〖量化机械交易系统〗均值回归系统波段代码合集 文华财经WT8版
注意：本模型源码用于文华财经赢智WH8软件。
《机械交易系统》的核心思想是通过建立和遵循机械化的交易系统，消除交易中的情绪干扰和主观判断，从而实现长期稳定的交易结果。威斯曼强调，成功的交易依赖于明确的规则、严格的风险管理和一致性的执行。
下面给大家分享的策略，是书中均值回归系统的策略，供大家参考研究学习，祝大家早日财务自由。
策略源码
//200过滤相对强弱LEN:=14;
LC := REF(CLOSE,1);
RSI := SMA(MAX(CLOSE-LC,0),LEN,1)/SMA(ABS(CLOSE-LC),LEN,1)*100;
MA200:MA(C,200);
RSI<35 AND C>MA200,BPK;
RSI>60,SP;
RSI>65 AND C<MA200,SPK;
RSI<40,BP;
C<=(BKPRICE-BKPRICE*0.03) ,SP;
C>=(SKPRICE+SKPRICE*0.03),BP;
SETSIGPRICETYPE(BPK,LIMIT_ORDER);
SETSIGPRICETYPE(SPK,LIMIT_ORDER);
SETSIGPRICETYPE(BP,LIMIT_ORDER);
SETSIGPRICETYPE(SP,LIMIT_ORDER);
AUTOFILTER;
//200过滤BOLLN:=26;
M:=26;
P:=2;
MID:MA(CLOSE,N);
TMP2:=STD(CLOSE,M);
TOP:MID+P*TMP2;
BOTTOM:MID-P*TMP2;
MA200:MA(C,200);
CROSS(BOTTOM,C) AND C>MA200,BPK;
C>MID,SP;
CROSS(C,TOP) AND C<MA200,SPK;
C<MID,BP;
C<=(BKPRICE-BKPRICE*0.03) ,SP;
C>=(SKPRICE+SKPRICE*0.03),BP;
SETSIGPRICETYPE(BPK,LIMIT_ORDER);
SETSIGPRICETYPE(SPK,LIMIT_ORDER);
SETSIGPRICETYPE(BP,LIMIT_ORDER);
SETSIGPRICETYPE(SP,LIMIT_ORDER);
AUTOFILTER;
//200过滤CCIN:=9;
M1:=3;
M2:=3;
RSV:=(CLOSE-LLV(LOW,N))/(HHV(HIGH,N)-LLV(LOW,N))*100;
K:=SMA(RSV,M1,1);
D:=SMA(K,M2,1);
J:=3*K-2*D;
TYP:=(CLOSE+HIGH+LOW)/3;
CCI:=(TYP-MA(TYP,14))/(0.015*AVEDEV(TYP,14));
D<15 AND CCI<-100 ,BPK;
D>50,SP;
D>85 AND CCI>100,SPK;
D<50,BP;
SETSIGPRICETYPE(BPK,LIMIT_ORDER);
SETSIGPRICETYPE(SPK,LIMIT_ORDER);
SETSIGPRICETYPE(BP,LIMIT_ORDER);
SETSIGPRICETYPE(SP,LIMIT_ORDER);
AUTOFILTER;
//该策略用于文华财经WT8软件。下面是一些常用的其他平仓指令，方便大家调整平仓条件。
//点数止损止盈M1:=10;
//止损M2:=50;
//止盈BKPRICE-M1*MINPRICE>=C ,SP;
//C>=BKPRICE+M2*MINPRICE ,SP;
//C>=SKPRICE+M1*MINPRICE,BP;
//SKPRICE-M2*MINPRICE>=C,BP;
////幅度止损止盈M3:=3;
//3%止损M4:=3;
//3%止赢C<=(BKPRICE-BKPRICE*0.01*M3) ,SP;
//止损C>=(SKPRICE+SKPRICE*0.01*M3),BP;
C>=(BKPRICE+BKPRICE*0.01*M4) ,SP;
//止赢C<=(SKPRICE-SKPRICE*0.01*M4),BP;
//持有N个周期平仓N:=10;
BARSBK>=N,SP;
BARSSK>=N,BP;
