十大经典日内策略之RangeBreak（附源码分享）

乌商汇富 2021-01-27

展开全文

朱淋靖老师曾指出十种日内趋势跟踪的交易方法，其中RangeBreak为他提及的第一个策略。该策略是波动区间突破策略，其中range（波动区间）主要由昨日的最高和最低价格之差决定，这个比例作为参数，可由个人或者行情决定。获得range后，再利用今天的开盘价格，即可构造今天的交易的上下通道。
LZ选择的通道为：上轨=今日开盘价+0.25*range；下轨=今日开盘价-0.25*range。与其他突破类策略一样，价格突破上轨做多，价格突破下轨做空。（当然，你也可以选择进行反趋势交易）
而出场条件同样由上下轨决定，多头出场条件为：价格下跌上轨-0.25*range；空头出场条件为：价格上穿下轨+0.25*range。如果不能主动出场，那么在收盘前，也会进行强制平仓操作。下为源代码：

%-------------------------------------------------------主体函数------------------------------------------------%
function RangeBreak(freq)%
targetList = traderGetTargetList();
%获取目标资产信息
HandleList = traderGetHandleList();
%获取账户句柄
global state;
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
lags=40;
dlags=31;
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,~,~] = traderGetKData(targetList(k).Market,targetList(k).Code,'min',freq, 0-lags, 0,false,'FWard');
[Dtime,Dopen,Dhigh,Dlow,Dclose,Dvolume,~,~] = traderGetKData(targetList(k).Market,targetList(k).Code,'day',1, 0-dlags, 0,false,'FWard');
if length(close)<lags || length(Dclose)<dlags
continue;
end;
%设置交易时间-----------%
gettime=datevec(time);
numtime=gettime(end,4)*100+gettime(end,5);
cont=0;
if numtime>=0900&&numtime<1400||numtime>=2100&&numtime<=2400||numtime>0000&&numtime<0100
cont=1;
end
%--------------------- 止损/入场条件计算 ------------------------------------%
range=Dhigh(end-1)-Dlow(end-1);%昨日震荡幅度
upline=Dopen(end)+0.25*range;%今日上轨
dnline=Dopen(end)-0.25*range;%今日下轨
buycon=close(end)>upline &&cont; % 突破range上轨道做多
sellshortcon=close(end)<dnline && cont; % 突破 range下轨道做空
buycon0=close(end)<upline-0.25*range;
sellcon0=close(end)>dnline+0.25*range;
shareNum=10;%交易手数的设置
%--------------------------------------仓位操作-----------------%
if cont~=0
if marketposition==0
if buycon
traderBuy(HandleList(1),targetList(k).Market,targetList(k).Code,shareNum,0,'market','buy');%开多单
elseif sellshortcon
traderSellShort(HandleList(1),targetList(k).Market,targetList(k).Code,shareNum,0,'market','sellshort');%开空单
end
end
if marketposition>0 && buycon0
traderSell(HandleList(1),targetList(k).Market,targetList(k).Code,shareNum,0,'market','sell');%平多单
end
if marketposition<0 && sellcon0
traderBuyToCover(HandleList(1),targetList(k).Market,targetList(k).Code,shareNum,0,'market','buytocover');%平空单
end
end
if cont==0
traderPositionTo(HandleList(1),targetList(k).Market,targetList(k).Code,0 ,0,'market','out');
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
%--------------------------------------------------------------------------分割线，下面是另一个.m文件---------------------%
%策略回测函数
clear
clc;
%-----------获取targetList-----------------%
targetList(1).Market = 'CFFEX';
targetList(1).Code = 'IF0000';
targetList=targetList(1);
%指定交易频率
freq=3;
%-----------------------回测----------------------------------%
% 在回测时设置初始资本10000000000元、手续费率0.000026、无风险利率0.02、滑价0、默认1下一个bar的开盘价、默认0成交价、默认0直接成交
% traderSetBacktest(1000000,0.000026,0.02,0,1,0,0);
AccountList(1) = {'FutureBackReplay'};
traderRunBacktest('rangebreak',@RangeBreak,{freq},AccountList,targetList,'min',freq,20150101,20160815,'FWard');