【原】动态突破趋势跟踪策略

策略回撤结果：

  

  

源码：

//该策略为趋势跟踪交易策略，适用较大周期，如日线。

//该模型仅用作模型开发案例，依此入市，风险自负。

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VARIABLE:LOOKBACKDAYS:=0;

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

RISK,CLOSEOUT; 

TODAYVOLATILITY:=STD(CLOSE,30);

YESTERDAYVOLATILITY:=REF(TODAYVOLATILITY,1);

DELTAVOLATILITY:=(TODAYVOLATILITY-YESTERDAYVOLATILITY)/TODAYVOLATILITY;//市场波动的变动率

LOOKBACKDAYS:=IF(BARPOS<=30 || ISNULL(LOOKBACKDAYS),20,REF(LOOKBACKDAYS,1)*(1+DELTAVOLATILITY));//计算自适应参数

LOOKBACKDAYS:=ROUND(LOOKBACKDAYS,0);

LOOKBACKDAYS:=MIN(LOOKBACKDAYS,CEILINGAMT);

LOOKBACKDAYS:=MAX(LOOKBACKDAYS,FLOORAMT);

MIDLINE:=MA(CLOSE,LOOKBACKDAYS);

BAND:=STD(CLOSE,LOOKBACKDAYS); 

UPBAND:=MIDLINE+BOLBANDTRIG*BAND;

DNBAND:=MIDLINE-BOLBANDTRIG*BAND;

BUYPOINT:=HV(HIGH,LOOKBACKDAYS);

SELLPOINT:=LV(LOW,LOOKBACKDAYS);

LIQPOINT:=MIDLINE;

NOT(RISK)&&C>UPBAND&&C>BUYPOINT,BK;

C<DNBAND&&C<SELLPOINT,SP;

EVERY(C<LIQPOINT,3),SP;

NOT(RISK)&&C<DNBAND&&C<SELLPOINT,SK;

C>UPBAND&&C>BUYPOINT,BP;

EVERY(C>LIQPOINT,3),BP;

BKVOL>0&&CLOSE<=BKHIGH*(1-10/100),CLOSEOUT;

SKVOL>0&&CLOSE>=SKLOW*(1+10/100),CLOSEOUT;

AUTOFILTER;