Enter: The average of difference of opening price minus closing price determines the trend combined with ATR, the entry point is also the exit point in reverse;
Exit: Stop-loss point should be fixed at the opening of the position, and if there is a reverse trend in price, close the position.
Data Cycle: 1 Day
Data contract: index contract
Transaction contract: main contract
Main chart: none
Secondary chart: ATR, formula ATR ^^ MA (TR, N); C_O, formula C_O: EMA (C, N) - EMA (O, N);
(*backtest start: 2018-10-01 00:00:00 end: 2018-11-30 00:00:00 period: 1d exchanges: [{"eid":"Futures_CTP","currency":"FUTURES","balance":20000}] *) // 变量 // variable LOTS:=MAX(1,INTPART(MONEYTOT/(O*UNIT*0.1))); C_O:EMA(C,N)-EMA(O,N); B:=CROSSUP(C_O,0); S:=CROSSDOWN(C_O,0); TR:=MAX(MAX((H-L),ABS(REF(C,1)-H)),ABS(REF(C,1)-L)); ATR:MA(TR,N); BAND:=ATR*0.1*M; PRICE_BPK:=VALUEWHEN(B,H+BAND); PRICE_SP:=VALUEWHEN(B,L-BAND); PRICE_SPK:=VALUEWHEN(S,L-BAND); PRICE_BP:=VALUEWHEN(S,H+BAND); // 策略逻辑 // strategy logic BARPOS>N AND C_O>0 AND C>=PRICE_BPK,BPK(LOTS); BARPOS>N AND C_O<0 AND C<=PRICE_SPK,SPK(LOTS); // 下单 // place an order S,SP(BKVOL); B,BP(SKVOL); C<=PRICE_SP,SP(BKVOL); C>=PRICE_BP,BP(SKVOL);