[源码分享] 【每日一策】Matlab量化交易策略之 Donchian [推广有奖]

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挖矿专家 发表于 2017-3-28 15:17:28 |AI写论文

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策略思路：

突破唐奇安上轨，做多
突破唐奇安下轨，最空
外加atr跟踪止损

回测曲线（由Auto-trader提供回测报告）

策略源码：

function Donchian(Freq,tlen1,tlen2,ShareNum)
% ------------ Retrace Strategy-------------------%
% Freq 为输入时间频率
% tlen1 管道突破入场周期
% tlen2 管道突破出场周期
%---------------------策略初始化与是否日内平仓---------------%
% traderDailyCloseTime(145000);
targetList = traderGetTargetList();
HandleList = traderGetHandleList();
%---------------------策略提取数据---------------%
global s;
n = length(targetList);
for j = 1:n
[marketposition,~,~]=traderGetAccountPosition(HandleList(1),targetList(j).Market,targetList(j).Code);
len = 100;
[time,open,high,low,close,volume,turnover,openinterest] = traderGetKData(targetList(j).Market,targetList(j).Code,'min',Freq, 0-len, 0,false,'FWard');
if length(close)<len+1
return
end
dlen = 10;
[Dtime,Dopen,Dhigh,Dlow,Dclose,Dvolume,Dturnover,Dopeninterest] = traderGetKData(targetList(j).Market,targetList(j).Code,'day',1, 0-dlen, 0,false,'FWard');
if length(Dclose)<dlen+1
return
end
[atr,~] = traderATR(10,targetList(j).Market,targetList(j).Code,'day',1,0-dlen,0,false,'FWard'); % 日ATR
%---------------------策略计算与基本逻辑---------------%
s(j).condition = 0;
if close(end)>max(high(end-tlen1:end-1)) && s(j).condition<=0
s(j).condition = 1;
elseif close(end)<min(low(end-tlen1:end-1)) && s(j).condition>=0
s(j).condition = -1;
end
%----------------------策略主体-------------------------------%
% 入场
if marketposition==0
if s(j).condition == 1
OrderID=traderDirectBuy(HandleList(1),targetList(j).Market,targetList(j).Code,ShareNum,0,'market','buy');
if OrderID~=0
s(j).openprice=traderOrderFilledPrice(HandleList(1),OrderID);
s(j).peak=0;
end
elseif s(j).condition == -1
OrderID=traderDirectSell(HandleList(1),targetList(j).Market,targetList(j).Code,ShareNum,0,'market','buy');
if OrderID~=0
s(j).openprice=traderOrderFilledPrice(HandleList(1),OrderID);
s(j).peak=0;
end
end
end
% 出场
if marketposition>0
if close(end)<min(low(end-tlen2:end-1)) || close(end)<s(j).openprice-2*atr(end) || open(end)-low(end)>1*atr(end)
traderPositionTo(HandleList(1),targetList(j).Market,targetList(j).Code,0,0,'market','close');
end
if s(j).peak==0 && (close(end)-s(j).openprice)>3*atr(end) % 上移止损线
s(j).peak=high(end);
end
if s(j).peak>0
s(j).peak=max(s(j).peak,high(end));
if close(end)<s(j).peak-1.4*atr(end)
traderPositionTo(HandleList(1),targetList(j).Market,targetList(j).Code,0,0,'market','close');
end
end
end
if marketposition<0
if close(end)>max(high(end-tlen2:end-1)) || close(end)>s(j).openprice+2*atr(end) || high(end)-open(end)>1*atr(end)
traderPositionTo(HandleList(1),targetList(j).Market,targetList(j).Code,0,0,'market','close');
end
if s(j).peak==0 && (s(j).openprice-close(end))>3*atr(end) % 上移止损线
s(j).peak=low(end);
end
if s(j).peak>0
s(j).peak=min(s(j).peak,low(end));
if close(end)>s(j).peak+1.4*atr(end)
traderPositionTo(HandleList(1),targetList(j).Market,targetList(j).Code,0,0,'market','close');
end
end
end
end
%----------------------自定义函数-------------------------------%