策略名称
三轨道波动率策略|Three-track Volatility Strategy
策略作者
littleDreamXX
策略描述
[trans]
- K线走完下单：收盘价开仓、平仓
- 数据级别：日K线；
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主图指标显示： MIDTR^^MA(C,CN); // 确定MIDTR UPTR^^MIDTR+2STD(C,CN); // 确定UPTR DOWNTR^^MIDTR-2STD(C,CN); // 确定DOWNTR HPOINT^^HV(H,CN),DOT,COLORRED; // 计算前一周期CN周期内最高价的最大值。 LPOINT^^LV(L,CN),DOT,COLORBLUE; // 计算前一周期CN周期内最低价的最小值。
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副图： 无
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Place order after K line is done, open or close position when closing price is determined
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Data Level: Daily K Line
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Main chart: MIDTR^^MA(C,CN); // Determine MIDTR UPTR^^MIDTR+2STD(C,CN); // Determine UPTR DOWNTR^^MIDTR-2STD(C,CN); // Determine DOWNTR HPOINT^^HV(H,CN), DOT, COLORRED; // Calculate the maximum value of the highest price in the CN cycle of the previous cycle. LPOINT^^LV(L,CN), DOT, COLORBLUE; // Calculate the minimum value of the lowest price in the CN cycle of the previous cycle.
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Secondary chart: none
[/trans]
策略参数
| 参数 | 默认值 | 描述 |
|---|---|---|
| AMOUNT | true | 单仓 |
| N | 20 | 标准差周期数 |
| MINN | 20 | CN最小值 |
| MAXN | 60 | CN最大值 |
| STOPRANGE | 50 | 止损幅度 |
源码 (麦语言)
(*backtest
start: 2017-07-01 00:00:00
end: 2018-11-30 00:00:00
period: 1d
exchanges: [{"eid":"Futures_BitMEX","currency":"XBT_USD"}]
args: [["AMOUNT",1000],["TradeAmount",1000,126961],["ContractType","XBTUSD",126961]]
*)
// 确定CN
// Determine CN
VOLAT:=STD(C,N); // VOLAT（波动率）:M周期收盘价的标准差
// VOLAT(volatility): Standard deviation of closing price in M-cycle
VOLATCHANGE:=(VOLAT-REF(VOLAT,1))/VOLAT; // 2个VOLAT的变化率
// Change rate of two VOLATs
N1:=(1+VOLATCHANGE)*MINN; // VOLATCHANGE ： 波动率变化
// VOLATCHANGE ： Volatility change
N2:=INTPART(N1); // 取整
// Rounding off an integer
N3:=MIN(N2,MAXN); // 确认CN不大于60
// Confirm that CN is no more than 60
CN:=MAX(N3,MINN); // 确认CN不小于20
// Confirm that CN is no less than 20
MIDTR^^MA(C,CN); // 确定MIDTR
// Determine MIDTR
UPTR^^MIDTR+2*STD(C,CN); // 确定UPTR
// Determine UPTR
DOWNTR^^MIDTR-2*STD(C,CN); // 确定DOWNTR
// Determine DOWNTR
HPOINT^^HV(H,CN),DOT,COLORRED; // 计算前一周期CN周期内最高价的最大值。
// see main chart
LPOINT^^LV(L,CN),DOT,COLORBLUE; // 计算前一周期CN周期内最低价的最小值。
// see main chart
// 开仓
// open position
L<=LPOINT AND L<DOWNTR AND BARPOS>MINN,SK(AMOUNT); // 当最低价小于DOWNTR和低点，且K线位置大于60，收盘价卖开
// when the lowest price < the lowest point and DOWNTR,and the K-line position > 60, sell short the closing price
H>=HPOINT AND H>UPTR AND BARPOS>MINN,BK(AMOUNT); // 当最高价大于UPTR和高点，且K线位置大于60，收盘价买开
// when the highest price > UPTR and the highest point, and the K-line position > 60, buy long the closing price
// 启动止损
// start stop loss
C>=SKPRICE*(1+STOPRANGE*0.001),BP(SKVOL);
C<=BKPRICE*(1-STOPRANGE*0.001),SP(BKVOL);
// 平仓
// close position
C<MIDTR,SP(BKVOL); // 当收盘价小于MIDTR，收盘价卖平
// when closing price < MIDTR, sell the closing price
C>MIDTR,BP(SKVOL); // 当收盘价大于MIDTR，收盘价买平
// when closing price > MIDTR, buy to cover the closing price
// 动态止损
// Dynamic stop loss
REF(BKHIGH,1)>BKPRICE*(1+2*0.001*STOPRANGE) AND C<HV(C,BARSBK)*(1-STOPRANGE*0.001),SP(BKVOL); // 买开后最高价大于买开价*(1+2*0.001*STOPRANGE)，且收盘价小于买开后最高收盘价*(1-STOPRANGE*0.001)，收盘价卖平
// the highest price after buying long > buy long price*(1+2*0.001*STOPRANGE), and closing price < the highest closing price after buying long*(1-STOPRANGE*0.001), then sell closing price
REF(SKLOW,1)<SKPRICE*(1-2*0.001*STOPRANGE) AND C>LV(C,BARSSK)*(1+STOPRANGE*0.001),BP(SKVOL); // 卖开后最低价小于卖开价*(1-2*0.001*STOPRANGE)，且收盘价大于卖开后最低收盘价*(1+STOPRANGE*0.001)，收盘价买平
// the lowest price after sellong short < sell short price *(1-2*0.001*STOPRANGE), and closing price > the lowest closing price after selling short*(1+STOPRANGE*0.001), then buy to cover closing price策略出处
https://www.fmz.com/strategy/128129
更新时间
2018-12-18 12:21:38