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简介： 量价因子组合
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(*backtest
start: 2018-01-01 00:00:00
end: 2021-06-30 23:59:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_OKCoin","currency":"BTC_USD","stocks":10}]
args: [["percent",5],["ContractType","quarter",126961]]
*)
//商品版本
LENGTH2:=10*LENGTH1;//长周期参数
X:=3;//区间系数
//交易量
//LOTS:=MAX(1,INTPART(percent/100*MONEY/(C*MARGIN*UNIT)));//金本
LOTS:=MAX(1,INTPART(percent/100*MONEY*C/(MARGIN*UNIT)));//币本
TR:=MAX(MAX((HIGH-LOW),ABS(REF(CLOSE,1)-HIGH)),ABS(REF(CLOSE,1)-LOW));
ATR:=MA(TR,LENGTH1);
OO:=BARSLAST(DATE<>REF(DATE,1))+1;
OPD:=VALUEWHEN(OO=1,O);
L1:=MIN(LENGTH1,LENGTH2);
L2:=MAX(LENGTH1,LENGTH2);
MA1:=EMA(REF(C,1),L1);
MA2:=EMA(REF(C,1),L2);
UPPERBAND^^OPD+X*ATR;
LOWERBAND^^OPD-X*ATR;
EXITLONG:=REF(L,L2);
EXITSHORT:=REF(H,L2);
//多头入场
BKVOL<=0 AND REF(C,1) >= REF(UPPERBAND,1) AND VOL > 0 AND MA1>MA2 AND REF(C,1) >=REF(H,L1) ,BPK(LOTS);
//空头入场
SKVOL<=0 AND REF(C,1) <= REF(LOWERBAND,1) AND VOL > 0 AND MA1<MA2 AND REF(C,1) <=REF(L,L1) ,SPK(LOTS);
//多头出场
REF(C,1)>= BKPRICE AND REF(C,1)<=EXITLONG AND BKVOL>0 AND BARPOS>0,SP(BKVOL);
//空头入场
REF(C,1)<= SKPRICE AND REF(C,1)>=EXITSHORT AND SKVOL>0 AND BARPOS>0,BP(SKVOL);