[源码分享] 【每日一策】Matlab量化交易策略之以小博大_原始 [推广有奖]

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挖矿专家 发表于 2017-3-23 18:38:25 |AI写论文

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策略思路：

收盘价站稳今天开盘价30分钟，做多；反之做空。收盘价低于今日开盘价则多头出场，反之则空头出场，或者收盘前，主动平仓。

回测曲线（由Auto-trader提供回测）

以小博大原始.png

策略源码：

function boda(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
%%%以小博大的日内开盘突破日内策略，30分钟站稳
targetList = traderGetTargetList();
HandleList = traderGetHandleList();
global p;
% global record;
for i=1:length(targetList)
dlen=600;
barnum=traderGetCurrentBar(targetList(i).Market,targetList(i).Code);
marketposition=traderGetAccountPosition(HandleList(1),targetList(i).Market,targetList(i).Code);
len=21;
[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, -20, 0,false,'FWard');
[mtime,mopen,mhigh,mlow,mclose,mvolume,mturnover,mopeninterest] = traderGetKData(targetList(i).Market,targetList(i).Code,'min',1, 0-dlen, 0,false,'FWard');
if length(close)<len+1||length(Dclose)<21||length(mclose)<dlen+1
continue;
end
%----------------------------日内策略---------------%
gettime=datevec(mtime);
timenum=gettime(:,4)*100+gettime(:,5);
%------------------开盘30分钟后进行操作--------------%
if timenum(end)<0945
continue
end
%----------------------找前30分钟的位置-----------------%
id=find(timenum>=0916&timenum<=0945,30,'last');%找最近的前30分钟数据的位置
if length(id)<30
continue
end
p{i}.price=mopen(id(1));%记录开盘价
for k=1:length(id)
p{i}.con=[p{i}.con,mclose(id(k))>p{i}.price];
end
%-----------------------日内策略-----------------------------------------%
if timenum(end)>0900&&timenum(end)<1448||timenum(end)<2100&&timenum(end)>2400||timenum(end)>0000&&timenum(end)<0158
cont=1;
else cont=0;
p{i}.state=0;
p{i}.price=0;
p{i}.con=[];
end
%---------------------进出场指标--------%
con1=sum(p{i}.con)>=30&&cont;%30分钟内价格均在上方，做多
con2=sum(p{i}.con)==0&&cont;%30分钟内价格均在下方，做空
con10=close(end)<p{i}.price||cont==0;
con20=close(end)>p{i}.price||cont==0;
%----------仓位操作-----------%
[~,~,Multiple,MinMove,~,~,~,LongMargin,~] = traderGetFutureInfo(targetList(i).Market,targetList(i).Code);
[cash,~,~,~,~] = traderGetAccountInfo(HandleList(1));
shareNum=cash/close(end)/LongMargin/7/Multiple;
if marketposition==0
if con1
traderBuy(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','buy');%开多单
elseif con2
traderSellShort(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','sellshort');%开空单
end
end
if marketposition>0 && con10
order= traderPositionTo(HandleList(1),targetList(i).Market,targetList(i).Code,0,0,'market','sell');
end
if marketposition<0 && con20
order= traderPositionTo(HandleList(1),targetList(i).Market,targetList(i).Code,0,0,'market','sell');
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