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再建立一个模型:DD SS:=1; K1:=0.3; K2:=0.6; BOCP:=0.25; FBOCP:=0.25; CYC:=BARSLAST(DATE>REF(DATE,1))+1; CYC2:REF(CYC,CYC); ZO:=REF(O,CYC2+CYC-1); ZC:=REF(C,CYC); ZZC:=REF(C,CYC2+CYC);//昨天的前一天的收盘价，暂称为昨昨收 ZL:=REF(LLV(L,CYC),CYC); ZH:=REF(HHV(H,CYC),CYC); JH:=IF(CYC=1,HIGH,REF(HHV(HIGH,CYC),1)); JL:=IF(CYC=1,LOW,REF(LLV(LOW,CYC),1)); JO:=IF(CYC=1,OPEN,REF(OPEN,CYC-1)); #IMPORT[,DAY,CC] AS VAR MM1:VAR.M1; MM2:VAR.M2; BF10:=REF(MM1,1);//AVERAGERANGE QJ10:=REF(MM2,1);//AVERAGEOCRANGE KG:=ABS(ZO-ZC)<0.85*QJ10;//CANTRADE H3:=REF(HHV(HIGH,3),1); L3:=REF(LLV(LOW,3),1); DTQ:=ZH+BOCP*BF10;//LONGBREAKPT KTQ:=ZL-BOCP*BF10;//SHORTBREAKPT DFK:=ZL+FBOCP*BF10;//LONGFBOPOINT KFD:=ZH-FBOCP*BF10;//SHORTFBOPOINT //交易条件 ZC<=ZZC && C>=QMKD,BK; C<1510,SP; ZC<=ZZC && CLOSE<=QMKK,SK; C>MAX(SKPRICE+0.25*BF10,SKPRICE+3) && TIME<1510,BP;//这个策略用于股指，空头常规止损价为 开仓价加25%的10日平均波幅和3个大点的较小值。 ZC>ZZC && CLOSE>QMAIKD,BK; C<1510,SP; ZC>ZZC && CLOSE C>MAX(SKPRICE+0.25*BF10,SKPRICE+3) && TIME<1510,BP; //突破失败 JH>DTQ AND C<1430,SPK; TIME<=1100 && BARSBK>=4,SPK; JLKFD AND TIME<1430,BPK; TIME<=1100 && BARSSK>=4,BPK; //止损价调整 TIME>=1430 && C<=MAX(MIN(BKPRICE-0.25*BF10,BKPRICE-3),L3),SP; TIME>=1430 && C>=MIN(MAX(SKPRICE+0.25*BF10,SKPRICE+3),H3),BP; TIME>=1510 ,CLOSEOUT; AUTOFILTER; |
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来自： zhoufan879 > 《跨周期模型（好）》
