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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]]
*)
ATRS:=50;
//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
// 计算当前K线的加权均值、阻力线和支撑线
AVGP:=(HIGH + LOW + (CLOSE * 2)) / 4;
RS^^HHV((AVGP * 2) - LOW,LENTH);
ST^^LLV((AVGP * 2) - HIGH,LENTH);
// 计算ATR
TR:=MAX(MAX((HIGH-LOW),ABS(REF(CLOSE,1)-HIGH)),ABS(REF(CLOSE,1)-LOW));
ATRVAL:=MA(TR,LENTH);
// 开仓
IF BKVOL<=1 AND HIGH >= REF(RS,1) AND VOL > 0 THEN BEGIN
1,BPK(LOTS);
END
IF SKVOL<=1 AND LOW <= REF(ST,1) AND VOL > 0 THEN BEGIN
1,SPK(LOTS);
END
// 开仓时根据开仓BAR的ATR计算止盈价
IF BKVOL>0 AND BARSBK>0 THEN BEGIN
MYEXITPRICE:=BKPRICE + ATRVAL * ATRS;
END
IF SKVOL>0 AND BARSSK>0 THEN BEGIN
MYEXITPRICE:=SKPRICE - ATRVAL * ATRS;
END
// 平仓
IF BKVOL>0 AND BARSBK>0 AND VOL>0 THEN BEGIN
// 止盈出场
IF HIGH >= MYEXITPRICE THEN BEGIN
1,SP(LOTS);
END
END
IF SKVOL>0 AND BARSSK>0 AND VOL>0 THEN BEGIN
// 止盈出场
IF LOW <= MYEXITPRICE THEN BEGIN
1,BP(LOTS);
END
END