Strategies
定量分型速率交易策略-by泊宇量化
homily · MyLanguage · Tools and Appendix · 2021-02-08 13:47:31
Code summary Auto-extracted · not described by the author
Indicator / code snippet: 0 functions, 0 classes; no entry or exit calls detected.
Indicator / snippet
Detected terms
None
Operation terms
None
Code comments
- No comments in English.
21 code lines · 0 functions · 0 classes · 1 parameters
Parameters
| Parameters | Default | Description |
|---|---|---|
| len | 35 | len |
Source code (21 lines)
(*backtest
start: 2019-01-01 00:00:00
end: 2021-01-31 00:00:00
period: 1h
exchanges: [{"eid":"Futures_OKCoin","currency":"BTC_USD","fee":[0.05,0.05]}]
args: [["TradeAmount",200,126961],["ContractType","quarter",126961]]
*)
//len:=35;//设计周期数
liang:=INTPART(MONEYTOT*REF(C,1)/100)*0.5;
hh^^HHV(H,len);//取一定周期内的最高价
ll^^LLV(L,len);//取一定周期内的最低价
hl2^^(hh+ll)/2;//最高价、最低价的平均值
avg^^MA(hl2,5);//对平均值计算平滑移动均线
ss:SLOPE(avg,len);// 对均线计算回归斜率
ss<REF(ss,1),SPK(liang*2);//当斜率变小说明行情动能减弱，有下跌趋势，平多做空
ss>REF(ss,1),BPK(liang);//当斜率变大说明行情动能不断增加，有上升趋势，平空做多
AUTOFILTER;