[源码分享] 【每日一策】Matlab量化交易策略之以小博大策略（加止损） [推广有奖]

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挖矿专家 发表于 2017-3-29 16:37:31 |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。同时加入ATR止损机制。

回测曲线（由Auto-trader提供回测报告）

以小博大+止损.png

策略源码：

function bodaLoss(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
%%%NEWS系统
targetList = traderGetTargetList();
HandleList = traderGetHandleList();
global p;
global record;
for i=1:length(targetList)
dlen=60;
barnum=traderGetCurrentBar(targetList(i).Market,targetList(i).Code);
marketposition=traderGetAccountPosition(HandleList(1),targetList(i).Market,targetList(i).Code);
len=20;
[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);
p{i}.price=0;
p{i}.con=[];
%------------------开盘30分钟后进行操作--------------%
if timenum(end)<0945
continue
end
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{k}.price=0;
p{k}.con=[];
end
%---------------------进出场指标--------%
ATR=ATR(Dhigh,Dlow,Dclose,20);
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=cont==0;
con20=cont==0;
%-------------------------平仓止损--------------------%
%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
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);
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);
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