【每日一策】Matlab量化交易策略之 LLT原始-经管之家官网！

策略思路：
LLT择时模型，低延迟趋势线，利用最近20个LLT指标数值，大部分LLT呈现上涨（斜率为正），做多；大部分下跌（斜率为负），做空；反向出场。
回测曲线（由Auto-Trader提供回测报告）：
策略代码：
function LLTg(freq)targetList = traderGetTargetList();HandleList = traderGetHandleList();for i=1:length(targetList) marketposition=traderGetAccountPosition(HandleList(1),targetList(i).Market,targetList(i).Code); barnum=traderGetCurrentBar(targetList(i).Market,targetList(i).Code); len=60; dlen=60; [time,open,high,low,close,volume,turnover,openinterest] = traderGetKData(targetList(i).Market,targetList(i).Code,'min',freq, 0-len, 0,false,'FWard'); [Dtime,Dopen,Dhigh,Dlow,Dclose,Dvolume,Dturnover,Dopeninterest] = traderGetKData(targetList(i).Market,targetList(i).Code,'day',1, 0-dlen, 0,false,'FWard'); if length(close)<len+1||length(Dclose)<dlen+1 continue; end a=2/(1+30);%d=30 %计算操作指标 lltv=LLT(close,a); k=lltv(2:end)>lltv(1:end-1); con1=sum(k(end-20:end))>=fix(0.9*21)&&k(end)==1;%斜率为正，上升阶段 con2=sum(k(end-20:end))>=fix(0.1*21)&&k(end)==0; %斜率为负，下降阶段 shareNum=1; %% ifmarketposition==0 if con1 % traderBuy(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','buy');%开多单 orderID = traderBuy(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','1'); elseif con2 orderID = traderSellShort(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','1'); end end ifmarketposition>0 &&con2 order= traderPositionTo(HandleList(1),targetList(i).Market,targetList(i).Code,0,0,'market','sell');%平多单 end ifmarketposition<0 &&con1 traderBuyToCover(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','buytocover');%平空单 end endendfunction LLTv=LLT(price,a)LLTv=zeros(length(price),1);LLTv(1:2)=price(1:2);for i=3:length(price) LLTv(i)=(a-a^2/4)*price(i)+(a^2/2)*price(i-1)-(a-3*a^2/4)*price(i-2)+2*(1-a)*LLTv(i-1)-(1-a)^2*LLTv(i-2);endend
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