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雷达卡
策略原理：
20均线为中轴，上下一个单位的标准差构成一个均线通道
多头入场：价格突破通道上轨，且成为近期高点
空头入场：价格突破通道下轨，且成为近期低点
加仓：价格每变动2倍ATR
出场：动态跟踪止损
回测曲线（由Auto-Trader提供回测报告）
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=11; 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 || length(Dclose)<dlags continue; end % 虚拟交易所初始手数 totalunit=0; %-------------------------交易逻辑-------------------------------% %----------入场信号--------------------%% len=80;% p=0.3; ma0=ma(close,5); ma1=ma(close,20); std1=stdev(close,20); upline=ma1+std1; dnline=ma1-std1;% HC=max(Dclose(end-len:end-1));% LC=min(Dclose(end-len:end-1));% HH=max(Dhigh(end-len:end-1));% LL=min(Dlow(end-len:end-1));% range=max(HH-LC,HC-LL);% upline=Dopen(end)+range*p1;% dnline=Dopen(end)-range*p2;% HH=max(high(end-len+1:end));% LL=min(low(end-len+1:end));% con1=close(end)<LL+p*(HH-LL);% con2=close(end)>HH-p*(HH-LL);% con3=ma0(end)>ma1(end) && ma0(end-1)<ma1(end-1);% con4=ma0(end)<ma1(end) && ma0(end-1)>ma1(end-1);% s(1).buycon=con1 && con3;% s(1).sellshortcon=con2 && con4; len1=20; con1=ma0(end)>upline(end); con2=ma0(end)<dnline(end); con3=close(end)>max(close(end-len1+1:end-1)); con4=close(end)<min(close(end-len1+1:end-1)); s(1).buycon=con1 && con3; s(1).sellshortcon=con2 && con4; %----------主动出场信号----------------% s(1).sellcon=0; s(1).buytocovercon=0; %------------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 barsinceentry=barnum-remain.entrybar(i); backlen=10; % 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=2; AF=0.02; 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; initialATRparam=1.4; AF=0.02; minATRparam=1; [longstopcon,shortstopcon,exitline]=exit2(backopen,backhigh,backlow,backclose,remain.entrydirection(i),backlen,initialATRparam,AF,minATRparam); 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 --------------------% %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(2).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(2).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; %----------------策略2----------------------% if s(2).sellcon && s(2).marketposition>0 totalunit=totalunit-s(2).marketposition; % 把已经平掉的订单的开关关掉 for j=1:length(s(2).num) entry.record{k}(remain.num(s(2).num(j)))=0; end; end; if s(2).buytocovercon && s(2).marketposition<0 totalunit=totalunit+s(2).marketposition; % 把已经平掉的订单的开关关掉 for j=1:length(s(2).num) entry.record{k}(remain.num(s(2).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); % 找到最近的加仓点和加仓价格 if s(1).marketposition~=0; lastentrybar=max(remain.entrybar(s(1).num)); lastbarsinceentry=barnum-lastentrybar; lastentryprice=open(end-lastbarsinceentry+1); vector=remain.entrydirection(s(1).num); lastdirection=vector(end); TRvalue=TR(close,high,low); ATR=ma(TRvalue,10); s(1).addbuycon=0; s(1).addsellshortcon=0; if lastdirection>0 s(1).addbuycon=close(end)-lastentryprice>2*ATR(end); elseif lastdirection<0 s(1).addsellshortcon=lastentryprice-close(end)>2*ATR(end); end; %---------------加仓操作-------------------------% if s(1).addbuycon && s(1).marketposition>=default_unit && s(1).marketposition<default_unit*2 addbuyunit=default_unit*0.5; totalunit=totalunit+addbuyunit; [~]=entryalter(k,barnum,1,1,addbuyunit,5,1); % 合约号,barnum,方向,开关,手数,出场,策略 end; if s(1).addsellshortcon && s(1).marketposition<=-default_unit && s(1).marketposition>-default_unit*2 addsellshortunit=default_unit*0.5; totalunit=totalunit-addsellshortunit; [~]=entryalter(k,barnum,-1,1,addsellshortunit,5,1); % 合约号,barnum,方向,开关,手数,出场,策略 end; end; %---------------------------入场操作--------------------------------% %----------------策略1----------------------% if s(1).buycon && s(1).marketposition==0 buyunit=default_unit; totalunit=totalunit+buyunit; [~]=entryalter(k,barnum,1,1,buyunit,default_exitway,1); % 合约号,barnum,方向,开关,手数,出场,策略 end; if s(1).sellshortcon && s(1).marketposition==0 sellshortunit=default_unit; totalunit=totalunit-sellshortunit; [~]=entryalter(k,barnum,-1,1,sellshortunit,default_exitway,1); % 合约号,barnum,方向,开关,手数,出场,策略 end; %{ %----------------策略2----------------------% if s(2).buycon && s(2).marketposition==0 buyunit=default_unit; totalunit=totalunit+buyunit; [~]=entryalter(k,barnum,1,1,buyunit,default_exitway,2); % 合约号,barnum,方向,开关,手数,出场,策略 end; if s(2).sellshortcon && s(2).marketposition==0 sellshortunit=default_unit; totalunit=totalunit-sellshortunit; [~]=entryalter(k,barnum,-1,1,sellshortunit,default_exitway,2); % 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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