉
- {
- Buy(1,Max(Open,swingbuypt));
- swing=True;
- }
- If(MarketPosition==0&&Low[1]<=swingsellpt)
- //開空倉
- {
- SellShort(1,Min(Open,swingsellpt));
- swing=True;
- }
- If(MarketPosition>0&&Low[1]<=swingsellpt)
- //多頭反手
- {
- SellShort(1, Min(Open,swingsellpt));
- swing=True;
- }
- If(MarketPosition<0&&High[1]>=swingbuypt)
- //空頭反手
- {
- Buy(1, Max(Open,swingbuypt));
- swing=True;
- }
- }Else{
- swingprotstop=atr*3;
- If(MarketPosition==0&&High[1]>=trendbuypt)
- //開多倉
- {
- Buy(1,Max(Open,trendbuypt));
- swing=False;
- }
- If(MarketPosition==0&&Low[1]<=trendsellpt)
- //開空倉
- {
- SellShort(1,Min(Open,trendsellpt));
- swing=False;
- }
- If(MarketPosition>0&&swing)
- //多頭止損
- {
- If(Low[1]<=EntryPrice-swingprotstop)
- {
- Sell(1,Min(Open, EntryPrice-swingprotstop));
- }Else If(Low[1]<=ma1)
- {
- Sell(1,Min(Open,ma1));
- }
- }
- If(MarketPosition<0&&swing)
- //空頭止損
- {
- If(High[1]>=EntryPrice+swingprotstop)
- {
- BuyToCover(1,Max(Open, EntryPrice+swingprotstop));
- }Else If(High[1]>=ma1)
- {
- BuyToCover (1,Max(Open,ma1));
- }
- }
- }
- End
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