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标题: 均线系统策略（附源码） [打印本页]

作者: sdfg123 时间: 2017-3-2 14:11
标题: 均线系统策略（附源码）
策略原理：
      多头入场：5日均线上穿65日均线且当前价格大于200日均线
      空头入场：5日均线下穿65日均线且当前价格小于200日均线
      出场：动态跟踪止损出场

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;

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=200;

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');

[Dtime,Dopen,Dhigh,Dlow,Dclose,Dvolume,~,~] = traderGetKData(targetList(k).Market,targetList(k).Code,'day',1, 0-dlags, 0,false,'FWard');

if legth(close)<lags || length(Dclose)<dlags

continue;

end;

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

%----------入场信号--------------------%

TRvalue=TR(Dclose,Dhigh,Dlow);

ATR=ma(TRvalue,10);

ma2=ma(close,200);

ma0=ma(close,5);

ma1=ma(close,65);

buycon=ma0(end)>ma1(end) && ma0(end-1)<ma1(end-1) && close(end)>ma2(end);

sellshortcon=ma0(end)<ma1(end) && ma0(end-1)>ma1(end-1) && close(end)<ma2(end);

if default_exitway==1

sellcon=ma0(end)<ma1(end) && ma0(end-1)>ma1(end-1);

buytocovercon=ma0(end)>ma1(end) && ma0(end-1)<ma1(end-1);

elseif default_exitway==2

TRvalue=TR(close,high,low);

ATR=ma(TRvalue,4);

barsinceentry=barnum-entrybar(k);

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

range=4*ATR(end-1);

[sellcon,buytocovercon]=exitway1(entryopen,entryclose,entryhigh,entrylow,marketposition,range);

elseif default_exitway==3

barsinceentry=barnum-entrybar(k);

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

enterprice=entryclose(1);

percent=0.5;

ATRparam=1;

sellcon=0;

buytocovercon=0;

if marketposition>0

stoplossprice=enterprice-ATRparam*ATR(end);

stopearnprice=enterprice+ATRparam*ATR(end);

[sellcon,buytocovercon]=exitway3(entryopen,entryclose,entryhigh,entrylow,marketposition,stoplossprice,stopearnprice,percent);

elseif marketposition<0

stoplossprice=enterprice+ATRparam*ATR(end);

stopearnprice=enterprice-ATRparam*ATR(end);

[sellcon,buytocovercon]=exitway3(entryopen,entryclose,entryhigh,entrylow,marketposition,stoplossprice,stopearnprice,percent);

end;

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

if sellcon && marketposition>0

orderID1=traderPositionTo(HandleList(1),targetList(k).Market,targetList(k).Code,0,0,'market','sell');

if orderID1==0

continue;

end;

if buytocovercon && marketposition<0

orderID2=traderPositionTo(HandleList(1),targetList(k).Market,targetList(k).Code,0,0,'market','sell');

if orderID2==0

continue;

end;

if buycon && marketposition<=0

buyunit=default_unit;

orderID3=traderBuy(HandleList(1),targetList(k).Market,targetList(k).Code,buyunit,0,'market','buy');

if orderID3==0

continue;

end;

entrybar(k)=barnum;

end;

if sellshortcon && marketposition>=0

sellshortunit=default_unit;

orderID4=traderSellShort(HandleList(1),targetList(k).Market,targetList(k).Code,sellshortunit,0,'market','sell');

if orderID4==0

continue;

end;

entrybar(k)=barnum;

end;

end

作者: sdfg123 时间: 2017-3-3 14:08

策略源码下载：http://www.atrader.com.cn/stra.php?mod=model&pid=145

作者: sdfg123 时间: 2017-3-3 14:10
策略源码下载地址：http://www.atrader.com.cn/stra.php?mod=model&pid=145

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