Loading ...

Standard deviation price channel strategy

Author: littleDreamXX, Date: 2018-11-30 09:17:36
Tags: OKEX期货 Commodity-futures MA MyLanguage STD

  • Data cycle: about 30 minutes

  • Support: Digital Currency Spot, Digital currency Futures

  • Support: Commodity futures

  • Digital Currency backtest:

    img

    img

    img

  • Main chart: upper line, formula: UPPERBAND^^AVGVALUE + SHIFTVALUE; lower line, formula: LOWERBAND^^AVGVALUE - SHIFTVALUE;

  • Secondary chart: standard deviation, formula: STDS: STD (C, 10); standard deviation, formula: STDL: STD (C, 60);


(*backtest
start: 2018-05-01 00:00:00
end: 2018-06-30 00:00:00
period: 1h
exchanges: [{"eid":"Futures_OKCoin","currency":"BTC_USD"}]
args: [["ContractType","this_week",126961]]
*)

TPRICE:=(HIGH+LOW+OPEN+CLOSE)/4;
AVGVALUE:=MA(TPRICE,N);
//求最高价减去最低价,一个周期前的收盘价减去最高价的绝对值,一个周期前的收盘价减去最低价的绝对值,这三个值中的最大值
// Find the maximum of these three values: highest price minus lowest price, the absolute value of (closing price a cycle ago minus the highest price), the absolute value of (closing price a cycle ago minus the lowest price)

TR:=MAX(MAX((HIGH-LOW),ABS(REF(CLOSE,1)-HIGH)),ABS(REF(CLOSE,1)-LOW));
SHIFTVALUE:=MA(TR,N);                   // 求N个周期内的TR的简单移动平均
                                        // Find the simple moving average of TR in N cycles
UPPERBAND^^AVGVALUE + SHIFTVALUE;
LOWERBAND^^AVGVALUE - SHIFTVALUE;
STDS:STD(C,10);
STDL:STD(C,60);

BKVOL=0 AND HIGH >= UPPERBAND AND STDS>=STDL,BPK;
SKVOL=0 AND LOW <= LOWERBAND AND  STDS>=STDL,SPK;
BKVOL>0 AND BKHIGH-BKPRICE>=0.2*CLOSE AND C<LOWERBAND,SP;
SKVOL>0 AND SKPRICE-SKLOW>=0.2*CLOSE AND C>UPPERBAND,BP;

//止损
//Stop loss

C>=SKPRICE*(1+STOPRANGE*0.01),BP;
C<=BKPRICE*(1-STOPRANGE*0.01),SP;

AUTOFILTER;

Related

More