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动向指数DMI与高低点策略DMI-and-High-Low-Strategy.md

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Name

动向指数DMI与高低点策略DMI-and-High-Low-Strategy

Author

阿基米德的浴缸

Strategy Description

[trans]

  • 策略名称：动向指数（DMI）与高低点策略
  • 数据周期：5M
  • 支持：商品期货，数字货币
  • 官方网站：www.quantinfo.com

IMG

  • 主图： AMA1指标，公式：AMA1^^EMA(DMA(CLOSE,CQ1),2);

    AMA2指标，公式：AMA2^^EMA(DMA(CLOSE,CQ2),2);

||

  • Strategy Name: DMI and High-Low Strategy

  • Data Cycle: 5M

  • Support: Commodity Futures

    IMG
    IMG

  • Main chart: AMA1 index, formula: AMA1 ^ ^ EMA (DMA (CLOSE, CQ1), 2); AMA2 index, formula: AMA2 ^ ^ EMA (DMA (CLOSE, CQ2), 2);

[/trans]

Strategy Arguments

Argument Default Description
N 20 AMA1指标参数（1）
N1 4 AMA1指标参数（2）
N2 60 AMA1指标参数（3）
M 40 AMA2指标参数（1）
M1 8 AMA2指标参数（2）
M2 120 AMA2指标参数（3）

Source (MyLanguage)

(*backtest
start: 2018-11-04 00:00:00
end: 2018-11-30 00:00:00
period: 5m
exchanges: [{"eid":"Futures_BitMEX","currency":"XBT_USD"}]
args: [["TradeAmount",100,126961],["ContractType","XBTUSD",126961]]
*)


DIR1:=ABS(CLOSE-REF(CLOSE,N));
VIR1:=SUM(ABS(CLOSE-REF(CLOSE,1)),N);
ER1:=DIR1/VIR1;
CS1:=ER1*(2/(N1+1)-2/(N2+1))+2/(N2+1);
CQ1:=CS1*CS1;
AMA1^^EMA(DMA(CLOSE,CQ1),2);

DIR2:=ABS(CLOSE-REF(CLOSE,M));
VIR2:=SUM(ABS(CLOSE-REF(CLOSE,1)),M);
ER2:=DIR2/VIR2;
CS2:=ER2*(2/(M1+1)-2/(M2+1))+2/(M2+1);
CQ2:=CS2*CS2;
AMA2^^EMA(DMA(CLOSE,CQ2),2);

cq22:CQ2;
aa:DMA(CLOSE,CQ2);

BKVOL=0  AND  REF(AMA1,1)<REF(AMA2,1)  AND  AMA2<AMA1,BPK;
SKVOL=0  AND  REF(AMA1,1)>REF(AMA2,1)  AND  AMA2>AMA1,SPK;

Detail

https://www.fmz.com/strategy/128418

Last Modified

2019-08-20 10:24:43