[源码分享] 双均线SAR组合策略+止损附源码 [推广有奖]

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挖矿专家 发表于 2017-3-27 15:36:21 |AI写论文

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利用双均线系统决定入场，利用SAR决定出场，同时利用ATR进行止损和加仓控制。

回测曲线（由Auto-trader提供回测报告）

双均线SAR组合+ATR止损.png

策略源码：

function sjx1sarlossadd(freq) %
%freq为输入频率
%反手策略
%双均线+SAR策略：双均线决定入场，SAR定出场。MA(5)>MA（10），做多，SAR由空转多，平空做多，SAR由多转空，平多做空。
targetList = traderGetTargetList();
HandleList = traderGetHandleList();
global record;
for i=1:length(targetList)
marketposition=traderGetAccountPosition(HandleList(1),targetList(i).Market,targetList(i).Code);
barnum=traderGetCurrentBar(targetList(i).Market,targetList(i).Code);
len=90;
dlen=90;
[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
[sarc,sarn,pos,turn]=SAR(high,low);
ma5=MA(Dclose,5);
ma20=MA(Dclose,20);
con1=ma5(end)>ma20(end);%做多
con2=ma5(end)<ma20(end);%做空
N=barnum-record{i}.entrybar;
if record{i}.entrybar==0
N=15;
end
N=max(N,15);
N=min(N,50);
con20=sum(pos(end-N:end-4)==-1)>=fix(N*0.8)&&sum(pos(end-3:end)==1)>=3;%空转多，反转做多
con10=sum(pos(end-N:end-4)==1)>=fix(N*0.8)&&sum(pos(end-3:end)==-1)>=3;%多转空，反转做空
%--止损线
ATR=ATR(Dhigh,Dlow,Dclose,20);
%-满仓上移止损线
if record{i}.m>4
if close(end)>record{i}.entryp+2*ATR(end)&&(marketposition>0)
record{i}.entryp= record{i}.entryp+2*ATR(end);
elseif close(end)<record{i}.entryp-2*ATR(end)&&(marketposition<0)
record{i}.entrp= record{i}.entryp-2*ATR(end);
end
end
%入场
sharenum=5;
%---------------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);
record{i}.entrybar=barnum;
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);
record{i}.entrybar=barnum;
end
end
%--加仓
%-----------------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);
record{i}.entrybar=barnum;
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);
record{i}.entrybar=barnum;
end
end
%-------------------------止损出场--------------------%
%做多平仓
if marketposition>0&&record{i}.m~=0
if close(end)<record{i}.entryp-0.5*ATR(end)||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+0.5*ATR(end)||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
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