金字塔ORB日內(nèi)交易策略[金字塔模型]

一、ORB策略交易思路

??????????1、日內(nèi)交易策略，收盤前平倉

??????????2、ORB失敗突破基于過去N個交易日的ORB指標；

??????????3、當價格突破ORB上軌，買入開倉；當價格突破ORB下軌，賣出開倉

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??????二、金字塔策略源碼

???????????//適用于圖表程序化交易

??????????//以5分鐘K線為例

????????? //此策略僅供參考學(xué)習(xí)，請勿直接用于實盤

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????????? INPUT:N_DAY(30,1,100,1),N(0.1,0.1,10,0.1);
????????? INPUT:SS(1,1,100,1);

????????? NN:=BARSLAST(DATE<>REF(DATE,1))+1;????????????????????????????//當天K線根數(shù)
????????? LD:=HHV(NN,NN+62);
????????? O_TODAY:=VALUEWHEN(NN=1,OPEN);????????????????????????????????//獲取當天開盤價
??????????H_TODAY:=HHV(HIGH,NN);?????????????????????????????????????????????????//獲取當天最高價
??????????L_TODAY:=LLV(LOW,NN);????????????????????????????????????????????????????//獲取當天最低價
????????? H_YESTERDAY:=REF(O_TODAY,NN);?????????????????????????????????? ??//獲取前一天最高價
????????? L_YESTERDAY:=REF(L_TODAY,NN);??????????????????????????????????????//獲取前一天最低價
????????? C_YESTERDAY:=REF(C,NN);??????????????????????????????????????????????? ?//獲取前一天收盤價
??????????LENGTH:=N_DAY*LD;
????????? DISTANCE:=MA(H_YESTERDAY-L_YESTERDAY,LENGTH);
????????? ORB:=MIN(ABS(H_YESTERDAY-C_YESTERDAY),ABS(L_YESTERDAY-C_YESTERDAY));
????????? BAND:=MAX(ORB,DISTANCE*N);
????????? UPBAND:O_TODAY+BAND;???????????????????????????????????????????????????????? ?//ORB上軌
????????? DOWNBAND:O_TODAY-BAND;???????????????????????????????????????????????????? ?//ORB下軌
????????? MAC:MA(CLOSE,LENGTH);
????????? MAHH:MA(HHV(HIGH,LENGTH),LENGTH);

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????????? KD:CLOSE>UPBAND AND CLOSE>MAC AND CLOSE>MAHH;?????????? //開多條件
????????? KK:CLOSE<DOWNBAND AND CLOSE<MAC AND CLOSE<MAHH;????? //開空條件
????????? PD:CLOSE<MAC AND C<ENTERPRICE;????????????????????????????????????????? //平多條件
????????? PK:CLOSE>MAC AND C>ENTERPRICE;???????????????????????????????????????? ?//平空條件

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????????? SELL(PD,HOLDING,MARKET);
????????? SELLSHORT(PK,HOLDING,MARKET);
????????? BUY(KD AND HOLDING=0,SS,MARKET);
????????? BUYSHORT(KK AND HOLDING=0,SS,MARKET);

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????????? IF TIME>185500 THEN BEGIN????????????????????????????????????????????????????? //收盤前平倉
?????????????? SELL(HOLDING>0,HOLDING,MARKET);
?????????????? SELLSHORT(HOLDING<0,HOLDING,MARKET);
?????????????? END

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