Канальная стратегия, построенная на основе индикатора волатильности ATR

ATR

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Common strategy

Created: 2018-11-27 13:18:38

Last modified: 8 years ago

Copy: 72

Zero

951

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思路：通道自适应策略，固定止损+浮动止盈
适用软件：FMZ Quant/文华财经
数据周期：多周期
数据合约：指数合约
交易合约：商品期货/数字货币

Source

MyLang

(*backtest
start: 2018-11-01 00:00:00
end: 2018-12-01 00:00:00
period: 1h
exchanges: [{"eid":"Futures_BitMEX","currency":"XBT_USD"}]
args: [["ContractType","XBTUSD",126961]]
*)

SLOSS:=2;
N:=200;
M:=4;
TR1:=MAX(MAX((HIGH-LOW),ABS(REF(CLOSE,1)-HIGH)),ABS(REF(CLOSE,1)-LOW));

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Comment

All comments (1)

momox

这两句什么意思？
//这样理解对不对？（最高价突破四个大周期的最高价或者跌破布林线上轨）并且建仓以来的利润搞过8%????
(H>=HHV(H,MN) OR C<=UBAND) AND BKHIGH>=BKPRICE(1+MSLOSS0.01),SP;
(L<=LLV(L,MN) OR C>=DBAND) AND SKLOW<=SKPRICE(1-MSLOSS0.01),BP;

7 years ago

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