【原】趋势策略量化

回测结果如下：

源码如下：

RISK:=MONEYTOT<=INITMONEY*(1-10/100);

RISK,CLOSEOUT; 

TR:=MAX(MAX((HIGH-LOW),ABS(REF(CLOSE,1)-HIGH)),ABS(REF(CLOSE,1)-LOW));

ATR:=MA(TR,20);

TC..INTPART((MONEYTOT*0.01/(UNIT*ATR)));

MTC..4*TC; 

HH:=HV(H,55);

LL:=LV(L,55);

NOT(RISK)&&CROSSUP(C,HH)&&ISLASTBK=0&&ISLASTSK=0&&BARPOS>=55,BK(TC);

NOT(RISK)&&CROSSDOWN(C,LL)&&ISLASTBK=0&&ISLASTSK=0&&BARPOS>=55,SK(TC); 

NOT(RISK)&&C>=BKPRICE+0.5*ATR&&BKVOL<MTC&&ISLASTBK,BK(TC);/

NOT(RISK)&&C<=SKPRICE-0.5*ATR&&SKVOL<MTC&&ISLASTSK,SK(TC);/

CROSSUP(H,HV(H,20))&&SKVOL>0,BP(SKVOL);

CROSSDOWN(L,LV(L,20))&&BKVOL>0,SP(BKVOL); 

C<=(BKPRICE-2*ATR)&&BKVOL>0,CLOSEOUT;

C>=(SKPRICE+2*ATR)&&SKVOL>0,CLOSEOUT;

TRADE_AGAIN(10);