[源码分享] 【每日一策】Matlab量化交易策略之开盘突破+加仓 [推广有奖]

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挖矿专家 发表于 2017-3-15 10:53:41 |AI写论文

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策略思路：

今天的开盘价作为标杆，收盘价上穿做多，下穿做空，并加上由20日ATR控制的止损和加仓。

回测曲线（由Auto-Trader提供回测报告）：

开盘突破+加仓.png

策略源码：

function kptopLossAdd(freq) %
%freq为输入频率
%len为计算使用的长度
%band为波动乘数
%shareNum为操作的手数
%%%日内开盘突破策略，改为日内策略
targetList = traderGetTargetList();
HandleList = traderGetHandleList();
global p;
global record;
for i=1:length(targetList)
barnum=traderGetCurrentBar(targetList(i).Market,targetList(i).Code);
marketposition=traderGetAccountPosition(HandleList(1),targetList(i).Market,targetList(i).Code);
len=20;
dlen=30;
[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
%----------------------------日内策略---------------%
gettime=datevec(time);
timenum=gettime(end,4)*100+gettime(end,5);
if timenum>0900&&timenum<1458||timenum<2100&&timenum>2400||timenum>0000&&timenum<0158
cont=1;
else cont=0;
end
% %每天的第一个bar将state全局变量复原,state的作用是保证每天只买卖一次
%每天第一个bar，阳线做多，阴线做空
num=find(time>Dtime(end-1));
p{i}.scon2=0;
p{i}.bcon1=0;
if length(num)==1;
if close(end)>open(end)
p{i}.price=open(end);
p{i}.bcon1=1;
else
p{i}.scon2=1;
p{i}.price=open(end);
end
end
if p{i}.price==0
continue
end
con1=p{i}.bcon1&&close(end)> p{i}.price&&cont;%做多
con2=p{i}.scon2&&close(end)< p{i}.price&&cont;%做空
con10=cont==0||close(end)< p{i}.price;%日内平仓，或者收盘价低于今天开盘价，平多
con20=cont==0||close(end)> p{i}.price;%日内平仓，或收盘价高于今天开盘价，平空
ATR=ATR(Dhigh,Dlow,Dclose,20);
%-------------------------平仓止损--------------------%
%做多平仓
if marketposition>0&&record{i}.m~=0
if close(end)<record{i}.entryp-ATR(end)||cont==0||con10
order= traderPositionTo(HandleList(1),targetList(i).Market,targetList(i).Code,0,0,'market','sell');
if order~=0
record{i}.m=0;
record{i}.entryp=close(end);
end
end
end
if marketposition<0&&record{i}.m~=0
if close(end)>record{i}.entryp+ATR(end)||cont==0||con20
order= traderPositionTo(HandleList(1),targetList(i).Market,targetList(i).Code,0,0,'market','sell');
if order~=0
record{i}.m=0;
record{i}.entryp=close(end);
end
end
end
[~,~,Multiple,MinMove,~,~,~,LongMargin,~] = traderGetFutureInfo(targetList(i).Market,targetList(i).Code);
[cash,~,~,~,~] = traderGetAccountInfo(HandleList(1));
sharenum=cash/close(end)/LongMargin/7/Multiple;
%---------------入场-------------%
if con1&&(record{i}.m==0)&&(marketposition==0)
order=traderBuy(HandleList(1),targetList(i).Market,targetList(i).Code,sharenum,0,'market','buy'); %%%%做多
if order~=0
record{i}.m= record{i}.m+1;
record{i}.entryp=close(end);
end
end
if con2&&(record{i}.m==0)&&(marketposition==0)
order=traderSellShort(HandleList(1),targetList(i).Market,targetList(i).Code,sharenum,0,'market','buy'); %%%%做多
if order~=0
record{i}.m= record{i}.m+1;
record{i}.entryp=close(end);
end
end
%----------------------------加仓---------------------------------%
if close(end)>record{i}.entryp+2*ATR(end)&&(record{i}.m<=4)&&(marketposition>0)
order=traderBuy(HandleList(1),targetList(i).Market,targetList(i).Code,sharenum,0,'market','buy'); %%%%做多
if order~=0
record{i}.m= record{i}.m+1;
record{i}.entryp=close(end);
end
end
if close(end)<record{i}.entryp-2*ATR(end)&&(record{i}.m<=4)&&(marketposition<0)
order=traderSellShort(HandleList(1),targetList(i).Market,targetList(i).Code,sharenum,0,'market','buy'); %%%%做多
if order~=0
record{i}.m= record{i}.m+1;
record{i}.entryp=close(end);
end
end
end
end
function ATRValue=ATR(High,Low,Close,Length)
ATRValue=zeros(length(High),1);
TRValue=zeros(length(High),1);
TRValue(2:end)=max([High(2:end)-Low(2:end) abs(High(2:end)-Close(1:end-1)) abs(Low(2:end)-Close(1:end-1))],[],2);
ATRValue=MA(TRValue,Length);
end
function MAValue=MA(Price,Length)
MAValue=zeros(length(Price),1);
for i=Length:length(Price)
MAValue(i)=sum(Price(i-Length+1:i))/Length;
end
MAValue(1:Length-1)=Price(1:Length-1);
end