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基于ATR波动率指标构建的通道策略Channel-strategy-based-on-ATR.md

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Name

基于ATR波动率指标构建的通道策略Channel-strategy-based-on-ATR

Author

阿基米德的浴缸

Strategy Description

[trans]

  • 名称: 基于ATR波动率指标构建的通道策略
  • 思路：通道自适应策略，固定止损+浮动止盈
  • 数据周期：多周期
  • OKEX期货
  • 合约 ： this_week 当周
  • 官方网站：www.quantinfo.com

IMG

  • 主图： 画UBAND， 公式：UBAND^^MAC+MATR; 画DBAND， 公式：DBAND^^MAC-MATR;

  • 副图： 无

||

  • Strategy name: Channel strategy based on ATR volatility index

  • Strategy idea: Channel Adaptive Strategy, Fixed Stop + Floating Stop

  • Data Cycle: Multi-Cycle

    IMG
    IMG

  • Main chart: Draw UBAND, formula: UBAND ^^ MAC + MATR; Draw DBAND, formula: DBAND ^^ MAC-MATR;

  • Secondary chart: none

[/trans]

Strategy Arguments

Argument Default Description
SLOSS 2 止损百分比
N 200 ATR指标参数
M 4 上下轨系数

Source (MyLanguage)

(*backtest
start: 2018-06-01 00:00:00
end: 2018-07-01 00:00:00
period: 1h
exchanges: [{"eid":"Futures_OKCoin","currency":"BTC_USD"}]
args: [["TradeAmount",10,126961],["ContractType","this_week",126961]]
*)

TR1:=MAX(MAX((HIGH-LOW),ABS(REF(CLOSE,1)-HIGH)),ABS(REF(CLOSE,1)-LOW));
ATR:=MA(TR1,N);
MAC:=MA(C,N);
UBAND^^MAC+M*ATR;
DBAND^^MAC-M*ATR;
H>=HHV(H,N),BPK;
L<=LLV(L,N),SPK;
(H>=HHV(H,M*N) OR C<=UBAND) AND BKHIGH>=BKPRICE*(1+M*SLOSS*0.01),SP;
(L<=LLV(L,M*N) OR C>=DBAND) AND SKLOW<=SKPRICE*(1-M*SLOSS*0.01),BP;
// 止损
// stop loss
C>=SKPRICE*(1+SLOSS*0.01),BP;
C<=BKPRICE*(1-SLOSS*0.01),SP;
AUTOFILTER;

Detail

https://www.fmz.com/strategy/128126

Last Modified

2018-12-18 12:55:34