发帖
雷达卡
改写的“从希尔伯特变化到波浪理论择时”，通过希尔伯特变换得到瞬时周期T，将今日收盘价于T日之前收盘价做对比，若上涨则做多，若下跌则做空。若T过大则舍弃。
回测曲线（由Auto-Trader提供回测报告）
策略代码：
function Hilbert(Freq,shareNum,M,d)% ------------ Hilbert Strategy-------------------%% Freq 为输入时间频率% shareNum 为操作的手数% M 计算希尔伯特变化的截断参数% d 过滤短周期波动的参数%---------------------策略初始化与是否日内平仓---------------%% traderDailyCloseTime(145000); targetList = traderGetTargetList(); HandleList = traderGetHandleList(); [marketposition,~,~]=traderGetAccountPosition(HandleList(1),targetList(1).Market,targetList(1).Code); %---------------------策略提取数据---------------%len = 100;[time,open,high,low,close,volume,turnover,openinterest] = traderGetKData(targetList(1).Market,targetList(1).Code,'min',Freq, 0-len, 0,false,'FWard');if length(close)<len+1 return end%---------------------策略计算与基本逻辑---------------%a = 2/(1+d);HPFv=zeros(1,length(close)); % H浪 HPFv(1:2)=[0 0];for i=3:length(close) HPFv(i)=(1-a/2)^2*(close(i)-2*close(i-1)+close(i-2))+2*(1-a)*HPFv(i-1)-(1-a)^2*HPFv(i-2); endN = 27;hil = zeros(1,N);for j = 1:Nfor r = 1:2*M+1 % 离散希尔伯特变换 hil(j) = hil(j) + HPFv(end-N-1+j-2*M+r)*mu(r,M); endendtempT = zeros(1,N-1);for i = 1:N-1 tempT(i) = 2*pi/ acos( (hil(i)*hil(i+1)+HPFv(end-M-N+i)*HPFv(end-M-N+i+1)) / sqrt( (hil(i)^2+HPFv(end-M-N+i)^2) * (hil(i+1)^2+HPFv(end-M-N+i+1)^2) ) ); % 相角差为瞬时周期 end% tempTT = 0;alpha = 2/N;for i = 1:N-1 T = alpha*tempT(i) + (1-alpha)*T; endT = round(T); % 瞬时周期的EMA平均if (T>=length(close)) return enddelta = close(end) - close(end-T); if delta>=0 if marketposition<=0 orderID = traderBuy(HandleList(1),targetList(1).Market,targetList(1).Code,shareNum,0,'market','开多'); % 开多单 end endif delta<0 if marketposition>=0 orderID = traderSellShort(HandleList(1),targetList(1).Market,targetList(1).Code,shareNum,0,'market','开空'); % 开空单 end endendfunction muv=mu(r,M) if r==M+1 muv = 0; else muv = (1-(-1)^(r-M-1))/(pi*(r-M-r)); end end
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