程序化初級交易模型總結(jié)

1、;階段漲幅：（CLOSE-REF(CLOSE,N）/REF(CLOSE,N);再創(chuàng)新高：HIGH=HHV(HIGH,N);放量上攻：CLOSE/REF(CLOSE,5)1.2 &VOLMA(VOL,5)*3;窄幅整理：(HHV(CLOSE,20)-LLV(CLOSE,20)/CLOSE,0.08;均線多頭排列:MA(CLOSE,5)MA(CLOSE,10) & MA(CLOSE,10)MA(CLOSE,20);前期高點及其位置:HHV(HIGH,20) HHVBARS(HIGH,20);60天前到40天前的最高價格: REF(HHV(HIGH,20),40)動態(tài)平均EMA(X,N) SMA(X

2、,N,M) SMA(CLOSE,VOL)點到面轉(zhuǎn)化 COUNT SUM HHV LLV面到點轉(zhuǎn)化 CROSS線性回歸 SLOPE(CLOSE,10)/REF(CLOSE,10)0.05;之字轉(zhuǎn)向 PEAK TROUGH PEAKBARS TROUGHBARS大陽線 LOW=OPEN &CLOSE=HIGH&CLOSE/OPEN1.04;穿頭破腳 C/O1.04 &OPENREF(OPEN,1);吊頸 O=H & (OPEN-CLOSE)/(HIGH-LOW)0.05;低開大陽線 OPEN1.04 ;跳空缺口 LOWREF(HIGH,1) & LOW/REF(HIGH,1)1.02;MA普通金叉

3、 CROSS(MA(CLOSE,5),MA(CLOSE,10)& MA(CLOSE,5)MA(CLOSE,10) & MA(CLOSE,10)MA(CLOSE,20)3條均線多頭排列持續(xù)3天 CC:= MA(CLOSE,5)MA(CLOSE,30) & MA(CLOSE,10)MA(CLOSE,30); EVERY(CC,3)=1 ;均線死叉 CROSS(MA(CLOSE,10),(CLOSE,5);當(dāng)日成交量放大2倍的金叉 CROSS(MA(CLOSE,5),MA(CLOSE,10) & VOL/REV(VOL,1)2KDJ指標(biāo)RSV:=(CLOSE-LLV(LOW,N1)/(HHV(HIG

4、H,N1)-LLV(LOW,N1)*100; K:=SMA(RSV,N2,1); D:=SMA(K,N3,1); 綜合判斷條件CROSS(K,D)&D ;RSI指標(biāo)N12.0.7 N22.0.14LC := REF(CLOSE,1); RSI1:SMA(MAX(CLOSE-LC,0),N1,1)/SMA(ABS(CLOSE-LC),N1,1)*100; RSI2:SMA(MAX(CLOSE-LC,0),N2,1)/SMA(ABS(CLOSE-LC),N2,1)*100;WR指標(biāo)N2.100.14WR:100*(HHV(HIGH,N)-CLOSE)/(HHV(HIGH,N)-LLV(LOW,N)

5、; 綜合判斷條件CROSS(WR,80) CROSS(WR,20)MACD指標(biāo)L11.40.12 L21.100.26 L31.60.9DIFF:EMA(CLOSE,L2)-EMA(CLOSE,L3); DEA:EMA(DIFF,L1); MACD:2*(DIFF-DEA),COLORSTICK;BOLL通道N5.300.26 M1.100.26 P1.10.2MID:MA(CLOSE,N);/求N個周期的收盤價均線，稱為布林通道中軌TMP2:=STD(CLOSE,M);/求M個周期內(nèi)的收盤價的標(biāo)準(zhǔn)差TOP:MID+P*TMP2;/布林通道上軌BOTTOM:MID-P*TMP2;/布林通道下軌

6、多空指數(shù)（BBI）指標(biāo)MA3 := MA(CLOSE,3); MA6 := MA(CLOSE,6）; MA12 := MA(CLOSE,12）; MA24 := MA(CLOSE,24）; BBI:(MA3+MA6+MA12+MA24)/4; 乖離率（BIAS）指標(biāo)BIAS1:(CLOSE-MA(CLOSE,L1)/MA(CLOSE,L1)*100; BIAS2:(CLOSE-MA(CLOSE,L2)/MA(CLOSE,L2)*100; BIAS3:(CLOSE-MA(CLOSE,L3)/MA(CLOSE,L3)*100; OBV指標(biāo)編寫編寫要點：第一步，如果今收盤價昨收盤價，那么成交量為正：

7、AA:=IFELSE(CLOSEREF(CLOSE,1),VOL,0); 第二步，如果今收盤價昨收盤價，那么成交量為負(fù)：BB:=IFELSE(CLOSE2&CLOSE=CC; 持續(xù)放量走高，維持3天AA:=MA(VOL,5) REF(MA(VOL,5),1); BB:=COUNT(AA,3)=3; CC:=CLOSEREF(CLOSE,1); DD:=COUNT(CC,3)=3; 判斷條件：BB&DD 突破長期整理平臺V1:=MA(VOL,5); V2：=VOL/ REF(V1,1); 長期盤整，分別取得當(dāng)天 150日均價，150日最高價，150日的最低價，設(shè)為股價在150日均線上下15%波動

8、，也即高低落在15%的幅度之內(nèi)：PZ1:=MA(CLOSE,M); PZ2:=HHV(HIGH,M); PZ3:=LLV(LOW,M); PZ4:=(PZ2-PZ1)/PZ1; PZ5:=(PZ1-PZ3)/PZ1; PZ:=REF(PZ4,1)0.15 AND REF(PZ5,1)MA10&MA10MA20,BPK; /買平開MA5MA10&MA10DEA&CLOSEEMA15; TMP1:=DEADIFF&EMA15CLOSE; /交易系統(tǒng)TMP1,BPK; /平空操作TMP2,SPK; /平多操作/過濾函數(shù)AUTOFILTER; 唐奇安通道模型關(guān)鍵函數(shù)：HHV、LLV、REF、CROSS

9、 建議使用周期：日線模型說明: 突破前20天最高價做多，突破前20天最低價做空。參數(shù)設(shè)置：參數(shù)名缺省值最小值最大值X201100/中間變量XH:=REF(HHV(HIGH,X),1);/X周期高點，X是參數(shù)，自行調(diào)整XL:=REF(LLV(LOW,X),1); /X周期低點，X是參數(shù)，自行調(diào)整/交易條件: TMP1:=HIGHXH&開倉時間; /開多平空條件TMP2:=HIGHOPEN&AABB; TMP2:= CLOSEOPEN&AAREF(HHV(C,N1),1)&ROCROCMA; TMP2:=CROCMA; /交易系統(tǒng)：TMP1,BPK; TMP2,SPK;/過濾函數(shù)AUTOFILTE

10、R;三減六日乖離模型參數(shù)名缺省值最小值最大值N245100/中間變量B36:= MA(CLOSE,3)-MA(CLOSE,6); B612:=MA(CLOSE,6)-MA(CLOSE,12); /交易條件TMP1:=REF(B36REF(HHV(B36,N),1),1)&B36REF(B36,1); TMP2:REF(B36REF(B36,1); /交易系統(tǒng)：TMP1,BPK; TMP2,SPK;/過濾函數(shù)AUTOFILTER;在5分鐘周期隱痛昨天日k收盤價/step1：建立指標(biāo)A CC:REF(C,1); /step2：建立指標(biāo)B #IMPORTDAY,1,A AS A1 C1:A1.CC;

11、 /step3：將指標(biāo)B應(yīng)用到5分鐘K線圖多周期共振判斷行情/Step1：編寫被引用的均線指標(biāo)MM M1:MA(C,5); M2:MA(C,10); M3:MA(C,20); /Step2：新建模型DKMA #IMPORTHOUR,1,MM AS MM MA1:MM.M1; MA2:MM.M2; MA3:MM.M3;/調(diào)用1小時K線周期的均線指標(biāo) RSV:=(CLOSE-LLV(LOW,9)/(HHV(HIGH,9)-LLV(LOW,9)*100; K:=SMA(RSV,3,1); D:=SMA(K,3,1);/增加5分鐘周期的KD指標(biāo) MA1MA2&MA2MA3&CROSS(K,D),BPK

12、; MA1MA2&MA2HV(HIGH,20); LL:CLV(LOW,20); /Step2：新建模型HLMA MA5:MA(C,5); MA10:MA(C,10); #CALL7186,HL AS HL1 H1:=HL1.HH; L1:=HL1.LL; H1&CROSSUP(MA5,MA10),BPK; L1&CROSSDOWN(MA5,MA10),SPK; AUTOFILTER; 今天信號不受前日影響策略舉例：5周期均線上穿10周期均線，買開倉, 5周期均線下穿10周期均線，賣開倉;虧10個點止損，收盤前1分鐘清倉，只用日內(nèi)數(shù)據(jù)進(jìn)行計算。/中間變量MA5MA(C,5);MA10MA(C,

13、10);/交易條件+交易系統(tǒng)CROSSUP(MA5,MA10),BK;/5周期均線上穿10周期均線，買開倉CROSSDOWN(MA5,MA10),SK;/5周期均線下穿10周期均線，賣開倉CSKPRICE+10*MINPRICE,BP;/虧損10點平空CLOSEMINUTE=1,CLOSEOUT;/收盤前一分鐘，清倉。AUTOFILTER;/過濾模型DAYTRADE1;/分鐘周期上，只用日內(nèi)數(shù)據(jù)進(jìn)行計算開盤價突破模型模型說明：五分鐘周期開盤第一根K線的收盤價與當(dāng)日開盤價比較及最新價和當(dāng)日開盤價的比較作為買賣依據(jù)進(jìn)行交易，尾盤平倉不留隔夜單。/中間變量A:=VALUEWHEN(TIME=0905

14、,CLOSE); B:=VALUEWHEN(DATEREF(DATE,1),OPEN); /交易條件TMK1:=AB&CROSS(CLOSE,B)&TIMEB&CROSS(B,CLOSE)|TIME=1450; TMK2:=AB&CROSS(B,CLOSE)&TIME1450; TMP2:=(A=1450; /交易系統(tǒng)TMK1,BK; TMP1,SP;TMK2,SK; TMP2,BP;/過濾函數(shù)AUTOFILTER;開盤后前30分鐘最該最低價突破模型模型說明：以最新價與開盤30分鐘內(nèi)的最高最低價進(jìn)行比較開倉，在收盤前平倉。/中間變量NN:=BARSLAST(DATEREF(DATE,1) )+

15、1; B:=VALUEWHEN(TIME=0930,HHV(HIGH,NN); D:=VALUEWHEN(TIMEB&TIME0930; TMP1:=TIME=1455; TMK2:=CLOSED&TIME0930; TMP2:=TIME=1455; /交易系統(tǒng)TMK1,BK; TMP1,SP;TMK2,SK; TMP2,BP;/過濾函數(shù)AUTOFILTER;單均線模型模型說明：開盤后15分鐘再根據(jù)均線不收盤價之間的關(guān)系進(jìn)行日內(nèi)買賣,尾盤平倉。/中間變量MA15:=MA(CLOSE,15); /交易條件TMK1:=TIME=0915&TIMEMA15&BARSLAST(CROSS(CLOSE,MA15 )=3; TMP1:=TIME=1455|(CLOSE=3); TMK2:=TIME=0900&TIME1455&CLOSE=3; TMP2:=TIME=1455|(CLOSEMA15&BARSLAST(CROSS(CLOSE,MA15 )=3); /交易系統(tǒng)TMK1,BK; TMP1,SP;TMK2,SK; TMP2,BP;/過濾函數(shù)AUTOFILTER;注：加入BARSLAST函數(shù)過濾，避免短時間段內(nèi)頻繁交易。雙重均線系統(tǒng)模型編寫