[源码分享] 【每日一策】Matlab量化交易策略之超常交易机会 [推广有奖]

0关注
74粉丝

讲师

22%

还不是VIP/贵宾

威望: 0 级
论坛币: 2016 个
通用积分: 5.2622
学术水平: 21 点
热心指数: 21 点
信用等级: 21 点
经验: 6055 点
帖子: 403
精华: 0
在线时间: 151 小时
注册时间: 2017-2-8
最后登录: 2017-6-27

楼主

挖矿专家 发表于 2017-4-5 15:20:10 |AI写论文

是否 +2 论坛币

k人参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

策略原理：
      以50日均线上下一定百分比构造通道
      突破上轨做多，跌破下轨做空
      动态跟踪止损出场

回测曲线（由 Auto-trader 提供回测报告）

超常交易机会.png

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;
global highbreak;
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=20;
lags=80;
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
%-------------------------交易逻辑-------------------------------%
%----------入场信号--------------------%
percent=0.03;
ma0=ma(close,7);
ma1=ma(close,50);
upline=ma1*(1+percent);
dnline=ma1*(1-percent);
s(1).buycon=ma0(end)>upline(end) && ma0(end-1)<upline(end-1);
s(1).sellshortcon=ma0(end)<dnline(end) && ma0(end-1)>dnline(end-1);
%------------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=20; % 回溯的长度(进仓bar之前)
longstopcon=0;
shortstopcon=0;
% 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;
stdlen=19;
initialstdparam=2;
minstdparam=1;
AF=0.2;
[longstopcon,shortstopcon,exitline]=exit5(backopen,backhigh,backlow,backclose,remain.entrydirection(i),backlen,stdlen,initialstdparam,minstdparam,AF);
elseif remain.entryexitway(i)==6;
if remain.entrydirection(i)==1;
longstopcon=ma0(end)<upline(end);
elseif remain.entrydirection(i)==-1;
shortstopcon=ma0(end)>dnline(end);
end;
end;
% 出场执行
if longstopcon
orderID1=traderDirectSell(HandleList(1),targetList(k).Market,targetList(k).Code,remain.entryunit(i),0,'market','totalbuy');
entry.record{k}(remain.num(i))=0;
end;
if shortstopcon
orderID1=traderDirectBuy(HandleList(1),targetList(k).Market,targetList(k).Code,remain.entryunit(i),0,'market','totalbuy');
entry.record{k}(remain.num(i))=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);
%---------------------------入场操作--------------------------------%
%----------------策略1----------------------%
if s(1).buycon && s(1).marketposition==0
buyunit=default_unit;
orderID1=traderDirectBuy(HandleList(1),targetList(k).Market,targetList(k).Code,buyunit,0,'market','totalbuy');
[~]=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;
orderID1=traderDirectSell(HandleList(1),targetList(k).Market,targetList(k).Code,sellshortunit,0,'market','totalbuy');
[~]=entryalter(k,barnum,-1,1,sellshortunit,default_exitway,1);
% 合约号,barnum,方向,开关,手数,出场,策略
end;
end
end