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高低点突破成交量指数加权策略Break-High-and-Low-Volume-Index-Weighting-Strategy.md

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Name

高低点突破成交量指数加权策略Break-High-and-Low-Volume-Index-Weighting-Strategy

Author

阿基米德的浴缸

Strategy Description

[trans]

  • 策略名称：高低点突破成交量指数加权策略
  • 数据周期：多周期
  • 回测可以选择 OKEX期货
  • 合约：this_week 当周合约
  • 官方网站：www.quantinfo.com

IMG

  • 主图： 无

  • 副图 VJQ， 计算公式： VJQ:EMA(V*(C-REF(C,NC)),N);//定义成交量加权指数为VJQ

||

  • Data cycle: multiple cycles

  • Backtest can choose OKEX futures

  • Contract: this_week contract

    IMG
    IMG

  • Main chart: none

  • Secondary chart: VJQ, calculation formula: VJQ: EMA (V* (C-REF (C, NC)), N)

[/trans]

Strategy Arguments

Argument Default Description
SLOSS 2 止损百分比
N 300 EMA指标参数
NC 50 多少个周期前的收盘价
MINAMOUNT true 最少一次下单数量

Source (MyLanguage)

(*backtest
start: 2018-04-01 00:00:00
end: 2018-05-28 00:00:00
period: 1h
exchanges: [{"eid":"Futures_OKCoin","currency":"BTC_USD"}]
args: [["N",100],["MINAMOUNT",10],["TradeAmount",10,126961],["ContractType","this_week",126961]]
*)

LOTS:=MAX(MINAMOUNT,INTPART(MONEYTOT/O * 0.8));
VJQ:EMA(V*(C-REF(C,NC)),N);
B:=VJQ>0;
S:=VJQ<0;
BUYPK:=BARPOS>N AND BKVOL=0 AND B AND H>=HHV(H,N);
SELLPK:=BARPOS>N AND SKVOL=0 AND S AND L<=LLV(L,N);
BUYP:=SKVOL>0 AND B;
SELLP:=BKVOL>0 AND S;

// 入场
// Enter
SELLPK,SPK(LOTS);
BUYPK,BPK(LOTS);

// 出场
// Leave
BUYP,BP(SKVOL);
SELLP,SP(BKVOL);

// 止损
// Stop loss
C>=SKPRICE*(1+SLOSS*0.01),BP(SKVOL);
C<=BKPRICE*(1-SLOSS*0.01),SP(BKVOL);
AUTOFILTER;

Detail

https://www.fmz.com/strategy/128125

Last Modified

2018-12-15 15:42:32