《短线交易五大绝技》思路分享2日内模型[量化交易文华财经WT8模型]
仅有源码
今天继续分享《短线交易五大绝技》这本书中的交易思路。
市场形态交易系统，交易规则是昨日收阳，今日开盘低于昨日最高价格，今日突破昨日最高价格一定点数多，反之空。
优化方法，考虑星期条件。
策略源码-文华财经T8软件
//短线交易绝技5
切入点数:=5;
NN:=BARSLAST(DATE<>REF(DATE,1) )+1;
H1:REF(HHV(HIGH,30),NN);
L1:REF(LLV(LOW,30),NN);
O1:=VALUEWHEN(DATE<>REF(DATE,1),REF(OPEN,REF(NN,1)));
C1:=VALUEWHEN(DATE<>REF(DATE,1),REF(C,1));
O2:=VALUEWHEN(DATE<>REF(DATE,1),OPEN);
D1:=C1>O1 AND O2<H1 AND H>=(H1+切入点数*MINPRICE);
K1:=C1<O1 AND O2>L1 AND L<=(L1-切入点数*MINPRICE);
SJ:=NOT(ISLASTKLINE);
IF D1 AND H>=(L1+切入点数*MINPRICE) THEN
BEGIN
SJ,BK;
END
IF K1 AND L<=(H1-切入点数*MINPRICE) THEN
BEGIN
SJ,SK;
END
ISLASTKLINE=1,SP;
ISLASTKLINE=1,BP;
C<=(BKPRICE-BKPRICE*0.01) ,SP;
C>=(SKPRICE+SKPRICE*0.01),BP;
SETSIGPRICETYPE(BPK,LIMIT_ORDER);
SETSIGPRICETYPE(SPK,LIMIT_ORDER);
SETSIGPRICETYPE(BK,LIMIT_ORDER);
SETSIGPRICETYPE(SK,LIMIT_ORDER);
SETSIGPRICETYPE(BP,LIMIT_ORDER);
SETSIGPRICETYPE(SP,LIMIT_ORDER);
AUTOFILTER;
T8常用平仓条件
//以下是常用的平仓指令，方便大家构建策略
//1 N周期平仓。
N:=20;
BARSBK>=N,SP;
BARSSK>=N,BP;
AUTOFILTER;
//2 固定点数止损止盈
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;
//3 固定ATR倍数止盈
N:=26;
TR :=MAX(MAX((HIGH-LOW),ABS(REF(CLOSE,1)-HIGH)),ABS(REF(CLOSE,1)-LOW));
ATR :=MA(TR,N);
M3:=50;
C>=BKPRICE+M3*ATR ,SP;//
C<=SKPRICE-M3*ATR,SP;
SKPRICE-M3*ATR>=C,BP;//
SKPRICE+M2*ATR<=C,SP;
//4 移动点数止盈
M:=30;
C<=BKHIGH-M*MINPRICE,SP;
C>=SKLOW+M*MINPRICE,BP;
//5 移动幅度止盈
ZZ:=0.01;
C<=BKHIGH-BKHIGH*ZZ,SP;
C>=SKLOW+SKLOW*ZZ,BP;
//6 移动点数
N:=26;
TR :=MAX(MAX((HIGH-LOW),ABS(REF(CLOSE,1)-HIGH)),ABS(REF(CLOSE,1)-LOW));
ATR :=MA(TR,N);
M:=3;
C<=BKHIGH-ATR*M3,SP;//移动止赢 ATR点数
C>=SKLOW+ATR*M3,BP;
