策略说明:
本策略是基于K线加权均值的支撑阻力线突破系统
系统要素:
1. K线的加权均值 = (最高价+最低价+2*收盘价)/4
2. 支撑线 = K线加权均值 - ( 最高价 - K线加权均值)
3. 阻力线 = K线加权均值 + ( K线加权均值 - 最低价)
入场条件:
1. 当价格向上突破阻力线做多
2. 当价格向下突破支撑线做空
出场条件:
1. 趋势反转即反向突破时出场
2. 基于ATR的一定倍数的止盈
做多代码及解读如下：
Params
Numeric ATRs(3); // 声明数值参数ATRs，初值3，几倍ATR止盈。//
Numeric ATRLength(10); // 声明数值参数ATRLength，初值10，ATR周期。//
Vars
NumericSeries WAvgPrice; // 声明数值序列变量WAvgPrice，即K线加权均值。//
NumericSeries Resistance; //声明数值序列变量Resistance，即 阻力线。//
NumericSeries Support; //声明数值序列变量Support，即 支撑线。//
Numeric ATRVal; // 声明数值变量ATR(平均真实波幅)。//
NumericSeries myExitPrice; // 声明数值序列变量myExitPrice，即开仓BAR根据当时的ATR计算出的止盈价。//
Begin
If(!CallAuctionFilter()) Return;// 集合竞价和小节休息过滤。//
// 计算当前K线的加权均值、阻力线和支撑线。//
WAvgPrice = (High + Low + (Close * 2)) / 4; //计算当前k线的加权均值。//
Resistance = (WAvgPrice * 2) - Low; // 计算阻力线。//
Support = (WAvgPrice * 2) - High; //计算支撑线。//
PlotNumeric("Resistance",Resistance[1]);//画阻力线。//
PlotNumeric("Support",Support[1]);//画支撑线。//
ATRVal = AvgTrueRange(ATRLength); // 计算ATR。//
If(MarketPosition == 0 And High >= Resistance[1] + MinMove * PriceScale And Vol > 0) // 假如当前没有持仓，且当前最高价大于等于前一阻力线加一跳的价格，且成交量大于0.//
{
Buy(0, Max(Open,Resistance[1] + MinMove * PriceScale)); //开仓买入。//
}
// 开仓时根据开仓BAR的ATR计算止盈价。//
If(MarketPosition == 1 And BarsSinceEntry == 0)//当前持有多单，且建仓数位等于0.//
{
myExitPrice = EntryPrice + ATRVal * ATRs;//出场价 = 进场价 + 3 * ATRVal值。//
}
If(MarketPosition == 1 And BarsSinceEntry > 0 And Vol > 0) // 当前持有多单，且建仓数位大于0，且成交量大于0.//
{
// 止盈出场。//
If(High >= myExitPrice)//假如当前最高价大于等于出场价。//
{
Sell(0, Max(Open,myExitPrice));//平仓。//
Commentary("止盈出场");//在超级图表上注释“止盈出场”。//
}
// 反向突破止损出场.//
Else If(Low <= Support[1] - MinMove * PriceScale)//假如当前最低价小于等于前一支撑线减去一跳的价格。//
{
Sell(0, Min(Open,Support[1] - MinMove * PriceScale));//平仓。//
Commentary("反转出场");//在超级图表上注释“反转出场”。//
}
}
End
做空代码及结果如下：
Params
Numeric ATRs(3);
Numeric ATRLength(10);
Vars
NumericSeries WAvgPrice;
NumericSeries Resistance;
NumericSeries Support;
Numeric ATRVal;
NumericSeries myExitPrice;
Begin
If(!CallAuctionFilter()) Return;
WAvgPrice = (High + Low + (Close * 2)) / 4;
Resistance = (WAvgPrice * 2) - Low;
Support = (WAvgPrice * 2) - High;
PlotNumeric("Resistance",Resistance[1]);
PlotNumeric("Support",Support[1]);
ATRVal = AvgTrueRange(ATRLength);
If(MarketPosition == 0 And Low <= Support[1] - MinMove * PriceScale And Vol > 0)
{
SellShort(0, Min(Open,Support[1] - MinMove * PriceScale));
}
If(MarketPosition == -1 And BarsSinceEntry == 0)
{
myExitPrice = EntryPrice - ATRVal * ATRs;
}
If(MarketPosition == -1 And BarsSinceEntry > 0 And Vol > 0)
{
If(Low <= myExitPrice)
{
BuyToCover(0, Min(Open,myExitPrice));
Commentary("止盈出场");
}
Else If(High >= Resistance[1] + MinMove * PriceScale)
{
BuyToCover(0, Max(Open,Resistance[1] + MinMove * PriceScale));
Commentary("反转出场");
}
}
End
