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标题: 网格资金管理策略（附源码） [打印本页]

作者: sdfg123 时间: 2017-2-28 16:18
标题: 网格资金管理策略（附源码）
策略原理：
      将资金分为N份，采取随机抛点的形式入场，止损为10%，止盈为11%
      如果该份资金获利超过11%，则上移止盈止损线，且启动下一份资金抛点入场。
      只有多头入场

策略代码：

function Strategy1(default_unit,default_exitway,freq)%

targetList = traderGetTargetList();

%获取目标资产信息

HandleList = traderGetHandleList();

%获取账户句柄

global entrybar;

global record;

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=90;

dlags=20;

barnum=traderGetCurrentBar(targetList(k).Market,targetList(k).Code);

%数据长度限制

if(barnum<lags)

continue;

end

if(barnum<dlags)

continue;

end

%获取K线数据

[time,open,high,low,close,volume,turnover,openinterest] = traderGetKData(targetList(k).Market,targetList(k).Code,'min',freq, 0-lags, 0,false,'FWard');

if length(close)<lags

continue;

end;

%-------------------------交易逻辑-------------------------------%

%----------入场信号--------------------%

stoplossratio=0.01;

stopearnratio=0.011;

remain_num=find(record.isopen==1);

remain.isopen=record.isopen(remain_num);

remain.isearn=record.isearn(remain_num);

remain.pivotprice=record.pivotprice(remain_num);

remain.entrybar=record.entrybar(remain_num);

remain.unit=record.unit(remain_num);

[ValidCash,MarketCap,OrderFrozen,MarginFrozen,PositionProfit] = traderGetAccountInfo(HandleList(1));

[~,~,Multiple,~,~,~,~,~,~] = traderGetFutureInfo(targetList(k).Market,targetList(k).Code);

remain_share=10-length(remain_num);

con1=0;

if remain_share~=0;

con1=1;

buyunit=fix(ValidCash/remain_share/close(end)/Multiple);

end;

for i=1:length(remain_num)

index=remain_num(i);

% barsinceentry=barnum-remain.entrybar(i);

% [~,entryopen,entryhigh,entrylow,entryclose,~,~,~] = traderGetKData(targetList(k).Market,targetList(k).Code,'min',freq, 0-barsinceentry, 0,false,'FWard');

% enterprice=entryclose(1);

if close(end)<remain.pivotprice(i)-stoplossratio*remain.pivotprice(i) % 触发止损线

orderID2=traderDirectSell(HandleList(1),targetList(k).Market,targetList(k).Code,remain.unit(i),0,'market','sell');

if orderID2==0

continue;

end;

record.isopen(index)=0;

elseif close(end)>remain.pivotprice(i)+stopearnratio*remain.pivotprice(i) % 触发止盈线

record.pivotprice(index)=close(end);

record.isearn(index)=2;

end;

con2=randi([1 10],1,1)==1;

con3=isempty(find(remain.isearn==1,1));

buycon=con1 && con2 && con3;

%---------------------------入场操作--------------------------------%

if buycon

orderID1=traderDirectBuy(HandleList(1),targetList(k).Market,targetList(k).Code,buyunit,0,'market','buy');

if orderID1==0

continue;

end;

record.pivotprice=[record.pivotprice,close(end)];

record.isearn=[record.isearn,1];

record.isopen=[record.isopen,1];

record.unit=[record.unit,buyunit];

record.entrybar=[record.entrybar,barnum];

end;

end

作者: sdfg123 时间: 2017-3-1 12:56
策略源码下载：ww w.atrader.com.cn/stra.php?mod=model&pid=150

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