增加交易策略、交易指标、量化库代码等文件夹
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1.交易策略/1.CTA策略/1.松鼠策略/8.松鼠SF17_一个穿越牛熊的普适策略/使用文稿/TBQ/源码.doc
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1.交易策略/1.CTA策略/1.松鼠策略/8.松鼠SF17_一个穿越牛熊的普适策略/使用文稿/TBQ/源码.doc
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1.交易策略/1.CTA策略/1.松鼠策略/8.松鼠SF17_一个穿越牛熊的普适策略/使用文稿/TBQ/源码多.txt
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1.交易策略/1.CTA策略/1.松鼠策略/8.松鼠SF17_一个穿越牛熊的普适策略/使用文稿/TBQ/源码多.txt
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//------------------------------------------------------------------------
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// <20><><EFBFBD><EFBFBD>: VIP17_duo
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// <20><><EFBFBD><EFBFBD>: VIP17_duo
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// <20><><EFBFBD><EFBFBD>: <20><>ʽӦ<CABD><D3A6>
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// <20><><EFBFBD><EFBFBD>: <20>û<EFBFBD>Ӧ<EFBFBD><D3A6>
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// <20><><EFBFBD><EFBFBD>: Void
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//------------------------------------------------------------------------
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Params
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Numeric Fund(20000); // Ͷ<>뱣֤<EBB1A3><D6A4>
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Vars
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Numeric Lots(0); // <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
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Numeric totalScore(5); // <20><><EFBFBD>ַ<EFBFBD><D6B7><EFBFBD><EFBFBD><EFBFBD>ֵ<EFBFBD><D6B5>Ŀǰ<C4BF><C7B0><EFBFBD>ǵ<EFBFBD>Ȩ<EFBFBD><C8A8><EFBFBD>䣬<EFBFBD>ܹ<EFBFBD>6<EFBFBD><36>ָ<EFBFBD>꼰6<EABCB0>֡<EFBFBD>
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Numeric rpmPeriod(14); // RPM Period
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Numeric bboPeriod(16); // BBO Period
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Numeric macdFastPeriod(12); // MACD Fast Period
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Numeric macdSlowPeriod(24); // MACD Slow Period
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Numeric macdSignalPeriod(9); // MACD Signal Period
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Numeric rsiPeriod(14); // RSI Period
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Numeric cciPeriod(14); // CCI Period
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Numeric stochasticKLength(14); // Stochastic %K Length
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Numeric stochasticKSmoothing(1); // Stochastic %K Smoothing
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Numeric stochasticDSmoothing(3); // Stochastic %D Smoothing
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Numeric supertrendPeriod(10); // SUPERTREND Period
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Numeric supertrendFactor(2); // SUPERTREND Factor
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Series<Numeric> rpmValue; // RPM Value
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Series<Numeric> bboValue; // BBO Value
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Series<Numeric> macdValue; // MACD Value
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Series<Numeric> macdSignal; // MACD Signal Line
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Series<Numeric> macdHist; // MACD Histogram
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Series<Numeric> rsiValue; // RSI Value
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Series<Numeric> stochasticValue; // Stochastic Value
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Series<Numeric> cciValue; // CCI Value
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Series<Numeric> supertrendValue; // SUPERTREND Value
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Series<Numeric> netChgAvg ;
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Series<Numeric> totChgAvg ;
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Series<Numeric> score;
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Numeric EntryStrength(90); // <20><><EFBFBD><EFBFBD>ǿ<EFBFBD>ȵĽ<C8B5><C4BD><EFBFBD>ֵ
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Numeric Length(5); // ǿ<><C7BF>ָ<EFBFBD><D6B8><EFBFBD><EFBFBD>ͨ<EFBFBD><CDA8><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ֵ
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Series<Numeric> CloseChange; // <20><><EFBFBD>̼۱䶯ֵ
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Numeric i; // ѭ<><D1AD><EFBFBD><EFBFBD><EFBFBD>Ʊ<EFBFBD><C6B1><EFBFBD>
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Numeric UpCloses; // <20><><EFBFBD>̼<EFBFBD><CCBC><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ۼ<EFBFBD>ֵ
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Numeric DnCloses; // <20><><EFBFBD>̼<EFBFBD><CCBC>µ<EFBFBD><C2B5>ۼ<EFBFBD>ֵ
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Numeric SumChange; // <20><><EFBFBD>̼۱䶯<DBB1>ۼ<EFBFBD>ֵ
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Series<Numeric> MarketStrength; // <20>г<EFBFBD>ǿ<EFBFBD><C7BF>ָ<EFBFBD><D6B8>
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Plot plt1; // <20><><EFBFBD>ڻ<EFBFBD>ͼ<EFBFBD>Ķ<EFBFBD><C4B6><EFBFBD>
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Events
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OnInit()
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{
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Range[0:DataCount-1]
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{
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//=========<3D><><EFBFBD><EFBFBD>Դ<EFBFBD><D4B4><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>==============
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AddDataFlag(Enum_Data_RolloverBackWard()); //<2F><><EFBFBD>ú<EFBFBD><C3BA><EFBFBD>Ȩ
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AddDataFlag(Enum_Data_RolloverRealPrice()); //<2F><><EFBFBD><EFBFBD>ӳ<EFBFBD><D3B3><EFBFBD><EFBFBD>ʵ<EFBFBD>۸<EFBFBD>
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AddDataFlag(Enum_Data_AutoSwapPosition()); //<2F><><EFBFBD><EFBFBD><EFBFBD>Զ<EFBFBD><D4B6><EFBFBD><EFBFBD><EFBFBD>
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//AddDataFlag(Enum_Data_IgnoreSwapSignalCalc()); //<2F><><EFBFBD>ú<EFBFBD><C3BA>Ի<EFBFBD><D4BB><EFBFBD><EFBFBD>źż<C5BA><C5BC><EFBFBD>
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}
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// <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD>һ<EFBFBD><D2BB><EFBFBD><EFBFBD>ͼ
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plt1.figure(0); // <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ͼ<EFBFBD><CDBC><EFBFBD><EFBFBD>
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plt1.setOption("Score", "width", Enum_7Pix); // <20><>ָ<EFBFBD>ꡰMA1<41><31><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>߿<EFBFBD><DFBF><EFBFBD><EFBFBD><EFBFBD>Ϊ3<CEAA><33><EFBFBD><EFBFBD>
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plt1.setOption("Score","color",Blue);
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}
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OnBar(ArrayRef<Integer> indexs)
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{
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// <20><><EFBFBD>㽻<EFBFBD><E3BDBB><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
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Lots = Max(1, Round(Fund/(O*ContractUnit*BigPointValue* MarginRatio/rollover), 0));
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// <20><><EFBFBD><EFBFBD><EFBFBD>г<EFBFBD>ǿ<EFBFBD><C7BF>ָ<EFBFBD><D6B8>
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CloseChange = Close - Close[1];
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UpCloses = 0;
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DnCloses = 0;
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For i = 0 To Length-1
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{
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// <20><><EFBFBD>̼<EFBFBD><CCBC><EFBFBD><EFBFBD>Ǽ<EFBFBD><C7BC><EFBFBD><EFBFBD>Ƿ<EFBFBD><C7B7>ۼ<EFBFBD>
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If(CloseChange[i] > 0)
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UpCloses = UpCloses + CloseChange[i];
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// <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ۼ<EFBFBD>
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Else
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DnCloses = DnCloses + CloseChange[i];
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}
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// <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ǵ<EFBFBD>
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SumChange = Summation(CloseChange, Length);
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// <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ǣ<EFBFBD><C7A3><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ǿ<EFBFBD>ȣ<EFBFBD>0-100֮<30><D6AE>
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If(SumChange >= 0)
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{
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MarketStrength = SumChange / UpCloses * 100;
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}
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// <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>µ<EFBFBD><C2B5><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>µ<EFBFBD>ǿ<EFBFBD>ȣ<EFBFBD>0-100֮<30><D6AE>
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Else
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{
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MarketStrength = SumChange / Abs(DnCloses) * 100;
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}
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// <20><><EFBFBD><EFBFBD> MACD ֵ
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Numeric emaFast = XAverage(Close, macdFastPeriod);
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Numeric emaSlow = XAverage(Close, macdSlowPeriod);
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macdValue = emaFast - emaSlow;
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macdSignal = XAverage(macdValue, macdSignalPeriod);
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macdHist = macdValue - macdSignal;
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// <20><><EFBFBD><EFBFBD> RSI ֵ
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Numeric SF = 1 / rsiPeriod;
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Numeric change = Close - Close[1];
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If(CurrentBar <= rsiPeriod - 1)
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{
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netChgAvg = (Close - Close[rsiPeriod]) / rsiPeriod;
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totChgAvg = Average(Abs(Close - Close[1]), rsiPeriod);
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}
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Else
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{
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netChgAvg = netChgAvg[1] + SF * (change - netChgAvg[1]);
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totChgAvg = totChgAvg[1] + SF * (Abs(change) - totChgAvg[1]);
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}
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If(totChgAvg <> 0)
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{
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rsiValue = 50 * (netChgAvg / totChgAvg + 1);
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}
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Else
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{
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rsiValue = 50;
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}
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// <20><><EFBFBD><EFBFBD> Stochastic ֵ
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Numeric highestHigh = Highest(High, stochasticKLength);
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Numeric lowestLow = Lowest(Low, stochasticKLength);
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Numeric stochasticRaw = (Close - lowestLow) / (highestHigh - lowestLow) * 100;
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stochasticValue = Average(stochasticRaw, stochasticKSmoothing);
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// <20><><EFBFBD><EFBFBD> CCI ֵ
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Numeric typicalPrice = (High + Low + Close) / 3;
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Numeric smaTypicalPrice = Average(typicalPrice, cciPeriod);
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Numeric meanDeviation = Summation(Abs(typicalPrice - smaTypicalPrice), cciPeriod) / cciPeriod;
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If(meanDeviation <> 0)
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{
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cciValue = (typicalPrice - smaTypicalPrice) / (0.015 * meanDeviation);
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}
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Else
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{
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cciValue = 0;
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}
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// <20><><EFBFBD><EFBFBD> SUPERTREND ֵ
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Numeric atr = AvgTrueRange(supertrendPeriod);
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Numeric basicUpperBand = (High + Low) / 2 + supertrendFactor * atr;
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Numeric basicLowerBand = (High + Low) / 2 - supertrendFactor * atr;
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Numeric finalUpperBand = IIF(basicUpperBand < supertrendValue[1] || Close[1] > supertrendValue[1], basicUpperBand, supertrendValue[1]);
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Numeric finalLowerBand = IIF(basicLowerBand > supertrendValue[1] || Close[1] < supertrendValue[1], basicLowerBand, supertrendValue[1]);
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supertrendValue = IIF(Close > supertrendValue[1], finalLowerBand, finalUpperBand);
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// <20><><EFBFBD>ö<EFBFBD>ͷ<EFBFBD><CDB7><EFBFBD><EFBFBD>
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Bool macdCondition = macdValue > macdSignal;
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Bool rsiCondition = rsiValue >50;
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Bool stochasticCondition = stochasticValue > 50;
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Bool cciCondition = cciValue >0;
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Bool supertrendCondition = Close > supertrendValue;
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Bool Marketbool = MarketStrength >= EntryStrength;
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// <20><><EFBFBD><EFBFBD><EFBFBD>÷<EFBFBD>
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score = 0;
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If(macdCondition)
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{
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score = score + 1;
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}
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If(rsiCondition)
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{
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score = score + 1;
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}
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If(stochasticCondition)
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{
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score = score + 1;
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}
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If(cciCondition)
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{
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score = score + 1;
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}
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If(supertrendCondition)
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{
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score = score + 1;
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}
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if(Marketbool)
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{
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score = score + 1;
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}
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// <20>ڸ<EFBFBD>ͼ<EFBFBD><CDBC>ʾ<EFBFBD>÷<EFBFBD>
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Commentary("Score: " + Text(score));
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plt1.barv("Score",score);
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// <20>ж<EFBFBD><D0B6>Ƿ<EFBFBD><C7B7>ﵽ<EFBFBD><EFB5BD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
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If(score == totalScore)
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{
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Commentary("All conditions met!");
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}
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// <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
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If(score[1] >= totalScore And MarketPosition == 0 ) //
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{
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Buy(Lots, Open);
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}
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// ƽ<><C6BD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
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If(score[1] == 0 And MarketPosition == 1)
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{
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Sell(0, Open);
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}
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// <20>ڸ<EFBFBD>ͼ<EFBFBD><CDBC>ʾ<EFBFBD><CABE><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>Ͳ<EFBFBD><CDB2><EFBFBD><EFBFBD><EFBFBD>
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If(macdCondition)
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{
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PlotAuto("MACD_Condition",1,1,Green,Enum_Line,Enum_Solid,Enum_7Pix);
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}
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Else
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{
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PlotAuto("MACD_Condition",1,1,Red,Enum_Line,Enum_Solid,Enum_7Pix);
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}
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If(rsiCondition)
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{
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PlotAuto("RSI_Condition",2,2,Green,Enum_Line,Enum_Solid,Enum_7Pix);
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}
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Else
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{
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PlotAuto("RSI_Condition",2,2,Red,Enum_Line,Enum_Solid,Enum_7Pix);
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}
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If(stochasticCondition)
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{
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PlotAuto("Stochastic_Condition", 3,3,Green,Enum_Line,Enum_Solid,Enum_7Pix);
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}
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Else
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{
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PlotAuto("Stochastic_Condition", 3,3,Red,Enum_Line,Enum_Solid,Enum_7Pix);
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}
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If(cciCondition)
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{
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PlotAuto("CCI_Condition", 4,4,Green,Enum_Line,Enum_Solid,Enum_7Pix);
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}
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Else
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{
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PlotAuto("CCI_Condition", 4,4,Red,Enum_Line,Enum_Solid,Enum_7Pix);
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}
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If(supertrendCondition)
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{
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PlotAuto("Supertrend_Condition", 5,5,Green,Enum_Line,Enum_Solid,Enum_7Pix);
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}
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Else
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{
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PlotAuto("Supertrend_Condition", 5,5,Red,Enum_Line,Enum_Solid,Enum_7Pix);
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}
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If(Marketbool)
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{
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PlotAuto("Marketbool", 6,6,Green,Enum_Line,Enum_Solid,Enum_7Pix);
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}
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Else
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{
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PlotAuto("Marketbool", 6,6,Red,Enum_Line,Enum_Solid,Enum_7Pix);
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}
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}
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//------------------------------------------------------------------------
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// <20><><EFBFBD><EFBFBD><EFBFBD>汾 2024/11/27 145803
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// <20><>Ȩ<EFBFBD><C8A8><EFBFBD><EFBFBD> songshu123
|
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// <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD> TradeBlazer Software<72><65><EFBFBD><EFBFBD><EFBFBD><EFBFBD>TradeBlazerƽ̨
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// ÿһ<C3BF>汾<EFBFBD><E6B1BE>TradeBlazer<65><72>ʽ<EFBFBD>ĺ<DEB8><C4BA><EFBFBD>д<EFBFBD><D0B4>Ȩ<EFBFBD><C8A8>
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//------------------------------------------------------------------------
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274
1.交易策略/1.CTA策略/1.松鼠策略/8.松鼠SF17_一个穿越牛熊的普适策略/使用文稿/TBQ/源码空.txt
Normal file
274
1.交易策略/1.CTA策略/1.松鼠策略/8.松鼠SF17_一个穿越牛熊的普适策略/使用文稿/TBQ/源码空.txt
Normal file
@@ -0,0 +1,274 @@
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//------------------------------------------------------------------------
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// <20><><EFBFBD><EFBFBD>: vip17_kong
|
||||
// <20><><EFBFBD><EFBFBD>: vip17_kong
|
||||
// <20><><EFBFBD><EFBFBD>: <20><>ʽӦ<CABD><D3A6>
|
||||
// <20><><EFBFBD><EFBFBD>: <20>û<EFBFBD>Ӧ<EFBFBD><D3A6>
|
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// <20><><EFBFBD><EFBFBD>: Void
|
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//------------------------------------------------------------------------
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Params
|
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Numeric Fund(20000); // Ͷ<>뱣֤<EBB1A3><D6A4>
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Vars
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Numeric Lots(0); // <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
|
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Numeric totalScore(5); // <20><><EFBFBD>ַ<EFBFBD><D6B7><EFBFBD><EFBFBD><EFBFBD>ֵ<EFBFBD><D6B5>Ŀǰ<C4BF><C7B0><EFBFBD>ǵ<EFBFBD>Ȩ<EFBFBD><C8A8><EFBFBD>䣬<EFBFBD>ܹ<EFBFBD>6<EFBFBD><36>ָ<EFBFBD>꼰6<EABCB0>֡<EFBFBD>
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Numeric rpmPeriod(14); // RPM Period
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Numeric bboPeriod(16); // BBO Period
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Numeric macdFastPeriod(12); // MACD Fast Period
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Numeric macdSlowPeriod(24); // MACD Slow Period
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Numeric macdSignalPeriod(9); // MACD Signal Period
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Numeric rsiPeriod(14); // RSI Period
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Numeric cciPeriod(14); // CCI Period
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Numeric stochasticKLength(14); // Stochastic %K Length
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Numeric stochasticKSmoothing(1); // Stochastic %K Smoothing
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Numeric stochasticDSmoothing(3); // Stochastic %D Smoothing
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Numeric supertrendPeriod(10); // SUPERTREND Period
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Numeric supertrendFactor(2); // SUPERTREND Factor
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Series<Numeric> rpmValue; // RPM Value
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Series<Numeric> bboValue; // BBO Value
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Series<Numeric> macdValue; // MACD Value
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Series<Numeric> macdSignal; // MACD Signal Line
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Series<Numeric> macdHist; // MACD Histogram
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Series<Numeric> rsiValue; // RSI Value
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Series<Numeric> stochasticValue; // Stochastic Value
|
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Series<Numeric> cciValue; // CCI Value
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Series<Numeric> supertrendValue; // SUPERTREND Value
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Series<Numeric> netChgAvg ;
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Series<Numeric> totChgAvg ;
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Series<Numeric> score;
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Numeric EntryStrength(90); // <20><><EFBFBD><EFBFBD>ǿ<EFBFBD>ȵĽ<C8B5><C4BD><EFBFBD>ֵ
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Numeric Length(5); // ǿ<><C7BF>ָ<EFBFBD><D6B8><EFBFBD><EFBFBD>ͨ<EFBFBD><CDA8><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ֵ
|
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Series<Numeric> CloseChange; // <20><><EFBFBD>̼۱䶯ֵ
|
||||
Numeric i; // ѭ<><D1AD><EFBFBD><EFBFBD><EFBFBD>Ʊ<EFBFBD><C6B1><EFBFBD>
|
||||
Numeric UpCloses; // <20><><EFBFBD>̼<EFBFBD><CCBC><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ۼ<EFBFBD>ֵ
|
||||
Numeric DnCloses; // <20><><EFBFBD>̼<EFBFBD><CCBC>µ<EFBFBD><C2B5>ۼ<EFBFBD>ֵ
|
||||
Numeric SumChange; // <20><><EFBFBD>̼۱䶯<DBB1>ۼ<EFBFBD>ֵ
|
||||
Series<Numeric> MarketStrength; // <20>г<EFBFBD>ǿ<EFBFBD><C7BF>ָ<EFBFBD><D6B8>
|
||||
Plot plt1; // <20><><EFBFBD>ڻ<EFBFBD>ͼ<EFBFBD>Ķ<EFBFBD><C4B6><EFBFBD>
|
||||
Events
|
||||
OnInit()
|
||||
{
|
||||
Range[0:DataCount-1]
|
||||
{
|
||||
//=========<3D><><EFBFBD><EFBFBD>Դ<EFBFBD><D4B4><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>==============
|
||||
AddDataFlag(Enum_Data_RolloverBackWard()); //<2F><><EFBFBD>ú<EFBFBD><C3BA><EFBFBD>Ȩ
|
||||
|
||||
AddDataFlag(Enum_Data_RolloverRealPrice()); //<2F><><EFBFBD><EFBFBD>ӳ<EFBFBD><D3B3><EFBFBD><EFBFBD>ʵ<EFBFBD>۸<EFBFBD>
|
||||
|
||||
AddDataFlag(Enum_Data_AutoSwapPosition()); //<2F><><EFBFBD><EFBFBD><EFBFBD>Զ<EFBFBD><D4B6><EFBFBD><EFBFBD><EFBFBD>
|
||||
|
||||
|
||||
//AddDataFlag(Enum_Data_IgnoreSwapSignalCalc()); //<2F><><EFBFBD>ú<EFBFBD><C3BA>Ի<EFBFBD><D4BB><EFBFBD><EFBFBD>źż<C5BA><C5BC><EFBFBD>
|
||||
}
|
||||
// <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD>һ<EFBFBD><D2BB><EFBFBD><EFBFBD>ͼ
|
||||
plt1.figure(0); // <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ͼ<EFBFBD><CDBC><EFBFBD><EFBFBD>
|
||||
plt1.setOption("Score", "width", Enum_7Pix); // <20><>ָ<EFBFBD>ꡰMA1<41><31><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>߿<EFBFBD><DFBF><EFBFBD><EFBFBD><EFBFBD>Ϊ3<CEAA><33><EFBFBD><EFBFBD>
|
||||
plt1.setOption("Score","color",Blue);
|
||||
}
|
||||
|
||||
OnBar(ArrayRef<Integer> indexs)
|
||||
{
|
||||
// <20><><EFBFBD>㽻<EFBFBD><E3BDBB><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
|
||||
Lots = Max(1, Round(Fund/(O*ContractUnit*BigPointValue* MarginRatio/rollover), 0));
|
||||
// <20><><EFBFBD><EFBFBD><EFBFBD>г<EFBFBD>ǿ<EFBFBD><C7BF>ָ<EFBFBD><D6B8>
|
||||
CloseChange = Close - Close[1];
|
||||
UpCloses = 0;
|
||||
DnCloses = 0;
|
||||
For i = 0 To Length-1
|
||||
{
|
||||
// <20><><EFBFBD>̼<EFBFBD><CCBC><EFBFBD><EFBFBD>Ǽ<EFBFBD><C7BC><EFBFBD><EFBFBD>Ƿ<EFBFBD><C7B7>ۼ<EFBFBD>
|
||||
If(CloseChange[i] > 0)
|
||||
UpCloses = UpCloses + CloseChange[i];
|
||||
// <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ۼ<EFBFBD>
|
||||
Else
|
||||
DnCloses = DnCloses + CloseChange[i];
|
||||
}
|
||||
// <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ǵ<EFBFBD>
|
||||
SumChange = Summation(CloseChange, Length);
|
||||
// <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ǣ<EFBFBD><C7A3><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ǿ<EFBFBD>ȣ<EFBFBD>0-100֮<30><D6AE>
|
||||
If(SumChange >= 0)
|
||||
{
|
||||
MarketStrength = SumChange / UpCloses * 100;
|
||||
}
|
||||
// <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>µ<EFBFBD><C2B5><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>µ<EFBFBD>ǿ<EFBFBD>ȣ<EFBFBD>0-100֮<30><D6AE>
|
||||
Else
|
||||
{
|
||||
MarketStrength = SumChange / Abs(DnCloses) * 100;
|
||||
}
|
||||
|
||||
// <20><><EFBFBD><EFBFBD> MACD ֵ
|
||||
Numeric emaFast = XAverage(Close, macdFastPeriod);
|
||||
Numeric emaSlow = XAverage(Close, macdSlowPeriod);
|
||||
macdValue = emaFast - emaSlow;
|
||||
macdSignal = XAverage(macdValue, macdSignalPeriod);
|
||||
macdHist = macdValue - macdSignal;
|
||||
|
||||
// <20><><EFBFBD><EFBFBD> RSI ֵ
|
||||
Numeric SF = 1 / rsiPeriod;
|
||||
Numeric change = Close - Close[1];
|
||||
If(CurrentBar <= rsiPeriod - 1)
|
||||
{
|
||||
netChgAvg = (Close - Close[rsiPeriod]) / rsiPeriod;
|
||||
totChgAvg = Average(Abs(Close - Close[1]), rsiPeriod);
|
||||
}
|
||||
Else
|
||||
{
|
||||
netChgAvg = netChgAvg[1] + SF * (change - netChgAvg[1]);
|
||||
totChgAvg = totChgAvg[1] + SF * (Abs(change) - totChgAvg[1]);
|
||||
}
|
||||
If(totChgAvg <> 0)
|
||||
{
|
||||
rsiValue = 50 * (netChgAvg / totChgAvg + 1);
|
||||
}
|
||||
Else
|
||||
{
|
||||
rsiValue = 50;
|
||||
}
|
||||
|
||||
// <20><><EFBFBD><EFBFBD> Stochastic ֵ
|
||||
Numeric highestHigh = Highest(High, stochasticKLength);
|
||||
Numeric lowestLow = Lowest(Low, stochasticKLength);
|
||||
Numeric stochasticRaw = (Close - lowestLow) / (highestHigh - lowestLow) * 100;
|
||||
stochasticValue = Average(stochasticRaw, stochasticKSmoothing);
|
||||
|
||||
// <20><><EFBFBD><EFBFBD> CCI ֵ
|
||||
Numeric typicalPrice = (High + Low + Close) / 3;
|
||||
Numeric smaTypicalPrice = Average(typicalPrice, cciPeriod);
|
||||
Numeric meanDeviation = Summation(Abs(typicalPrice - smaTypicalPrice), cciPeriod) / cciPeriod;
|
||||
If(meanDeviation <> 0)
|
||||
{
|
||||
cciValue = (typicalPrice - smaTypicalPrice) / (0.015 * meanDeviation);
|
||||
}
|
||||
Else
|
||||
{
|
||||
cciValue = 0;
|
||||
}
|
||||
|
||||
// <20><><EFBFBD><EFBFBD> SUPERTREND ֵ
|
||||
Numeric atr = AvgTrueRange(supertrendPeriod);
|
||||
Numeric basicUpperBand = (High + Low) / 2 + supertrendFactor * atr;
|
||||
Numeric basicLowerBand = (High + Low) / 2 - supertrendFactor * atr;
|
||||
Numeric finalUpperBand = IIF(basicUpperBand < supertrendValue[1] || Close[1] > supertrendValue[1], basicUpperBand, supertrendValue[1]);
|
||||
Numeric finalLowerBand = IIF(basicLowerBand > supertrendValue[1] || Close[1] < supertrendValue[1], basicLowerBand, supertrendValue[1]);
|
||||
supertrendValue = IIF(Close > supertrendValue[1], finalLowerBand, finalUpperBand);
|
||||
|
||||
// <20><><EFBFBD>ÿ<EFBFBD>ͷ<EFBFBD><CDB7><EFBFBD><EFBFBD>
|
||||
Bool macdCondition = macdValue < macdSignal;
|
||||
Bool rsiCondition = rsiValue <50;
|
||||
Bool stochasticCondition = stochasticValue < 50;
|
||||
Bool cciCondition = cciValue <0;
|
||||
Bool supertrendCondition = Close < supertrendValue;
|
||||
Bool Marketbool = MarketStrength >= EntryStrength;
|
||||
|
||||
// <20><><EFBFBD><EFBFBD><EFBFBD>÷<EFBFBD>
|
||||
score = 0;
|
||||
If(macdCondition)
|
||||
{
|
||||
score = score + 1;
|
||||
}
|
||||
If(rsiCondition)
|
||||
{
|
||||
score = score + 1;
|
||||
}
|
||||
If(stochasticCondition)
|
||||
{
|
||||
score = score + 1;
|
||||
}
|
||||
If(cciCondition)
|
||||
{
|
||||
score = score + 1;
|
||||
}
|
||||
If(supertrendCondition)
|
||||
{
|
||||
score = score + 1;
|
||||
}
|
||||
if(Marketbool)
|
||||
{
|
||||
score = score + 1;
|
||||
}
|
||||
|
||||
// <20>ڸ<EFBFBD>ͼ<EFBFBD><CDBC>ʾ<EFBFBD>÷<EFBFBD>
|
||||
Commentary("Score: " + Text(score));
|
||||
|
||||
|
||||
plt1.barv("Score",score);
|
||||
// <20>ж<EFBFBD><D0B6>Ƿ<EFBFBD><C7B7>ﵽ<EFBFBD><EFB5BD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
|
||||
If(score == totalScore)
|
||||
{
|
||||
Commentary("All conditions met!");
|
||||
}
|
||||
// <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
|
||||
If(score[1] >= totalScore And MarketPosition == 0 ) //
|
||||
{
|
||||
SellShort(Lots, Open);
|
||||
}
|
||||
|
||||
// ƽ<><C6BD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
|
||||
If(score[1] == 0 And MarketPosition == -1)
|
||||
{
|
||||
BuyToCover(0, Open);
|
||||
}
|
||||
|
||||
// <20>ڸ<EFBFBD>ͼ<EFBFBD><CDBC>ʾ<EFBFBD><CABE><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>Ͳ<EFBFBD><CDB2><EFBFBD><EFBFBD><EFBFBD>
|
||||
|
||||
If(macdCondition)
|
||||
{
|
||||
PlotAuto("MACD_Condition",1,1,Green,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
Else
|
||||
{
|
||||
PlotAuto("MACD_Condition",1,1,Red,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
|
||||
If(rsiCondition)
|
||||
{
|
||||
PlotAuto("RSI_Condition",2,2,Green,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
Else
|
||||
{
|
||||
PlotAuto("RSI_Condition",2,2,Red,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
|
||||
If(stochasticCondition)
|
||||
{
|
||||
PlotAuto("Stochastic_Condition", 3,3,Green,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
Else
|
||||
{
|
||||
PlotAuto("Stochastic_Condition", 3,3,Red,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
|
||||
If(cciCondition)
|
||||
{
|
||||
PlotAuto("CCI_Condition", 4,4,Green,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
Else
|
||||
{
|
||||
PlotAuto("CCI_Condition", 4,4,Red,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
|
||||
If(supertrendCondition)
|
||||
{
|
||||
PlotAuto("Supertrend_Condition", 5,5,Green,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
Else
|
||||
{
|
||||
PlotAuto("Supertrend_Condition", 5,5,Red,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
If(Marketbool)
|
||||
{
|
||||
PlotAuto("Marketbool", 6,6,Green,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
Else
|
||||
{
|
||||
PlotAuto("Marketbool", 6,6,Red,Enum_Line,Enum_Solid,Enum_7Pix);
|
||||
}
|
||||
|
||||
}
|
||||
|
||||
|
||||
//------------------------------------------------------------------------
|
||||
// <20><><EFBFBD><EFBFBD><EFBFBD>汾 2024/11/27 150615
|
||||
// <20><>Ȩ<EFBFBD><C8A8><EFBFBD><EFBFBD> songshu123
|
||||
// <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD> TradeBlazer Software<72><65><EFBFBD><EFBFBD><EFBFBD><EFBFBD>TradeBlazerƽ̨
|
||||
// ÿһ<C3BF>汾<EFBFBD><E6B1BE>TradeBlazer<65><72>ʽ<EFBFBD>ĺ<DEB8><C4BA><EFBFBD>д<EFBFBD><D0B4>Ȩ<EFBFBD><C8A8>
|
||||
//------------------------------------------------------------------------
|
||||
BIN
1.交易策略/1.CTA策略/1.松鼠策略/8.松鼠SF17_一个穿越牛熊的普适策略/使用文稿/TBQ/策略讲解.doc
Normal file
BIN
1.交易策略/1.CTA策略/1.松鼠策略/8.松鼠SF17_一个穿越牛熊的普适策略/使用文稿/TBQ/策略讲解.doc
Normal file
Binary file not shown.
Reference in New Issue
Block a user