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简介： 量价因子组合
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(*backtest
start: 2018-01-01 00:00:00
end: 2021-06-30 23:59:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_OKCoin","currency":"BTC_USD","stocks":10}]
args: [["percent",5],["ContractType","quarter",126961]]
*)
VARIABLE:LOWERAFTERENTRY:0;
VARIABLE:HIGHERAFTERENTRY:0;
VARIABLE:MYPRICE2:0;
VARIABLE:MYPRICE3:0;
TRS:=60; //跟踪止损比例.
// 指标计算
//交易量
//LOTS:=MAX(1,INTPART(percent/100*MONEY/(C*MARGIN*UNIT)));//金本
LOTS:=MAX(1,INTPART(percent/100*MONEY*C/(MARGIN*UNIT)));//币本
MA1:=EMA(REF(C,1),240);
OPD:=BARSLAST(DATE<>REF(DATE,1))+1;
OO:=VALUEWHEN(OPD=1,O);
RANGE1:= HIGH - LOW;
UPAVG^^HHV(((REF(HIGH,1)+REF(CLOSE,1))-(2*REF(CLOSE,1)))+OO, LENGE);
LOWAVG^^LLV(((REF(CLOSE,1)+REF(LOW,1))-(2*REF(CLOSE,1)))+OO, LENGE);
MEDIANPRICE:= (HIGH + LOW)*0.5;
UPBAND^^ MEDIANPRICE > REF(HIGH,1) AND RANGE1 > REF(RANGE1,1);
DOWNBAND^^MEDIANPRICE < REF(LOW,1) AND RANGE1 > REF(RANGE1,1);
// 多头入场
BKVOL <> 1 AND REF(C,1)>MA1 AND REF(UPBAND,1) AND REF(CLOSE,1) > REF(UPAVG,1),BPK(LOTS);
IF BKVOL <> 1 AND REF(C,1)>MA1 AND REF(UPBAND,1) AND REF(CLOSE,1) > REF(UPAVG,1) THEN BEGIN
LOWERAFTERENTRY:=LOW;
END
// 空头入场
SKVOL <> -1 AND REF(C,1)<MA1 AND REF(DOWNBAND,1) AND REF(CLOSE,1) < REF(LOWAVG,1),SPK(LOTS);
IF SKVOL <> -1 AND REF(C,1)<MA1 AND REF(DOWNBAND,1) AND REF(CLOSE,1) < REF(LOWAVG,1) THEN BEGIN
HIGHERAFTERENTRY:=HIGH;
END
//------------------------------------------------------------------------------------------------
//记录入场后的最高价和最低价
//------------------------------------------------------------------------------------------------
CLOSELP:=REF(CLOSE,1);
IF SKVOL = 1 AND BKVOL=0 THEN BEGIN
HIGHERAFTERENTRY:=MIN(HIGHERAFTERENTRY,H);
END
IF SKVOL = 1 AND BKVOL=0 THEN BEGIN
LOWERAFTERENTRY:=LOWERAFTERENTRY;
END
IF BKVOL =1 AND SKVOL = 0 THEN BEGIN
LOWERAFTERENTRY:=MAX(LOWERAFTERENTRY,L);
END
IF BKVOL =1 AND SKVOL = 0 THEN BEGIN
HIGHERAFTERENTRY:=HIGHERAFTERENTRY;
END
IF BKVOL > 0 OR SKVOL>0 AND BARPOS>0 THEN BEGIN
HIGHERAFTERENTRY:=MIN(HIGHERAFTERENTRY,REF(HIGH,1));
LOWERAFTERENTRY:=MAX(LOWERAFTERENTRY, REF(L,1));
END
IF SKVOL=0 AND BKVOL=0 THEN BEGIN // 自适应参数默认值；
LIQKA:= 1;
END
IF (SKVOL>0 OR BKVOL>0) THEN BEGIN //当有持仓的情况下，LIQKA会随着持仓时间的增加而逐渐减小，即止损止盈幅度乘数的减少。
LIQKA:=LIQKA - 0.1;
LIQKA:=MAX(LIQKA,0.5);
END
IF BKVOL>0 THEN BEGIN
DLIQPOINT:= LOWERAFTERENTRY - (OPEN*TRS/1000)*LIQKA; //经过计算，这根吊灯出场线会随着持仓时间的增加变的越来越敏感；
END
IF SKVOL>0 THEN BEGIN
KLIQPOINT: HIGHERAFTERENTRY + (OPEN*TRS/1000)*LIQKA; //经过计算，这根吊灯出场线会随着持仓时间的增加变的越来越敏感；
END
//------------------------------------------------------------------------------------------------
//跟踪止损
//------------------------------------------------------------------------------------------------
// 持有多单时 价格下破自适应出场均线，平多单
IF BKVOL >0 AND BARSBK >0 AND C <= DLIQPOINT AND REF(C,1) >= REF(DLIQPOINT,1) AND DLIQPOINT>0 THEN BEGIN
1,SP(BKVOL);
END
// 持有空单时 价格上破自适应出场均线，平空单
IF SKVOL >0 AND BARSSK >0 AND C >= KLIQPOINT AND REF(C,1) <= REF(KLIQPOINT,1) AND KLIQPOINT>0 THEN BEGIN
1,BP(SKVOL);
END