請(qǐng)各版主或小球幫忙,把下列模型轉(zhuǎn)換成標(biāo)準(zhǔn)模型的寫法,以下寫法的模型存在這樣的問題:即指令執(zhí)行不敏感,主要表現(xiàn)就是,買賣點(diǎn)位顯示雖然能準(zhǔn)確顯示,但執(zhí)行有問題,經(jīng)常出現(xiàn)已經(jīng)顯示的買賣和平倉(cāng)點(diǎn)位沒被執(zhí)行的情況,此外,時(shí)間平倉(cāng)條件也經(jīng)常漏執(zhí)行。我把問題反映給李凱老師,他說按文檔里的模板格式來寫試試看,但我不太熟悉模板寫法,所以請(qǐng)高手幫忙一下。謝謝!
INPUT:B1(20,-100,100);
INPUT:B2(15,-100,100);
INPUT:B3(10,-100,100);
LS:=(HIGH+LOW+CLOSE)/3;
LC:=REF(LS,1);
R:=SMA(MAX(LS-LC,0),14,1)/SMA(ABS(LS-LC),14,1)*100;
RL:=R-REF(R,1);
F1:="VRL.RL#MIN15">=B1 AND "VRL.RL#MIN30">=B2 AND "VRL.RL#MIN60">=B3;
F2:="VRL.RL#MIN15"<=-B2 AND "VRL.RL#MIN30"<B3;
F3:="VRL.RL#MIN15"<=-B1 AND "VRL.RL#MIN30"<=-B2 AND "VRL.RL#MIN60"<=-B3;
F4:="VRL.RL#MIN15">=B2 AND "VRL.RL#MIN30">B3;
COND1:=F1 AND TIME>=090600 AND TIME<=145500;//開多
COND2:=F2 OR TIME>=145900;//平多
COND3:=F3 AND TIME>=090600 AND TIME<=145500;//開空
COND4:=F4 OR TIME>=145900;//平空
BUY(COND1 AND HOLDING=0,1,MARKET),ORDERQUEUE;
SELL(COND2,1,MARKET),ORDERQUEUE;
BUYSHORT(COND3 AND HOLDING=0 ,1,MARKET),ORDERQUEUE;
SELLSHORT(COND4,1,MARKET),ORDERQUEUE;
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?來源:程序化久久網(wǎng)( www.tumamayizhan.com )
是1分鐘運(yùn)行,1秒內(nèi)立即發(fā)出
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小周期引用大周期數(shù)據(jù),引用的是未來數(shù)據(jù),會(huì)造成信號(hào)消失.
圖表程序化交易,信號(hào)消失了就等于策略認(rèn)為你沒動(dòng)作
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