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均线和高低点相对强弱策略Relative-Strength-Strategy-Based-on-Price.md

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Name

均线和高低点相对强弱策略Relative-Strength-Strategy-Based-on-Price

Author

阿基米德的浴缸

Strategy Description

[trans]

  • 策略名称：基于价格相对强的弱策略

  • 数据周期：1H

  • 支持：商品期货、数字货币、数字货币期货

  • 官方网站：www.quantinfo.com

    IMG

  • 主图： 均线，公式： MAN^^MA(C,N);

  • 副图： 无

||

  • Strategy Name: Relative Strength Strategy Based on Price

  • Data cycle: 1H

  • Support: Commodity Futures, Digital Currency and Digital Currency Futures

    IMG
    IMG

  • Main chart: MA, formula: MAN^^MA(C,N);

  • Secondary chart: none

[/trans]

Strategy Arguments

Argument Default Description
N 100 均线指标参数
M 2 止损差价系数

Source (MyLanguage)

(*backtest
start: 2018-02-01 00:00:00
end: 2018-04-27 00:00:00
period: 1h
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
args: [["ContractType","rb888",126961]]
*)

MAN^^MA(C,N);
B_MA:=C>MAN;
S_MA:=C<MAN;

S_K1:=SUM((H-C)*V,N)/SUM((H-L)*V,N)>0.5;
B_K1:=SUM((C-L)*V,N)/SUM((H-L)*V,N)>0.5;

CO:=IF(C>O,C-O,0);
OC:=IF(C<O,O-C,0);
S_K2:=SUM(OC*V,N)/SUM(ABS(C-O)*V,N)>0.5;
B_K2:=SUM(CO*V,N)/SUM(ABS(C-O)*V,N)>0.5;

B_K1 AND B_K2 AND B_MA AND H>=HHV(H,N),BPK;
S_K1 AND S_K2 AND S_MA AND L<=LLV(L,N),SPK;

STOPLOSS:=M*MA(H-L,N);
C<BKPRICE-STOPLOSS,SP(BKVOL);
C>SKPRICE+STOPLOSS,BP(SKVOL);

S_MA AND BKHIGH>BKPRICE+STOPLOSS,SP(BKVOL);
B_MA AND SKLOW<SKPRICE-STOPLOSS,BP(SKVOL);

Detail

https://www.fmz.com/strategy/129078

Last Modified

2018-12-18 10:25:23