Params
Numeric DMI_N(14); //DMI的N值
Numeric DMI_M(6); //DMI的M值, 本策略中用不到
Numeric ADXLevel(25); //ADX低于此值时被认为行情处于震荡中
Numeric ADXLowThanBefore(3); //入场条件中ADX需要弱于之前值的天数
Numeric ConsecBars(3); //入场条件中连续阳线或阴线的个数
Numeric ATRLength(10); //ATR值
Numeric ProtectStopATRMulti(0.5); //保护性止损的ATR乘数
Numeric ProactiveStopBars(10); //入场后主动平仓的等待根数
Vars
//DMI最终输出
Series<Numeric> oDMIPlus;
Series<Numeric> oDMIMinus;
Series<Numeric> oDMI;
Series<Numeric> oADX;
Series<Numeric> oADXR;
Series<Numeric> oVolty;
//DMI过程计算
Series<Numeric> sDMI;
Series<Numeric> sADX;
Series<Numeric> cumm;
Series<Numeric> sVolty;
Numeric PlusDM;
Numeric MinusDM;
Numeric UpperMove;
Numeric LowerMove;
Numeric SumPlusDM(0);
Numeric SumMinusDM(0);
Numeric SumTR(0);
Series<Numeric> AvgPlusDM;
Series<Numeric> AvgMinusDM;
Numeric SF; // smoothing factor
Numeric Divisor;
Numeric i;
Series<Numeric> TRValue;
//--------------------
Series<Numeric> ATR(0); //ATR值
Series<Numeric> ConsecBarsCount(0); //连续阳线或阴线计数
Series<Numeric> ProtectStopL; //基于ATR的保护性止损
Series<Numeric> MP; //MarketPosition的状态记录
Events
OnBar(ArrayRef<Integer> indexs)
{
//系统设置
//DMI指标计算, 最终将输出ADX指标
//--------------------------DMI计算开始-----------------------------------//
SF = 1/DMI_N;
TRValue = TrueRange;
If(CurrentBar == DMI_N)
{
for i = 0 To DMI_N - 1
{
PlusDM = 0 ;
MinusDM = 0 ;
UpperMove = High[i] - High[ i + 1 ] ;
LowerMove = Low[ i + 1 ] - Low[i] ;
if (UpperMove > LowerMove And UpperMove > 0 )
{
PlusDM = UpperMove;
}else if (LowerMove > UpperMove And LowerMove > 0)
{
MinusDM = LowerMove ;
}
SumPlusDM = SumPlusDM + PlusDM ;
SumMinusDM = SumMinusDM + MinusDM ;
SumTR = SumTR + TRValue[i] ;
}
AvgPlusDM = SumPlusDM / DMI_N ;
AvgMinusDM = SumMinusDM / DMI_N ;
sVolty = SumTR / DMI_N ;
}Else if(CurrentBar > DMI_N)
{
PlusDM = 0 ;
MinusDM = 0 ;
UpperMove = High - High[1] ;
LowerMove = Low[1] -Low ;
if (UpperMove > LowerMove And UpperMove > 0 )
{
PlusDM = UpperMove;
}else if (LowerMove > UpperMove And LowerMove > 0 )
{
MinusDM = LowerMove ;
}
AvgPlusDM = AvgPlusDM[1] + SF * ( PlusDM - AvgPlusDM[1] ) ;
AvgMinusDM = AvgMinusDM[1] + SF * ( MinusDM - AvgMinusDM[1] ) ;
sVolty = sVolty[1] + SF * ( TRValue - sVolty[1] ) ;
}Else
{
oDMIPlus = InvalidNumeric;
oDMIMinus = InvalidNumeric;
oDMI = InvalidNumeric;
oADX = InvalidNumeric;
oADXR = InvalidNumeric;
oVolty = InvalidNumeric;
}
if (sVolty > 0)
{
oDMIPlus = 100 * AvgPlusDM / sVolty ;
oDMIMinus = 100 * AvgMinusDM / sVolty ;
}else
{
oDMIPlus = 0 ;
oDMIMinus = 0 ;
}
Divisor = oDMIPlus + oDMIMinus ;
if (Divisor > 0)
{
sDMI = 100 * Abs( oDMIPlus - oDMIMinus ) / Divisor;
}else
{
sDMI = 0 ;
}
cumm=Cum( sDMI );
if(CurrentBar > 0)
{
if (CurrentBar <= DMI_N)
{
sADX = Cumm / CurrentBar ;
oADXR = ( sADX + sADX[ CurrentBar - 1 ] ) * 0.5 ;
}else
{
sADX = sADX[1] + SF * ( sDMI - sADX[1] ) ;
oADXR = ( sADX + sADX[ DMI_M - 1 ] ) * 0.5 ;
}
}
oVolty = sVolty;
oDMI = sDMI;
oADX = sADX;
//--------------------------DMI计算结束-----------------------------------//
//ATR计算
ATR = AvgTrueRange(ATRLength);
//系统入场
//当ADX指数低于25且低于ADXLowThanBefore天前的值时, 如果出现连续ConsecBars根阴线(收盘低于前根即可), 则在下根k线开盘做多
ConsecBarsCount = CountIf(Close < Close[1], ConsecBars);
If(MarketPosition<>1 And CurrentBar > DMI_N)
{
if(oADX[1] < ADXLevel And oADX[1] < oADX[ADXLowThanBefore+1] And ConsecBarsCount[1] == ConsecBars And Vol > 0)
{
Buy(0,Open);
//基于ATR的保护性止损
ProtectStopL = Low[1] - ProtectStopATRMulti * ATR[1];
}
}
//系统出场
If(MarketPosition == 1 And mp[1] == 1 And Vol > 0)
{
//入场ProactiveStopBars根K线后的主动性平仓
If(BarsSinceEntry >= ProactiveStopBars)
{
Sell(0,Open);
}
//基于ATR的保护性止损
Else if(L <= ProtectStopL[1])
{
Sell(0,Min(Open, ProtectStopL[1]));
}
}
MP = MarketPosition;
}
在最后平仓的部分有两个地方没有看懂,希望老师可以帮忙解答一下:
第一个问题其中通过MP引入持仓的函数,在IF语句当中用MP[1] == 1 和marketposition == 1,请问这两者当中有什么区别吗?
问题二:在参数当中声明ProactiveStopBars(10);//入场后主动平仓的等待根数
平仓当中有这样一句,按照我个人的理解是为,当Bar数大于开仓Bar的10根Bar以后平仓,但是导入图表后主动平仓的Bar数大于10根。以上两个问题,希望老师有时间可以帮忙解答一下,感激不尽
//入场ProactiveStopBars根K线后的主动性平仓
If(BarsSinceEntry >= ProactiveStopBars)
{
Sell(0,Open);
}
第一 marketposition不能回溯,为了能取到之前的持仓状态,用一个序列类型mp记录marketposition
第二 并不能复现出持仓时间超过10根的情况,请详细描述公式参数,什么品种,周期等级,信号发生在哪根bar上