開(kāi)拓者程序化交易TB公式高級(jí)應(yīng)用

1、TB公式高級(jí)應(yīng)用公式高級(jí)應(yīng)用黃柳黃柳深圳市拓瑞邦澤科技有限公司第一部分第一部分持倉(cāng)交易系統(tǒng)的分析和實(shí)現(xiàn)持倉(cāng)交易系統(tǒng)的設(shè)計(jì)要素持倉(cāng)交易系統(tǒng)的設(shè)計(jì)要素u設(shè)計(jì)思路：趨勢(shì)跟蹤；u設(shè)計(jì)原則：不能錯(cuò)過(guò)主要趨勢(shì)；u設(shè)計(jì)細(xì)節(jié)：減少盤整時(shí)的連續(xù)虧損和最大資金回撤。u總結(jié)：uCut loss short, let profit runu截短虧損，讓利潤(rùn)奔跑截短虧損，讓利潤(rùn)奔跑！常見(jiàn)的持倉(cāng)交易系統(tǒng)常見(jiàn)的持倉(cāng)交易系統(tǒng)u高低點(diǎn)突破系統(tǒng)(四周法則)u雙均線系統(tǒng)(DualMA)u波動(dòng)性突破系統(tǒng)(ATR)u布林通道突破系統(tǒng)(BOLL)u拋物線轉(zhuǎn)向系統(tǒng)(SAR)u顧比倒數(shù)線系統(tǒng)(CBL)Keltner Channel Syst

2、emu基于Keltner Channel(肯特納通道)的持倉(cāng)交易系統(tǒng)。u由價(jià)格均線和ATR形成通道，當(dāng)價(jià)格突破通道產(chǎn)生入場(chǎng)訊號(hào)。Keltner Channel原理原理u肯特納通道肯特納通道（KC）是一個(gè)移動(dòng)平均通道，由三條線組合而成(上軌、中線及下軌)，若價(jià)格突破邊界，即表示出現(xiàn)開(kāi)倉(cāng)機(jī)會(huì)。u肯特納通道是基于平均真實(shí)波幅原理而形成的指標(biāo)，對(duì)價(jià)格波動(dòng)反應(yīng)靈敏，基于KC的系統(tǒng)可以實(shí)時(shí)開(kāi)倉(cāng)，不需要等待下一個(gè)Bar。Keltner Channel算法算法u中線 = Typical Price 的 N 周期平均值;uTypical Price =(High+Low+Close)/3;u上軌 = 中線 +

3、通道;u通道 = NumATRs * 平均真實(shí)波幅。Keltner Channel指標(biāo)指標(biāo)vParamsvNumeric Length(20);vNumeric NumATRs(1);vVarsvNumericSeries TPrice;vNumeric AvgValue;vNumeric ShiftValue;vNumeric UpperBand;vNumeric LowerBand;vBeginvTPrice = (High+Low+Close)/3;vAvgValue = AverageFC(TPrice,Length);vShiftValue = NumATRs*AvgTrueRang

4、e(Length);vUpperBand = AvgValue + ShiftValue;vLowerBand = AvgValue - ShiftValue;vPlotNumeric(UpperBand,UpperBand);vPlotNumeric(LowerBand,LowerBand);vPlotNumeric(MidLine,AvgValue);vEndKCS 版本版本1(1)vParamsvNumeric Length(20);vNumeric NumATRs(1);vVarsvNumericSeries TPrice;vNumeric AvgValue;vNumericSerie

5、s ShiftValue;vNumeric UpperBand;vNumeric LowerBand;vNumeric MyPrice;vBeginvTPrice = (High1+Low1+Close1)/3;vAvgValue = AverageFC(TPrice,Length);vShiftValue = NumATRs*AvgTrueRange(Length);vUpperBand = AvgValue + ShiftValue1;vLowerBand = AvgValue - ShiftValue1;KCS版本版本1(2)v If(MarketPosition!=1 & Hi

6、gh = UpperBand)vvMyPrice = UpperBand;vIf(Open MyPrice) MyPrice = Open;vBuy(1,MyPrice);Return;vvIf(MarketPosition!=-1 & Low = LowerBand)vvMyPrice = LowerBand;vIf(Open 1)vvHigherAfterEntry = Max(HigherAfterEntry1,High1);vLowerAfterEntry = Min(LowerAfterEntry1,Low1);vvCommentary(HigherAfterEntry=+T

7、ext(HigherAfterEntry);vCommentary(LowerAfterEntry=+Text(LowerAfterEntry);KCS_V3(5)vIf(MarketPosition=1)vvIf(Low = HigherAfterEntry - TrailingStop*MinPoint)vvMyPrice = HigherAfterEntry - TrailingStop*MinPoint;vIf(Open = LowerAfterEntry + TrailingStop*MinPoint)vvMyPrice = LowerAfterEntry + TrailingSto

8、p*MinPoint;vIf(Open MyPrice) MyPrice = Open;vBuyToCover(1,MyPrice);vvKCS_V3(6)u我們將編譯后的系統(tǒng)重新運(yùn)行，會(huì)看到凈利潤(rùn)上升了13295，最大資金回撤下降了14575，改進(jìn)的效果是非常明顯的。u我們?cè)倩仡?006年7月的圖表，KCSV3的訊號(hào)如下圖：u如圖中紅圈位置，在跟蹤止損之后，價(jià)位還在KC上軌之上，系統(tǒng)再次入場(chǎng)。u我們應(yīng)該思考一種新的入場(chǎng)規(guī)則，在跟蹤止損或止損后再次入場(chǎng)。KCS_V3(7)KCS_V4(1)u重新入場(chǎng)規(guī)則：做多時(shí)突破前期高點(diǎn)再次入場(chǎng)；做空時(shí)突破前期低點(diǎn)再次入場(chǎng)。u為了實(shí)現(xiàn)重新入場(chǎng)，我們需要記錄跟

9、蹤止損的狀態(tài)。u還需要記錄最近的最高、最低點(diǎn)。KCS_V4(2)v新增序列變量：vBoolSeries bLongTrailingStoped;vBoolSeries bShortTrailingStoped;u初始化：vIf(BarStatus 0)vvbLongTrailingStoped = bLongTrailingStoped1;vbShortTrailingStoped = bShortTrailingStoped1;vvCommentary(bLongTrailingStoped=+IIFString(bLongTrailingStoped,True,False);vCommen

10、tary(bShortTrailingStoped=+IIFString(bShortTrailingStoped,True,False);KCS_V4(3)u增加一個(gè)條件分支，記錄HigherAfterEntry和LowerAfterEntry的值。u再次入場(chǎng)的代碼：vIf(bLongTrailingStoped & MarketPosition=0 & High HigherAfterEntry)vvMyPrice = HigherAfterEntry + MinPoint;vIf(Open MyPrice) MyPrice = Open;vBuy(1,MyPrice);v

11、bLongTrailingStoped = False;vReturn;vvIf(bShortTrailingStoped & MarketPosition=0 & Low LowerAfterEntry)vvMyPrice = LowerAfterEntry - MinPoint;vIf(Open =UpperBand) vMyPrice = UpperBand;vIf(Open MyPrice) MyPrice = Open;vBuy(1,MyPrice);vReturn;vRBS_V1(2)vIf(MarketPosition!=-1 & Low=LowerBan

12、d)vvMyPrice = LowerBand;vIf(Open =ExitOnCloseMins/100)vvSell(1,Open);vBuyToCover(1,Open);vvSetExitOnClose;vEndRBS_V1(3)u我們將最初級(jí)版本的系統(tǒng)應(yīng)用于所有品種的指數(shù)中(可行性測(cè)試，選取了指數(shù)的30分鐘周期，數(shù)據(jù)范圍為2008.1.1-現(xiàn)在)。除了玉米，小麥等少數(shù)價(jià)低品種外，絕大部分都是盈利，有些品種還有不錯(cuò)的資金曲線。u證明該系統(tǒng)的有不錯(cuò)的胚子，值得繼續(xù)深入研究。RBS_V2(1)v如果前一日漲停或跌停，則會(huì)出現(xiàn)范圍很小。v兩種解決方案：v1、設(shè)定一個(gè)范圍的最小值，假定為當(dāng)前價(jià)

13、格的0.2%。v2、考慮上當(dāng)前的開(kāi)盤價(jià)，加上跳空的范圍。我們選擇第一種方法。RBS_V2(2)vParamsv Numeric MinRange(0.2);vVarsv NumericSeries DayOpen;v Numeric preDayHigh;v Numeric preDayLow; v NumericSeries preDayRange;vBeginv preDayHigh = HighD(1);v preDayLow = LowD(1);v If(Date!=Date1)v v DayOpen = Open;v preDayRange = preDayHigh - preDay

14、Low;v If(preDayRange Open*MinRange*0.01) v preDayRange = Open*MinRange*0.01;v Elsev v DayOpen = DayOpen1;v preDayRange = preDayRange1;v RBS_V3(1)v有可能通道會(huì)比較寬，難道非要等到反轉(zhuǎn)才平倉(cāng)？v考慮增加止損設(shè)置，也有2種方案：v1、虧損固定點(diǎn)數(shù)。v2、虧損當(dāng)前價(jià)格的百分比。v考慮到商品價(jià)格變化的差異，我們采取第二種方式。RBS_V3(2)v 先增加一個(gè)變量StopLine,用來(lái)保存止損位置。v下面是做多時(shí)的止損代碼：vIf(MarketPosition

15、=1)vvStopLine = UpperBand-DayOpen*StopLossSet*0.01;vIf(Low = StopLine)vvMyPrice = StopLine;vIf(Open = StopLine)vvMyPrice = StopLine;vIf(Open MyPrice) MyPrice = Open;vBuyToCover(Lots,MyPrice);vvRBS_V4(1)v突破的時(shí)效性，發(fā)生在上午和下午意義是不同的。v不同的商品時(shí)效屬性不盡相同v為此我們?cè)黾幼詈蠼灰讜r(shí)間參數(shù)，可供優(yōu)化測(cè)試來(lái)確定最佳值。RBS_V4(2)v增加參數(shù)：vNumeric LastTrad

16、eMins(14.00);v開(kāi)倉(cāng)條件處增加一個(gè)時(shí)間條件。vIf(MarketPosition!=1 & High=UpperBand & Time LastTradeMins/100)vv/ 多頭開(kāi)倉(cāng)vvIf(MarketPosition!=-1 & Low=LowerBand & Time 1)vvHigherAfterEntry = max(HigherAfterEntry1,High1);vLowerAfterEntry = min(LowerAfterEntry1,Low1);vRBS_V5(4)v跟蹤止損的編碼可配合前面的止損編碼一起控制。vIf(Hi

17、gherAfterEntry=AvgEntryPrice+DayOpen*TrailingStart*0.01)vvStopLine = HigherAfterEntry - DayOpen*TrailingStop*0.01;vElse / 止損vvStopLine = UpperBand-DayOpen*StopLossSet*0.01;vvvIf(Low = StopLine)vvMyPrice = StopLine;vIf(Open HigherAfterEntry)vvMyPrice = HigherAfterEntry + MinPoint;vIf(Open MyPrice) My

18、Price = Open;vBuy(1,MyPrice);vbLongStoped = False;vReturn;vvRBS_V6(4)v/ 做空再次入場(chǎng)代碼：vIf(bShortStoped & MarketPosition=0 & Low LowerAfterEntry)vvMyPrice = LowerAfterEntry - MinPoint;vIf(Open MyPrice) MyPrice = Open;vSellShort(1,MyPrice);vbShortStoped = False;vReturn;vRBS_V7(1)v增加漲跌停板控制，接近漲跌停板不會(huì)開(kāi)倉(cāng)。v價(jià)格到達(dá)漲跌停板馬上平倉(cāng)。RBS_V7(2)v我們新建一個(gè)布爾變量bInBoardRange，默認(rèn)值設(shè)置為False。vInBoardRange = v(Open Q_UpperLimit - DayOpen*S