发帖
雷达卡
策略原理：根据均线斜率的变化将市场分为三种情况：上涨，下跌，震荡
上涨：突破布林带上轨做多
下跌：跌破布林带下轨做空
震荡：突破布林带上轨做空，跌破布林带下轨做多
出场：动态止损出场
回测曲线（由Auto-Trader提供回测曲线）
策略源码：
function Strategy1(default_unit,default_exitway,freq)%targetList = traderGetTargetList(); %获取目标资产信息HandleList = traderGetHandleList();%获取账户句柄global entry;for k=1:length(targetList); %--------------------仓位、K线、当前bar的提取-----------------------------% %获取当前仓位 [marketposition,~,~]=traderGetAccountPosition(HandleList(1),targetList(k).Market,targetList(k).Code); %策略中每次取数据的长度 dlags=10; lags=150; barnum=traderGetCurrentBar(targetList(k).Market,targetList(k).Code); %数据长度限制 if(barnum<lags) continue; end %获取K线数据 [time,open,high,low,close,volume,turnover,openinterest] = traderGetKData(targetList(k).Market,targetList(k).Code,'min',freq, 0-lags, 0,false,'FWard');% [Dtime,Dopen,Dhigh,Dlow,Dclose,Dvolume,Dturnover,Dopeninterest] = traderGetKData(targetList(k).Market,targetList(k).Code,'day',1,0-dlags, 0,false,'FWard'); if length(close)<lags continue; end % 虚拟交易所初始手数 totalunit=0; %-------------------------交易逻辑-------------------------------% %----------入场信号--------------------% % pattern recognition BOLLmid=ma(close,20); BOLLup1=BOLLmid+stdev(close,20); BOLLdn1=BOLLmid-stdev(close,20); BOLLup2=BOLLmid+2*stdev(close,20); BOLLdn2=BOLLmid-2*stdev(close,20); ma0=ma(close,10); ma1=ma(close,20); ma2=ma(close,30); slope0=slope(ma0,10); slope1=slope(ma1,10); slope2=slope(ma2,10); if slope0(end)>5 && slope1(end)>5 && slope2(end)>5; pattern=1; elseif slope0(end)<-5 && slope1(end)<-5 && slope2(end)<-5; pattern=2; else pattern=3; end; s(1).buycon=0; s(1).sellshortcon=0; if pattern==1; if close(end)>BOLLup1(end) && close(end-1)<BOLLup1(end-1) s(1).buycon=1; end; elseif pattern==2; if close(end)<BOLLdn1(end) && close(end-1)>BOLLdn1(end-1) s(1).sellshortcon=2; end; elseif pattern==3; if close(end)<BOLLup2(end) && close(end-1)>BOLLup2(end-1) s(1).sellshortcon=3; end; if close(end)>BOLLdn2(end) && close(end-1)<BOLLdn2(end-1) s(1).buycon=3; end; end; %----------主动出场信号----------------% %------------被动出场操作------------------% %找到未平仓的订单 remain=remainorder(entry,k); %对未平仓的订单进行平仓判断及操作 for i=1:length(remain.entrybar); % 进仓以来的bar个数 longstopcon=0; shortstopcon=0; barsinceentry=barnum-remain.entrybar(i); backlen=30; % 回溯的长度(进仓bar之前) % 回溯的信息提取 [backtime,backopen,backhigh,backlow,backclose,~,~,~] = traderGetKData(targetList(k).Market,targetList(k).Code,'min',freq, 0-barsinceentry-backlen, 0,false,'FWard'); % 根据出场方式计算出场条件 if remain.entryexitway(i)==1; AFinitial=0; AFparam=0.02; AFmax=0.2; Firstbarmultp=1; %影响第一根bar的止损价,调高表示可忍受的回撤越多 [longstopcon,shortstopcon,exitline]=exit1(backopen,backhigh,backlow,backclose,remain.entrydirection(i),backlen,AFinitial,AFparam,AFmax,Firstbarmultp); elseif remain.entryexitway(i)==2; initialATRparam=3; AF=0.1; minATRparam=1; [longstopcon,shortstopcon,exitline]=exit2(backopen,backhigh,backlow,backclose,remain.entrydirection(i),backlen,initialATRparam,AF,minATRparam); elseif remain.entryexitway(i)==3; [longstopcon,shortstopcon,exitline]=exit3(backopen,backhigh,backlow,backclose,remain.entrydirection(i),backlen); elseif remain.entryexitway(i)==4 startpoint=10; percent=0.3; TRmutlp=1; [longstopcon,shortstopcon,exitline]=exit4(backopen,backhigh,backlow,backclose,remain.entrydirection(i),backlen,startpoint,percent,TRmutlp); elseif remain.entryexitway(i)==5; stdlen=20; initialstdparam=3; minstdparam=1; AF=0.25; [longstopcon,shortstopcon,exitline]=exit5(backopen,backhigh,backlow,backclose,remain.entrydirection(i),backlen,stdlen,initialstdparam,minstdparam,AF); elseif remain.entryexitway(i)==6; longstopcon=close(end)<BOLLmid(end) && close(end-1)>=BOLLmid(end-1); elseif remain.entryexitway(i)==7; shortstopcon=close(end)>BOLLmid(end) && close(end-1)<=BOLLmid(end-1); elseif remain.entryexitway(i)==8; if remain.entrydirection(i)==1; longstopcon=close(end)>BOLLup2(end) && close(end-1)<=BOLLup2(end-1); elseif remain.entrydirection(i)==-1; shortstopcon=close(end)<BOLLdn2(end) && close(end-1)>=BOLLdn2(end-1); end; end; % 出场执行 if longstopcon totalunit=totalunit-remain.entryunit(i); entry.record{k}(remain.num(i))=0; end; if shortstopcon totalunit=totalunit+remain.entryunit(i); entry.record{k}(remain.num(i))=0; end; end; %------------------- 主动出场操作 --------------------% %{ s(1).sellcon=close(end)>upline(end); s(1).buytocovercon=close(end)<dnline(end); %再次找到未平仓的订单 remain=remainorder(entry,k); % 找到策略i的marketposition s=mptaking(s,remain); %----------------策略1----------------------% if s(1).sellcon && s(1).marketposition>0 totalunit=totalunit-abs(s(1).marketposition); % 把已经平掉的订单的开关关掉 for j=1:length(s(1).num) entry.record{k}(remain.num(s(1).num(j)))=0; end; end; if s(1).buytocovercon && s(1).marketposition<0 totalunit=totalunit+abs(s(1).marketposition); % 把已经平掉的订单的开关关掉 for j=1:length(s(1).num) entry.record{k}(remain.num(s(1).num(j)))=0; end; end; %} %---------------------------加仓--------------------------------% %----------------策略1----------------------% %再次找到未平仓的订单 remain=remainorder(entry,k); % 找到策略i的marketposition s=mptaking(s,remain); %---------------------------入场操作--------------------------------% %----------------策略1----------------------% if s(1).buycon==1 && s(1).marketposition==0 buyunit=default_unit; totalunit=totalunit+buyunit; [~]=entryalter(k,barnum,1,1,buyunit,6,1); % 合约号,barnum,方向,开关,手数,出场,策略 end; if s(1).sellshortcon==2 && s(1).marketposition==0 sellshortunit=default_unit; totalunit=totalunit-sellshortunit; [~]=entryalter(k,barnum,-1,1,sellshortunit,7,1); % 合约号,barnum,方向,开关,手数,出场,策略 end; if s(1).buycon==3 && s(1).marketposition==0 buyunit=default_unit; totalunit=totalunit+buyunit; [~]=entryalter(k,barnum,1,1,buyunit,8,1); % 合约号,barnum,方向,开关,手数,出场,策略 end; if s(1).sellshortcon==3 && s(1).marketposition==0 sellshortunit=default_unit; totalunit=totalunit-sellshortunit; [~]=entryalter(k,barnum,-1,1,sellshortunit,8,1); % 合约号,barnum,方向,开关,手数,出场,策略 end; %---------------------- 虚拟交易所最终执行买卖 ------------------------------% if totalunit>0 orderID1=traderDirectBuy(HandleList(1),targetList(k).Market,targetList(k).Code,abs(totalunit),0,'market','totalbuy'); elseif totalunit<0 orderID2=traderDirectSell(HandleList(1),targetList(k).Market,targetList(k).Code,abs(totalunit),0,'market','totalsell'); end;endend
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